The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
9.30.2015
Rydex Funds Semi-Annual Report
Domestic Equity Funds |
S&P 500® 2x Strategy Fund | | |
Inverse S&P 500® 2x Strategy Fund | | |
NASDAQ-100® 2x Strategy Fund | | |
Inverse NASDAQ-100® 2x Strategy Fund | | |
Dow 2x Strategy Fund | | |
Inverse Dow 2x Strategy Fund | | |
Russell 2000® 2x Strategy Fund | | |
Inverse Russell 2000® 2x Strategy Fund | | |
DYN-SEMI-0915x0316 | guggenheiminvestments.com |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
S&P 500® 2x STRATEGY FUND | 9 |
INVERSE S&P 500® 2x STRATEGY FUND | 20 |
NASDAQ-100® 2x STRATEGY FUND | 26 |
INVERSE NASDAQ-100® 2x STRATEGY FUND | 33 |
DOW 2x STRATEGY FUND | 39 |
INVERSE DOW 2x STRATEGY FUND | 46 |
RUSSELL 2000® 2x STRATEGY FUND | 52 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | 77 |
NOTES TO FINANCIAL STATEMENTS | 83 |
OTHER INFORMATION | 95 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 98 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 101 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our Funds for the six-month period ended September 30, 2015.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
October 31, 2015
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.
There can be no assurance that any investment product will achieve its investment objective(s). There are risks associated with investing, including the entire loss of principal invested. Investing involves market risks. The investment return and principal value of any investment product will fluctuate with changes in market conditions.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2015 |
At the end of the period, the underlying U.S. economy continued to maintain its strong footing. A market correction that began in August persisted through the end of the period; September and October are historically difficult times for the stock market, and by extension, risk assets of any kind, including credit.
Markets had been performing solidly for most of the period. Growth mid-year bounced back from a weather-induced slowdown in the first quarter, with GDP increasing 3.9% for the second quarter. The labor and housing markets continued to strengthen, and the drop in gas prices was acting as a tax cut, which was expected to increase consumer spending power going into the holiday season. Even though labor markets are moving toward full employment, questions remain about the viability of sustained economic expansion in the U.S. In particular, there is debate about the net effect of declining energy prices and a stronger dollar. These are both positive for the U.S. consumer, but low oil prices hurt the U.S. energy industry and a strong dollar is challenging for U.S. manufacturers. In addition, oil prices and the strong dollar exert a downward pressure on inflation, and a risk of deflation is a negative for the economy.
At the same time, currency devaluation, particularly in Japan and the euro zone, is putting pressure on countries to devalue to improve export competitiveness. Those countries slow to devalue, like China, are feeling economic pressure at home, driving down asset prices, and increasing deflationary pressures, escalating the risk of financial contagion abroad. China may have to devalue the renminbi further due to continued slowing in the economy. Combined with the tepid expansion in both Europe and Japan, the pressure will be for central banks there to increase easing measures.
The U.S. Federal Reserve (the “Fed”) is hard pressed to justify a rate increase based on its self-prescribed metrics, which include rising inflation and an improved employment situation with clearly rising wages. At best, policymakers can argue that the prospects for wage growth and inflation are improving, but clear evidence is lacking.
A preemptive rate increase seems risky and opens the Fed to potential criticism given the fragility in financial markets and the prospect that rising U.S. rates could further strengthen the dollar and also potentially exacerbate foreign economic turbulence. While prices and wages remain tame, the risk of another asset bubble is increasing. The longer policy remains highly accommodative, the greater the likelihood that asset classes including commercial real estate, equities, or certain categories of bonds could become overvalued.
At period end, the risk of financial contagion remained high, which could result in central banks providing additional liquidity or delaying rate increases. Use of the monetary printing press is a handy tool to prop up asset prices and temporarily spur economic growth, which is the main reason a recession does not appear to be on the horizon for either the G-7 nations or China. It’s also worth noting that there has never been a recession in the post-war period without the Fed first raising interest rates, after which it typically takes several years for a recession to be induced.
For the six months ended September 30, 2015, the Standard & Poor’s 500® (“S&P 500”) Index* returned -6.18%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned -8.66%. The return of the MSCI Emerging Markets Index* was -19.28%.
In the bond market, the Barclays U.S. Aggregate Bond Index* posted a -0.47% return for the period, while the Barclays U.S. Corporate High Yield Index* returned -4.85%. The return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.02% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2015 |
*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.
Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar (“USD”)-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) | |
The Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. 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 consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) | |
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or 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 March 31, 2015 and ending September 30, 2015.
The following tables illustrate a Fund’s costs in two ways:
Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
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 a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2015 | Ending
Account Value
September 30, 2015 | Expenses
Paid During Period2 |
Table 1. Based on actual Fund return3 | | | | | |
S&P 500® 2x Strategy Fund | | | | | |
A-Class | 1.74% | (14.26%) | $1,000.00 | $857.40 | $8.10 |
C-Class | 2.49% | (14.58%) | 1,000.00 | 854.20 | 11.57 |
H-Class | 1.74% | (14.26%) | 1,000.00 | 857.40 | 8.10 |
Inverse S&P 500® 2x Strategy Fund | | | | | |
A-Class | 1.73% | 8.67% | 1,000.00 | 1,086.70 | 9.05 |
C-Class | 2.48% | 8.30% | 1,000.00 | 1,083.00 | 12.95 |
H-Class | 1.74% | 8.69% | 1,000.00 | 1,086.90 | 9.10 |
NASDAQ-100® 2x Strategy Fund | | | | | |
A-Class | 1.77% | (8.84%) | 1,000.00 | 911.60 | 8.48 |
C-Class | 2.52% | (9.18%) | 1,000.00 | 908.20 | 12.05 |
H-Class | 1.77% | (8.84%) | 1,000.00 | 911.60 | 8.48 |
Inverse NASDAQ-100® 2x Strategy Fund | | | | | |
A-Class | 1.77% | (0.36%) | 1,000.00 | 996.40 | 8.86 |
C-Class | 2.50% | (0.52%) | 1,000.00 | 994.80 | 12.50 |
H-Class | 1.77% | (0.26%) | 1,000.00 | 997.40 | 8.86 |
Dow 2x Strategy Fund | | | | | |
A-Class | 1.79% | (16.22%) | 1,000.00 | 837.80 | 8.25 |
C-Class | 2.54% | (16.52%) | 1,000.00 | 834.80 | 11.68 |
H-Class | 1.79% | (16.21%) | 1,000.00 | 837.90 | 8.25 |
Inverse Dow 2x Strategy Fund | | | | | |
A-Class | 1.79% | 10.87% | 1,000.00 | 1,108.70 | 9.46 |
C-Class | 2.52% | 10.45% | 1,000.00 | 1,104.50 | 13.29 |
H-Class | 1.79% | 10.87% | 1,000.00 | 1,108.70 | 9.46 |
Russell 2000® 2x Strategy Fund | | | | | |
A-Class | 1.77% | (23.66%) | 1,000.00 | 763.40 | 7.82 |
C-Class | 2.51% | (23.94%) | 1,000.00 | 760.60 | 11.08 |
H-Class | 1.79% | (23.65%) | 1,000.00 | 763.50 | 7.91 |
Inverse Russell 2000® 2x Strategy Fund | | | | | |
A-Class | 1.78% | 21.40% | 1,000.00 | 1,214.00 | 9.88 |
C-Class | 2.55% | 21.00% | 1,000.00 | 1,210.00 | 14.13 |
H-Class | 1.78% | 21.39% | 1,000.00 | 1,213.90 | 9.88 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
March 31, 2015 | Ending
Account Value
September 30, 2015 | Expenses
Paid During
Period2 |
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
S&P 500® 2x Strategy Fund | | | | | |
A-Class | 1.74% | 5.00% | $1,000.00 | $1,016.34 | $8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Inverse S&P 500® 2x Strategy Fund | | | | | |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
NASDAQ-100® 2x Strategy Fund | | | | | |
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
C-Class | 2.52% | 5.00% | 1,000.00 | 1,012.43 | 12.71 |
H-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
Inverse NASDAQ-100® 2x Strategy Fund | | | | | |
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
C-Class | 2.50% | 5.00% | 1,000.00 | 1,012.53 | 12.61 |
H-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
Dow 2x Strategy Fund | | | | | |
A-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
C-Class | 2.54% | 5.00% | 1,000.00 | 1,012.33 | 12.81 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Inverse Dow 2x Strategy Fund | | | | | |
A-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
C-Class | 2.52% | 5.00% | 1,000.00 | 1,012.43 | 12.71 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Russell 2000® 2x Strategy Fund | | | | | |
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
C-Class | 2.51% | 5.00% | 1,000.00 | 1,012.48 | 12.66 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Inverse Russell 2000® 2x Strategy Fund | | | | | |
A-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
C-Class | 2.55% | 5.00% | 1,000.00 | 1,012.28 | 12.86 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 |
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 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2015 to September 30, 2015. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
FUND PROFILE (Unaudited) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | November 27, 2000 |
H-Class | May 19, 2000 |
Ten Largest Holdings (% of Total Net Assets) |
Federal Farm Credit Bank | 4.4% |
Apple, Inc. | 2.3% |
Microsoft Corp. | 1.3% |
Exxon Mobil Corp. | 1.1% |
Johnson & Johnson | 1.0% |
General Electric Co. | 0.9% |
Berkshire Hathaway, Inc. — Class B | 0.9% |
Wells Fargo & Co. | 0.9% |
JPMorgan Chase & Co. | 0.8% |
Facebook, Inc. — Class A | 0.7% |
Top Ten Total | 14.3% |
| | |
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
COMMON STOCKS† - 62.3% | |
| | | | | | | |
Consumer, Non-cyclical - 14.9% | |
Johnson & Johnson | | | 11,557 | | | $ | 1,078,847 | |
Procter & Gamble Co. | | | 11,321 | | | | 814,433 | |
Pfizer, Inc. | | | 25,739 | | | | 808,462 | |
Coca-Cola Co. | | | 16,340 | | | | 655,561 | |
Gilead Sciences, Inc. | | | 6,125 | | | | 601,414 | |
Merck & Company, Inc. | | | 11,755 | | | | 580,579 | |
PepsiCo, Inc. | | | 6,131 | | | | 578,153 | |
Philip Morris International, Inc. | | | 6,466 | | | | 512,948 | |
UnitedHealth Group, Inc. | | | 3,980 | | | | 461,719 | |
Allergan plc* | | | 1,643 | | | | 446,584 | |
Altria Group, Inc. | | | 8,183 | | | | 445,155 | |
Amgen, Inc. | | | 3,165 | | | | 437,783 | |
Bristol-Myers Squibb Co. | | | 6,959 | | | | 411,973 | |
Medtronic plc | | | 5,902 | | | | 395,080 | |
AbbVie, Inc. | | | 6,908 | | | | 375,864 | |
MasterCard, Inc. — Class A | | | 4,165 | | | | 375,349 | |
Celgene Corp.* | | | 3,299 | | | | 356,853 | |
Eli Lilly & Co. | | | 4,071 | | | | 340,702 | |
Biogen, Inc.* | | | 981 | | | | 286,266 | |
Mondelez International, Inc. — Class A | | | 6,725 | | | | 281,576 | |
Abbott Laboratories | | | 6,220 | | | | 250,168 | |
Colgate-Palmolive Co. | | | 3,757 | | | | 238,419 | |
Express Scripts Holding Co.* | | | 2,820 | | | | 228,307 | |
Danaher Corp. | | | 2,482 | | | | 211,491 | |
McKesson Corp. | | | 970 | | | | 179,480 | |
Kraft Heinz Co. | | | 2,480 | | | | 175,038 | |
Kimberly-Clark Corp. | | | 1,520 | | | | 165,740 | |
Aetna, Inc. | | | 1,455 | | | | 159,192 | |
Automatic Data Processing, Inc. | | | 1,944 | | | | 156,220 | |
Reynolds American, Inc. | | | 3,459 | | | | 153,130 | |
Anthem, Inc. | | | 1,092 | | | | 152,880 | |
Regeneron Pharmaceuticals, Inc.* | | | 323 | | | | 150,240 | |
Alexion Pharmaceuticals, Inc.* | | | 944 | | | | 147,632 | |
Kroger Co. | | | 4,054 | | | | 146,228 | |
Cigna Corp. | | | 1,075 | | | | 145,147 | |
PayPal Holdings, Inc.* | | | 4,628 | | | | 143,653 | |
General Mills, Inc. | | | 2,499 | | | | 140,269 | |
Stryker Corp. | | | 1,320 | | | | 124,213 | |
Becton Dickinson and Co. | | | 878 | | | | 116,475 | |
Humana, Inc. | | | 618 | | | | 110,622 | |
Vertex Pharmaceuticals, Inc.* | | | 1,021 | | | | 106,327 | |
Archer-Daniels-Midland Co. | | | 2,541 | | | | 105,324 | |
Cardinal Health, Inc. | | | 1,366 | | | | 104,936 | |
HCA Holdings, Inc.* | | | 1,334 | | | | 103,198 | |
McGraw Hill Financial, Inc. | | | 1,137 | | | | 98,351 | |
Perrigo Company plc | | | 610 | | | | 95,935 | |
Boston Scientific Corp.* | | | 5,609 | | | | 92,044 | |
Sysco Corp. | | | 2,309 | | | | 89,982 | |
Constellation Brands, Inc. — Class A | | | 717 | | | | 89,775 | |
Monster Beverage Corp.* | | | 635 | | | | 85,814 | |
AmerisourceBergen Corp. — Class A | | | 857 | | | | 81,406 | |
Zoetis, Inc. | | | 1,916 | | | | 78,901 | |
Estee Lauder Companies, Inc. — Class A | | | 943 | | | | 76,081 | |
Baxter International, Inc. | | | 2,277 | | | | 74,799 | |
St. Jude Medical, Inc. | | | 1,176 | | | | 74,194 | |
ConAgra Foods, Inc. | | | 1,802 | | | | 72,999 | |
Moody’s Corp. | | | 727 | | | | 71,391 | |
Intuitive Surgical, Inc.* | | | 155 | | | | 71,235 | |
Baxalta, Inc. | | | 2,260 | | | | 71,213 | |
Kellogg Co. | | | 1,062 | | | | 70,676 | |
Mylan N.V.* | | | 1,723 | | | | 69,368 | |
Zimmer Biomet Holdings, Inc. | | | 713 | | | | 66,972 | |
Edwards Lifesciences Corp.* | | | 449 | | | | 63,834 | |
Dr Pepper Snapple Group, Inc. | | | 797 | | | | 63,003 | |
Clorox Co. | | | 537 | | | | 62,040 | |
Endo International plc* | | | 869 | | | | 60,204 | |
Mead Johnson Nutrition Co. — Class A | | | 846 | | | | 59,558 | |
CR Bard, Inc. | | | 309 | | | | 57,570 | |
Hershey Co. | | | 610 | | | | 56,046 | |
Tyson Foods, Inc. — Class A | | | 1,270 | | | | 54,737 | |
Molson Coors Brewing Co. — Class B | | | 659 | | | | 54,710 | |
DaVita HealthCare Partners, Inc.* | | | 710 | | | | 51,354 | |
JM Smucker Co. | | | 429 | | | | 48,945 | |
Equifax, Inc. | | | 493 | | | | 47,910 | |
Universal Health Services, Inc. — Class B | | | 383 | | | | 47,802 | |
Whole Foods Market, Inc. | | | 1,493 | | | | 47,253 | |
Henry Schein, Inc.* | | | 348 | | | | 46,187 | |
Laboratory Corporation of America Holdings* | | | 420 | | | | 45,557 | |
Brown-Forman Corp. — Class B | | | 443 | | | | 42,927 | |
Coca-Cola Enterprises, Inc. | | | 879 | | | | 42,500 | |
H&R Block, Inc. | | | 1,153 | | | | 41,739 | |
McCormick & Company, Inc. | | | 484 | | | | 39,775 | |
Western Union Co. | | | 2,134 | | | | 39,180 | |
Campbell Soup Co. | | | 752 | | | | 38,111 | |
Quest Diagnostics, Inc. | | | 599 | | | | 36,821 | |
Hormel Foods Corp. | | | 563 | | | | 35,644 | |
Total System Services, Inc. | | | 706 | | | | 32,074 | |
Cintas Corp. | | | 372 | | | | 31,899 | |
Mallinckrodt plc* | | | 490 | | | | 31,331 | |
Varian Medical Systems, Inc.* | | | 412 | | | | 30,397 | |
DENTSPLY International, Inc. | | | 583 | | | | 29,482 | |
Robert Half International, Inc. | | | 561 | | | | 28,701 | |
Keurig Green Mountain, Inc. | | | 501 | | | | 26,122 | |
United Rentals, Inc.* | | | 398 | | | | 23,900 | |
Avery Dennison Corp. | | | 382 | | | | 21,610 | |
ADT Corp. | | | 709 | | | | 21,199 | |
Quanta Services, Inc.* | | | 852 | | | | 20,627 | |
Patterson Companies, Inc. | | | 362 | | | | 15,657 | |
Tenet Healthcare Corp.* | | | 415 | | | | 15,322 | |
Total Consumer, Non-cyclical | | | | | | | 16,902,494 | |
| | | | | | | | | |
Financial - 10.7% | |
Berkshire Hathaway, Inc. — Class B* | | | 7,819 | | | | 1,019,598 | |
Wells Fargo & Co. | | | 19,496 | | | | 1,001,120 | |
JPMorgan Chase & Co. | | | 15,434 | | | | 941,011 | |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Bank of America Corp. | | | 43,690 | | | $ | 680,690 | |
Citigroup, Inc. | | | 12,562 | | | | 623,201 | |
Visa, Inc. — Class A | | | 8,144 | | | | 567,311 | |
American International Group, Inc. | | | 5,400 | | | | 306,827 | |
Goldman Sachs Group, Inc. | | | 1,680 | | | | 291,917 | |
U.S. Bancorp | | | 6,909 | | | | 283,338 | |
American Express Co. | | | 3,552 | | | | 263,310 | |
Simon Property Group, Inc. | | | 1,291 | | | | 237,182 | |
MetLife, Inc. | | | 4,661 | | | | 219,766 | |
Morgan Stanley | | | 6,359 | | | | 200,309 | |
PNC Financial Services Group, Inc. | | | 2,143 | | | | 191,156 | |
Bank of New York Mellon Corp. | | | 4,618 | | | | 180,795 | |
Capital One Financial Corp. | | | 2,264 | | | | 164,185 | |
BlackRock, Inc. — Class A | | | 534 | | | | 158,848 | |
American Tower Corp. — Class A | | | 1,766 | | | | 155,373 | |
Prudential Financial, Inc. | | | 1,882 | | | | 143,427 | |
Charles Schwab Corp. | | | 4,997 | | | | 142,714 | |
ACE Ltd. | | | 1,351 | | | | 139,693 | |
CME Group, Inc. — Class A | | | 1,410 | | | | 130,763 | |
Public Storage | | | 613 | | | | 129,729 | |
Travelers Companies, Inc. | | | 1,298 | | | | 129,189 | |
Chubb Corp. | | | 947 | | | | 116,150 | |
BB&T Corp. | | | 3,254 | | | | 115,843 | |
Marsh & McLennan Companies, Inc. | | | 2,212 | | | | 115,511 | |
State Street Corp. | | | 1,703 | | | | 114,459 | |
Equity Residential | | | 1,520 | | | | 114,183 | |
Crown Castle International Corp. | | | 1,393 | | | | 109,866 | |
Intercontinental Exchange, Inc. | | | 460 | | | | 108,095 | |
Aflac, Inc. | | | 1,798 | | | | 104,518 | |
Aon plc | | | 1,169 | | | | 103,585 | |
Welltower, Inc. | | | 1,469 | | | | 99,481 | |
Allstate Corp. | | | 1,671 | | | | 97,319 | |
AvalonBay Communities, Inc. | | | 555 | | | | 97,025 | |
Discover Financial Services | | | 1,816 | | | | 94,414 | |
Prologis, Inc. | | | 2,187 | | | | 85,074 | |
SunTrust Banks, Inc. | | | 2,162 | | | | 82,675 | |
Ameriprise Financial, Inc. | | | 744 | | | | 81,193 | |
Hartford Financial Services Group, Inc. | | | 1,731 | | | | 79,245 | |
Ventas, Inc. | | | 1,388 | | | | 77,811 | |
Boston Properties, Inc. | | | 641 | | | | 75,895 | |
Progressive Corp. | | | 2,445 | | | | 74,915 | |
T. Rowe Price Group, Inc. | | | 1,069 | | | | 74,296 | |
HCP, Inc. | | | 1,931 | | | | 71,930 | |
M&T Bank Corp. | | | 555 | | | | 67,682 | |
Vornado Realty Trust | | | 739 | | | | 66,820 | |
Alliance Data Systems Corp.* | | | 256 | | | | 66,299 | |
Equinix, Inc. | | | 238 | | | | 65,069 | |
Fifth Third Bancorp | | | 3,352 | | | | 63,386 | |
General Growth Properties, Inc. | | | 2,440 | | | | 63,367 | |
Northern Trust Corp. | | | 914 | | | | 62,298 | |
Essex Property Trust, Inc. | | | 274 | | | | 61,217 | |
Franklin Resources, Inc. | | | 1,614 | | | | 60,138 | |
Weyerhaeuser Co. | | | 2,146 | | | | 58,672 | |
Invesco Ltd. | | | 1,789 | | | | 55,870 | |
Principal Financial Group, Inc. | | | 1,144 | | | | 54,157 | |
Regions Financial Corp. | | | 5,530 | | | | 49,825 | |
Lincoln National Corp. | | | 1,047 | | | | 49,691 | |
Host Hotels & Resorts, Inc. | | | 3,135 | | | | 49,564 | |
Realty Income Corp. | | | 980 | | | | 46,442 | |
XL Group plc — Class A | | | 1,262 | | | | 45,836 | |
KeyCorp | | | 3,509 | | | | 45,652 | |
SL Green Realty Corp. | | | 415 | | | | 44,886 | |
Loews Corp. | | | 1,197 | | | | 43,260 | |
Macerich Co. | | | 562 | | | | 43,173 | |
Kimco Realty Corp. | | | 1,724 | | | | 42,117 | |
Affiliated Managers Group, Inc.* | | | 227 | | | | 38,815 | |
CBRE Group, Inc. — Class A* | | | 1,210 | | | | 38,720 | |
Huntington Bancshares, Inc. | | | 3,352 | | | | 35,531 | |
Cincinnati Financial Corp. | | | 616 | | | | 33,141 | |
Unum Group | | | 1,030 | | | | 33,042 | |
E*TRADE Financial Corp.* | | | 1,211 | | | | 31,886 | |
Comerica, Inc. | | | 743 | | | | 30,537 | |
Plum Creek Timber Company, Inc. | | | 729 | | | | 28,803 | |
Torchmark Corp. | | | 486 | | | | 27,410 | |
Nasdaq, Inc. | | | 493 | | | | 26,292 | |
Iron Mountain, Inc. | | | 801 | | | | 24,847 | |
Apartment Investment & Management Co. — Class A | | | 651 | | | | 24,100 | |
Zions Bancorporation | | | 852 | | | | 23,464 | |
Assurant, Inc. | | | 279 | | | | 22,044 | |
Hudson City Bancorp, Inc. | | | 2,011 | | | | 20,451 | |
People’s United Financial, Inc. | | | 1,294 | | | | 20,355 | |
Legg Mason, Inc. | | | 458 | | | | 19,057 | |
Navient Corp. | | | 1,561 | | | | 17,546 | |
Genworth Financial, Inc. — Class A* | | | 2,075 | | | | 9,587 | |
Total Financial | | | | | | | 12,105,984 | |
| | | | | | | | | |
Technology - 8.4% | |
Apple, Inc. | | | 23,801 | | | | 2,625,249 | |
Microsoft Corp. | | | 33,379 | | | | 1,477,354 | |
Intel Corp. | | | 19,841 | | | | 598,008 | |
International Business Machines Corp. | | | 3,761 | | | | 545,233 | |
Oracle Corp. | | | 13,573 | | | | 490,257 | |
QUALCOMM, Inc. | | | 6,558 | | | | 352,362 | |
Accenture plc — Class A | | | 2,605 | | | | 255,967 | |
Texas Instruments, Inc. | | | 4,284 | | | | 212,144 | |
EMC Corp. | | | 8,033 | | | | 194,078 | |
Hewlett-Packard Co. | | | 7,539 | | | | 193,074 | |
salesforce.com, Inc.* | | | 2,589 | | | | 179,754 | |
Adobe Systems, Inc.* | | | 2,076 | | | | 170,689 | |
Cognizant Technology Solutions Corp. — Class A* | | | 2,544 | | | | 159,280 | |
Avago Technologies Ltd. | | | 1,084 | | | | 135,511 | |
Broadcom Corp. — Class A | | | 2,333 | | | | 119,986 | |
Intuit, Inc. | | | 1,157 | | | | 102,684 | |
Electronic Arts, Inc.* | | | 1,301 | | | | 88,143 | |
Fiserv, Inc.* | | | 979 | | | | 84,791 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Fidelity National Information Services, Inc. | | | 1,175 | | | $ | 78,819 | |
Cerner Corp.* | | | 1,282 | | | | 76,869 | |
Western Digital Corp. | | | 962 | | | | 76,421 | |
Analog Devices, Inc. | | | 1,308 | | | | 73,784 | |
Applied Materials, Inc. | | | 5,011 | | | | 73,611 | |
Micron Technology, Inc.* | | | 4,493 | | | | 67,305 | |
Skyworks Solutions, Inc. | | | 796 | | | | 67,031 | |
Activision Blizzard, Inc. | | | 2,099 | | | | 64,838 | |
Paychex, Inc. | | | 1,341 | | | | 63,872 | |
Altera Corp. | | | 1,262 | | | | 63,201 | |
Seagate Technology plc | | | 1,261 | | | | 56,493 | |
Red Hat, Inc.* | | | 766 | | | | 55,060 | |
NVIDIA Corp. | | | 2,137 | | | | 52,677 | |
Akamai Technologies, Inc.* | | | 745 | | | | 51,450 | |
Citrix Systems, Inc.* | | | 671 | | | | 46,487 | |
SanDisk Corp. | | | 853 | | | | 46,343 | |
Xilinx, Inc. | | | 1,079 | | | | 45,750 | |
Lam Research Corp. | | | 660 | | | | 43,118 | |
Autodesk, Inc.* | | | 944 | | | | 41,668 | |
Xerox Corp. | | | 4,193 | | | | 40,798 | |
Linear Technology Corp. | | | 1,001 | | | | 40,390 | |
Microchip Technology, Inc. | | | 880 | | | | 37,919 | |
NetApp, Inc. | | | 1,252 | | | | 37,059 | |
CA, Inc. | | | 1,308 | | | | 35,708 | |
Computer Sciences Corp. | | | 577 | | | | 35,416 | |
KLA-Tencor Corp. | | | 657 | | | | 32,850 | |
Qorvo, Inc.* | | | 624 | | | | 28,111 | |
Teradata Corp.* | | | 591 | | | | 17,115 | |
Pitney Bowes, Inc. | | | 843 | | | | 16,734 | |
Dun & Bradstreet Corp. | | | 150 | | | | 15,750 | |
Total Technology | | | | | | | 9,467,211 | |
| | | | | | | | | |
Communications - 7.7% | |
Facebook, Inc. — Class A* | | | 9,431 | | | | 847,847 | |
AT&T, Inc. | | | 25,671 | | | | 836,360 | |
Amazon.com, Inc.* | | | 1,600 | | | | 819,024 | |
Google, Inc. — Class A* | | | 1,210 | | | | 772,428 | |
Google, Inc. — Class C* | | | 1,234 | | | | 750,790 | |
Verizon Communications, Inc. | | | 16,968 | | | | 738,278 | |
Walt Disney Co. | | | 6,480 | | | | 662,256 | |
Cisco Systems, Inc. | | | 21,226 | | | | 557,183 | |
Comcast Corp. — Class A | | | 8,826 | | | | 502,023 | |
Priceline Group, Inc.* | | | 212 | | | | 262,215 | |
Time Warner, Inc. | | | 3,404 | | | | 234,025 | |
Time Warner Cable, Inc. | | | 1,181 | | | | 211,836 | |
Netflix, Inc.* | | | 1,778 | | | | 183,596 | |
Twenty-First Century Fox, Inc. — Class A | | | 5,096 | | | | 137,490 | |
eBay, Inc.* | | | 4,678 | | | | 114,330 | |
Yahoo!, Inc.* | | | 3,615 | | | | 104,510 | |
Comcast Corp. — Class A | | | 1,535 | | | | 87,863 | |
CBS Corp. — Class B | | | 1,855 | | | | 74,014 | |
Nielsen Holdings plc | | | 1,531 | | | | 68,084 | |
Omnicom Group, Inc. | | | 1,014 | | | | 66,822 | |
Viacom, Inc. — Class B | | | 1,450 | | | | 62,568 | |
CenturyLink, Inc. | | | 2,349 | | | | 59,007 | |
Symantec Corp. | | | 2,855 | | | | 55,587 | |
Level 3 Communications, Inc.* | | | 1,203 | | | | 52,559 | |
Expedia, Inc. | | | 418 | | | | 49,190 | |
Twenty-First Century Fox, Inc. — Class B | | | 1,799 | | | | 48,699 | |
Motorola Solutions, Inc. | | | 671 | | | | 45,883 | |
Juniper Networks, Inc. | | | 1,476 | | | | 37,948 | |
F5 Networks, Inc.* | | | 296 | | | | 34,277 | |
Interpublic Group of Companies, Inc. | | | 1,713 | | | | 32,770 | |
Cablevision Systems Corp. — Class A | | | 928 | | | | 30,132 | |
TripAdvisor, Inc.* | | | 471 | | | | 29,682 | |
VeriSign, Inc.* | | | 416 | | | | 29,353 | |
Discovery Communications, Inc. — Class C* | | | 1,076 | | | | 26,135 | |
Frontier Communications Corp. | | | 4,876 | | | | 23,161 | |
TEGNA, Inc. | | | 945 | | | | 21,159 | |
News Corp. — Class A | | | 1,589 | | | | 20,053 | |
Scripps Networks Interactive, Inc. — Class A | | | 393 | | | | 19,332 | |
Discovery Communications, Inc. — Class A* | | | 623 | | | | 16,217 | |
News Corp. — Class B | | | 450 | | | | 5,769 | |
Total Communications | | | | | | | 8,730,455 | |
| | | | | | | | | |
Consumer, Cyclical - 6.7% | |
Home Depot, Inc. | | | 5,359 | | | | 618,911 | |
CVS Health Corp. | | | 4,651 | | | | 448,728 | |
Wal-Mart Stores, Inc. | | | 6,586 | | | | 427,037 | |
McDonald’s Corp. | | | 3,931 | | | | 387,321 | |
Starbucks Corp. | | | 6,194 | | | | 352,067 | |
NIKE, Inc. — Class B | | | 2,829 | | | | 347,882 | |
Walgreens Boots Alliance, Inc. | | | 3,647 | | | | 303,066 | |
Lowe’s Companies, Inc. | | | 3,862 | | | | 266,169 | |
Costco Wholesale Corp. | | | 1,834 | | | | 265,141 | |
Ford Motor Co. | | | 16,264 | | | | 220,703 | |
Target Corp. | | | 2,623 | | | | 206,325 | |
TJX Companies, Inc. | | | 2,815 | | | | 201,047 | |
General Motors Co. | | | 6,016 | | | | 180,600 | |
Delta Air Lines, Inc. | | | 3,320 | | | | 148,969 | |
Yum! Brands, Inc. | | | 1,800 | | | | 143,910 | |
Johnson Controls, Inc. | | | 2,730 | | | | 112,913 | |
American Airlines Group, Inc. | | | 2,804 | | | | 108,879 | |
Southwest Airlines Co. | | | 2,752 | | | | 104,686 | |
O’Reilly Automotive, Inc.* | | | 414 | | | | 103,500 | |
VF Corp. | | | 1,421 | | | | 96,926 | |
L Brands, Inc. | | | 1,072 | | | | 96,620 | |
Carnival Corp. | | | 1,932 | | | | 96,021 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 130 | | | | 93,633 | |
AutoZone, Inc.* | | | 128 | | | | 92,650 | |
Delphi Automotive plc | | | 1,187 | | | | 90,259 | |
Dollar General Corp. | | | 1,230 | | | | 89,101 | |
Ross Stores, Inc. | | | 1,727 | | | | 83,708 | |
United Continental Holdings, Inc.* | | | 1,577 | | | | 83,660 | |
PACCAR, Inc. | | | 1,481 | | | | 77,264 | |
Under Armour, Inc. — Class A* | | | 751 | | | | 72,682 | |
Macy’s, Inc. | | | 1,381 | | | | 70,873 | |
Dollar Tree, Inc.* | | | 980 | | | | 65,327 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Royal Caribbean Cruises Ltd. | | | 716 | | | $ | 63,788 | |
Advance Auto Parts, Inc. | | | 306 | | | | 57,996 | |
Marriott International, Inc. — Class A | | | 832 | | | | 56,742 | |
WW Grainger, Inc. | | | 253 | | | | 54,398 | |
Genuine Parts Co. | | | 633 | | | | 52,469 | |
CarMax, Inc.* | | | 868 | | | | 51,490 | |
Hanesbrands, Inc. | | | 1,680 | | | | 48,619 | |
Mohawk Industries, Inc.* | | | 265 | | | | 48,174 | |
Whirlpool Corp. | | | 327 | | | | 48,154 | |
Tractor Supply Co. | | | 567 | | | | 47,809 | |
Best Buy Company, Inc. | | | 1,281 | | | | 47,551 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 711 | | | | 47,267 | |
Harley-Davidson, Inc. | | | 859 | | | | 47,159 | |
Signet Jewelers Ltd. | | | 332 | | | | 45,195 | |
Newell Rubbermaid, Inc. | | | 1,117 | | | | 44,356 | |
Fastenal Co. | | | 1,211 | | | | 44,335 | |
Nordstrom, Inc. | | | 581 | | | | 41,664 | |
Bed Bath & Beyond, Inc.* | | | 708 | | | | 40,370 | |
DR Horton, Inc. | | | 1,362 | | | | 39,989 | |
BorgWarner, Inc. | | | 944 | | | | 39,261 | |
Kohl’s Corp. | | | 826 | | | | 38,252 | |
Tiffany & Co. | | | 468 | | | | 36,139 | |
Wyndham Worldwide Corp. | | | 493 | | | | 35,447 | |
PVH Corp. | | | 344 | | | | 35,067 | |
Lennar Corp. — Class A | | | 726 | | | | 34,942 | |
Michael Kors Holdings Ltd.* | | | 807 | | | | 34,088 | |
Hasbro, Inc. | | | 469 | | | | 33,833 | |
Coach, Inc. | | | 1,154 | | | | 33,385 | |
Goodyear Tire & Rubber Co. | | | 1,124 | | | | 32,967 | |
Darden Restaurants, Inc. | | | 476 | | | | 32,625 | |
Staples, Inc. | | | 2,686 | | | | 31,507 | |
Mattel, Inc. | | | 1,413 | | | | 29,758 | |
Ralph Lauren Corp. — Class A | | | 249 | | | | 29,422 | |
Harman International Industries, Inc. | | | 296 | | | | 28,413 | |
The Gap, Inc. | | | 993 | | | | 28,301 | |
PulteGroup, Inc. | | | 1,340 | | | | 25,286 | |
Leggett & Platt, Inc. | | | 571 | | | | 23,554 | |
AutoNation, Inc.* | | | 327 | | | | 19,025 | |
GameStop Corp. — Class A | | | 445 | | | | 18,338 | |
Wynn Resorts Ltd. | | | 339 | | | | 18,008 | |
Urban Outfitters, Inc.* | | | 396 | | | | 11,634 | |
Fossil Group, Inc.* | | | 172 | | | | 9,611 | |
Total Consumer, Cyclical | | | | | | | 7,642,966 | |
| | | | | | | | | |
Industrial - 6.1% | |
General Electric Co. | | | 42,137 | | | | 1,062,696 | |
3M Co. | | | 2,607 | | | | 369,594 | |
Boeing Co. | | | 2,666 | | | | 349,112 | |
Union Pacific Corp. | | | 3,621 | | | | 320,133 | |
Honeywell International, Inc. | | | 3,263 | | | | 308,973 | |
United Technologies Corp. | | | 3,456 | | | | 307,549 | |
United Parcel Service, Inc. — Class B | | | 2,915 | | | | 287,682 | |
Lockheed Martin Corp. | | | 1,115 | | | | 231,151 | |
Thermo Fisher Scientific, Inc. | | | 1,663 | | | | 203,352 | |
General Dynamics Corp. | | | 1,266 | | | | 174,645 | |
Caterpillar, Inc. | | | 2,515 | | | | 164,380 | |
FedEx Corp. | | | 1,096 | | | | 157,802 | |
Raytheon Co. | | | 1,267 | | | | 138,432 | |
Precision Castparts Corp. | | | 574 | | | | 131,854 | |
Northrop Grumman Corp. | | | 782 | | | | 129,773 | |
Emerson Electric Co. | | | 2,743 | | | | 121,158 | |
Illinois Tool Works, Inc. | | | 1,374 | | | | 113,094 | |
CSX Corp. | | | 4,106 | | | | 110,451 | |
TE Connectivity Ltd. | | | 1,679 | | | | 100,555 | |
Eaton Corporation plc | | | 1,951 | | | | 100,086 | |
Deere & Co. | | | 1,301 | | | | 96,274 | |
Norfolk Southern Corp. | | | 1,257 | | | | 96,035 | |
Corning, Inc. | | | 5,116 | | | | 87,586 | |
Waste Management, Inc. | | | 1,755 | | | | 87,417 | |
Cummins, Inc. | | | 693 | | | | 75,246 | |
Roper Technologies, Inc. | | | 420 | | | | 65,814 | |
Amphenol Corp. — Class A | | | 1,290 | | | | 65,738 | |
Stanley Black & Decker, Inc. | | | 640 | | | | 62,068 | |
Tyco International plc | | | 1,759 | | | | 58,856 | |
Rockwell Automation, Inc. | | | 560 | | | | 56,823 | |
WestRock Co. | | | 1,093 | | | | 56,224 | |
Ingersoll-Rand plc | | | 1,107 | | | | 56,202 | |
Parker-Hannifin Corp. | | | 577 | | | | 56,142 | |
AMETEK, Inc. | | | 1,011 | | | | 52,896 | |
Vulcan Materials Co. | | | 555 | | | | 49,506 | |
Stericycle, Inc.* | | | 354 | | | | 49,316 | |
Agilent Technologies, Inc. | | | 1,383 | | | | 47,479 | |
Rockwell Collins, Inc. | | | 550 | | | | 45,012 | |
Textron, Inc. | | | 1,153 | | | | 43,399 | |
Martin Marietta Materials, Inc. | | | 280 | | | | 42,546 | |
Kansas City Southern | | | 460 | | | | 41,805 | |
Republic Services, Inc. — Class A | | | 1,005 | | | | 41,406 | |
Waters Corp.* | | | 343 | | | | 40,546 | |
Sealed Air Corp. | | | 858 | | | | 40,223 | |
CH Robinson Worldwide, Inc. | | | 592 | | | | 40,126 | |
Pentair plc | | | 751 | | | | 38,331 | |
Harris Corp. | | | 518 | | | | 37,892 | |
Dover Corp. | | | 652 | | | | 37,281 | |
Expeditors International of Washington, Inc. | | | 789 | | | | 37,122 | |
Snap-on, Inc. | | | 242 | | | | 36,527 | |
Masco Corp. | | | 1,435 | | | | 36,133 | |
Ball Corp. | | | 576 | | | | 35,827 | |
L-3 Communications Holdings, Inc. | | | 335 | | | | 35,014 | |
J.B. Hunt Transport Services, Inc. | | | 383 | | | | 27,346 | |
Fluor Corp. | | | 605 | | | | 25,622 | |
Xylem, Inc. | | | 757 | | | | 24,867 | |
Allegion plc | | | 400 | | | | 23,064 | |
Flowserve Corp. | | | 556 | | | | 22,874 | |
PerkinElmer, Inc. | | | 473 | | | | 21,739 | |
Jacobs Engineering Group, Inc.* | | | 517 | | | | 19,351 | |
Garmin Ltd. | | | 494 | | | | 17,725 | |
Ryder System, Inc. | | | 222 | | | | 16,437 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
FLIR Systems, Inc. | | | 585 | | | $ | 16,374 | |
Owens-Illinois, Inc.* | | | 671 | | | | 13,903 | |
Joy Global, Inc. | | | 406 | | | | 6,062 | |
Total Industrial | | | | | | | 6,866,648 | |
| | | | | | | | | |
Energy - 4.3% | |
Exxon Mobil Corp. | | | 17,401 | | | | 1,293,764 | |
Chevron Corp. | | | 7,854 | | | | 619,524 | |
Schlumberger Ltd. | | | 5,281 | | | | 364,231 | |
ConocoPhillips | | | 5,148 | | | | 246,898 | |
Occidental Petroleum Corp. | | | 3,188 | | | | 210,886 | |
Kinder Morgan, Inc. | | | 7,502 | | | | 207,654 | |
EOG Resources, Inc. | | | 2,292 | | | | 166,858 | |
Phillips 66 | | | 1,998 | | | | 153,527 | |
Anadarko Petroleum Corp. | | | 2,120 | | | | 128,027 | |
Halliburton Co. | | | 3,567 | | | | 126,093 | |
Valero Energy Corp. | | | 2,074 | | | | 124,647 | |
Williams Companies, Inc. | | | 2,847 | | | | 104,912 | |
Marathon Petroleum Corp. | | | 2,237 | | | | 103,640 | |
Baker Hughes, Inc. | | | 1,819 | | | | 94,661 | |
Pioneer Natural Resources Co. | | | 623 | | | | 75,782 | |
Spectra Energy Corp. | | | 2,802 | | | | 73,609 | |
Apache Corp. | | | 1,578 | | | | 61,794 | |
National Oilwell Varco, Inc. | | | 1,602 | | | | 60,315 | |
Devon Energy Corp. | | | 1,612 | | | | 59,789 | |
Noble Energy, Inc. | | | 1,773 | | | | 53,509 | |
Hess Corp. | | | 1,006 | | | | 50,360 | |
Tesoro Corp. | | | 514 | | | | 49,981 | |
Cameron International Corp.* | | | 799 | | | | 48,995 | |
Marathon Oil Corp. | | | 2,826 | | | | 43,520 | |
Equities Corp. | | | 636 | | | | 41,194 | |
Cimarex Energy Co. | | | 393 | | | | 40,275 | |
Cabot Oil & Gas Corp. — Class A | | | 1,727 | | | | 37,752 | |
FMC Technologies, Inc.* | | | 958 | | | | 29,698 | |
ONEOK, Inc. | | | 873 | | | | 28,111 | |
Columbia Pipeline Group, Inc. | | | 1,326 | | | | 24,253 | |
Range Resources Corp. | | | 707 | | | | 22,709 | |
Newfield Exploration Co.* | | | 680 | | | | 22,372 | |
Helmerich & Payne, Inc. | | | 450 | | | | 21,266 | |
Southwestern Energy Co.* | | | 1,604 | | | | 20,355 | |
Transocean Ltd. | | | 1,426 | | | | 18,424 | |
Murphy Oil Corp. | | | 678 | | | | 16,408 | |
Chesapeake Energy Corp. | | | 2,158 | | | | 15,818 | |
Ensco plc — Class A | | | 984 | | | | 13,855 | |
First Solar, Inc.* | | | 316 | | | | 13,509 | |
CONSOL Energy, Inc. | | | 956 | | | | 9,369 | |
Diamond Offshore Drilling, Inc. | | | 269 | | | | 4,654 | |
Total Energy | | | | | | | 4,902,998 | |
| | | | | | | | | |
Utilities - 2.0% | |
Duke Energy Corp. | | | 2,872 | | | | 206,612 | |
NextEra Energy, Inc. | | | 1,921 | | | | 187,394 | |
Dominion Resources, Inc. | | | 2,480 | | | | 174,542 | |
Southern Co. | | | 3,791 | | | | 169,458 | |
American Electric Power Company, Inc. | | | 2,047 | | | | 116,392 | |
PG&E Corp. | | | 2,042 | | | | 107,818 | |
Exelon Corp. | | | 3,596 | | | | 106,801 | |
Sempra Energy | | | 983 | | | | 95,075 | |
PPL Corp. | | | 2,796 | | | | 91,960 | |
Public Service Enterprise Group, Inc. | | | 2,111 | | | | 89,000 | |
Edison International | | | 1,360 | | | | 85,775 | |
Consolidated Edison, Inc. | | | 1,222 | | | | 81,691 | |
Xcel Energy, Inc. | | | 2,117 | | | | 74,963 | |
WEC Energy Group, Inc. | | | 1,318 | | | | 68,826 | |
Eversource Energy | | | 1,323 | | | | 66,970 | |
DTE Energy Co. | | | 749 | | | | 60,197 | |
FirstEnergy Corp. | | | 1,763 | | | | 55,200 | |
Entergy Corp. | | | 749 | | | | 48,760 | |
Ameren Corp. | | | 1,012 | | | | 42,777 | |
CMS Energy Corp. | | | 1,154 | | | | 40,759 | |
SCANA Corp. | | | 596 | | | | 33,531 | |
CenterPoint Energy, Inc. | | | 1,795 | | | | 32,382 | |
AGL Resources, Inc. | | | 501 | | | | 30,581 | |
Pinnacle West Capital Corp. | | | 462 | | | | 29,633 | |
AES Corp. | | | 2,849 | | | | 27,892 | |
TECO Energy, Inc. | | | 982 | | | | 25,787 | |
Pepco Holdings, Inc. | | | 1,058 | | | | 25,625 | |
NiSource, Inc. | | | 1,327 | | | | 24,616 | |
NRG Energy, Inc. | | | 1,380 | | | | 20,493 | |
Total Utilities | | | | | | | 2,221,510 | |
| | | | | | | | | |
Basic Materials - 1.5% | |
Dow Chemical Co. | | | 4,833 | | | | 204,919 | |
EI du Pont de Nemours & Co. | | | 3,776 | | | | 182,003 | |
Monsanto Co. | | | 1,953 | | | | 166,668 | |
LyondellBasell Industries N.V. — Class A | | | 1,555 | | | | 129,625 | |
Praxair, Inc. | | | 1,196 | | | | 121,825 | |
Ecolab, Inc. | | | 1,108 | | | | 121,570 | |
Air Products & Chemicals, Inc. | | | 807 | | | | 102,957 | |
PPG Industries, Inc. | | | 1,130 | | | | 99,090 | |
Sherwin-Williams Co. | | | 331 | | | | 73,740 | |
Sigma-Aldrich Corp. | | | 498 | | | | 69,182 | |
International Paper Co. | | | 1,743 | | | | 65,868 | |
Alcoa, Inc. | | | 5,467 | | | | 52,811 | |
Nucor Corp. | | | 1,334 | | | | 50,092 | |
Mosaic Co. | | | 1,407 | | | | 43,772 | |
CF Industries Holdings, Inc. | | | 973 | | | | 43,688 | |
Freeport-McMoRan, Inc. | | | 4,304 | | | | 41,706 | |
Eastman Chemical Co. | | | 620 | | | | 40,126 | |
Newmont Mining Corp. | | | 2,208 | | | | 35,483 | |
International Flavors & Fragrances, Inc. | | | 336 | | | | 34,695 | |
Airgas, Inc. | | | 280 | | | | 25,012 | |
FMC Corp. | | | 558 | | | | 18,922 | |
Total Basic Materials | | | | | | | 1,723,754 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2015 |
S&P 500® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Diversified - 0.0% | |
Leucadia National Corp. | | | 1,408 | | | $ | 28,526 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $45,220,997) | | | | | | | 70,592,546 | |
| | | Face
Amount | | | | |
| | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 4.4% | |
Farmer Mac1 | | | | | | |
0.17% due 01/04/16 | | $ | 5,000,000 | | | | 4,998,285 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $4,997,757) | | | | | | | 4,998,285 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 4.4% | |
Federal Farm Credit Bank1 | | | | | | | | |
0.18% due 08/01/172 | | | 5,000,000 | | | | 4,996,955 | |
Total Federal Agency Notes | | | | | | | | |
(Cost $5,000,000) | | | | | | | 4,996,955 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 22.7% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 22,950,133 | | | | 22,950,133 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 2,578,667 | | | | 2,578,667 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 143,921 | | | | 143,921 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $25,672,721) | | | | | | | 25,672,721 | |
| | | | | | | | | |
Total Investments - 93.8% | | | | | | | | |
(Cost $80,891,475) | | | | | | $ | 106,260,507 | |
Other Assets & Liabilities, net - 6.2% | | | | | | | 6,965,111 | |
Total Net Assets - 100.0% | | | | | | $ | 113,225,618 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS PURCHASED† | |
December 2015 S&P 500 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $65,548,388) | | | 687 | | | $ | (227,298 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS†† | |
Goldman Sachs International
October 2015 S&P 500 Index Swap,
Terminating 10/26/154
(Notional Value $52,494,734) | | | 27,341 | | | $ | 1,052,736 | |
Barclays Bank plc
October 2015 S&P 500 Index Swap,
Terminating 10/30/154
(Notional Value $37,759,601) | | | 19,666 | | | | 757,128 | |
Credit Suisse Capital, LLC
October 2015 S&P 500 Index Swap,
Terminating 10/27/154
(Notional Value $769,781) | | | 401 | | | | (4,254 | ) |
(Total Notional Value $91,024,116) | | | | | | $ | 1,805,610 | |
* | 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 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at September 30, 2015. |
3 | Repurchase Agreements — See Note 5. |
4 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
S&P 500® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $55,218,754) | | $ | 80,587,786 | |
Repurchase agreements, at value (cost $25,672,721) | | | 25,672,721 | |
Total investments (cost $80,891,475) | | | 106,260,507 | |
Segregated cash with broker | | | 17,093,930 | |
Unrealized appreciation on swap agreements | | | 1,809,864 | |
Cash | | | 1,264 | |
Receivables: | |
Fund shares sold | | | 7,158,066 | |
Variation margin | | | 1,107,804 | |
Swap settlement | | | 427,025 | |
Dividends | | | 87,381 | |
Interest | | | 807 | |
Foreign taxes reclaim | | | 62 | |
Securities lending income | | | 17 | |
Total assets | | | 133,946,727 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 4,254 | |
Payable for: | |
Fund shares redeemed | | | 17,428,390 | |
Securities purchased | | | 3,004,376 | |
Management fees | | | 79,469 | |
Distribution and service fees | | | 28,455 | |
Transfer agent and administrative fees | | | 22,075 | |
Portfolio accounting fees | | | 13,245 | |
Miscellaneous | | | 140,845 | |
Total liabilities | | | 20,721,109 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 113,225,618 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 110,211,755 | |
Accumulated net investment loss | | | (198,538 | ) |
Accumulated net realized loss on investments | | | (23,734,943 | ) |
Net unrealized appreciation on investments | | | 26,947,344 | |
Net assets | | $ | 113,225,618 | |
| | | | | |
A-Class: | |
Net assets | | $ | 11,207,803 | |
Capital shares outstanding | | | 186,255 | |
Net asset value per share | | $ | 60.17 | |
Maximum offering price per share(Net asset value divided by 95.25%) | | $ | 63.17 | |
| | | | | |
C-Class: | |
Net assets | | $ | 11,376,846 | |
Capital shares outstanding | | | 212,858 | |
Net asset value per share | | $ | 53.45 | |
| | | | | |
H-Class: | |
Net assets | | $ | 90,640,969 | |
Capital shares outstanding | | | 1,507,688 | |
Net asset value per share | | $ | 60.12 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Dividends (net of foreign withholding tax of $151) | | $ | 1,164,028 | |
Interest | | | 6,477 | |
Income from securities lending, net | | | 760 | |
Total investment income | | | 1,171,265 | |
| | | | | |
Expenses: | |
Management fees | | | 687,519 | |
Transfer agent and administrative fees | | | 190,978 | |
Distribution and service fees: | |
A-Class | | | 17,816 | |
C-Class | | | 55,883 | |
H-Class | | | 159,193 | |
Portfolio accounting fees | | | 114,588 | |
Registration fees | | | 77,218 | |
Custodian fees | | | 8,785 | |
Trustees’ fees* | | | 4,942 | |
Line of credit fees | | | 512 | |
Miscellaneous | | | 52,369 | |
Total expenses | | | 1,369,803 | |
Net investment loss | | | (198,538 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | 1,812,448 | |
Swap agreements | | | (12,135,043 | ) |
Futures contracts | | | (1,767,796 | ) |
Net realized loss | | | (12,090,391 | ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | (9,304,796 | ) |
Swap agreements | | | 1,112,671 | |
Futures contracts | | | (738,216 | ) |
Net change in unrealized appreciation (depreciation) | | | (8,930,341 | ) |
Net realized and unrealized loss | | | (21,020,732 | ) |
Net decrease in net assets resulting from operations | | $ | (21,219,270 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (198,538 | ) | | $ | (557,265 | ) |
Net realized gain (loss) on investments | | | (12,090,391 | ) | | | 24,930,428 | |
Net change in unrealized appreciation (depreciation) on investments | | | (8,930,341 | ) | | | 8,219,688 | |
Net increase (decrease) in net assets resulting from operations | | | (21,219,270 | ) | | | 32,592,851 | |
| | | | | | | | | |
Distributions to shareholders from: | | | | | | | | |
Net realized gains | | | | | | | | |
A-Class | | | — | | | | (299,458 | ) |
C-Class | | | — | | | | (276,578 | ) |
H-Class | | | — | | | | (3,590,120 | ) |
Total distributions to shareholders | | | — | | | | (4,166,156 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 21,069,244 | | | | 60,043,935 | |
C-Class | | | 38,308,574 | | | | 58,313,217 | |
H-Class | | | 906,416,706 | | | | 2,268,089,063 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 260,474 | |
C-Class | | | — | | | | 247,728 | |
H-Class | | | — | | | | 3,043,371 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (21,544,447 | ) | | | (58,127,516 | ) |
C-Class | | | (37,699,539 | ) | | | (60,614,062 | ) |
H-Class | | | (948,434,069 | ) | | | (2,260,650,570 | ) |
Net increase (decrease) from capital share transactions | | | (41,883,531 | ) | | | 10,605,640 | |
Net increase (decrease) in net assets | | | (63,102,801 | ) | | | 39,032,335 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 176,328,419 | | | | 137,296,084 | |
End of period | | $ | 113,225,618 | | | $ | 176,328,419 | |
Accumulated net investment loss at end of period | | $ | (198,538 | ) | | $ | — | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 296,625 | | | | 900,715 | |
C-Class | | | 636,435 | | | | 1,006,803 | |
H-Class | | | 12,974,966 | | | | 34,898,257 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 3,739 | |
C-Class | | | — | | | | 3,980 | |
H-Class | | | — | | | | 43,720 | |
Shares redeemed | | | | | | | | |
A-Class | | | (307,324 | ) | | | (874,631 | ) |
C-Class | | | (614,866 | ) | | | (1,043,678 | ) |
H-Class | | | (13,614,164 | ) | | | (34,772,046 | ) |
Net increase (decrease) in shares | | | (628,328 | ) | | | 166,859 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 70.18 | | | $ | 58.57 | | | $ | 40.90 | | | $ | 33.77 | | | $ | 26.15 | | | $ | 27.31 | | | $ | 22.03 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.07 | ) | | | (.19 | ) | | | (.20 | ) | | | (.06 | ) | | | (.15 | ) | | | (.18 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (9.94 | ) | | | 13.36 | | | | 17.87 | | | | 7.19 | | | | 7.77 | | | | (.98 | ) | | | 5.39 | |
Total from investment operations | | | (10.01 | ) | | | 13.17 | | | | 17.67 | | | | 7.13 | | | | 7.62 | | | | (1.16 | ) | | | 5.28 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 60.17 | | | $ | 70.18 | | | $ | 58.57 | | | $ | 40.90 | | | $ | 33.77 | | | $ | 26.15 | | | $ | 27.31 | |
| | |
Total Returnf | | | (14.26 | %) | | | 22.51 | % | | | 43.20 | % | | | 21.11 | % | | | 29.14 | % | | | (4.21 | %) | | | 23.92 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 11,208 | | | $ | 13,822 | | | $ | 9,788 | | | $ | 6,537 | | | $ | 5,092 | | | $ | 5,982 | | | $ | 11,445 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.20 | %) | | | (0.29 | %) | | | (0.40 | %) | | | (0.59 | %) | | | (0.49 | %) | | | (0.66 | %) | | | (0.47 | %) |
Total expenses | | | 1.74 | % | | | 1.80 | % | | | 1.73 | % | | | 1.77 | % | | | 1.76 | % | | | 1.89 | % | | | 1.78 | % |
Portfolio turnover rate | | | 125 | % | | | 420 | % | | | 396 | % | | | — | d | | | 548 | % | | | 311 | % | | | 145 | % |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 62.57 | | | $ | 52.75 | | | $ | 37.12 | | | $ | 30.71 | | | $ | 23.94 | | | $ | 25.16 | | | $ | 20.44 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.30 | ) | | | (.62 | ) | | | (.49 | ) | | | (.11 | ) | | | (.36 | ) | | | (.35 | ) | | | (.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (8.82 | ) | | | 12.00 | | | | 16.12 | | | | 6.52 | | | | 7.13 | | | | (.87 | ) | | | 4.97 | |
Total from investment operations | | | (9.12 | ) | | | 11.38 | | | | 15.63 | | | | 6.41 | | | | 6.77 | | | | (1.22 | ) | | | 4.72 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 53.45 | | | $ | 62.57 | | | $ | 52.75 | | | $ | 37.12 | | | $ | 30.71 | | | $ | 23.94 | | | $ | 25.16 | |
| | |
Total Returnf | | | (14.58 | %) | | | 21.59 | % | | | 42.11 | % | | | 20.87 | % | | | 28.28 | % | | | (4.81 | %) | | | 23.04 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 11,377 | | | $ | 11,969 | | | $ | 11,825 | | | $ | 10,667 | | | $ | 8,543 | | | $ | 10,876 | | | $ | 16,801 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.96 | %) | | | (1.04 | %) | | | (1.11 | %) | | | (1.34 | %) | | | (1.25 | %) | | | (1.39 | %) | | | (1.21 | %) |
Total expenses | | | 2.49 | % | | | 2.55 | % | | | 2.50 | % | | | 2.51 | % | | | 2.51 | % | | | 2.64 | % | | | 2.53 | % |
Portfolio turnover rate | | | 125 | % | | | 420 | % | | | 396 | % | | | — | d | | | 548 | % | | | 311 | % | | | 145 | % |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 70.12 | | | $ | 58.52 | | | $ | 40.88 | | | $ | 33.76 | | | $ | 26.16 | | | $ | 27.31 | | | $ | 22.03 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.07 | ) | | | (.18 | ) | | | (.19 | ) | | | (.06 | ) | | | (.18 | ) | | | (.21 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (9.93 | ) | | | 13.34 | | | | 17.83 | | | | 7.18 | | | | 7.78 | | | | (.94 | ) | | | 5.42 | |
Total from investment operations | | | (10.00 | ) | | | 13.16 | | | | 17.64 | | | | 7.12 | | | | 7.60 | | | | (1.15 | ) | | | 5.28 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.56 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 60.12 | | | $ | 70.12 | | | $ | 58.52 | | | $ | 40.88 | | | $ | 33.76 | | | $ | 26.16 | | | $ | 27.31 | |
| | |
Total Returnf | | | (14.26 | %) | | | 22.51 | % | | | 43.12 | % | | | 21.12 | % | | | 29.05 | % | | | (4.21 | %) | | | 23.97 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 90,641 | | | $ | 150,537 | | | $ | 115,683 | | | $ | 76,933 | | | $ | 64,617 | | | $ | 174,336 | | | $ | 138,289 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.20 | %) | | | (0.28 | %) | | | (0.38 | %) | | | (0.61 | %) | | | (0.58 | %) | | | (0.76 | %) | | | (0.61 | %) |
Total expenses | | | 1.74 | % | | | 1.80 | % | | | 1.74 | % | | | 1.76 | % | | | 1.76 | % | | | 1.89 | % | | | 1.78 | % |
Portfolio turnover rate | | | 125 | % | | | 420 | % | | | 396 | % | | | — | d | | | 548 | % | | | 311 | % | | | 145 | % |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Less than 1%. |
e | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
FUND PROFILE (Unaudited) | September 30, 2015 |
INVERSE 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 inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | March 7, 2001 |
H-Class | May 19, 2000 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holding (% of Total Net Assets) |
Federal Farm Credit Bank | 1.3% |
“Largest Holding” excludes any temporary cash or derivative investments. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
INVERSE S&P 500® 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 26.1% | |
Federal Home Loan Bank1 | | | | | | |
0.16% due 11/06/15 | | $ | 8,500,000 | | | $ | 8,499,448 | |
Fannie Mae2 | | | | | | | | |
0.50% due 08/15/16 | | | 7,000,000 | | | | 6,982,381 | |
Farmer Mac1 | | | | | | | | |
0.16% due 01/25/16 | | | 5,000,000 | | | | 4,997,905 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $20,464,696) | | | | | | | 20,479,734 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 1.3% | |
Federal Farm Credit Bank1 | | | | | | | | |
0.18% due 08/01/173 | | | 1,000,000 | | | | 999,391 | |
Total Federal Agency Notes | | | | | | | | |
(Cost $1,000,000) | | | | | | | 999,391 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 38.3% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 26,904,808 | | | | 26,904,808 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 3,023,012 | | | | 3,023,012 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 168,721 | | | | 168,721 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $30,096,541) | | | | | | | 30,096,541 | |
| | | | | | | | | |
Total Investments - 65.7% | | | | | | | | |
(Cost $51,561,237) | | | | | | $ | 51,575,666 | |
Other Assets & Liabilities, net - 34.3% | | | | | | | 26,977,874 | |
Total Net Assets - 100.0% | | | | | | $ | 78,553,540 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS SOLD SHORT† | |
December 2015 S&P 500 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $667,888) | | | 7 | | | $ | 3,434 | |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | |
Credit Suisse Capital, LLC
October 2015 S&P 500 Index Swap,
Terminating 10/27/155
(Notional Value $1,081,375) | | | 563 | | | $ | 5,930 | |
Barclays Bank plc
October 2015 S&P 500 Index Swap,
Terminating 10/30/155
(Notional Value $54,169,765) | | | 28,213 | | | | (1,046,454 | ) |
Goldman Sachs International
October 2015 S&P 500 Index Swap,
Terminating 10/26/155
(Notional Value $101,273,097) | | | 52,746 | | | | (1,746,457 | ) |
(Total Notional Value $156,524,237) | | | | | | $ | (2,786,981 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | Variable rate security. Rate indicated is rate effective at September 30, 2015. |
4 | Repurchase Agreements — See Note 5. |
5 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
INVERSE S&P 500® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $21,464,696) | | $ | 21,479,125 | |
Repurchase agreements, at value (cost $30,096,541) | | | 30,096,541 | |
Total investments (cost $51,561,237) | | | 51,575,666 | |
Segregated cash with broker | | | 18,250,020 | |
Unrealized appreciation on swap agreements | | | 5,930 | |
Receivables: | |
Fund shares sold | | | 11,982,090 | |
Interest | | | 188 | |
Total assets | | | 81,813,894 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 2,792,911 | |
Payable for: | |
Fund shares redeemed | | | 355,089 | |
Management fees | | | 43,046 | |
Distribution and service fees | | | 13,386 | |
Transfer agent and administrative fees | | | 11,957 | |
Portfolio accounting fees | | | 7,175 | |
Swap settlement | | | 5,751 | |
Variation margin | | | 4,181 | |
Miscellaneous | | | 26,858 | |
Total liabilities | | | 3,260,354 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 78,553,540 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 391,484,064 | |
Accumulated net investment loss | | | (500,757 | ) |
Accumulated net realized gain on investments | | | (309,660,649 | ) |
Net unrealized depreciation on investments | | | (2,769,118 | ) |
Net assets | | $ | 78,553,540 | |
| | | | | |
A-Class: | |
Net assets | | $ | 2,583,962 | |
Capital shares outstanding | | | 99,595 | |
Net asset value per share | | $ | 25.94 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 27.23 | |
| | | | | |
C-Class: | |
Net assets | | $ | 2,819,174 | |
Capital shares outstanding | | | 121,375 | |
Net asset value per share | | $ | 23.23 | |
| | | | | |
H-Class: | |
Net assets | | $ | 73,150,404 | |
Capital shares outstanding | | | 2,811,006 | |
Net asset value per share | | $ | 26.02 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Interest | | $ | 11,633 | |
Total investment income | | | 11,633 | |
| | | | | |
Expenses: | |
Management fees | | | 180,614 | |
Transfer agent and administrative fees | | | 50,171 | |
Distribution and service fees: | |
A-Class | | | 3,178 | |
C-Class | | | 9,988 | |
H-Class | | | 44,497 | |
Portfolio accounting fees | | | 30,103 | |
Registration fees | | | 18,768 | |
Custodian fees | | | 2,311 | |
Trustees’ fees* | | | 1,136 | |
Miscellaneous | | | 15,191 | |
Total expenses | | | 355,957 | |
Net investment loss | | | (344,324 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | 357 | |
Swap agreements | | | 7,819,678 | |
Futures contracts | | | (187,368 | ) |
Net realized gain | | | 7,632,667 | |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 14,104 | |
Swap agreements | | | (2,515,763 | ) |
Futures contracts | | | (95,806 | ) |
Net change in unrealized appreciation (depreciation) | | | (2,597,465 | ) |
Net realized and unrealized gain | | | 5,035,202 | |
Net increase in net assets resulting from operations | | $ | 4,690,878 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (344,324 | ) | | $ | (777,846 | ) |
Net realized gain (loss) on investments | | | 7,632,667 | | | | (14,041,546 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (2,597,465 | ) | | | 379,288 | |
Net increase (decrease) in net assets resulting from operations | | | 4,690,878 | | | | (14,440,104 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 18,816,569 | | | | 53,770,672 | |
C-Class | | | 42,735,282 | | | | 72,321,445 | |
H-Class | | | 410,170,364 | | | | 809,410,118 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (18,556,394 | ) | | | (52,660,420 | ) |
C-Class | | | (42,580,626 | ) | | | (71,414,452 | ) |
H-Class | | | (368,429,410 | ) | | | (802,205,531 | ) |
Net increase from capital share transactions | | | 42,155,785 | | | | 9,221,832 | |
Net increase (decrease) in net assets | | | 46,846,663 | | | | (5,218,272 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 31,706,877 | | | | 36,925,149 | |
End of period | | $ | 78,553,540 | | | $ | 31,706,877 | |
Accumulated net investment loss at end of period | | $ | (500,757 | ) | | $ | (156,433 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 815,872 | | | | 2,032,697 | |
C-Class | | | 2,037,159 | | | | 2,950,914 | |
H-Class | | | 17,156,905 | | | | 29,482,406 | |
Shares redeemed | | | | | | | | |
A-Class | | | (804,034 | ) | | | (2,010,395 | ) |
C-Class | | | (2,027,373 | ) | | | (2,915,983 | ) |
H-Class | | | (15,482,730 | ) | | | (29,361,493 | ) |
Net increase in shares | | | 1,695,799 | | | | 178,146 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
INVERSE 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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 23.87 | | | $ | 31.99 | | | $ | 50.07 | | | $ | 62.00 | | | $ | 89.18 | | | $ | 111.65 | | | $ | 166.39 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.20 | ) | | | (.47 | ) | | | (.69 | ) | | | (.21 | ) | | | (1.12 | ) | | | (1.89 | ) | | | (2.38 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.27 | | | | (7.65 | ) | | | (17.39 | ) | | | (11.72 | ) | | | (26.06 | ) | | | (20.58 | ) | | | (52.36 | ) |
Total from investment operations | | | 2.07 | | | | (8.12 | ) | | | (18.08 | ) | | | (11.93 | ) | | | (27.18 | ) | | | (22.47 | ) | | | (54.74 | ) |
Net asset value, end of period | | $ | 25.94 | | | $ | 23.87 | | | $ | 31.99 | | | $ | 50.07 | | | $ | 62.00 | | | $ | 89.18 | | | $ | 111.65 | |
| | |
Total Returne | | | 8.67 | % | | | (25.38 | %) | | | (36.08 | %) | | | (19.30 | %) | | | (30.46 | %) | | | (20.13 | %) | | | (32.90 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 2,584 | | | $ | 2,095 | | | $ | 2,094 | | | $ | 4,921 | | | $ | 5,295 | | | $ | 6,138 | | | $ | 6,902 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.68 | %) | | | (1.73 | %) | | | (1.70 | %) | | | (1.66 | %) | | | (1.62 | %) | | | (1.84 | %) | | | (1.60 | %) |
Total expenses | | | 1.73 | % | | | 1.77 | % | | | 1.74 | % | | | 1.75 | % | | | 1.75 | % | | | 1.93 | % | | | 1.79 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f, | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 21.45 | | | $ | 28.97 | | | $ | 45.66 | | | $ | 56.60 | | | $ | 81.96 | | | $ | 103.28 | | | $ | 154.89 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.26 | ) | | | (.63 | ) | | | (.91 | ) | | | (.28 | ) | | | (1.54 | ) | | | (2.38 | ) | | | (3.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.04 | | | | (6.89 | ) | | | (15.78 | ) | | | (10.66 | ) | | | (23.82 | ) | | | (18.94 | ) | | | (48.53 | ) |
Total from investment operations | | | 1.78 | | | | (7.52 | ) | | | (16.69 | ) | | | (10.94 | ) | | | (25.36 | ) | | | (21.32 | ) | | | (51.61 | ) |
Net asset value, end of period | | $ | 23.23 | | | $ | 21.45 | | | $ | 28.97 | | | $ | 45.66 | | | $ | 56.60 | | | $ | 81.96 | | | $ | 103.28 | |
| | |
Total Returne | | | 8.30 | % | | | (25.96 | %) | | | (36.52 | %) | | | (19.41 | %) | | | (30.91 | %) | | | (20.61 | %) | | | (33.35 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 2,819 | | | $ | 2,393 | | | $ | 2,221 | | | $ | 3,854 | | | $ | 4,187 | | | $ | 6,860 | | | $ | 8,654 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (2.42 | %) | | | (2.47 | %) | | | (2.45 | %) | | | (2.39 | %) | | | (2.37 | %) | | | (2.58 | %) | | | (2.35 | %) |
Total expenses | | | 2.48 | % | | | 2.51 | % | | | 2.49 | % | | | 2.47 | % | | | 2.50 | % | | | 2.68 | % | | | 2.54 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 23.94 | | | $ | 32.10 | | | $ | 50.26 | | | $ | 62.19 | | | $ | 89.41 | | | $ | 111.81 | | | $ | 166.55 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.20 | ) | | | (.47 | ) | | | (.69 | ) | | | (.21 | ) | | | (1.19 | ) | | | (1.89 | ) | | | (2.38 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.28 | | | | (7.69 | ) | | | (17.47 | ) | | | (11.72 | ) | | | (26.03 | ) | | | (20.51 | ) | | | (52.36 | ) |
Total from investment operations | | | 2.08 | | | | (8.16 | ) | | | (18.16 | ) | | | (11.93 | ) | | | (27.22 | ) | | | (22.40 | ) | | | (54.74 | ) |
Net asset value, end of period | | $ | 26.02 | | | $ | 23.94 | | | $ | 32.10 | | | $ | 50.26 | | | $ | 62.19 | | | $ | 89.41 | | | $ | 111.81 | |
| | |
Total Returne | | | 8.69 | % | | | (25.42 | %) | | | (36.13 | %) | | | (19.14 | %) | | | (30.46 | %) | | | (20.04 | %) | | | (32.87 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 73,150 | | | $ | 27,218 | | | $ | 32,610 | | | $ | 55,573 | | | $ | 52,066 | | | $ | 73,750 | | | $ | 130,109 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.68 | %) | | | (1.73 | %) | | | (1.70 | %) | | | (1.67 | %) | | | (1.64 | %) | | | (1.83 | %) | | | (1.61 | %) |
Total expenses | | | 1.74 | % | | | 1.77 | % | | | 1.74 | % | | | 1.76 | % | | | 1.76 | % | | | 1.93 | % | | | 1.79 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Reverse Share Split — Per share amounts for the periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
FUND PROFILE (Unaudited) | September 30, 2015 |
NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the NASDAQ-100® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | November 20, 2000 |
H-Class | May 24, 2000 |
Ten Largest Holdings (% of Total Net Assets) |
Apple, Inc. | 10.1% |
Microsoft Corp. | 5.7% |
Amazon.com, Inc. | 3.9% |
Google, Inc. — Class C | 3.4% |
Facebook, Inc. — Class A | 3.3% |
Federal Farm Credit Bank | 3.0% |
Google, Inc. — Class A | 3.0% |
Gilead Sciences, Inc. | 2.3% |
Intel Corp. | 2.3% |
Cisco Systems, Inc. | 2.1% |
Top Ten Total | 39.1% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
NASDAQ-100® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
COMMON STOCKS† - 76.9% | |
| | | | | | | |
Technology - 28.9% | |
Apple, Inc. | | | 246,074 | | | $ | 27,141,961 | |
Microsoft Corp. | | | 345,225 | | | | 15,279,659 | |
Intel Corp. | | | 205,202 | | | | 6,184,788 | |
QUALCOMM, Inc. | | | 67,819 | | | | 3,643,915 | |
Texas Instruments, Inc. | | | 44,303 | | | | 2,193,885 | |
Adobe Systems, Inc.* | | | 21,480 | | | | 1,766,086 | |
Cognizant Technology Solutions Corp. — Class A* | | | 26,309 | | | | 1,647,206 | |
Avago Technologies Ltd. | | | 11,211 | | | | 1,401,487 | |
Broadcom Corp. — Class A | | | 24,129 | | | | 1,240,954 | |
Intuit, Inc. | | | 11,899 | | | | 1,056,036 | |
Activision Blizzard, Inc. | | | 31,457 | | | | 971,707 | |
NXP Semiconductor N.V.* | | | 10,866 | | | | 946,103 | |
Electronic Arts, Inc.* | | | 13,456 | | | | 911,644 | �� |
Cerner Corp.* | | | 14,895 | | | | 893,104 | |
Fiserv, Inc.* | | | 10,126 | | | | 877,013 | |
Western Digital Corp. | | | 9,946 | | | | 790,110 | |
Analog Devices, Inc. | | | 13,540 | | | | 763,791 | |
Applied Materials, Inc. | | | 51,807 | | | | 761,045 | |
Paychex, Inc. | | | 15,592 | | | | 742,647 | |
Micron Technology, Inc.* | | | 46,766 | | | | 700,555 | |
Skyworks Solutions, Inc. | | | 8,232 | | | | 693,217 | |
Altera Corp. | | | 13,056 | | | | 653,844 | |
Check Point Software Technologies Ltd.* | | | 7,806 | | | | 619,250 | |
Seagate Technology plc | | | 13,037 | | | | 584,058 | |
NVIDIA Corp. | | | 23,265 | | | | 573,482 | |
Akamai Technologies, Inc.* | | | 7,709 | | | | 532,384 | |
CA, Inc. | | | 19,048 | | | | 520,010 | |
Citrix Systems, Inc.* | | | 6,936 | | | | 480,526 | |
SanDisk Corp. | | | 8,824 | | | | 479,408 | |
Xilinx, Inc. | | | 11,164 | | | | 473,354 | |
Lam Research Corp. | | | 6,827 | | | | 446,008 | |
Autodesk, Inc.* | | | 9,764 | | | | 430,983 | |
Linear Technology Corp. | | | 10,350 | | | | 417,623 | |
NetApp, Inc. | | | 12,952 | | | | 383,379 | |
KLA-Tencor Corp. | | | 6,800 | | | | 340,000 | |
Total Technology | | | | | | | 77,541,222 | |
| | | | | | | | | |
Communications - 25.2% | |
Amazon.com, Inc.* | | | 20,189 | | | | 10,334,547 | |
Google, Inc. — Class C* | | | 14,846 | | | | 9,032,604 | |
Facebook, Inc. — Class A* | | | 97,539 | | | | 8,768,756 | |
Google, Inc. — Class A* | | | 12,513 | | | | 7,987,924 | |
Cisco Systems, Inc. | | | 219,527 | | | | 5,762,584 | |
Comcast Corp. — Class A | | | 91,282 | | | | 5,192,120 | |
Priceline Group, Inc.* | | | 2,188 | | | | 2,706,250 | |
Netflix, Inc.* | | | 18,388 | | | | 1,898,745 | |
Baidu, Inc. ADR* | | | 11,960 | | | | 1,643,424 | |
Twenty-First Century Fox, Inc. — Class A | | | 52,701 | | | | 1,421,873 | |
eBay, Inc.* | | | 52,584 | | | | 1,285,153 | |
Yahoo!, Inc.* | | | 40,635 | | | | 1,174,758 | |
Liberty Global plc* | | | 26,403 | | | | 1,083,051 | |
Twenty-First Century Fox, Inc. — Class B | | | 34,456 | | | | 932,724 | |
JD.com, Inc. ADR* | | | 34,987 | | | | 911,761 | |
Comcast Corp. — Class A | | | 15,888 | | | | 909,429 | |
Sirius XM Holdings, Inc.* | | | 229,774 | | | | 859,355 | |
Charter Communications, Inc. — Class A* | | | 4,834 | | | | 850,059 | |
Viacom, Inc. — Class B | | | 14,998 | | | | 647,164 | |
Symantec Corp. | | | 29,532 | | | | 574,988 | |
DISH Network Corp. — Class A* | | | 9,697 | | | | 565,723 | |
Vodafone Group plc ADR | | | 17,207 | | | | 546,150 | |
Liberty Global plc — Class A* | | | 10,899 | | | | 468,003 | |
TripAdvisor, Inc.* | | | 5,668 | | | | 357,197 | |
Liberty Media Corp. — Class C* | | | 9,647 | | | | 332,435 | |
VimpelCom Ltd. ADR | | | 75,828 | | | | 312,032 | |
Discovery Communications, Inc. — Class C* | | | 11,838 | | | | 287,545 | |
Liberty Ventures* | | | 5,812 | | | | 234,514 | |
Discovery Communications, Inc. — Class A* | | | 6,445 | | | | 167,763 | |
Liberty Media Corp. — Class A* | | | 4,405 | | | | 157,347 | |
Liberty Global plc LiLAC — Class C* | | | 1,329 | | | | 45,505 | |
Liberty Global plc LiLAC — Class A* | | | 545 | | | | 18,361 | |
Total Communications | | | | | | | 67,469,844 | |
| | | | | | | | | |
Consumer, Non-cyclical - 14.6% | |
Gilead Sciences, Inc. | | | 63,348 | | | | 6,220,139 | |
Amgen, Inc. | | | 32,729 | | | | 4,527,075 | |
Kraft Heinz Co. | | | 52,351 | | | | 3,694,934 | |
Celgene Corp.* | | | 34,124 | | | | 3,691,193 | |
Biogen, Inc.* | | | 10,148 | | | | 2,961,288 | |
Mondelez International, Inc. — Class A | | | 69,551 | | | | 2,912,100 | |
Express Scripts Holding Co.* | | | 29,167 | | | | 2,361,360 | |
Regeneron Pharmaceuticals, Inc.* | | | 4,390 | | | | 2,041,965 | |
Automatic Data Processing, Inc. | | | 20,100 | | | | 1,615,236 | |
Alexion Pharmaceuticals, Inc.* | | | 9,761 | | | | 1,526,523 | |
Monster Beverage Corp.* | | | 8,870 | | | | 1,198,692 | |
Vertex Pharmaceuticals, Inc.* | | | 10,560 | | | | 1,099,718 | |
Illumina, Inc.* | | | 6,245 | | | | 1,097,996 | |
Mylan N.V.* | | | 21,219 | | | | 854,277 | |
Intuitive Surgical, Inc.* | | | 1,597 | | | | 733,949 | |
BioMarin Pharmaceutical, Inc.* | | | 6,953 | | | | 732,290 | |
Verisk Analytics, Inc. — Class A* | | | 7,272 | | | | 537,474 | |
Whole Foods Market, Inc. | | | 15,447 | | | | 488,898 | |
Henry Schein, Inc.* | | | 3,599 | | | | 477,659 | |
Keurig Green Mountain, Inc. | | | 6,649 | | | | 346,679 | |
Total Consumer, Non-cyclical | | | | | | | 39,119,445 | |
| | | | | | | | | |
Consumer, Cyclical - 7.4% | |
Walgreens Boots Alliance, Inc. | | | 47,147 | | | | 3,917,915 | |
Starbucks Corp. | | | 64,064 | | | | 3,641,397 | |
Costco Wholesale Corp. | | | 18,969 | | | | 2,742,347 | |
Tesla Motors, Inc.* | | | 5,604 | | | | 1,392,034 | |
American Airlines Group, Inc. | | | 28,998 | | | | 1,125,992 | |
O’Reilly Automotive, Inc.* | | | 4,291 | | | | 1,072,750 | |
Ross Stores, Inc. | | | 17,750 | | | | 860,343 | |
PACCAR, Inc. | | | 15,321 | | | | 799,297 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2015 |
NASDAQ-100® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Marriott International, Inc. — Class A | | | 11,478 | | | $ | 782,800 | |
Dollar Tree, Inc.* | | | 10,130 | | | | 675,266 | |
Tractor Supply Co. | | | 5,862 | | | | 494,284 | |
Liberty Interactive Corporation QVC Group — Class A* | | | 18,634 | | | | 488,770 | |
Fastenal Co. | | | 12,524 | | | | 458,504 | |
Bed Bath & Beyond, Inc.* | | | 7,318 | | | | 417,272 | |
Staples, Inc. | | | 27,779 | | | | 325,848 | |
Mattel, Inc. | | | 14,616 | | | | 307,813 | |
Wynn Resorts Ltd. | | | 4,381 | | | | 232,719 | |
Total Consumer, Cyclical | | | | | | | 19,735,351 | |
| | | | | | | | | |
Industrial - 0.8% | |
SBA Communications Corp. — Class A* | | | 5,512 | | | | 577,327 | |
Stericycle, Inc.* | | | 3,662 | | | | 510,153 | |
CH Robinson Worldwide, Inc. | | | 6,122 | | | | 414,950 | |
Expeditors International of Washington, Inc. | | | 8,162 | | | | 384,022 | |
Garmin Ltd. | | | 8,239 | | | | 295,615 | |
Total Industrial | | | | | | | 2,182,067 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $169,247,927) | | | | | | | 206,047,929 | |
| | | Face
Amount | | | | |
| | | | | | | |
FEDERAL AGENCY NOTES†† - 3.0% | |
Federal Farm Credit Bank1 | | | | | | |
0.18% due 08/01/172 | | $ | 8,000,000 | | | | 7,995,128 | |
Total Federal Agency Notes | | | | | | | | |
(Cost $8,000,000) | | | | | | | 7,995,128 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 2.2% | |
Federal Home Loan Bank1 | | | | | | | | |
0.36% due 06/01/16 | | | 5,000,000 | | | | 4,991,360 | |
0.16% due 11/04/15 | | | 865,000 | | | | 864,873 | |
Total Federal Home Loan Bank | | | | | | | 5,856,233 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $5,852,673) | | | | | | | 5,856,233 | |
REPURCHASE AGREEMENTS††,3 - 5.6% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 13,518,000 | | | | 13,518,000 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 1,518,876 | | | | 1,518,876 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 84,772 | | | | 84,772 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $15,121,648) | | | | | | | 15,121,648 | |
| | | | | | | | | |
Total Investments - 87.7% | | | | | | | | |
(Cost $198,222,248) | | | | | | $ | 235,020,938 | |
Other Assets & Liabilities, net - 12.3% | | | | | | | 33,021,158 | |
Total Net Assets - 100.0% | | | | | | $ | 268,042,096 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS PURCHASED† | |
December 2015 NASDAQ-100 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $62,433,750) | | | 750 | | | $ | (460,974 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS†† | |
Barclays Bank plc
October 2015 NASDAQ-100 Index Swap,
Terminating 10/30/154
(Notional Value $239,864,593) | | | 57,369 | | | $ | 4,347,321 | |
Goldman Sachs International
October 2015 NASDAQ-100 Index Swap,
Terminating 10/26/154
(Notional Value $26,108,660) | | | 6,245 | | | | 484,523 | |
Credit Suisse Capital, LLC
October 2015 NASDAQ-100 Index Swap,
Terminating 10/27/154
(Notional Value $1,548,780) | | | 370 | | | | (16,110 | ) |
(Total Notional Value $267,522,033) | | | | | | $ | 4,815,734 | |
* | 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 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at September 30, 2015. |
3 | Repurchase Agreements — See Note 5. |
4 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $183,100,600) | | $ | 219,899,290 | |
Repurchase agreements, at value (cost $15,121,648) | | | 15,121,648 | |
Total investments (cost $198,222,248) | | | 235,020,938 | |
Segregated cash with broker | | | 31,628,570 | |
Unrealized appreciation on swap agreements | | | 4,831,844 | |
Cash | | | 5,189 | |
Receivables: | |
Fund shares sold | | | 5,196,124 | |
Variation margin | | | 1,312,500 | |
Dividends | | | 42,701 | |
Interest | | | 1,263 | |
Foreign taxes reclaim | | | 653 | |
Total assets | | | 278,039,782 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 16,110 | |
Payable for: | |
Fund shares redeemed | | | 9,436,771 | |
Management fees | | | 177,864 | |
Distribution and service fees | | | 63,183 | |
Transfer agent and administrative fees | | | 49,407 | |
Portfolio accounting fees | | | 29,644 | |
Swap settlement | | | 25,313 | |
Miscellaneous | | | 199,394 | |
Total liabilities | | | 9,997,686 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 268,042,096 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 253,687,328 | |
Accumulated net investment loss | | | (1,459,604 | ) |
Accumulated net realized loss on investments | | | (25,339,078 | ) |
Net unrealized appreciation on investments | | | 41,153,450 | |
Net assets | | $ | 268,042,096 | |
| | | | | |
A-Class: | |
Net assets | | $ | 13,984,497 | |
Capital shares outstanding | | | 41,514 | |
Net asset value per share | | $ | 336.86 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 353.66 | |
| | | | | |
C-Class: | |
Net assets | | $ | 20,678,056 | |
Capital shares outstanding | | | 72,036 | |
Net asset value per share | | $ | 287.05 | |
| | | | | |
H-Class: | |
Net assets | | $ | 233,379,543 | |
Capital shares outstanding | | | 692,842 | |
Net asset value per share | | $ | 336.84 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Dividends | | $ | 1,359,575 | |
Interest | | | 20,320 | |
Income from securities lending, net | | | 2,815 | |
Total investment income | | | 1,382,710 | |
| | | | | |
Expenses: | |
Management fees | | | 1,398,573 | |
Transfer agent and administrative fees | | | 388,493 | |
Distribution and service fees: | |
A-Class | | | 22,772 | |
C-Class | | | 120,387 | |
H-Class | | | 335,625 | |
Portfolio accounting fees | | | 233,097 | |
Registration fees | | | 174,597 | |
Custodian fees | | | 17,846 | |
Trustees’ fees* | | | 10,556 | |
Line of credit fees | | | 281 | |
Miscellaneous | | | 141,612 | |
Total expenses | | | 2,843,839 | |
Net investment loss | | | (1,461,129 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | 3,660,107 | |
Swap agreements | | | (18,180,703 | ) |
Futures contracts | | | 80,139 | |
Net realized loss | | | (14,440,457 | ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | (11,316,120 | ) |
Swap agreements | | | 4,222,235 | |
Futures contracts | | | (762,331 | ) |
Net change in unrealized appreciation (depreciation) | | | (7,856,216 | ) |
Net realized and unrealized loss | | | (22,296,673 | ) |
Net decrease in net assets resulting
from operations | | $ | (23,757,802 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (1,461,129 | ) | | $ | (3,043,532 | ) |
Net realized gain (loss) on investments | | | (14,440,457 | ) | | | 95,162,591 | |
Net change in unrealized appreciation (depreciation) on investments | | | (7,856,216 | ) | | | 7,739,286 | |
Net increase (decrease) in net assets resulting from operations | | | (23,757,802 | ) | | | 99,858,345 | |
| | | | | | | | | |
Distributions to shareholders from: | | | | | | | | |
Net realized gains | | | | | | | | |
A-Class | | | — | | | | (646,170 | ) |
C-Class | | | — | | | | (957,469 | ) |
H-Class | | | — | | | | (16,070,110 | ) |
Total distributions to shareholders | | | — | | | | (17,673,749 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 30,086,024 | | | | 53,293,687 | |
C-Class | | | 47,893,508 | | | | 80,742,468 | |
H-Class | | | 1,326,588,765 | | | | 3,717,462,759 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 586,398 | |
C-Class | | | — | | | | 922,188 | |
H-Class | | | — | | | | 14,809,392 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (35,543,486 | ) | | | (48,654,646 | ) |
C-Class | | | (47,895,314 | ) | | | (81,384,892 | ) |
H-Class | | | (1,365,730,563 | ) | | | (3,794,422,634 | ) |
Net decrease from capital share transactions | | | (44,601,066 | ) | | | (56,645,280 | ) |
Net increase (decrease) in net assets | | | (68,358,868 | ) | | | 25,539,316 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 336,400,964 | | | | 310,861,648 | |
End of period | | $ | 268,042,096 | | | $ | 336,400,964 | |
(Accumulated net investment loss)/Undistributed net investment income at end of period | | $ | (1,459,604 | ) | | $ | 1,525 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 77,868 | | | | 158,870 | |
C-Class | | | 146,628 | | | | 284,269 | |
H-Class | | | 3,460,662 | | | | 11,443,618 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 1,602 | |
C-Class | | | — | | | | 2,939 | |
H-Class | | | — | | | | 40,472 | |
Shares redeemed | | | | | | | | |
A-Class | | | (93,268 | ) | | | (146,154 | ) |
C-Class | | | (146,930 | ) | | | (286,919 | ) |
H-Class | | | (3,559,449 | ) | | | (11,742,224 | ) |
Net decrease in shares | | | (114,489 | ) | | | (243,527 | ) |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 369.52 | | | $ | 269.19 | | | $ | 179.47 | | | $ | 160.58 | | | $ | 119.78 | | | $ | 120.86 | | | $ | 88.62 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (1.73 | ) | | | (2.47 | ) | | | (1.54 | ) | | | (.36 | ) | | | (1.06 | ) | | | (1.62 | ) | | | (1.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (30.93 | ) | | | 116.29 | | | | 109.54 | | | | 19.25 | | | | 41.86 | | | | .54 | | | | 33.32 | |
Total from investment operations | | | (32.66 | ) | | | 113.82 | | | | 108.00 | | | | 18.89 | | | | 40.80 | | | | (1.08 | ) | | | 32.24 | |
Less distributions from: | |
Net realized gains | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 336.86 | | | $ | 369.52 | | | $ | 269.19 | | | $ | 179.47 | | | $ | 160.58 | | | $ | 119.78 | | | $ | 120.86 | |
| | |
Total Returne | | | (8.84 | %) | | | 42.33 | % | | | 60.94 | % | | | 11.76 | % | | | 34.07 | % | | | (0.89 | %) | | | 36.37 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 13,984 | | | $ | 21,031 | | | $ | 11,466 | | | $ | 6,409 | | | $ | 5,865 | | | $ | 4,458 | | | $ | 7,890 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.90 | %) | | | (0.74 | %) | | | (0.65 | %) | | | (0.84 | %) | | | (0.66 | %) | | | (1.27 | %) | | | (1.15 | %) |
Total expenses | | | 1.77 | % | | | 1.80 | % | | | 1.76 | % | | | 1.79 | % | | | 1.78 | % | | | 1.92 | % | | | 1.82 | % |
Portfolio turnover rate | | | 70 | % | | | 396 | % | | | 346 | % | | | 71 | % | | | 307 | % | | | 164 | % | | | 121 | % |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 316.07 | | | $ | 233.41 | | | $ | 158.38 | | | $ | 141.97 | | | $ | 106.78 | | | $ | 108.57 | | | $ | 80.21 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (2.73 | ) | | | (4.80 | ) | | | (2.84 | ) | | | (.59 | ) | | | (2.08 | ) | | | (2.30 | ) | | | (1.60 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (26.29 | ) | | | 100.95 | | | | 96.15 | | | | 17.00 | | | | 37.27 | | | | .51 | | | | 29.96 | |
Total from investment operations | | | (29.02 | ) | | | 96.15 | | | | 93.31 | | | | 16.41 | | | | 35.19 | | | | (1.79 | ) | | | 28.36 | |
Less distributions from: | |
Net realized gains | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 287.05 | | | $ | 316.07 | | | $ | 233.41 | | | $ | 158.38 | | | $ | 141.97 | | | $ | 106.78 | | | $ | 108.57 | |
| | |
Total Returne | | | (9.18 | %) | | | 41.24 | % | | | 59.75 | % | | | 11.57 | % | | | 32.96 | % | | | (1.64 | %) | | | 35.33 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 20,678 | | | $ | 22,864 | | | $ | 16,817 | | | $ | 11,522 | | | $ | 11,640 | | | $ | 15,920 | | | $ | 20,058 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.66 | %) | | | (1.69 | %) | | | (1.40 | %) | | | (1.58 | %) | | | (1.49 | %) | | | (2.03 | %) | | | (1.88 | %) |
Total expenses | | | 2.52 | % | | | 2.70 | % | | | 2.52 | % | | | 2.54 | % | | | 2.55 | % | | | 2.68 | % | | | 2.57 | % |
Portfolio turnover rate | | | 70 | % | | | 396 | % | | | 346 | % | | | 71 | % | | | 307 | % | | | 164 | % | | | 121 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
NASDAQ-100® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 369.50 | | | $ | 269.18 | | | $ | 179.45 | | | $ | 160.57 | | | $ | 119.86 | | | $ | 120.94 | | | $ | 88.62 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (1.70 | ) | | | (2.59 | ) | | | (1.54 | ) | | | (.41 | ) | | | (1.24 | ) | | | (1.59 | ) | | | (1.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (30.96 | ) | | | 116.40 | | | | 109.55 | | | | 19.29 | | | | 41.95 | | | | .51 | | | | 33.39 | |
Total from investment operations | | | (32.66 | ) | | | 113.81 | | | | 108.01 | | | | 18.88 | | | | 40.71 | | | | (1.08 | ) | | | 32.32 | |
Less distributions from: | |
Net realized gains | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (13.49 | ) | | | (18.28 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 336.84 | | | $ | 369.50 | | | $ | 269.18 | | | $ | 179.45 | | | $ | 160.57 | | | $ | 119.86 | | | $ | 120.94 | |
| | |
Total Returne | | | (8.84 | %) | | | 42.33 | % | | | 60.95 | % | | | 11.77 | % | | | 33.98 | % | | | (0.90 | %) | | | 36.46 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 233,380 | | | $ | 292,506 | | | $ | 282,578 | | | $ | 310,700 | | | $ | 131,996 | | | $ | 117,112 | | | $ | 236,196 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.88 | %) | | | (0.78 | %) | | | (0.67 | %) | | | (0.95 | %) | | | (0.76 | %) | | | (1.24 | %) | | | (1.13 | %) |
Total expenses | | | 1.77 | % | | | 1.80 | % | | | 1.77 | % | | | 1.80 | % | | | 1.80 | % | | | 1.92 | % | | | 1.82 | % |
Portfolio turnover rate | | | 70 | % | | | 396 | % | | | 346 | % | | | 71 | % | | | 307 | % | | | 164 | % | | | 121 | % |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FUND PROFILE (Unaudited) | September 30, 2015 |
INVERSE 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 inverse (opposite) of the performance of the NASDAQ-100® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | March 8, 2001 |
H-Class | May 23, 2000 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
INVERSE NASDAQ-100® 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 32.2% | |
Fannie Mae1 | | | | | | |
0.50% due 08/15/16 | | $ | 4,000,000 | | | $ | 3,989,932 | |
Federal Farm Credit Bank2 | | | | | | | | |
0.18% due 01/14/16 | | | 2,093,000 | | | | 2,092,207 | |
Federal Home Loan Bank2 | | | | | | | | |
0.15% due 12/02/15 | | | 2,000,000 | | | | 1,999,622 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $8,073,485) | | | | | | | 8,081,761 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 41.4% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 9,309,196 | | | | 9,309,196 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 1,045,977 | | | | 1,045,977 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 58,378 | | | | 58,378 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $10,413,551) | | | | | | | 10,413,551 | |
| | | | | | | | | |
Total Investments - 73.6% | | | | | | | | |
(Cost $18,487,036) | | | | | | $ | 18,495,312 | |
Other Assets & Liabilities, net - 26.4% | | | | | | | 6,650,204 | |
Total Net Assets - 100.0% | | | | | | $ | 25,145,516 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS SOLD SHORT† | |
December 2015 NASDAQ-100 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $832,450) | | | 10 | | | $ | (17,520 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | |
Credit Suisse Capital, LLC
October 2015 NASDAQ-100 Index Swap,
Terminating 10/27/154
(Notional Value $1,819,527) | | | 435 | | | $ | 18,850 | |
Barclays Bank plc
October 2015 NASDAQ-100 Index Swap,
Terminating 10/30/154
(Notional Value $13,263,261) | | | 3,172 | | | | (248,034 | ) |
Goldman Sachs International
October 2015 NASDAQ-100 Index Swap,
Terminating 10/26/154
(Notional Value $34,374,053) | | | 8,221 | | | | (638,304 | ) |
(Total Notional Value $49,456,841) | | | | | | $ | (867,488 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 5. |
4 | Total return based on NASDAQ-100 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $8,073,485) | | $ | 8,081,761 | |
Repurchase agreements, at value (cost $10,413,551) | | | 10,413,551 | |
Total investments (cost $18,487,036) | | | 18,495,312 | |
Segregated cash with broker | | | 7,072,553 | |
Unrealized appreciation on swap agreements | | | 18,850 | |
Receivables: | |
Fund shares sold | | | 2,185,312 | |
Interest | | | 11 | |
Total assets | | | 27,772,038 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 886,338 | |
Payable for: | |
Fund shares redeemed | | | 1,619,201 | |
Swap settlement | | | 45,848 | |
Management fees | | | 21,342 | |
Variation margin | | | 17,500 | |
Distribution and service fees | | | 6,388 | |
Transfer agent and administrative fees | | | 5,929 | |
Portfolio accounting fees | | | 3,557 | |
Miscellaneous | | | 20,419 | |
Total liabilities | | | 2,626,522 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 25,145,516 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 256,189,485 | |
Accumulated net investment loss | | | (289,786 | ) |
Accumulated net realized loss on investments | | | (229,877,451 | ) |
Net unrealized depreciation on investments | | | (876,732 | ) |
Net assets | | $ | 25,145,516 | |
| | | | | |
A-Class: | |
Net assets | | $ | 756,593 | |
Capital shares outstanding | | | 39,215 | |
Net asset value per share | | $ | 19.29 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 20.25 | |
| | | | | |
C-Class: | |
Net assets | | $ | 923,454 | |
Capital shares outstanding | | | 53,495 | |
Net asset value per share | | $ | 17.26 | |
| | | | | |
H-Class: | |
Net assets | | $ | 23,465,469 | |
Capital shares outstanding | | | 1,216,221 | |
Net asset value per share | | $ | 19.29 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Interest | | $ | 7,060 | |
Total investment income | | | 7,060 | |
| | | | | |
Expenses: | |
Management fees | | | 102,674 | |
Transfer agent and administrative fees | | | 28,521 | |
Distribution and service fees: | |
A-Class | | | 613 | |
C-Class | | | 4,123 | |
H-Class | | | 26,879 | |
Portfolio accounting fees | | | 17,113 | |
Registration fees | | | 10,958 | |
Custodian fees | | | 1,313 | |
Trustees’ fees* | | | 675 | |
Miscellaneous | | | 12,401 | |
Total expenses | | | 205,270 | |
Net investment loss | | | (198,210 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | 285 | |
Swap agreements | | | 493,759 | |
Futures contracts | | | 880,498 | |
Net realized gain | | | 1,374,542 | |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 7,936 | |
Swap agreements | | | (861,688 | ) |
Futures contracts | | | (54,187 | ) |
Net change in unrealized appreciation (depreciation) | | | (907,939 | ) |
Net realized and unrealized gain | | | 466,603 | |
Net increase in net assets resulting from operations | | $ | 268,393 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
INVERSE NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (198,210 | ) | | $ | (507,977 | ) |
Net realized gain (loss) on investments | | | 1,374,542 | | | | (12,698,458 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (907,939 | ) | | | (39,781 | ) |
Net increase (decrease) in net assets resulting from operations | | | 268,393 | | | | (13,246,216 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 8,276,225 | | | | 25,526,847 | |
C-Class | | | 24,280,492 | | | | 45,520,604 | |
H-Class | | | 382,388,523 | | | | 1,249,467,130 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (7,784,382 | ) | | | (25,423,846 | ) |
C-Class | | | (24,720,496 | ) | | | (45,043,386 | ) |
H-Class | | | (379,576,289 | ) | | | (1,242,352,560 | ) |
Net increase from capital share transactions | | | 2,864,073 | | | | 7,694,789 | |
Net increase (decrease) in net assets | | | 3,132,466 | | | | (5,551,427 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 22,013,050 | | | | 27,564,477 | |
End of period | | $ | 25,145,516 | | | $ | 22,013,050 | |
Accumulated net investment loss at end of period | | $ | (289,786 | ) | | $ | (91,576 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 460,730 | | | | 1,128,860 | |
C-Class | | | 1,509,541 | | | | 2,171,547 | |
H-Class | | | 21,256,451 | | | | 51,277,843 | |
Shares redeemed | | | | | | | | |
A-Class | | | (435,310 | ) | | | (1,134,594 | ) |
C-Class | | | (1,535,491 | ) | | | (2,140,721 | ) |
H-Class | | | (21,093,742 | ) | | | (51,058,359 | ) |
Net increase in shares | | | 162,179 | | | | 244,576 | |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE 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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 19.36 | | | $ | 30.75 | | | $ | 54.59 | | | $ | 62.44 | | | $ | 95.64 | | | $ | 124.60 | | | $ | 204.96 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.15 | ) | | | (.41 | ) | | | (.69 | ) | | | (.28 | ) | | | (1.12 | ) | | | (1.96 | ) | | | (3.08 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .08 | | | | (10.98 | ) | | | (23.15 | ) | | | (7.57 | ) | | | (32.08 | ) | | | (27.00 | ) | | | (77.28 | ) |
Total from investment operations | | | (.07 | ) | | | (11.39 | ) | | | (23.84 | ) | | | (7.85 | ) | | | (33.20 | ) | | | (28.96 | ) | | | (80.36 | ) |
Net asset value, end of period | | $ | 19.29 | | | $ | 19.36 | | | $ | 30.75 | | | $ | 54.59 | | | $ | 62.44 | | | $ | 95.64 | | | $ | 124.60 | |
| | |
Total Returnf | | | (0.36 | %) | | | (37.04 | %) | | | (43.68 | %) | | | (12.56 | %) | | | (34.70 | %) | | | (23.26 | %) | | | (39.21 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 757 | | | $ | 267 | | | $ | 601 | | | $ | 605 | | | $ | 881 | | | $ | 2,346 | | | $ | 1,045 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.70 | %) | | | (1.77 | %) | | | (1.72 | %) | | | (1.72 | %) | | | (1.67 | %) | | | (1.84 | %) | | | (1.66 | %) |
Total expenses | | | 1.77 | % | | | 1.82 | % | | | 1.76 | % | | | 1.80 | % | | | 1.78 | % | | | 1.92 | % | | | 1.82 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 17.30 | | | $ | 27.69 | | | $ | 49.67 | | | $ | 56.90 | | | $ | 88.42 | | | $ | 115.64 | | | $ | 191.24 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.20 | ) | | | (.56 | ) | | | (.91 | ) | | | (.35 | ) | | | (1.54 | ) | | | (2.66 | ) | | | (3.64 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .16 | | | | (9.83 | ) | | | (21.07 | ) | | | (6.88 | ) | | | (29.98 | ) | | | (24.56 | ) | | | (71.96 | ) |
Total from investment operations | | | (.04 | ) | | | (10.39 | ) | | | (21.98 | ) | | | (7.23 | ) | | | (31.52 | ) | | | (27.22 | ) | | | (75.60 | ) |
Net asset value, end of period | | $ | 17.26 | | | $ | 17.30 | | | $ | 27.69 | | | $ | 49.67 | | | $ | 56.90 | | | $ | 88.42 | | | $ | 115.64 | |
| | |
Total Returnf | | | (0.52 | %) | | | (37.52 | %) | | | (44.29 | %) | | | (12.67 | %) | | | (35.63 | %) | | | (23.55 | %) | | | (39.53 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 923 | | | $ | 1,375 | | | $ | 1,346 | | | $ | 1,623 | | | $ | 2,146 | | | $ | 4,084 | | | $ | 3,485 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (2.44 | %) | | | (2.51 | %) | | | (2.50 | %) | | | (2.38 | %) | | | (2.39 | %) | | | (2.67 | %) | | | (2.41 | %) |
Total expenses | | | 2.50 | % | | | 2.55 | % | | | 2.54 | % | | | 2.45 | % | | | 2.50 | % | | | 2.68 | % | | | 2.57 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
INVERSE NASDAQ-100® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 19.34 | | | $ | 30.72 | | | $ | 54.61 | | | $ | 62.45 | | | $ | 95.88 | | | $ | 124.32 | | | $ | 204.68 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.15 | ) | | | (.43 | ) | | | (.70 | ) | | | (.28 | ) | | | (1.12 | ) | | | (2.03 | ) | | | (2.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | .10 | | | | (10.95 | ) | | | (23.19 | ) | | | (7.56 | ) | | | (32.31 | ) | | | (26.41 | ) | | | (77.56 | ) |
Total from investment operations | | | (.05 | ) | | | (11.38 | ) | | | (23.89 | ) | | | (7.84 | ) | | | (33.43 | ) | | | (28.44 | ) | | | (80.36 | ) |
Net asset value, end of period | | $ | 19.29 | | | $ | 19.34 | | | $ | 30.72 | | | $ | 54.61 | | | $ | 62.45 | | | $ | 95.88 | | | $ | 124.32 | |
| | |
Total Returnf | | | (0.26 | %) | | | (37.02 | %) | | | (43.75 | %) | | | (12.56 | %) | | | (34.84 | %) | | | (22.92 | %) | | | (39.26 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 23,465 | | | $ | 20,371 | | | $ | 25,617 | | | $ | 48,728 | | | $ | 29,499 | | | $ | 43,686 | | | $ | 53,747 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.71 | %) | | | (1.78 | %) | | | (1.75 | %) | | | (1.73 | %) | | | (1.67 | %) | | | (1.86 | %) | | | (1.66 | %) |
Total expenses | | | 1.77 | % | | | 1.83 | % | | | 1.78 | % | | | 1.81 | % | | | 1.79 | % | | | 1.93 | % | | | 1.82 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Reverse Share Split — Per share amounts for the periods presented through December 2, 2011 have been restated to reflect a 1:4 reverse share split effective December 2, 2011. |
e | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
g | Reverse Share Split — Per share amounts for the periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FUND PROFILE (Unaudited) | September 30, 2015 |
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that, before fees and expenses, match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Dow Jones Industrial AverageSM Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Goldman Sachs Group, Inc. | 4.6% |
International Business Machines Corp. | 3.8% |
3M Co. | 3.7% |
Boeing Co. | 3.4% |
NIKE, Inc. — Class B | 3.2% |
UnitedHealth Group, Inc. | 3.0% |
Home Depot, Inc. | 3.0% |
Apple, Inc. | 2.9% |
Walt Disney Co. | 2.7% |
Travelers Companies, Inc. | 2.6% |
Top Ten Total | 32.9% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
DOW 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
COMMON STOCKS† - 63.9% | |
| | | | | | | |
Financial - 12.6% | |
Goldman Sachs Group, Inc. | | | 12,021 | | | $ | 2,088,770 | |
Travelers Companies, Inc. | | | 12,021 | | | | 1,196,450 | |
American Express Co. | | | 12,021 | | | | 891,117 | |
Visa, Inc. — Class A | | | 12,021 | | | | 837,383 | |
JPMorgan Chase & Co. | | | 12,021 | | | | 732,920 | |
Total Financial | | | | | | | 5,746,640 | |
| | | | | | | | | |
Industrial - 11.9% | |
3M Co. | | | 12,021 | | | | 1,704,216 | |
Boeing Co. | | | 12,021 | | | | 1,574,150 | |
United Technologies Corp. | | | 12,021 | | | | 1,069,749 | |
Caterpillar, Inc. | | | 12,021 | | | | 785,693 | |
General Electric Co. | | | 12,021 | | | | 303,170 | |
Total Industrial | | | | | | | 5,436,978 | |
| | | | | | | | | |
Consumer, Non-cyclical - 10.5% | |
UnitedHealth Group, Inc. | | | 12,021 | | | | 1,394,556 | |
Johnson & Johnson | | | 12,021 | | | | 1,122,160 | |
Procter & Gamble Co. | | | 12,021 | | | | 864,791 | |
Merck & Company, Inc. | | | 12,021 | | | | 593,717 | |
Coca-Cola Co. | | | 12,021 | | | | 482,283 | |
Pfizer, Inc. | | | 12,021 | | | | 377,580 | |
Total Consumer, Non-cyclical | | | | | | | 4,835,087 | |
| | | | | | | | | |
Consumer, Cyclical - 10.5% | |
NIKE, Inc. — Class B | | | 12,021 | | | | 1,478,222 | |
Home Depot, Inc. | | | 12,021 | | | | 1,388,305 | |
McDonald’s Corp. | | | 12,021 | | | | 1,184,429 | |
Wal-Mart Stores, Inc. | | | 12,021 | | | | 779,442 | |
Total Consumer, Cyclical | | | | | | | 4,830,398 | |
| | | | | | | | | |
Technology - 8.6% | |
International Business Machines Corp. | | | 12,021 | | | | 1,742,685 | |
Apple, Inc. | | | 12,021 | | | | 1,325,916 | |
Microsoft Corp. | | | 12,021 | | | | 532,049 | |
Intel Corp. | | | 12,021 | | | | 362,313 | |
Total Technology | | | | | | | 3,962,963 | |
| | | | | | | | | |
Communications - 4.5% | |
Walt Disney Co. | | | 12,021 | | | | 1,228,546 | |
Verizon Communications, Inc. | | | 12,021 | | | | 523,034 | |
Cisco Systems, Inc. | | | 12,021 | | | | 315,551 | |
Total Communications | | | | | | | 2,067,131 | |
| | | | | | | | | |
Energy - 4.0% | |
Chevron Corp. | | | 12,021 | | | | 948,217 | |
Exxon Mobil Corp. | | | 12,021 | | | | 893,761 | |
Total Energy | | | | | | | 1,841,978 | |
| | | | | | | | | |
Basic Materials - 1.3% | |
EI du Pont de Nemours & Co. | | | 12,021 | | | | 579,412 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $28,215,516) | | | | | | | 29,300,587 | |
| | | Face
Amount | | | | |
| | | | | | | |
REPURCHASE AGREEMENTS††,1 - 5.5% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | $ | 2,249,989 | | | | 2,249,989 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 252,808 | | | | 252,808 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 14,110 | | | | 14,110 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $2,516,907) | | | | | | | 2,516,907 | |
| | | | | | | | | |
Total Investments - 69.4% | | | | | | | | |
(Cost $30,732,423) | | | | | | $ | 31,817,494 | |
Other Assets & Liabilities, net - 30.6% | | | | | | | 14,061,427 | |
Total Net Assets - 100.0% | | | | | | $ | 45,878,921 | |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2015 |
DOW 2x STRATEGY FUND | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS PURCHASED† | |
December 2015 Dow Jones
Industrial Average Index
Mini Futures Contracts
(Aggregate Value of
Contracts $19,968,715) | | | 247 | | | $ | (18,516 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS†† | |
Barclays Bank plc
October 2015 Dow Jones
Industrial Average Index Swap,
Terminating 10/30/152
(Notional Value $40,355,071) | | | 2,478 | | | $ | 344,768 | |
Credit Suisse Capital, LLC
October 2015 Dow Jones
Industrial Average Index Swap,
Terminating 10/27/152
(Notional Value $1,926,236) | | | 118 | | | | (3,649 | ) |
(Total Notional Value $42,281,307) | | | | | | $ | 341,119 | |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 5. |
2 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $28,215,516) | | $ | 29,300,587 | |
Repurchase agreements, at value (cost $2,516,907) | | | 2,516,907 | |
Total investments (cost $30,732,423) | | | 31,817,494 | |
Segregated cash with broker | | | 2,603,099 | |
Unrealized appreciation on swap agreements | | | 344,768 | |
Receivables: | |
Fund shares sold | | | 21,894,216 | |
Variation margin | | | 104,579 | |
Swap settlement | | | 17,871 | |
Dividends | | | 10,527 | |
Interest | | | 3 | |
Total assets | | | 56,792,557 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 3,649 | |
Payable for: | |
Securities purchased | | | 10,038,635 | |
Fund shares redeemed | | | 818,014 | |
Management fees | | | 22,654 | |
Distribution and service fees | | | 8,221 | |
Transfer agent and administrative fees | | | 6,293 | |
Portfolio accounting fees | | | 3,776 | |
Miscellaneous | | | 12,394 | |
Total liabilities | | | 10,913,636 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 45,878,921 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 48,463,899 | |
Accumulated net investment loss | | | (163,832 | ) |
Accumulated net realized loss on investments | | | (3,828,820 | ) |
Net unrealized appreciation on investments | | | 1,407,674 | |
Net assets | | $ | 45,878,921 | |
| | | | | |
A-Class: | |
Net assets | | $ | 6,084,430 | |
Capital shares outstanding | | | 143,266 | |
Net asset value per share | | $ | 42.47 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 44.59 | |
| | | | | |
C-Class: | |
Net assets | | $ | 2,672,709 | |
Capital shares outstanding | | | 68,679 | |
Net asset value per share | | $ | 38.92 | |
| | | | | |
H-Class: | |
Net assets | | $ | 37,121,782 | |
Capital shares outstanding | | | 876,554 | |
Net asset value per share | | $ | 42.35 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Dividends | | $ | 227,351 | |
Interest | | | 1,577 | |
Total investment income | | | 228,928 | |
| | | | | |
Expenses: | |
Management fees | | | 143,190 | |
Transfer agent and administrative fees | | | 39,775 | |
Distribution and service fees: | |
A-Class | | | 10,721 | |
C-Class | | | 20,461 | |
H-Class | | | 23,940 | |
Portfolio accounting fees | | | 23,866 | |
Registration fees | | | 19,126 | |
Custodian fees | | | 1,828 | |
Trustees’ fees* | | | 1,131 | |
Line of credit fees | | | 15 | |
Miscellaneous | | | 16,464 | |
Total expenses | | | 300,517 | |
Net investment loss | | | (71,589 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | (1,704,640 | ) |
Swap agreements | | | (1,363,842 | ) |
Futures contracts | | | 447,700 | |
Net realized loss | | | (2,620,782 | ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | (4,414 | ) |
Swap agreements | | | 98,028 | |
Futures contracts | | | (38,486 | ) |
Net change in unrealized appreciation (depreciation) | | | 55,128 | |
Net realized and unrealized loss | | | (2,565,654 | ) |
Net decrease in net assets resulting from operations | | $ | (2,637,243 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (71,589 | ) | | $ | (265,493 | ) |
Net realized gain (loss) on investments | | | (2,620,782 | ) | | | 8,090,048 | |
Net change in unrealized appreciation (depreciation) on investments | | | 55,128 | | | | (448,651 | ) |
Net increase (decrease) in net assets resulting from operations | | | (2,637,243 | ) | | | 7,375,904 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 15,416,142 | | | | 25,797,007 | |
C-Class | | | 12,743,439 | | | | 47,402,464 | |
H-Class | | | 269,126,143 | | | | 709,488,815 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (19,790,833 | ) | | | (21,761,624 | ) |
C-Class | | | (14,857,143 | ) | | | (46,803,435 | ) |
H-Class | | | (253,916,542 | ) | | | (720,741,797 | ) |
Net increase (decrease) from capital share transactions | | | 8,721,206 | | | | (6,618,570 | ) |
Net increase in net assets | | | 6,083,963 | | | | 757,334 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 39,794,958 | | | | 39,037,624 | |
End of period | | $ | 45,878,921 | | | $ | 39,794,958 | |
Accumulated net investment loss at end of period | | $ | (163,832 | ) | | $ | (92,243 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 303,525 | | | | 533,029 | |
C-Class | | | 283,975 | | | | 1,091,481 | |
H-Class | | | 5,715,345 | | | | 15,290,610 | |
Shares redeemed | | | | | | | | |
A-Class | | | (395,425 | ) | | | (449,631 | ) |
C-Class | | | (332,485 | ) | | | (1,079,507 | ) |
H-Class | | | (5,282,191 | ) | | | (15,501,832 | ) |
Net increase (decrease) in shares | | | 292,744 | | | | (115,850 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 50.69 | | | $ | 43.26 | | | $ | 33.64 | | | $ | 27.14 | | | $ | 23.31 | | | $ | 21.48 | | | $ | 17.53 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.09 | ) | | | (.32 | ) | | | (.29 | ) | | | (.06 | ) | | | (.29 | ) | | | (.14 | ) | | | — | f |
Net gain (loss) on investments (realized and unrealized) | | | (8.13 | ) | | | 7.75 | | | | 9.91 | | | | 6.56 | | | | 4.12 | | | | 1.98 | | | | 3.95 | |
Total from investment operations | | | (8.22 | ) | | | 7.43 | | | | 9.62 | | | | 6.50 | | | | 3.83 | | | | 1.84 | | | | 3.95 | |
Less distributions from: | |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Net asset value, end of period | | $ | 42.47 | | | $ | 50.69 | | | $ | 43.26 | | | $ | 33.64 | | | $ | 27.14 | | | $ | 23.31 | | | $ | 21.48 | |
| | |
Total Returne | | | (16.22 | %) | | | 17.18 | % | | | 28.60 | % | | | 23.95 | % | | | 16.43 | % | | | 8.55 | % | | | 22.53 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 6,084 | | | $ | 11,921 | | | $ | 6,566 | | | $ | 4,755 | | | $ | 3,574 | | | $ | 4,267 | | | $ | 3,708 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.36 | %) | | | (0.68 | %) | | | (0.75 | %) | | | (0.77 | %) | | | (1.12 | %) | | | (0.63 | %) | | | 0.02 | % |
Total expenses | | | 1.79 | % | | | 1.81 | % | | | 1.76 | % | | | 1.77 | % | | | 1.78 | % | | | 1.92 | % | | | 1.81 | % |
Portfolio turnover rate | | | 450 | % | | | 1,236 | % | | | 3,338 | % | | | 979 | % | | | 15,091 | % | | | 7,150 | % | | | 108 | % |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 46.62 | | | $ | 40.08 | | | $ | 31.39 | | | $ | 25.37 | | | $ | 21.95 | | | $ | 20.41 | | | $ | 16.77 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.26 | ) | | | (.60 | ) | | | (.52 | ) | | | (.11 | ) | | | (.46 | ) | | | (.30 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.44 | ) | | | 7.14 | | | | 9.21 | | | | 6.13 | | | | 3.88 | | | | 1.85 | | | | 3.78 | |
Total from investment operations | | | (7.70 | ) | | | 6.54 | | | | 8.69 | | | | 6.02 | | | | 3.42 | | | | 1.55 | | | | 3.64 | |
Less distributions from: | |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Net asset value, end of period | | $ | 38.92 | | | $ | 46.62 | | | $ | 40.08 | | | $ | 31.39 | | | $ | 25.37 | | | $ | 21.95 | | | $ | 20.41 | |
| | |
Total Returne | | | (16.52 | %) | | | 16.32 | % | | | 27.68 | % | | | 23.73 | % | | | 15.63 | % | | | 7.58 | % | | | 21.65 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 2,673 | | | $ | 5,463 | | | $ | 4,217 | | | $ | 3,623 | | | $ | 2,249 | | | $ | 2,562 | | | $ | 3,420 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.14 | %) | | | (1.38 | %) | | | (1.44 | %) | | | (1.57 | %) | | | (1.89 | %) | | | (1.40 | %) | | | (0.78 | %) |
Total expenses | | | 2.54 | % | | | 2.57 | % | | | 2.50 | % | | | 2.53 | % | | | 2.54 | % | | | 2.67 | % | | | 2.56 | % |
Portfolio turnover rate | | | 450 | % | | | 1,236 | % | | | 3,338 | % | | | 979 | % | | | 15,091 | % | | | 7,150 | % | | | 108 | % |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 50.54 | | | $ | 43.16 | | | $ | 33.53 | | | $ | 27.05 | | | $ | 23.26 | | | $ | 21.45 | | | $ | 17.53 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.08 | ) | | | (.26 | ) | | | (.28 | ) | | | (.06 | ) | | | (.27 | ) | | | (.10 | ) | | | (.02 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (8.11 | ) | | | 7.64 | | | | 9.91 | | | | 6.54 | | | | 4.06 | | | | 1.92 | | | | 3.94 | |
Total from investment operations | | | (8.19 | ) | | | 7.38 | | | | 9.63 | | | | 6.48 | | | | 3.79 | | | | 1.82 | | | | 3.92 | |
Less distributions from: | |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | |
Net asset value, end of period | | $ | 42.35 | | | $ | 50.54 | | | $ | 43.16 | | | $ | 33.53 | | | $ | 27.05 | | | $ | 23.26 | | | $ | 21.45 | |
| | |
Total Returne | | | (16.21 | %) | | | 17.10 | % | | | 28.72 | % | | | 23.96 | % | | | 16.34 | % | | | 8.42 | % | | | 22.36 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 37,122 | | | $ | 22,411 | | | $ | 28,254 | | | $ | 47,483 | | | $ | 17,151 | | | $ | 28,243 | | | $ | 41,776 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (0.34 | %) | | | (0.54 | %) | | | (0.73 | %) | | | (0.85 | %) | | | (1.02 | %) | | | (0.42 | %) | | | (0.11 | %) |
Total expenses | | | 1.79 | % | | | 1.82 | % | | | 1.77 | % | | | 1.79 | % | | | 1.79 | % | | | 1.92 | % | | | 1.81 | % |
Portfolio turnover rate | | | 450 | % | | | 1,236 | % | | | 3,338 | % | | | 979 | % | | | 15,091 | % | | | 7,150 | % | | | 108 | % |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Net investment income (loss) is less than $0.01 per share. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
FUND PROFILE (Unaudited) | September 30, 2015 |
INVERSE DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the Dow Jones Industrial AverageSM Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
INVERSE DOW 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 22.9% | |
Federal Home Loan Bank1 | | | | | | |
0.15% due 12/02/15 | | $ | 1,000,000 | | | $ | 999,811 | |
0.17% due 11/06/15 | | | 800,000 | | | | 799,948 | |
0.10% due 10/23/15 | | | 500,000 | | | | 499,969 | |
Total Federal Home Loan Bank | | | | | | | 2,299,728 | |
Fannie Mae2 | | | | | | | | |
0.50% due 08/15/16 | | | 2,000,000 | | | | 1,994,967 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $4,290,630) | | | | | | | 4,294,695 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 47.2% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 7,888,517 | | | | 7,888,517 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 886,350 | | | | 886,350 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 49,469 | | | | 49,469 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $8,824,336) | | | | | | | 8,824,336 | |
| | | | | | | | | |
Total Investments - 70.1% | | | | | | | | |
(Cost $13,114,966) | | | | | | $ | 13,119,031 | |
Other Assets & Liabilities, net - 29.9% | | | | | | | 5,591,376 | |
Total Net Assets - 100.0% | | | | | | $ | 18,710,407 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS SOLD SHORT† | |
December 2015 Dow Jones
Industrial Average Index
Mini Futures Contracts
(Aggregate Value of
Contracts $808,450) | | | 10 | | | $ | (13,298 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | |
Credit Suisse Capital, LLC
October 2015 Dow Jones
Industrial Average Index Swap,
Terminating 10/27/154
(Notional Value $2,192,207) | | | 135 | | | $ | 4,043 | |
Barclays Bank plc
October 2015 Dow Jones
Industrial Average Index Swap,
Terminating 10/30/154
(Notional Value $34,431,810) | | | 2,114 | | | | (497,620 | ) |
(Total Notional Value $36,624,017) | | | | | | $ | (493,577 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | Repurchase Agreements — See Note 5. |
4 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $4,290,630) | | $ | 4,294,695 | |
Repurchase agreements, at value (cost $8,824,336) | | | 8,824,336 | |
Total investments (cost $13,114,966) | | | 13,119,031 | |
Segregated cash with broker | | | 3,394,124 | |
Unrealized appreciation on swap agreements | | | 4,043 | |
Receivables: | |
Fund shares sold | | | 2,943,539 | |
Interest | | | 9 | |
Total assets | | | 19,460,746 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 497,620 | |
Payable for: | |
Fund shares redeemed | | | 169,349 | |
Swap settlement | | | 34,544 | |
Management fees | | | 16,032 | |
Variation margin | | | 11,000 | |
Distribution and service fees | | | 5,078 | |
Transfer agent and administrative fees | | | 4,453 | |
Portfolio accounting fees | | | 2,672 | |
Miscellaneous | | | 9,591 | |
Total liabilities | | | 750,339 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 18,710,407 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 88,261,947 | |
Accumulated net investment loss | | | (168,529 | ) |
Accumulated net realized loss on investments | | | (68,880,201 | ) |
Net unrealized depreciation on investments | | | (502,810 | ) |
Net assets | | $ | 18,710,407 | |
| | | | | |
A-Class: | |
Net assets | | $ | 2,005,260 | |
Capital shares outstanding | | | 59,573 | |
Net asset value per share | | $ | 33.66 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 35.34 | |
| | | | | |
C-Class: | |
Net assets | | $ | 1,358,841 | |
Capital shares outstanding | | | 44,361 | |
Net asset value per share | | $ | 30.63 | |
| | | | | |
H-Class: | |
Net assets | | $ | 15,346,306 | |
Capital shares outstanding | | | 454,650 | |
Net asset value per share | | $ | 33.75 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Interest | | $ | 3,158 | |
Total investment income | | | 3,158 | |
| | | | | |
Expenses: | |
Management fees | | | 61,631 | |
Transfer agent and administrative fees | | | 17,120 | |
Distribution and service fees: | |
A-Class | | | 1,982 | |
C-Class | | | 4,962 | |
H-Class | | | 13,899 | |
Portfolio accounting fees | | | 10,273 | |
Custodian fees | | | 789 | |
Trustees’ fees* | | | 346 | |
Miscellaneous | | | 15,364 | |
Total expenses | | | 126,366 | |
Net investment loss | | | (123,208 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | (35 | ) |
Swap agreements | | | 2,054,187 | |
Futures contracts | | | 51,616 | |
Net realized gain | | | 2,105,768 | |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 4,065 | |
Swap agreements | | | (423,744 | ) |
Futures contracts | | | (12,840 | ) |
Net change in unrealized appreciation (depreciation) | | | (432,519 | ) |
Net realized and unrealized gain | | | 1,673,249 | |
Net increase in net assets resulting from operations | | $ | 1,550,041 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (123,208 | ) | | $ | (231,041 | ) |
Net realized gain (loss) on investments | | | 2,105,768 | | | | (2,679,981 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (432,519 | ) | | | 32,254 | |
Net increase (decrease) in net assets resulting from operations | | | 1,550,041 | | | | (2,878,768 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 3,484,507 | | | | 6,528,044 | |
C-Class | | | 25,868,234 | | | | 60,628,687 | |
H-Class | | | 154,266,718 | | | | 309,035,990 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,087,469 | ) | | | (5,646,090 | ) |
C-Class | | | (25,415,189 | ) | | | (60,451,363 | ) |
H-Class | | | (147,460,152 | ) | | | (305,814,201 | ) |
Net increase from capital share transactions | | | 7,656,649 | | | | 4,281,067 | |
Net increase in net assets | | | 9,206,690 | | | | 1,402,299 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 9,503,717 | | | | 8,101,418 | |
End of period | | $ | 18,710,407 | | | $ | 9,503,717 | |
Accumulated net investment loss at end of period | | $ | (168,529 | ) | | $ | (45,321 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 117,123 | | | | 200,102 | |
C-Class | | | 945,818 | | | | 1,910,835 | |
H-Class | | | 4,938,097 | | | | 8,803,209 | |
Shares redeemed | | | | | | | | |
A-Class | | | (101,868 | ) | | | (176,593 | ) |
C-Class | | | (930,111 | ) | | | (1,904,333 | ) |
H-Class | | | (4,725,326 | ) | | | (8,725,533 | ) |
Net increase in shares | | | 243,733 | | | | 107,687 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 30.36 | | | $ | 39.35 | | | $ | 55.42 | | | $ | 69.97 | | | $ | 90.55 | | | $ | 125.20 | | | $ | 180.57 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.27 | ) | | | (.61 | ) | | | (.81 | ) | | | (.28 | ) | | | (1.33 | ) | | | (2.03 | ) | | | (2.66 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.57 | | | | (8.38 | ) | | | (15.26 | ) | | | (14.27 | ) | | | (19.25 | ) | | | (32.62 | ) | | | (52.71 | ) |
Total from investment operations | | | 3.30 | | | | (8.99 | ) | | | (16.07 | ) | | | (14.55 | ) | | | (20.58 | ) | | | (34.65 | ) | | | (55.37 | ) |
Net asset value, end of period | | $ | 33.66 | | | $ | 30.36 | | | $ | 39.35 | | | $ | 55.42 | | | $ | 69.97 | | | $ | 90.55 | | | $ | 125.20 | |
| | |
Total Returne | | | 10.87 | % | | | (22.85 | %) | | | (29.02 | %) | | | (20.80 | %) | | | (22.66 | %) | | | (27.68 | %) | | | (30.70 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 2,005 | | | $ | 1,346 | | | $ | 819 | | | $ | 588 | | | $ | 863 | | | $ | 2,027 | | | $ | 1,752 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.75 | %) | | | (1.81 | %) | | | (1.73 | %) | | | (1.69 | %) | | | (1.68 | %) | | | (1.85 | %) | | | (1.65 | %) |
Total expenses | | | 1.79 | % | | | 1.82 | % | | | 1.75 | % | | | 1.76 | % | | | 1.79 | % | | | 1.92 | % | | | 1.81 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 27.74 | | | $ | 36.24 | | | $ | 51.52 | | | $ | 65.19 | | | $ | 85.03 | | | $ | 118.59 | | | $ | 172.32 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.34 | ) | | | (.79 | ) | | | (1.07 | ) | | | (.35 | ) | | | (1.75 | ) | | | (2.66 | ) | | | (3.64 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.23 | | | | (7.71 | ) | | | (14.21 | ) | | | (13.32 | ) | | | (18.09 | ) | | | (30.90 | ) | | | (50.09 | ) |
Total from investment operations | | | 2.89 | | | | (8.50 | ) | | | (15.28 | ) | | | (13.67 | ) | | | (19.84 | ) | | | (33.56 | ) | | | (53.73 | ) |
Net asset value, end of period | | $ | 30.63 | | | $ | 27.74 | | | $ | 36.24 | | | $ | 51.52 | | | $ | 65.19 | | | $ | 85.03 | | | $ | 118.59 | |
| | |
Total Returne | | | 10.45 | % | | | (23.45 | %) | | | (29.66 | %) | | | (20.95 | %) | | | (23.31 | %) | | | (28.34 | %) | | | (31.19 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 1,359 | | | $ | 795 | | | $ | 803 | | | $ | 913 | | | $ | 784 | | | $ | 1,245 | | | $ | 1,567 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (2.47 | %) | | | (2.58 | %) | | | (2.45 | %) | | | (2.49 | %) | | | (2.42 | %) | | | (2.60 | %) | | | (2.40 | %) |
Total expenses | | | 2.52 | % | | | 2.60 | % | | | 2.47 | % | | | 2.57 | % | | | 2.53 | % | | | 2.67 | % | | | 2.56 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014f | | | Period Ended
March 28,
2013b,c,f | | | Year Ended
December 31,
2012f | | | Year Ended
December 31,
2011f | | | Year Ended
December 31,
2010f | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 30.44 | | | $ | 39.46 | | | $ | 55.39 | | | $ | 69.76 | | | $ | 90.53 | | | $ | 125.33 | | | $ | 180.68 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (.27 | ) | | | (.63 | ) | | | (.81 | ) | | | (.28 | ) | | | (1.26 | ) | | | (2.03 | ) | | | (2.66 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 3.58 | | | | (8.39 | ) | | | (15.12 | ) | | | (14.09 | ) | | | (19.51 | ) | | | (32.77 | ) | | | (52.69 | ) |
Total from investment operations | | | 3.31 | | | | (9.02 | ) | | | (15.93 | ) | | | (14.37 | ) | | | (20.77 | ) | | | (34.80 | ) | | | (55.35 | ) |
Net asset value, end of period | | $ | 33.75 | | | $ | 30.44 | | | $ | 39.46 | | | $ | 55.39 | | | $ | 69.76 | | | $ | 90.53 | | | $ | 125.33 | |
| | |
Total Returne | | | 10.87 | % | | | (22.86 | %) | | | (28.73 | %) | | | (20.66 | %) | | | (22.89 | %) | | | (27.77 | %) | | | (30.65 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 15,346 | | | $ | 7,363 | | | $ | 6,480 | | | $ | 8,507 | | | $ | 9,617 | | | $ | 10,765 | | | $ | 25,404 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.75 | %) | | | (1.82 | %) | | | (1.75 | %) | | | (1.71 | %) | | | (1.67 | %) | | | (1.85 | %) | | | (1.66 | %) |
Total expenses | | | 1.79 | % | | | 1.84 | % | | | 1.77 | % | | | 1.79 | % | | | 1.79 | % | | | 1.92 | % | | | 1.81 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
FUND PROFILE (Unaudited) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
Ten Largest Holdings (% of Total Net Assets) |
Tyler Technologies, Inc. | 0.2% |
Anacor Pharmaceuticals, Inc. | 0.2% |
Manhattan Associates, Inc. | 0.2% |
CubeSmart | 0.2% |
Investors Bancorp, Inc. | 0.2% |
First American Financial Corp. | 0.2% |
Casey’s General Stores, Inc. | 0.1% |
MAXIMUS, Inc. | 0.1% |
West Pharmaceutical Services, Inc. | 0.1% |
Team Health Holdings, Inc. | 0.1% |
Top Ten Total | 1.6% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
COMMON STOCKS† - 60.7% | |
| | | | | | | |
Financial - 15.8% | |
CubeSmart | | | 1,459 | | | $ | 39,699 | |
Investors Bancorp, Inc. | | | 3,052 | | | | 37,662 | |
First American Financial Corp. | | | 949 | | | | 37,077 | |
Strategic Hotels & Resorts, Inc.* | | | 2,408 | | | | 33,207 | |
CNO Financial Group, Inc. | | | 1,724 | | | | 32,427 | |
Highwoods Properties, Inc. | | | 823 | | | | 31,892 | |
Umpqua Holdings Corp. | | | 1,923 | | | | 31,345 | |
MarketAxess Holdings, Inc. | | | 327 | | | | 30,372 | |
Prosperity Bancshares, Inc. | | | 611 | | | | 30,007 | |
Bank of the Ozarks, Inc. | | | 683 | | | | 29,888 | |
Sovran Self Storage, Inc. | | | 312 | | | | 29,422 | |
RLJ Lodging Trust | | | 1,158 | | | | 29,263 | |
Webster Financial Corp. | | | 795 | | | | 28,325 | |
LaSalle Hotel Properties | | | 990 | | | | 28,106 | |
Sun Communities, Inc. | | | 408 | | | | 27,646 | |
MGIC Investment Corp.* | | | 2,972 | | | | 27,521 | |
Radian Group, Inc. | | | 1,675 | | | | 26,649 | |
New Residential Investment Corp. | | | 2,014 | | | | 26,383 | |
PrivateBancorp, Inc. — Class A | | | 688 | | | | 26,372 | |
DCT Industrial Trust, Inc. | | | 779 | | | | 26,221 | |
EPR Properties | | | 502 | | | | 25,888 | |
FirstMerit Corp. | | | 1,451 | | | | 25,639 | |
Stifel Financial Corp.* | | | 594 | | | | 25,007 | |
Sunstone Hotel Investors, Inc. | | | 1,827 | | | | 24,171 | |
Western Alliance Bancorporation* | | | 755 | | | | 23,186 | |
United Bankshares, Inc. | | | 606 | | | | 23,022 | |
PRA Group, Inc.* | | | 424 | | | | 22,438 | |
Pebblebrook Hotel Trust | | | 630 | | | | 22,334 | |
Wintrust Financial Corp. | | | 416 | | | | 22,227 | |
Healthcare Realty Trust, Inc. | | | 881 | | | | 21,893 | |
MB Financial, Inc. | | | 656 | | | | 21,412 | |
Texas Capital Bancshares, Inc.* | | | 401 | | | | 21,020 | |
Medical Properties Trust, Inc. | | | 1,900 | | | | 21,014 | |
Cathay General Bancorp | | | 701 | | | | 21,002 | |
Symetra Financial Corp. | | | 656 | | | | 20,756 | |
First Industrial Realty Trust, Inc. | | | 969 | | | | 20,301 | |
Primerica, Inc. | | | 450 | | | | 20,282 | |
Home BancShares, Inc. | | | 500 | | | | 20,250 | |
RLI Corp. | | | 378 | | | | 20,233 | |
Blackhawk Network Holdings, Inc.* | | | 476 | | | | 20,178 | |
BancorpSouth, Inc. | | | 845 | | | | 20,086 | |
Valley National Bancorp | | | 2,035 | | | | 20,024 | |
FNB Corp. | | | 1,529 | | | | 19,801 | |
IBERIABANK Corp. | | | 335 | | | | 19,500 | |
GEO Group, Inc. | | | 653 | | | | 19,420 | |
DiamondRock Hospitality Co. | | | 1,755 | | | | 19,393 | |
Colony Capital, Inc. — Class A | | | 977 | | | | 19,110 | |
National Health Investors, Inc. | | | 330 | | | | 18,972 | |
CyrusOne, Inc. | | | 579 | | | | 18,910 | |
Washington Federal, Inc. | | | 830 | | | | 18,883 | |
Hudson Pacific Properties, Inc. | | | 652 | | | | 18,771 | |
Fulton Financial Corp. | | | 1,549 | | | | 18,743 | |
Ryman Hospitality Properties, Inc. | | | 380 | | | | 18,707 | |
Hancock Holding Co. | | | 682 | | | | 18,448 | |
Acadia Realty Trust | | | 601 | | | | 18,071 | |
Kennedy-Wilson Holdings, Inc. | | | 813 | | | | 18,024 | |
First Financial Bankshares, Inc. | | | 562 | | | | 17,860 | |
UMB Financial Corp. | | | 345 | | | | 17,529 | |
Janus Capital Group, Inc. | | | 1,286 | | | | 17,490 | |
Cousins Properties, Inc. | | | 1,894 | | | | 17,463 | |
Glacier Bancorp, Inc. | | | 660 | | | | 17,417 | |
BofI Holding, Inc.* | | | 135 | | | | 17,392 | |
Kite Realty Group Trust | | | 730 | | | | 17,381 | |
Ellie Mae, Inc.* | | | 258 | | | | 17,174 | |
Xenia Hotels & Resorts, Inc. | | | 978 | | | | 17,076 | |
Urban Edge Properties | | | 779 | | | | 16,819 | |
EverBank Financial Corp. | | | 848 | | | | 16,367 | |
South State Corp. | | | 212 | | | | 16,296 | |
WisdomTree Investments, Inc. | | | 1,000 | | | | 16,130 | |
Columbia Banking System, Inc. | | | 506 | | | | 15,792 | |
Equity One, Inc. | | | 643 | | | | 15,651 | |
Sterling Bancorp | | | 1,050 | | | | 15,613 | |
Pinnacle Financial Partners, Inc. | | | 314 | | | | 15,515 | |
Selective Insurance Group, Inc. | | | 499 | | | | 15,498 | |
CVB Financial Corp. | | | 924 | | | | 15,431 | |
American Equity Investment Life Holding Co. | | | 661 | | | | 15,408 | |
First Citizens BancShares, Inc. — Class A | | | 68 | | | | 15,368 | |
EastGroup Properties, Inc. | | | 282 | | | | 15,279 | |
Evercore Partners, Inc. — Class A | | | 301 | | | | 15,122 | |
Capitol Federal Financial, Inc. | | | 1,230 | | | | 14,908 | |
Washington Real Estate Investment Trust | | | 595 | | | | 14,833 | |
Mack-Cali Realty Corp. | | | 782 | | | | 14,764 | |
Alexander & Baldwin, Inc. | | | 427 | | | | 14,659 | |
Lexington Realty Trust | | | 1,798 | | | | 14,564 | |
National Penn Bancshares, Inc. | | | 1,228 | | | | 14,429 | |
DuPont Fabros Technology, Inc. | | | 553 | | | | 14,312 | |
New York REIT, Inc. | | | 1,422 | | | | 14,305 | |
Old National Bancorp | | | 1,023 | | | | 14,250 | |
WageWorks, Inc.* | | | 313 | | | | 14,110 | |
Education Realty Trust, Inc. | | | 423 | | | | 13,938 | |
Argo Group International Holdings Ltd. | | | 243 | | | | 13,751 | |
Trustmark Corp. | | | 590 | | | | 13,670 | |
Chesapeake Lodging Trust | | | 523 | | | | 13,629 | |
Monogram Residential Trust, Inc. | | | 1,455 | | | | 13,546 | |
Kemper Corp. | | | 381 | | | | 13,475 | |
Chambers Street Properties | | | 2,071 | | | | 13,441 | |
Financial Engines, Inc. | | | 455 | | | | 13,408 | |
Retail Opportunity Investments Corp. | | | 809 | | | | 13,381 | |
PS Business Parks, Inc. | | | 168 | | | | 13,336 | |
American Assets Trust, Inc. | | | 326 | | | | 13,320 | |
LTC Properties, Inc. | | | 312 | | | | 13,313 | |
Community Bank System, Inc. | | | 357 | | | | 13,270 | |
Hilltop Holdings, Inc.* | | | 667 | | | | 13,213 | |
Sabra Health Care REIT, Inc. | | | 570 | | | | 13,213 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Invesco Mortgage Capital, Inc. | | | 1,077 | | | $ | 13,182 | |
BGC Partners, Inc. — Class A | | | 1,603 | | | | 13,177 | |
Hatteras Financial Corp. | | | 848 | | | | 12,847 | |
LegacyTexas Financial Group, Inc. | | | 417 | | | | 12,711 | |
Astoria Financial Corp. | | | 788 | | | | 12,687 | |
Simmons First National Corp. — Class A | | | 261 | | | | 12,510 | |
Essent Group Ltd.* | | | 487 | | | | 12,102 | |
Enstar Group Ltd.* | | | 80 | | | | 12,000 | |
Pennsylvania Real Estate Investment Trust | | | 605 | | | | 11,997 | |
Horace Mann Educators Corp. | | | 361 | | | | 11,992 | |
First Midwest Bancorp, Inc. | | | 683 | | | | 11,980 | |
Eagle Bancorp, Inc.* | | | 262 | | | | 11,920 | |
International Bancshares Corp. | | | 475 | | | | 11,889 | |
Renasant Corp. | | | 352 | | | | 11,563 | |
Parkway Properties, Inc. | | | 740 | | | | 11,514 | |
Aircastle Ltd. | | | 548 | | | | 11,294 | |
Provident Financial Services, Inc. | | | 576 | | | | 11,232 | |
St. Joe Co.* | | | 587 | | | | 11,229 | |
HFF, Inc. — Class A | | | 332 | | | | 11,208 | |
CoreSite Realty Corp. | | | 213 | | | | 10,957 | |
Northwest Bancshares, Inc. | | | 825 | | | | 10,725 | |
QTS Realty Trust, Inc. — Class A | | | 244 | | | | 10,660 | |
WesBanco, Inc. | | | 337 | | | | 10,599 | |
Independent Bank Corp. | | | 228 | | | | 10,510 | |
BBCN Bancorp, Inc. | | | 695 | | | | 10,439 | |
Select Income REIT | | | 549 | | | | 10,436 | |
Gramercy Property Trust, Inc. | | | 502 | | | | 10,427 | |
Ramco-Gershenson Properties Trust | | | 693 | | | | 10,402 | |
NBT Bancorp, Inc. | | | 386 | | | | 10,399 | |
STAG Industrial, Inc. | | | 570 | | | | 10,380 | |
First Financial Bancorp | | | 541 | | | | 10,322 | |
Park National Corp. | | | 114 | | | | 10,285 | |
Potlatch Corp. | | | 356 | | | | 10,249 | |
Redwood Trust, Inc. | | | 738 | | | | 10,214 | |
PennyMac Mortgage Investment Trust | | | 653 | | | | 10,102 | |
CYS Investments, Inc. | | | 1,384 | | | | 10,048 | |
Third Point Reinsurance Ltd.* | | | 738 | | | | 9,926 | |
S&T Bancorp, Inc. | | | 304 | | | | 9,916 | |
Westamerica Bancorporation | | | 223 | | | | 9,910 | |
Government Properties Income Trust | | | 616 | | | | 9,856 | |
Hersha Hospitality Trust | | | 430 | | | | 9,744 | |
Beneficial Bancorp, Inc.* | | | 722 | | | | 9,574 | |
Chemical Financial Corp. | | | 294 | | | | 9,511 | |
Union Bankshares Corp. | | | 394 | | | | 9,456 | |
iStar, Inc.* | | | 748 | | | | 9,410 | |
Kearny Financial Corp. | | | 819 | | | | 9,394 | |
Physicians Realty Trust | | | 616 | | | | 9,295 | |
Great Western Bancorp, Inc. | | | 362 | | | | 9,185 | |
Summit Hotel Properties, Inc. | | | 764 | | | | 8,916 | |
FelCor Lodging Trust, Inc. | | | 1,253 | | | | 8,859 | |
United Community Banks, Inc. | | | 432 | | | | 8,830 | |
Banner Corp. | | | 183 | | | | 8,742 | |
First Merchants Corp. | | | 332 | | | | 8,705 | |
Boston Private Financial Holdings, Inc. | | | 726 | | | | 8,494 | |
Franklin Street Properties Corp. | | | 788 | | | | 8,471 | |
Encore Capital Group, Inc.* | | | 228 | | | | 8,436 | |
Investors Real Estate Trust | | | 1,073 | | | | 8,305 | |
AMERISAFE, Inc. | | | 167 | | | | 8,305 | |
Capstead Mortgage Corp. | | | 839 | | | | 8,298 | |
Universal Insurance Holdings, Inc. | | | 279 | | | | 8,242 | |
Stewart Information Services Corp. | | | 200 | | | | 8,182 | |
FNFV Group* | | | 698 | | | | 8,181 | |
ServisFirst Bancshares, Inc. | | | 196 | | | | 8,140 | |
Infinity Property & Casualty Corp. | | | 101 | | | | 8,135 | |
Ameris Bancorp | | | 282 | | | | 8,108 | |
Apollo Commercial Real Estate Finance, Inc. | | | 513 | | | | 8,059 | |
FCB Financial Holdings, Inc. — Class A* | | | 245 | | | | 7,992 | |
Starwood Waypoint Residential Trust | | | 335 | | | | 7,983 | |
Talmer Bancorp, Inc. — Class A | | | 479 | | | | 7,975 | |
ARMOUR Residential REIT, Inc. | | | 386 | | | | 7,735 | |
MBIA, Inc.* | | | 1,271 | | | | 7,728 | |
New Senior Investment Group, Inc. | | | 731 | | | | 7,647 | |
TowneBank | | | 398 | | | | 7,502 | |
Terreno Realty Corp. | | | 376 | | | | 7,384 | |
Greenhill & Company, Inc. | | | 257 | | | | 7,317 | |
Navigators Group, Inc.* | | | 93 | | | | 7,252 | |
Chatham Lodging Trust | | | 336 | | | | 7,217 | |
Nelnet, Inc. — Class A | | | 207 | | | | 7,164 | |
Safety Insurance Group, Inc. | | | 132 | | | | 7,148 | |
WSFS Financial Corp. | | | 248 | | | | 7,145 | |
Berkshire Hills Bancorp, Inc. | | | 258 | | | | 7,105 | |
First Commonwealth Financial Corp. | | | 779 | | | | 7,081 | |
Hanmi Financial Corp. | | | 279 | | | | 7,031 | |
Tompkins Financial Corp. | | | 131 | | | | 6,990 | |
Altisource Residential Corp. | | | 502 | | | | 6,988 | |
Alexander’s, Inc. | | | 18 | | | | 6,731 | |
Rexford Industrial Realty, Inc. | | | 485 | | | | 6,688 | |
American Capital Mortgage Investment Corp. | | | 449 | | | | 6,618 | |
Lakeland Financial Corp. | | | 146 | | | | 6,592 | |
Meridian Bancorp, Inc. | | | 481 | | | | 6,575 | |
STORE Capital Corp. | | | 318 | | | | 6,570 | |
City Holding Co. | | | 133 | | | | 6,557 | |
Wilshire Bancorp, Inc. | | | 616 | | | | 6,474 | |
State Bank Financial Corp. | | | 313 | | | | 6,473 | |
Cardinal Financial Corp. | | | 280 | | | | 6,443 | |
Ocwen Financial Corp.* | | | 941 | | | | 6,314 | |
National General Holdings Corp. | | | 326 | | | | 6,289 | |
Northfield Bancorp, Inc. | | | 411 | | | | 6,251 | |
United Fire Group, Inc. | | | 178 | | | | 6,239 | |
Employers Holdings, Inc. | | | 279 | | | | 6,219 | |
Inland Real Estate Corp. | | | 767 | | | | 6,213 | |
Brookline Bancorp, Inc. | | | 612 | | | | 6,206 | |
PHH Corp.* | | | 436 | | | | 6,156 | |
Maiden Holdings Ltd. | | | 443 | | | | 6,149 | |
Southside Bancshares, Inc. | | | 222 | | | | 6,116 | |
Virtus Investment Partners, Inc. | | | 60 | | | | 6,030 | |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Walker & Dunlop, Inc.* | | | 231 | | | $ | 6,024 | |
Oritani Financial Corp. | | | 384 | | | | 5,998 | |
Customers Bancorp, Inc.* | | | 233 | | | | 5,988 | |
Capital Bank Financial Corp. — Class A* | | | 195 | | | | 5,895 | |
CenterState Banks, Inc. | | | 399 | | | | 5,865 | |
Ambac Financial Group, Inc.* | | | 395 | | | | 5,716 | |
First Potomac Realty Trust | | | 515 | | | | 5,665 | |
Heartland Financial USA, Inc. | | | 156 | | | | 5,661 | |
Greenlight Capital Re Ltd. — Class A* | | | 254 | | | | 5,659 | |
United Financial Bancorp, Inc. | | | 432 | | | | 5,638 | |
Sandy Spring Bancorp, Inc. | | | 215 | | | | 5,629 | |
BNC Bancorp | | | 248 | | | | 5,513 | |
Marcus & Millichap, Inc.* | | | 119 | | | | 5,473 | |
Walter Investment Management Corp.* | | | 331 | | | | 5,379 | |
New York Mortgage Trust, Inc. | | | 957 | | | | 5,254 | |
Flushing Financial Corp. | | | 258 | | | | 5,165 | |
Universal Health Realty Income Trust | | | 110 | | | | 5,163 | |
FBL Financial Group, Inc. — Class A | | | 83 | | | | 5,106 | |
Silver Bay Realty Trust Corp. | | | 318 | | | | 5,091 | |
Monmouth Real Estate Investment Corp. | | | 520 | | | | 5,070 | |
ConnectOne Bancorp, Inc. | | | 262 | | | | 5,057 | |
Washington Trust Bancorp, Inc. | | | 130 | | | | 4,999 | |
Ladder Capital Corp. — Class A | | | 349 | | | | 4,997 | |
Rouse Properties, Inc. | | | 320 | | | | 4,986 | |
Heritage Financial Corp. | | | 264 | | | | 4,968 | |
Cass Information Systems, Inc. | | | 101 | | | | 4,962 | |
TriCo Bancshares | | | 199 | | | | 4,889 | |
Cohen & Steers, Inc. | | | 178 | | | | 4,886 | |
American Residential Properties, Inc. | | | 282 | | | | 4,870 | |
Community Trust Bancorp, Inc. | | | 137 | | | | 4,865 | |
TrustCo Bank Corp. NY | | | 832 | | | | 4,859 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 282 | | | | 4,856 | |
Bryn Mawr Bank Corp. | | | 156 | | | | 4,847 | |
Diamond Hill Investment Group, Inc. | | | 26 | | | | 4,837 | |
Piper Jaffray Cos.* | | | 133 | | | | 4,811 | |
First Interstate BancSystem, Inc. — Class A | | | 172 | | | | 4,788 | |
Nationstar Mortgage Holdings, Inc.* | | | 345 | | | | 4,785 | |
Yadkin Financial Corp. | | | 221 | | | | 4,749 | |
Stock Yards Bancorp, Inc. | | | 130 | | | | 4,726 | |
United Development Funding IV | | | 268 | | | | 4,717 | |
First NBC Bank Holding Co.* | | | 134 | | | | 4,695 | |
Western Asset Mortgage Capital Corp. | | | 367 | | | | 4,628 | |
Cedar Realty Trust, Inc. | | | 744 | | | | 4,620 | |
Dime Community Bancshares, Inc. | | | 273 | | | | 4,614 | |
Agree Realty Corp. | | | 154 | | | | 4,597 | |
Urstadt Biddle Properties, Inc. — Class A | | | 243 | | | | 4,554 | |
InfraREIT, Inc. | | | 192 | | | | 4,547 | |
Anworth Mortgage Asset Corp. | | | 918 | | | | 4,535 | |
HomeStreet, Inc.* | | | 194 | | | | 4,481 | |
National Western Life Insurance Co. — Class A | | | 20 | | | | 4,454 | |
Cowen Group, Inc. — Class A* | | | 976 | | | | 4,451 | |
Saul Centers, Inc. | | | 86 | | | | 4,451 | |
Ashford Hospitality Trust, Inc. | | | 729 | | | | 4,447 | |
1st Source Corp. | | | 144 | | | | 4,435 | |
Enterprise Financial Services Corp. | | | 175 | | | | 4,405 | |
Central Pacific Financial Corp. | | | 202 | | | | 4,236 | |
Heritage Insurance Holdings, Inc.* | | | 214 | | | | 4,222 | |
First Busey Corp. | | | 209 | | | | 4,153 | |
CoBiz Financial, Inc. | | | 318 | | | | 4,137 | |
Acacia Research Corp. | | | 448 | | | | 4,068 | |
Moelis & Co. — Class A | | | 154 | | | | 4,044 | |
BancFirst Corp. | | | 64 | | | | 4,038 | |
Investment Technology Group, Inc. | | | 300 | | | | 4,002 | |
Great Southern Bancorp, Inc. | | | 92 | | | | 3,984 | |
Banc of California, Inc. | | | 317 | | | | 3,890 | |
MainSource Financial Group, Inc. | | | 190 | | | | 3,868 | |
Forestar Group, Inc.* | | | 293 | | | | 3,854 | |
Virtu Financial, Inc. — Class A | | | 167 | | | | 3,828 | |
Pacific Premier Bancorp, Inc.* | | | 188 | | | | 3,820 | |
Square 1 Financial, Inc. — Class A* | | | 148 | | | | 3,800 | |
AG Mortgage Investment Trust, Inc. | | | 249 | | | | 3,790 | |
CareTrust REIT, Inc. | | | 331 | | | | 3,757 | |
RE/MAX Holdings, Inc. — Class A | | | 103 | | | | 3,706 | |
Westwood Holdings Group, Inc. | | | 68 | | | | 3,696 | |
Lakeland Bancorp, Inc. | | | 332 | | | | 3,689 | |
Flagstar Bancorp, Inc.* | | | 179 | | | | 3,680 | |
RAIT Financial Trust | | | 739 | | | | 3,665 | |
First BanCorp* | | | 1,018 | | | | 3,624 | |
CatchMark Timber Trust, Inc. — Class A | | | 346 | | | | 3,557 | |
Apollo Residential Mortgage, Inc. | | | 279 | | | | 3,532 | |
Getty Realty Corp. | | | 223 | | | | 3,523 | |
Opus Bank | | | 91 | | | | 3,480 | |
Bridge Bancorp, Inc. | | | 130 | | | | 3,472 | |
Blue Hills Bancorp, Inc. | | | 246 | | | | 3,407 | |
OFG Bancorp | | | 390 | | | | 3,405 | |
German American Bancorp, Inc. | | | 116 | | | | 3,395 | |
Ashford Hospitality Prime, Inc. | | | 240 | | | | 3,367 | |
Peoples Bancorp, Inc. | | | 161 | | | | 3,347 | |
Univest Corporation of Pennsylvania | | | 173 | | | | 3,325 | |
NMI Holdings, Inc. — Class A* | | | 437 | | | | 3,321 | |
Clifton Bancorp, Inc. | | | 238 | | | | 3,303 | |
CU Bancorp* | | | 147 | | | | 3,302 | |
OM Asset Management plc | | | 214 | | | | 3,300 | |
HomeTrust Bancshares, Inc.* | | | 177 | | | | 3,283 | |
KCG Holdings, Inc. — Class A* | | | 298 | | | | 3,269 | |
Independent Bank Group, Inc. | | | 85 | | | | 3,267 | |
Resource Capital Corp. | | | 292 | | | | 3,262 | |
International. FCStone, Inc.* | | | 132 | | | | 3,259 | |
Preferred Bank/Los Angeles CA | | | 102 | | | | 3,223 | |
Waterstone Financial, Inc. | | | 237 | | | | 3,195 | |
Citizens, Inc.* | | | 430 | | | | 3,191 | |
Dynex Capital, Inc. | | | 480 | | | | 3,149 | |
First Financial Corp. | | | 97 | | | | 3,138 | |
Bank Mutual Corp. | | | 408 | | | | 3,133 | |
Stonegate Bank | | | 98 | | | | 3,117 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Mercantile Bank Corp. | | | 148 | | | $ | 3,075 | |
Financial Institutions, Inc. | | | 124 | | | | 3,073 | |
Seacoast Banking Corporation of Florida* | | | 209 | | | | 3,068 | |
Metro Bancorp, Inc. | | | 104 | | | | 3,057 | |
Fidelity Southern Corp. | | | 143 | | | | 3,023 | |
GAMCO Investors, Inc. — Class A | | | 55 | | | | 3,020 | |
Campus Crest Communities, Inc. | | | 566 | | | | 3,011 | |
State Auto Financial Corp. | | | 132 | | | | 3,011 | |
Federated National Holding Co. | | | 124 | | | | 2,978 | |
Independent Bank Corp. | | | 201 | | | | 2,967 | |
First Defiance Financial Corp. | | | 81 | | | | 2,961 | |
First Bancorp | | | 173 | | | | 2,941 | |
HCI Group, Inc. | | | 75 | | | | 2,908 | |
First of Long Island Corp. | | | 107 | | | | 2,892 | |
Peapack Gladstone Financial Corp. | | | 136 | | | | 2,879 | |
Ares Commercial Real Estate Corp. | | | 238 | | | | 2,854 | |
Anchor BanCorp Wisconsin, Inc.* | | | 67 | | | | 2,854 | |
Arlington Asset Investment Corp. — Class A | | | 201 | | | | 2,824 | |
Suffolk Bancorp | | | 102 | | | | 2,787 | |
OneBeacon Insurance Group Ltd. — Class A | | | 198 | | | | 2,780 | |
Altisource Portfolio Solutions S.A.* | | | 116 | | | | 2,765 | |
Southwest Bancorp, Inc. | | | 166 | | | | 2,724 | |
National Storage Affiliates Trust | | | 201 | | | | 2,724 | |
Whitestone REIT — Class B | | | 236 | | | | 2,721 | |
Park Sterling Corp. | | | 395 | | | | 2,686 | |
NewBridge Bancorp | | | 314 | | | | 2,678 | |
First Community Bancshares, Inc. | | | 148 | | | | 2,649 | |
West Bancorporation, Inc. | | | 141 | | | | 2,644 | |
Camden National Corp. | | | 65 | | | | 2,626 | |
Arrow Financial Corp. | | | 96 | | | | 2,557 | |
Gladstone Commercial Corp. | | | 181 | | | | 2,554 | |
State National Companies, Inc. | | | 273 | | | | 2,553 | |
Meta Financial Group, Inc. | | | 61 | | | | 2,548 | |
Bank of Marin Bancorp | | | 52 | | | | 2,495 | |
Fidelity & Guaranty Life | | | 99 | | | | 2,429 | |
Federal Agricultural Mortgage Corp. — Class C | | | 92 | | | | 2,386 | |
Horizon Bancorp | | | 100 | | | | 2,375 | |
One Liberty Properties, Inc. | | | 110 | | | | 2,346 | |
Enova International, Inc.* | | | 229 | | | | 2,340 | |
TriState Capital Holdings, Inc.* | | | 187 | | | | 2,332 | |
Peoples Financial Services Corp. | | | 66 | | | | 2,305 | |
CNB Financial Corp. | | | 126 | | | | 2,289 | |
First Connecticut Bancorp, Inc. | | | 141 | | | | 2,273 | |
CorEnergy Infrastructure Trust, Inc. | | | 513 | | | | 2,267 | |
Pacific Continental Corp. | | | 170 | | | | 2,263 | |
Bancorp, Inc.* | | | 294 | | | | 2,240 | |
QCR Holdings, Inc. | | | 102 | | | | 2,231 | |
NexPoint Residential Trust, Inc. | | | 166 | | | | 2,218 | |
Triumph Bancorp, Inc.* | | | 130 | | | | 2,184 | |
Armada Hoffler Properties, Inc. | | | 223 | | | | 2,179 | |
United Community Financial Corp. | | | 430 | | | | 2,150 | |
Guaranty Bancorp | | | 130 | | | | 2,141 | |
Republic Bancorp, Inc. — Class A | | | 87 | | | | 2,136 | |
Preferred Apartment Communities, Inc. — Class A | | | 195 | | | | 2,122 | |
Citizens & Northern Corp. | | | 107 | | | | 2,089 | |
Heritage Commerce Corp. | | | 184 | | | | 2,087 | |
GAIN Capital Holdings, Inc. | | | 281 | | | | 2,046 | |
MidWestOne Financial Group, Inc. | | | 69 | | | | 2,019 | |
OceanFirst Financial Corp. | | | 117 | | | | 2,015 | |
eHealth, Inc.* | | | 157 | | | | 2,011 | |
BankFinancial Corp. | | | 161 | | | | 2,001 | |
Bluerock Residential Growth REIT, Inc. | | | 165 | | | | 1,977 | |
United Insurance Holdings Corp. | | | 150 | | | | 1,973 | |
Territorial Bancorp, Inc. | | | 75 | | | | 1,953 | |
Ladenburg Thalmann Financial Services, Inc.* | | | 922 | | | | 1,945 | |
Easterly Government Properties, Inc. | | | 120 | | | | 1,914 | |
Global Indemnity plc — Class A* | | | 73 | | | | 1,910 | |
National Bankshares, Inc. | | | 61 | | | | 1,898 | |
Real Industry, Inc.* | | | 215 | | | | 1,896 | |
Consolidated-Tomoka Land Co. | | | 38 | | | | 1,892 | |
Ames National Corp. | | | 82 | | | | 1,880 | |
Independence Realty Trust, Inc. | | | 258 | | | | 1,860 | |
PennyMac Financial Services, Inc. — Class A* | | | 116 | | | | 1,856 | |
Orchid Island Capital, Inc. | | | 200 | | | | 1,850 | |
Charter Financial Corp. | | | 145 | | | | 1,839 | |
UMH Properties, Inc. | | | 196 | | | | 1,823 | |
Oppenheimer Holdings, Inc. — Class A | | | 91 | | | | 1,821 | |
FRP Holdings, Inc.* | | | 60 | | | | 1,808 | |
American National Bankshares, Inc. | | | 77 | | | | 1,806 | |
First Bancorp, Inc. | | | 94 | | | | 1,795 | |
First Business Financial Services, Inc. | | | 76 | | | | 1,788 | |
Baldwin & Lyons, Inc. — Class B | | | 82 | | | | 1,779 | |
Fox Chase Bancorp, Inc. | | | 102 | | | | 1,771 | |
NewStar Financial, Inc.* | | | 211 | | | | 1,730 | |
Penns Woods Bancorp, Inc. | | | 42 | | | | 1,719 | |
Atlas Financial Holdings, Inc.* | | | 91 | | | | 1,684 | |
World Acceptance Corp.* | | | 62 | | | | 1,664 | |
Bar Harbor Bankshares | | | 52 | | | | 1,663 | |
Sierra Bancorp | | | 104 | | | | 1,660 | |
National Interstate Corp. | | | 62 | | | | 1,654 | |
Heritage Oaks Bancorp | | | 206 | | | | 1,640 | |
Farmers Capital Bank Corp.* | | | 65 | | | | 1,615 | |
Sun Bancorp, Inc.* | | | 84 | | | | 1,612 | |
EMC Insurance Group, Inc. | | | 69 | | | | 1,601 | |
Old Second Bancorp, Inc.* | | | 256 | | | | 1,595 | |
Kansas City Life Insurance Co. | | | 32 | | | | 1,504 | |
BSB Bancorp, Inc.* | | | 71 | | | | 1,501 | |
Calamos Asset Management, Inc. — Class A | | | 156 | | | | 1,479 | |
Regional Management Corp.* | | | 95 | | | | 1,473 | |
Cascade Bancorp* | | | 269 | | | | 1,455 | |
Hallmark Financial Services, Inc.* | | | 124 | | | | 1,425 | |
Enterprise Bancorp, Inc. | | | 67 | | | | 1,405 | |
Capital City Bank Group, Inc. | | | 94 | | | | 1,402 | |
Crawford & Co. — Class B | | | 249 | | | | 1,397 | |
Hingham Institution for Savings | | | 12 | | | | 1,392 | |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Access National Corp. | | | 64 | | | $ | 1,304 | |
National Commerce Corp.* | | | 53 | | | | 1,271 | |
Impac Mortgage Holdings, Inc.* | | | 76 | | | | 1,243 | |
Merchants Bancshares, Inc. | | | 42 | | | | 1,235 | |
Century Bancorp, Inc. — Class A | | | 30 | | | | 1,223 | |
CommunityOne Bancorp* | | | 108 | | | | 1,174 | |
Marlin Business Services Corp. | | | 76 | | | | 1,170 | |
Trupanion, Inc.* | | | 143 | | | | 1,080 | |
Franklin Financial Network, Inc.* | | | 48 | | | | 1,073 | |
Donegal Group, Inc. — Class A | | | 75 | | | | 1,055 | |
Bear State Financial, Inc.* | | | 117 | | | | 1,041 | |
Green Bancorp, Inc.* | | | 89 | | | | 1,020 | |
On Deck Capital, Inc.* | | | 102 | | | | 1,010 | |
C1 Financial, Inc.* | | | 52 | | | | 991 | |
Pzena Investment Management, Inc. — Class A | | | 110 | | | | 979 | |
Stonegate Mortgage Corp.* | | | 128 | | | | 910 | |
Independence Holding Co. | | | 62 | | | | 804 | |
JG Wentworth Co. — Class A* | | | 127 | | | | 626 | |
Ashford, Inc.* | | | 9 | | | | 571 | |
Hampton Roads Bankshares, Inc.* | | | 299 | | | | 568 | |
Great Ajax Corp. | | | 38 | | | | 470 | |
6D Global Technologies, Inc.*,†† | | | 157 | | | | 457 | |
BBX Capital Corp. — Class A* | | | 24 | | | | 386 | |
Fifth Street Asset Management, Inc. | | | 51 | | | | 381 | |
CIFC Corp. | | | 53 | | | | 379 | |
RCS Capital Corp. — Class A* | | | 431 | | | | 349 | |
Medley Management, Inc. — Class A | | | 52 | | | | 344 | |
ZAIS Group Holdings, Inc.* | | | 33 | | | | 311 | |
Altisource Asset Management Corp.* | | | 8 | | | | 192 | |
Total Financial | | | | | | | 3,737,444 | |
| | | | | | | | | |
Consumer, Non-cyclical - 13.6% | |
Anacor Pharmaceuticals, Inc.* | | | 356 | | | | 41,906 | |
West Pharmaceutical Services, Inc. | | | 630 | | | | 34,095 | |
Team Health Holdings, Inc.* | | | 631 | | | | 34,092 | |
STERIS Corp. | | | 522 | | | | 33,914 | |
ABIOMED, Inc.* | | | 365 | | | | 33,857 | |
Euronet Worldwide, Inc.* | | | 455 | | | | 33,710 | |
WellCare Health Plans, Inc.* | | | 386 | | | | 33,266 | |
Amsurg Corp. — Class A* | | | 425 | | | | 33,027 | |
Ultragenyx Pharmaceutical, Inc.* | | | 337 | | | | 32,457 | |
HealthSouth Corp. | | | 801 | | | | 30,734 | |
Thoratec Corp.* | | | 475 | | | | 30,048 | |
PAREXEL International Corp.* | | | 484 | | | | 29,969 | |
Neurocrine Biosciences, Inc.* | | | 747 | | | | 29,722 | |
Post Holdings, Inc.* | | | 500 | | | | 29,550 | |
TreeHouse Foods, Inc.* | | | 375 | | | | 29,171 | |
Cepheid* | | | 627 | | | | 28,339 | |
Deluxe Corp. | | | 438 | | | | 24,415 | |
Dyax Corp.* | | | 1,275 | | | | 24,340 | |
Molina Healthcare, Inc.* | | | 344 | | | | 23,684 | |
ACADIA Pharmaceuticals, Inc.* | | | 697 | | | | 23,051 | |
Myriad Genetics, Inc.* | | | 606 | | | | 22,713 | |
Clovis Oncology, Inc.* | | | 242 | | | | 22,254 | |
Helen of Troy Ltd.* | | | 248 | | | | 22,146 | |
Impax Laboratories, Inc.* | | | 627 | | | | 22,077 | |
Medicines Co.* | | | 579 | | | | 21,979 | |
Cimpress N.V.* | | | 287 | | | | 21,844 | |
United Natural Foods, Inc.* | | | 439 | | | | 21,296 | |
Bright Horizons Family Solutions, Inc.* | | | 328 | | | | 21,070 | |
Healthcare Services Group, Inc. | | | 625 | | | | 21,062 | |
Prestige Brands Holdings, Inc.* | | | 459 | | | | 20,728 | |
NuVasive, Inc.* | | | 423 | | | | 20,396 | |
Heartland Payment Systems, Inc. | | | 320 | | | | 20,163 | |
Chemed Corp. | | | 150 | | | | 20,020 | |
CEB, Inc. | | | 292 | | | | 19,955 | |
Monro Muffler Brake, Inc. | | | 277 | | | | 18,711 | |
Radius Health, Inc.* | | | 268 | | | | 18,575 | |
B&G Foods, Inc. | | | 508 | | | | 18,516 | |
Catalent, Inc.* | | | 734 | | | | 17,837 | |
Owens & Minor, Inc. | | | 554 | | | | 17,695 | |
Sotheby’s | | | 545 | | | | 17,429 | |
Portola Pharmaceuticals, Inc.* | | | 404 | | | | 17,218 | |
Cantel Medical Corp. | | | 299 | | | | 16,953 | |
KYTHERA Biopharmaceuticals, Inc.* | | | 226 | | | | 16,945 | |
Vector Group Ltd. | | | 749 | | | | 16,944 | |
Advisory Board Co.* | | | 372 | | | | 16,941 | |
Boston Beer Company, Inc. — Class A* | | | 80 | | | | 16,849 | |
On Assignment, Inc.* | | | 452 | | | | 16,679 | |
Novavax, Inc.* | | | 2,345 | | | | 16,579 | |
SUPERVALU, Inc.* | | | 2,296 | | | | 16,486 | |
Darling Ingredients, Inc.* | | | 1,446 | | | | 16,253 | |
Lancaster Colony Corp. | | | 162 | | | | 15,792 | |
Grand Canyon Education, Inc.* | | | 412 | | | | 15,652 | |
Chimerix, Inc.* | | | 399 | | | | 15,242 | |
DeVry Education Group, Inc. | | | 558 | | | | 15,183 | |
FTI Consulting, Inc.* | | | 365 | | | | 15,151 | |
Exact Sciences Corp.* | | | 840 | | | | 15,112 | |
Cal-Maine Foods, Inc. | | | 273 | | | | 14,909 | |
J&J Snack Foods Corp. | | | 131 | | | | 14,889 | |
Masimo Corp.* | | | 383 | | | | 14,769 | |
Haemonetics Corp.* | | | 453 | | | | 14,641 | |
Neogen Corp.* | | | 325 | | | | 14,622 | |
Korn/Ferry International | | | 442 | | | | 14,617 | |
Snyder’s-Lance, Inc. | | | 427 | | | | 14,403 | |
Amicus Therapeutics, Inc.* | | | 1,014 | | | | 14,186 | |
Matthews International Corp. — Class A | | | 288 | | | | 14,104 | |
Kite Pharma, Inc.* | | | 252 | | | | 14,031 | |
Cyberonics, Inc.* | | | 228 | | | | 13,858 | |
Integra LifeSciences Holdings Corp.* | | | 230 | | | | 13,696 | |
Dean Foods Co. | | | 826 | | | | 13,646 | |
ICU Medical, Inc.* | | | 124 | | | | 13,578 | |
Sanderson Farms, Inc. | | | 197 | | | | 13,508 | |
ABM Industries, Inc. | | | 488 | | | | 13,327 | |
Magellan Health, Inc.* | | | 240 | | | | 13,303 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 154 | | | | 13,190 | |
Pacira Pharmaceuticals, Inc.* | | | 320 | | | | 13,152 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Cardtronics, Inc.* | | | 394 | | | $ | 12,884 | |
Insulet Corp.* | | | 497 | | | | 12,877 | |
Huron Consulting Group, Inc.* | | | 202 | | | | 12,631 | |
Nektar Therapeutics* | | | 1,151 | | | | 12,615 | |
Greatbatch, Inc.* | | | 223 | | | | 12,582 | |
AMN Healthcare Services, Inc.* | | | 417 | | | | 12,514 | |
Halozyme Therapeutics, Inc.* | | | 930 | | | | 12,490 | |
Prothena Corporation plc* | | | 274 | | | | 12,423 | |
Globus Medical, Inc. — Class A* | | | 599 | | | | 12,375 | |
Travelport Worldwide Ltd. | | | 925 | | | | 12,229 | |
IPC Healthcare, Inc.* | | | 153 | | | | 11,886 | |
Air Methods Corp.* | | | 345 | | | | 11,761 | |
Halyard Health, Inc.* | | | 408 | | | | 11,604 | |
Sarepta Therapeutics, Inc.* | | | 361 | | | | 11,592 | |
Kindred Healthcare, Inc. | | | 732 | | | | 11,529 | |
Brink’s Co. | | | 426 | | | | 11,506 | |
Fresh Del Monte Produce, Inc. | | | 291 | | | | 11,497 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 1,103 | | | | 11,493 | |
CONMED Corp. | | | 240 | | | | 11,458 | |
Natus Medical, Inc.* | | | 288 | | | | 11,362 | |
WD-40 Co. | | | 127 | | | | 11,312 | |
Rent-A-Center, Inc. | | | 465 | | | | 11,277 | |
AMAG Pharmaceuticals, Inc.* | | | 280 | | | | 11,124 | |
Cambrex Corp.* | | | 274 | | | | 10,872 | |
ExamWorks Group, Inc.* | | | 363 | | | | 10,614 | |
ZS Pharma, Inc.* | | | 159 | | | | 10,440 | |
EVERTEC, Inc. | | | 575 | | | | 10,390 | |
Exelixis, Inc.* | | | 1,830 | | | | 10,266 | |
Insmed, Inc.* | | | 538 | | | | 9,991 | |
Select Medical Holdings Corp. | | | 920 | | | | 9,927 | |
Acorda Therapeutics, Inc.* | | | 374 | | | | 9,915 | |
Depomed, Inc.* | | | 525 | | | | 9,896 | |
Universal Corp. | | | 197 | | | | 9,765 | |
Lannett Company, Inc.* | | | 231 | | | | 9,591 | |
Wright Medical Group, Inc.* | | | 451 | | | | 9,480 | |
Ensign Group, Inc. | | | 222 | | | | 9,464 | |
HealthEquity, Inc.* | | | 318 | | | | 9,397 | |
Amedisys, Inc.* | | | 246 | | | | 9,340 | |
Merit Medical Systems, Inc.* | | | 386 | | | | 9,229 | |
MiMedx Group, Inc.* | | | 950 | | | | 9,168 | |
FibroGen, Inc.* | | | 418 | | | | 9,163 | |
Apollo Education Group, Inc. — Class A* | | | 826 | | | | 9,136 | |
Diplomat Pharmacy, Inc.* | | | 317 | | | | 9,107 | |
Celldex Therapeutics, Inc.* | | | 864 | | | | 9,107 | |
ZIOPHARM Oncology, Inc.* | | | 1,006 | | | | 9,064 | |
Zeltiq Aesthetics, Inc.* | | | 282 | | | | 9,032 | |
Analogic Corp. | | | 109 | | | | 8,942 | |
Momenta Pharmaceuticals, Inc.* | | | 536 | | | | 8,796 | |
NxStage Medical, Inc.* | | | 554 | | | | 8,737 | |
Abaxis, Inc. | | | 197 | | | | 8,666 | |
Tumi Holdings, Inc.* | | | 491 | | | | 8,651 | |
ARIAD Pharmaceuticals, Inc.* | | | 1,463 | | | | 8,544 | |
SpartanNash Co. | | | 330 | | | | 8,531 | |
Fresh Market, Inc.* | | | 377 | | | | 8,516 | |
Multi-Color Corp. | | | 111 | | | | 8,490 | |
Andersons, Inc. | | | 249 | | | | 8,481 | |
Ophthotech Corp.* | | | 206 | | | | 8,347 | |
TrueBlue, Inc.* | | | 368 | | | | 8,269 | |
Merrimack Pharmaceuticals, Inc.* | | | 964 | | | | 8,204 | |
TESARO, Inc.* | | | 204 | | | | 8,180 | |
Repligen Corp.* | | | 286 | | | | 7,965 | |
Coca-Cola Bottling Company Consolidated | | | 41 | | | | 7,929 | |
HeartWare International, Inc.* | | | 151 | | | | 7,899 | |
PTC Therapeutics, Inc.* | | | 294 | | | | 7,850 | |
Cempra, Inc.* | | | 279 | | | | 7,767 | |
PharMerica Corp.* | | | 267 | | | | 7,601 | |
Emergent BioSolutions, Inc.* | | | 266 | | | | 7,578 | |
Intra-Cellular Therapies, Inc.* | | | 189 | | | | 7,568 | |
Insperity, Inc. | | | 170 | | | | 7,468 | |
Dynavax Technologies Corp.* | | | 298 | | | | 7,313 | |
BioCryst Pharmaceuticals, Inc.* | | | 636 | | | | 7,250 | |
ImmunoGen, Inc.* | | | 755 | | | | 7,248 | |
LifeLock, Inc.* | | | 826 | | | | 7,236 | |
Endologix, Inc.* | | | 589 | | | | 7,221 | |
PDL BioPharma, Inc. | | | 1,435 | | | | 7,218 | |
Diamond Foods, Inc.* | | | 231 | | | | 7,129 | |
LDR Holding Corp.* | | | 206 | | | | 7,113 | |
Achillion Pharmaceuticals, Inc.* | | | 1,029 | | | | 7,110 | |
Green Dot Corp. — Class A* | | | 401 | | | | 7,058 | |
Xoom Corp.* | | | 279 | | | | 6,942 | |
MannKind Corp.* | | | 2,158 | | | | 6,927 | |
ACCO Brands Corp.* | | | 963 | | | | 6,808 | |
HMS Holdings Corp.* | | | 775 | | | | 6,796 | |
Nevro Corp.* | | | 146 | | | | 6,773 | |
PRA Health Sciences, Inc.* | | | 174 | | | | 6,756 | |
NutriSystem, Inc. | | | 254 | | | | 6,736 | |
Navigant Consulting, Inc.* | | | 423 | | | | 6,730 | |
Alder Biopharmaceuticals, Inc.* | | | 205 | | | | 6,716 | |
USANA Health Sciences, Inc.* | | | 50 | | | | 6,701 | |
OPKO Health, Inc.* | | | 795 | | | | 6,684 | |
Inogen, Inc.* | | | 137 | | | | 6,651 | |
RPX Corp.* | | | 476 | | | | 6,531 | |
NewLink Genetics Corp.* | | | 182 | | | | 6,523 | |
TherapeuticsMD, Inc.* | | | 1,113 | | | | 6,522 | |
Tornier N.V.* | | | 318 | | | | 6,484 | |
Luminex Corp.* | | | 377 | | | | 6,375 | |
Heron Therapeutics, Inc.* | | | 256 | | | | 6,246 | |
Meridian Bioscience, Inc. | | | 364 | | | | 6,224 | |
Retrophin, Inc.* | | | 306 | | | | 6,200 | |
Seaboard Corp.* | | | 2 | | | | 6,158 | |
Surgical Care Affiliates, Inc.* | | | 188 | | | | 6,147 | |
McGrath RentCorp | | | 228 | | | | 6,085 | |
TriNet Group, Inc.* | | | 361 | | | | 6,065 | |
Central Garden & Pet Co. — Class A* | | | 371 | | | | 5,977 | |
MacroGenics, Inc.* | | | 275 | | | | 5,891 | |
Insys Therapeutics, Inc.* | | | 206 | | | | 5,863 | |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Team, Inc.* | | | 182 | | | $ | 5,846 | |
Cynosure, Inc. — Class A* | | | 194 | | | | 5,828 | |
Affymetrix, Inc.* | | | 677 | | | | 5,782 | |
Calavo Growers, Inc. | | | 129 | | | | 5,759 | |
Kforce, Inc. | | | 215 | | | | 5,650 | |
Array BioPharma, Inc.* | | | 1,236 | | | | 5,636 | |
Ingles Markets, Inc. — Class A | | | 117 | | | | 5,596 | |
Eagle Pharmaceuticals, Inc.* | | | 75 | | | | 5,552 | |
Orthofix International N.V.* | | | 163 | | | | 5,501 | |
AtriCure, Inc.* | | | 249 | | | | 5,456 | |
National Healthcare Corp. | | | 88 | | | | 5,358 | |
Theravance, Inc. | | | 746 | | | | 5,356 | |
Capella Education Co. | | | 107 | | | | 5,299 | |
Strayer Education, Inc.* | | | 96 | | | | 5,277 | |
Relypsa, Inc.* | | | 284 | | | | 5,257 | |
Providence Service Corp.* | | | 120 | | | | 5,230 | |
ICF International, Inc.* | | | 171 | | | | 5,197 | |
Capital Senior Living Corp.* | | | 257 | | | | 5,153 | |
Sage Therapeutics, Inc.* | | | 121 | | | | 5,121 | |
Monster Worldwide, Inc.* | | | 797 | | | | 5,117 | |
LHC Group, Inc.* | | | 114 | | | | 5,104 | |
Viad Corp. | | | 176 | | | | 5,103 | |
Tootsie Roll Industries, Inc. | | | 163 | | | | 5,100 | |
Enanta Pharmaceuticals, Inc.* | | | 140 | | | | 5,060 | |
Resources Connection, Inc. | | | 329 | | | | 4,958 | |
Vascular Solutions, Inc.* | | | 151 | | | | 4,894 | |
US Physical Therapy, Inc. | | | 109 | | | | 4,893 | |
Atrion Corp. | | | 13 | | | | 4,874 | |
Phibro Animal Health Corp. — Class A | | | 153 | | | | 4,839 | |
Quidel Corp.* | | | 252 | | | | 4,758 | |
LendingTree, Inc.* | | | 51 | | | | 4,745 | |
Acceleron Pharma, Inc.* | | | 189 | | | | 4,706 | |
Atara Biotherapeutics, Inc.* | | | 148 | | | | 4,653 | |
Synergy Pharmaceuticals, Inc.* | | | 876 | | | | 4,643 | |
Zafgen, Inc.* | | | 144 | | | | 4,601 | |
Incorporated Research Holdings, Inc. — Class A* | | | 114 | | | | 4,560 | |
Spectranetics Corp.* | | | 371 | | | | 4,374 | |
Cardiovascular Systems, Inc.* | | | 276 | | | | 4,372 | |
Adeptus Health, Inc. — Class A* | | | 54 | | | | 4,361 | |
Sucampo Pharmaceuticals, Inc. — Class A* | | | 216 | | | | 4,292 | |
Raptor Pharmaceutical Corp.* | | | 703 | | | | 4,253 | |
CBIZ, Inc.* | | | 433 | | | | 4,252 | |
Hanger, Inc.* | | | 310 | | | | 4,228 | |
Supernus Pharmaceuticals, Inc.* | | | 299 | | | | 4,195 | |
Coherus Biosciences, Inc.* | | | 206 | | | | 4,128 | |
Vanda Pharmaceuticals, Inc.* | | | 365 | | | | 4,117 | |
Invacare Corp. | | | 282 | | | | 4,081 | |
Paylocity Holding Corp.* | | | 136 | | | | 4,079 | |
Revance Therapeutics, Inc.* | | | 137 | | | | 4,077 | |
Anika Therapeutics, Inc.* | | | 128 | | | | 4,074 | |
Weis Markets, Inc. | | | 97 | | | | 4,050 | |
Arena Pharmaceuticals, Inc.* | | | 2,118 | | | | 4,045 | |
Boulder Brands, Inc.* | | | 480 | | | | 3,931 | |
Ennis, Inc. | | | 226 | | | | 3,923 | |
Lexicon Pharmaceuticals, Inc.* | | | 364 | | | | 3,909 | |
Geron Corp.* | | | 1,383 | | | | 3,817 | |
Cross Country Healthcare, Inc.* | | | 280 | | | | 3,811 | |
Cerus Corp.* | | | 835 | | | | 3,791 | |
Albany Molecular Research, Inc.* | | | 217 | | | | 3,780 | |
Triple-S Management Corp. — Class B* | | | 211 | | | | 3,758 | |
Inter Parfums, Inc. | | | 149 | | | | 3,697 | |
John B Sanfilippo & Son, Inc. | | | 72 | | | | 3,691 | |
Kelly Services, Inc. — Class A | | | 259 | | | | 3,662 | |
K12, Inc.* | | | 294 | | | | 3,657 | |
Omeros Corp.* | | | 332 | | | | 3,639 | |
Infinity Pharmaceuticals, Inc.* | | | 430 | | | | 3,634 | |
Inovio Pharmaceuticals, Inc.* | | | 627 | | | | 3,624 | |
American Public Education, Inc.* | | | 150 | | | | 3,518 | |
Spectrum Pharmaceuticals, Inc.* | | | 584 | | | | 3,492 | |
Progenics Pharmaceuticals, Inc.* | | | 608 | | | | 3,478 | |
Accuray, Inc.* | | | 690 | | | | 3,447 | |
Sangamo BioSciences, Inc.* | | | 608 | | | | 3,429 | |
SP Plus Corp.* | | | 147 | | | | 3,403 | |
Rockwell Medical, Inc.* | | | 441 | | | | 3,400 | |
Intersect ENT, Inc.* | | | 144 | | | | 3,370 | |
Smart & Final Stores, Inc.* | | | 213 | | | | 3,346 | |
Genomic Health, Inc.* | | | 156 | | | | 3,301 | |
Epizyme, Inc.* | | | 254 | | | | 3,266 | |
Amphastar Pharmaceuticals, Inc.* | | | 277 | | | | 3,238 | |
Omega Protein Corp.* | | | 189 | | | | 3,207 | |
Ascent Capital Group, Inc. — Class A* | | | 117 | | | | 3,203 | |
Aerie Pharmaceuticals, Inc.* | | | 180 | | | | 3,193 | |
Keryx Biopharmaceuticals, Inc.* | | | 906 | | | | 3,189 | |
TG Therapeutics, Inc.* | | | 310 | | | | 3,125 | |
Heidrick & Struggles International, Inc. | | | 160 | | | | 3,112 | |
Landauer, Inc. | | | 84 | | | | 3,107 | |
Carriage Services, Inc. — Class A | | | 143 | | | | 3,087 | |
Agenus, Inc.* | | | 669 | | | | 3,077 | |
National Beverage Corp.* | | | 100 | | | | 3,073 | |
Osiris Therapeutics, Inc.* | | | 166 | | | | 3,066 | |
Accelerate Diagnostics, Inc.* | | | 189 | | | | 3,058 | |
Xencor, Inc.* | | | 249 | | | | 3,045 | |
Quad/Graphics, Inc. | | | 251 | | | | 3,037 | |
Healthways, Inc.* | | | 272 | | | | 3,025 | |
SciClone Pharmaceuticals, Inc.* | | | 434 | | | | 3,012 | |
Navidea Biopharmaceuticals, Inc.* | | | 1,319 | | | | 3,007 | |
Arrowhead Research Corp.* | | | 521 | | | | 3,001 | |
Mirati Therapeutics, Inc.* | | | 87 | | | | 2,995 | |
Universal American Corp.* | | | 437 | | | | 2,989 | |
Revlon, Inc. — Class A* | | | 101 | | | | 2,974 | |
Aegerion Pharmaceuticals, Inc.* | | | 218 | | | | 2,965 | |
Sagent Pharmaceuticals, Inc.* | | | 193 | | | | 2,959 | |
Everi Holdings, Inc.* | | | 576 | | | | 2,955 | |
Spark Therapeutics, Inc.* | | | 70 | | | | 2,921 | |
Dermira, Inc.* | | | 125 | | | | 2,918 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
GenMark Diagnostics, Inc.* | | | 370 | | | $ | 2,912 | |
AngioDynamics, Inc.* | | | 220 | | | | 2,902 | |
BioTelemetry, Inc.* | | | 237 | | | | 2,901 | |
Five Prime Therapeutics, Inc.* | | | 188 | | | | 2,893 | |
Hackett Group, Inc. | | | 209 | | | | 2,874 | |
RTI Surgical, Inc.* | | | 503 | | | | 2,857 | |
K2M Group Holdings, Inc.* | | | 153 | | | | 2,846 | |
La Jolla Pharmaceutical Co.* | | | 101 | | | | 2,807 | |
Forrester Research, Inc. | | | 88 | | | | 2,767 | |
ANI Pharmaceuticals, Inc.* | | | 69 | | | | 2,726 | |
Advaxis, Inc.* | | | 266 | | | | 2,721 | |
Esperion Therapeutics, Inc.* | | | 115 | | | | 2,713 | |
NeoGenomics, Inc.* | | | 469 | | | | 2,687 | |
Elizabeth Arden, Inc.* | | | 229 | | | | 2,677 | |
Great Lakes Dredge & Dock Corp.* | | | 529 | | | | 2,666 | |
Barrett Business Services, Inc. | | | 62 | | | | 2,662 | |
STAAR Surgical Co.* | | | 341 | | | | 2,646 | |
Tejon Ranch Co.* | | | 121 | | | | 2,639 | |
James River Group Holdings Ltd. | | | 97 | | | | 2,608 | |
Northwest Biotherapeutics, Inc.* | | | 410 | | | | 2,563 | |
Medifast, Inc.* | | | 95 | | | | 2,552 | |
Concert Pharmaceuticals, Inc.* | | | 135 | | | | 2,534 | |
Almost Family, Inc.* | | | 63 | | | | 2,523 | |
Idera Pharmaceuticals, Inc.* | | | 747 | | | | 2,502 | |
Zogenix, Inc.* | | | 185 | | | | 2,498 | |
SurModics, Inc.* | | | 114 | | | | 2,490 | |
OncoMed Pharmaceuticals, Inc.* | | | 148 | | | | 2,455 | |
Theravance Biopharma, Inc.* | | | 223 | | | | 2,451 | |
CorVel Corp.* | | | 75 | | | | 2,423 | |
Oxford Immunotec Global plc* | | | 177 | | | | 2,390 | |
IGI Laboratories, Inc.* | | | 362 | | | | 2,367 | |
Tetraphase Pharmaceuticals, Inc.* | | | 316 | | | | 2,357 | |
Civitas Solutions, Inc.* | | | 102 | | | | 2,338 | |
Chefs’ Warehouse, Inc.* | | | 165 | | | | 2,336 | |
Ardelyx, Inc.* | | | 135 | | | | 2,333 | |
Otonomy, Inc.* | | | 130 | | | | 2,315 | |
Antares Pharma, Inc.* | | | 1,354 | | | | 2,302 | |
Cara Therapeutics, Inc.* | | | 161 | | | | 2,301 | |
Wausau Paper Corp. | | | 359 | | | | 2,298 | |
Oncothyreon, Inc.* | | | 833 | | | | 2,282 | |
Trevena, Inc.* | | | 220 | | | | 2,277 | |
Lion Biotechnologies, Inc.* | | | 395 | | | | 2,275 | |
Threshold Pharmaceuticals, Inc.* | | | 559 | | | | 2,275 | |
Versartis, Inc.* | | | 196 | | | | 2,260 | |
BioDelivery Sciences International, Inc.* | | | 406 | | | | 2,257 | |
Natural Health Trends Corp. | | | 69 | | | | 2,255 | |
Galena Biopharma, Inc.* | | | 1,416 | | | | 2,237 | |
Career Education Corp.* | | | 593 | | | | 2,230 | |
Aratana Therapeutics, Inc.* | | | 260 | | | | 2,200 | |
OraSure Technologies, Inc.* | | | 495 | | | | 2,198 | |
CryoLife, Inc. | | | 224 | | | | 2,180 | |
CSS Industries, Inc. | | | 82 | | | | 2,160 | |
Pfenex, Inc.* | | | 143 | | | | 2,146 | |
Organovo Holdings, Inc.* | | | 798 | | | | 2,139 | |
ARC Document Solutions, Inc.* | | | 358 | | | | 2,130 | |
Anthera Pharmaceuticals, Inc.* | | | 348 | | | | 2,119 | |
Karyopharm Therapeutics, Inc.* | | | 201 | | | | 2,117 | |
CTI BioPharma Corp.* | | | 1,438 | | | | 2,099 | |
Sorrento Therapeutics, Inc.* | | | 249 | | | | 2,089 | |
Akebia Therapeutics, Inc.* | | | 214 | | | | 2,067 | |
ServiceSource International, Inc.* | | | 516 | | | | 2,064 | |
MoneyGram International, Inc.* | | | 257 | | | | 2,061 | |
Corcept Therapeutics, Inc.* | | | 543 | | | | 2,042 | |
Paratek Pharmaceuticals, Inc. | | | 107 | | | | 2,033 | |
Vectrus, Inc.* | | | 92 | | | | 2,028 | |
Cytokinetics, Inc.* | | | 303 | | | | 2,027 | |
InVivo Therapeutics Holdings Corp.* | | | 231 | | | | 1,991 | |
Catalyst Pharmaceuticals, Inc.* | | | 661 | | | | 1,983 | |
Curis, Inc.* | | | 975 | | | | 1,970 | |
Genesis Healthcare, Inc.* | | | 321 | | | | 1,968 | |
Pacific Biosciences of California, Inc.* | | | 531 | | | | 1,943 | |
Foundation Medicine, Inc.* | | | 105 | | | | 1,937 | |
Durect Corp.* | | | 985 | | | | 1,921 | |
Rigel Pharmaceuticals, Inc.* | | | 771 | | | | 1,904 | |
Orexigen Therapeutics, Inc.* | | | 897 | | | | 1,893 | |
BioSpecifics Technologies Corp.* | | | 43 | | | | 1,872 | |
Ocular Therapeutix, Inc.* | | | 132 | | | | 1,856 | |
Farmer Bros Co.* | | | 68 | | | | 1,853 | |
Flexion Therapeutics, Inc.* | | | 122 | | | | 1,813 | |
Sequenom, Inc.* | | | 1,033 | | | | 1,808 | |
Natural Grocers by Vitamin Cottage, Inc.* | | | 79 | | | | 1,793 | |
XenoPort, Inc.* | | | 515 | | | | 1,787 | |
Peregrine Pharmaceuticals, Inc.* | | | 1,748 | | | | 1,783 | |
Utah Medical Products, Inc. | | | 33 | | | | 1,778 | |
Addus HomeCare Corp.* | | | 57 | | | | 1,776 | |
Blueprint Medicines Corp.* | | | 82 | | | | 1,750 | |
OvaScience, Inc.* | | | 206 | | | | 1,749 | |
Nutraceutical International Corp.* | | | 74 | | | | 1,747 | |
NanoString Technologies, Inc.* | | | 109 | | | | 1,744 | |
Seneca Foods Corp. — Class A* | | | 66 | | | | 1,739 | |
Franklin Covey Co.* | | | 108 | | | | 1,734 | |
CRA International, Inc.* | | | 80 | | | | 1,726 | |
Senomyx, Inc.* | | | 384 | | | | 1,713 | |
Limoneira Co. | | | 100 | | | | 1,673 | |
Cutera, Inc.* | | | 127 | | | | 1,661 | |
RadNet, Inc.* | | | 299 | | | | 1,659 | |
Ignyta, Inc.* | | | 188 | | | | 1,651 | |
Regulus Therapeutics, Inc.* | | | 247 | | | | 1,615 | |
AAC Holdings, Inc.* | | | 70 | | | | 1,558 | |
Exactech, Inc.* | | | 89 | | | | 1,551 | |
Weight Watchers International, Inc.* | | | 240 | | | | 1,531 | |
Ocata Therapeutics, Inc.* | | | 366 | | | | 1,530 | |
Heska Corp.* | | | 50 | | | | 1,524 | |
Adamas Pharmaceuticals, Inc.* | | | 91 | | | | 1,523 | |
Inventure Foods, Inc.* | | | 171 | | | | 1,518 | |
Electro Rent Corp. | | | 146 | | | | 1,515 | |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
PFSweb, Inc.* | | | 106 | | | $ | 1,507 | |
Endocyte, Inc.* | | | 329 | | | | 1,507 | |
MGP Ingredients, Inc. | | | 94 | | | | 1,505 | |
VIVUS, Inc.* | | | 910 | | | | 1,492 | |
Village Super Market, Inc. — Class A | | | 63 | | | | 1,487 | |
POZEN, Inc.* | | | 253 | | | | 1,476 | |
Trovagene, Inc.* | | | 259 | | | | 1,474 | |
ChemoCentryx, Inc.* | | | 243 | | | | 1,470 | |
Cellular Biomedicine Group, Inc.* | | | 86 | | | | 1,456 | |
Immunomedics, Inc.* | | | 845 | | | | 1,453 | |
Foamix Pharmaceuticals Ltd.* | | | 198 | | | | 1,451 | |
Nobilis Health Corp.* | | | 278 | | | | 1,451 | |
Aduro Biotech, Inc.* | | | 73 | | | | 1,414 | |
Avalanche Biotechnologies, Inc.* | | | 171 | | | | 1,409 | |
Civeo Corp. | | | 942 | | | | 1,394 | |
Synta Pharmaceuticals Corp.* | | | 796 | | | | 1,385 | |
CytRx Corp.* | | | 578 | | | | 1,370 | |
BioTime, Inc.* | | | 456 | | | | 1,368 | |
Tandem Diabetes Care, Inc.* | | | 155 | | | | 1,365 | |
Alico, Inc. | | | 33 | | | | 1,339 | |
Vitae Pharmaceuticals, Inc.* | | | 116 | | | | 1,277 | |
LeMaitre Vascular, Inc. | | | 104 | | | | 1,268 | |
SeaSpine Holdings Corp.* | | | 75 | | | | 1,215 | |
Liberty Tax, Inc. | | | 52 | | | | 1,211 | |
Stemline Therapeutics, Inc.* | | | 137 | | | | 1,210 | |
Immune Design Corp.* | | | 99 | | | | 1,208 | |
Assembly Biosciences, Inc.* | | | 126 | | | | 1,205 | |
Pernix Therapeutics Holdings, Inc.* | | | 380 | | | | 1,201 | |
Genocea Biosciences, Inc.* | | | 175 | | | | 1,199 | |
Collegium Pharmaceutical, Inc.* | | | 54 | | | | 1,194 | |
Loxo Oncology, Inc.* | | | 68 | | | | 1,189 | |
Five Star Quality Care, Inc.* | | | 378 | | | | 1,168 | |
Medgenics, Inc.* | | | 148 | | | | 1,157 | |
Patriot National, Inc.* | | | 72 | | | | 1,140 | |
Bridgepoint Education, Inc.* | | | 148 | | | | 1,128 | |
BioScrip, Inc.* | | | 601 | | | | 1,124 | |
Nature’s Sunshine Products, Inc. | | | 93 | | | | 1,114 | |
Harvard Bioscience, Inc.* | | | 292 | | | | 1,104 | |
Dicerna Pharmaceuticals, Inc.* | | | 133 | | | | 1,092 | |
CDI Corp. | | | 125 | | | | 1,069 | |
Bellicum Pharmaceuticals, Inc.* | | | 73 | | | | 1,061 | |
Pendrell Corp.* | | | 1,455 | | | | 1,048 | |
National Research Corp. — Class A | | | 86 | | | | 1,027 | |
Applied Genetic Technologies Corp.* | | | 77 | | | | 1,012 | |
Unilife Corp.* | | | 1,013 | | | | 993 | |
Proteon Therapeutics, Inc.* | | | 68 | | | | 946 | |
Collectors Universe, Inc. | | | 62 | | | | 935 | |
Fibrocell Science, Inc.* | | | 229 | | | | 882 | |
Synutra International, Inc.* | | | 185 | | | | 879 | |
TransEnterix, Inc.* | | | 384 | | | | 868 | |
Care.com, Inc.* | | | 168 | | | | 864 | |
Tokai Pharmaceuticals, Inc.* | | | 83 | | | | 859 | |
Entellus Medical, Inc.* | | | 47 | | | | 847 | |
NV5 Holdings, Inc.* | | | 45 | | | | 835 | |
Affimed N.V.* | | | 134 | | | | 827 | |
Corium International, Inc.* | | | 86 | | | | 804 | |
Volt Information Sciences, Inc.* | | | 84 | | | | 764 | |
Craft Brew Alliance, Inc.* | | | 90 | | | | 717 | |
T2 Biosystems, Inc.* | | | 80 | | | | 701 | |
Universal Technical Institute, Inc. | | | 185 | | | | 649 | |
Second Sight Medical Products, Inc.* | | | 104 | | | | 617 | |
Agile Therapeutics, Inc.* | | | 91 | | | | 613 | |
iRadimed Corp.* | | | 25 | | | | 609 | |
XOMA Corp.* | | | 799 | | | | 601 | |
Vital Therapies, Inc.* | | | 147 | | | | 594 | |
Alimera Sciences, Inc.* | | | 267 | | | | 590 | |
Sientra, Inc.* | | | 58 | | | | 589 | |
Veracyte, Inc.* | | | 118 | | | | 553 | |
CorMedix, Inc.* | | | 278 | | | | 553 | |
aTyr Pharma, Inc.* | | | 53 | | | | 544 | |
Cambium Learning Group, Inc.* | | | 114 | | | | 544 | |
Cidara Therapeutics, Inc.* | | | 42 | | | | 534 | |
Calithera Biosciences, Inc.* | | | 97 | | | | 527 | |
XBiotech, Inc.* | | | 35 | | | | 523 | |
Neff Corp. — Class A* | | | 92 | | | | 514 | |
Verastem, Inc.* | | | 283 | | | | 507 | |
Invitae Corp.* | | | 64 | | | | 462 | |
Lifeway Foods, Inc.* | | | 42 | | | | 440 | |
Alliance HealthCare Services, Inc.* | | | 44 | | | | 429 | |
Carbylan Therapeutics, Inc.* | | | 108 | | | | 386 | |
Abeona Therapeutics, Inc.* | | | 92 | | | | 373 | |
Asterias Biotherapeutics, Inc.* | | | 92 | | | | 356 | |
Arcadia Biosciences, Inc.* | | | 71 | | | | 217 | |
SFX Entertainment, Inc.* | | | 402 | | | | 205 | |
Tobira Therapeutics, Inc.* | | | 21 | | | | 203 | |
Fairway Group Holdings Corp.* | | | 181 | | | | 190 | |
Total Consumer, Non-cyclical | | | | | | | 3,219,890 | |
| | | | | | | | | |
Consumer, Cyclical - 8.2% | |
Casey’s General Stores, Inc. | | | 341 | | | | 35,096 | |
Burlington Stores, Inc.* | | | 659 | | | | 33,634 | |
Vail Resorts, Inc. | | | 318 | | | | 33,288 | |
Buffalo Wild Wings, Inc.* | | | 167 | | | | 32,303 | |
Pool Corp. | | | 381 | | | | 27,546 | |
Restoration Hardware Holdings, Inc.* | | | 293 | | | | 27,340 | |
American Eagle Outfitters, Inc. | | | 1,714 | | | | 26,790 | |
Allegiant Travel Co. — Class A | | | 117 | | | | 25,301 | |
Jack in the Box, Inc. | | | 328 | | | | 25,269 | |
Cracker Barrel Old Country Store, Inc. | | | 168 | | | | 24,743 | |
Ascena Retail Group, Inc.* | | | 1,771 | | | | 24,635 | |
Tenneco, Inc.* | | | 538 | | | | 24,086 | |
Cheesecake Factory, Inc. | | | 427 | | | | 23,041 | |
Texas Roadhouse, Inc. — Class A | | | 611 | | | | 22,729 | |
Dana Holding Corp. | | | 1,429 | | | | 22,693 | |
Big Lots, Inc. | | | 473 | | | | 22,667 | |
G-III Apparel Group Ltd.* | | | 350 | | | | 21,580 | |
Lithia Motors, Inc. — Class A | | | 199 | | | | 21,513 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Cooper Tire & Rubber Co. | | | 505 | | | $ | 19,953 | |
Chico’s FAS, Inc. | | | 1,255 | | | | 19,741 | |
Bloomin’ Brands, Inc. | | | 1,084 | | | | 19,707 | |
Wolverine World Wide, Inc. | | | 904 | | | | 19,563 | |
Asbury Automotive Group, Inc.* | | | 238 | | | | 19,314 | |
TRI Pointe Group, Inc.* | | | 1,415 | | | | 18,523 | |
Steven Madden Ltd.* | | | 493 | | | | 18,054 | |
Men’s Wearhouse, Inc. | | | 422 | | | | 17,943 | |
Pinnacle Entertainment, Inc.* | | | 530 | | | | 17,935 | |
Group 1 Automotive, Inc. | | | 204 | | | | 17,371 | |
Papa John’s International, Inc. | | | 252 | | | | 17,257 | |
Ryland Group, Inc. | | | 410 | | | | 16,740 | |
HNI Corp. | | | 390 | | | | 16,732 | |
Deckers Outdoor Corp.* | | | 287 | | | | 16,663 | |
HSN, Inc. | | | 284 | | | | 16,256 | |
Five Below, Inc.* | | | 478 | | | | 16,051 | |
Churchill Downs, Inc. | | | 118 | | | | 15,789 | |
Marriott Vacations Worldwide Corp. | | | 226 | | | | 15,400 | |
Herman Miller, Inc. | | | 523 | | | | 15,083 | |
Columbia Sportswear Co. | | | 250 | | | | 14,698 | |
Liberty TripAdvisor Holdings, Inc. — Class A* | | | 654 | | | | 14,499 | |
Gentherm, Inc.* | | | 314 | | | | 14,105 | |
Beacon Roofing Supply, Inc.* | | | 434 | | | | 14,101 | |
UniFirst Corp. | | | 130 | | | | 13,885 | |
DineEquity, Inc. | | | 149 | | | | 13,657 | |
Steelcase, Inc. — Class A | | | 729 | | | | 13,421 | |
Express, Inc.* | | | 741 | | | | 13,242 | |
American Axle & Manufacturing Holdings, Inc.* | | | 663 | | | | 13,220 | |
Core-Mark Holding Company, Inc. | | | 201 | | | | 13,155 | |
PriceSmart, Inc. | | | 170 | | | | 13,148 | |
La Quinta Holdings, Inc.* | | | 822 | | | | 12,971 | |
Interface, Inc. — Class A | | | 578 | | | | 12,970 | |
Abercrombie & Fitch Co. — Class A | | | 608 | | | | 12,884 | |
Meritage Homes Corp.* | | | 347 | | | | 12,672 | |
Mobile Mini, Inc. | | | 401 | | | | 12,347 | |
Genesco, Inc.* | | | 211 | | | | 12,042 | |
La-Z-Boy, Inc. | | | 449 | | | | 11,926 | |
Dorman Products, Inc.* | | | 233 | | | | 11,857 | |
Penn National Gaming, Inc.* | | | 700 | | | | 11,746 | |
Caleres, Inc. | | | 384 | | | | 11,724 | |
G&K Services, Inc. — Class A | | | 175 | | | | 11,659 | |
Guess?, Inc. | | | 543 | | | | 11,598 | |
DreamWorks Animation SKG, Inc. — Class A* | | | 664 | | | | 11,587 | |
Boyd Gaming Corp.* | | | 699 | | | | 11,394 | |
Popeyes Louisiana Kitchen, Inc.* | | | 202 | | | | 11,385 | |
Essendant, Inc. | | | 336 | | | | 10,896 | |
SeaWorld Entertainment, Inc. | | | 600 | | | | 10,686 | |
Fiesta Restaurant Group, Inc.* | | | 235 | | | | 10,662 | |
Sonic Corp. | | | 455 | | | | 10,442 | |
Children’s Place, Inc. | | | 181 | | | | 10,438 | |
Hawaiian Holdings, Inc.* | | | 418 | | | | 10,316 | |
CalAtlantic Group, Inc.* | | | 1,281 | | | | 10,248 | |
Select Comfort Corp.* | | | 459 | | | | 10,043 | |
First Cash Financial Services, Inc.* | | | 247 | | | | 9,895 | |
KB Home | | | 713 | | | | 9,661 | |
Oxford Industries, Inc. | | | 129 | | | | 9,531 | |
Knoll, Inc. | | | 428 | | | | 9,407 | |
Red Robin Gourmet Burgers, Inc.* | | | 124 | | | | 9,392 | |
Outerwall, Inc. | | | 162 | | | | 9,223 | |
Buckle, Inc. | | | 247 | | | | 9,132 | |
Meritor, Inc.* | | | 855 | | | | 9,089 | |
MDC Holdings, Inc. | | | 343 | | | | 8,980 | |
Bob Evans Farms, Inc. | | | 206 | | | | 8,930 | |
ScanSource, Inc.* | | | 250 | | | | 8,865 | |
Crocs, Inc.* | | | 673 | | | | 8,699 | |
Belmond Ltd. — Class A* | | | 849 | | | | 8,584 | |
Diamond Resorts International, Inc.* | | | 365 | | | | 8,537 | |
Vitamin Shoppe, Inc.* | | | 259 | | | | 8,454 | |
Krispy Kreme Doughnuts, Inc.* | | | 568 | | | | 8,310 | |
ClubCorp Holdings, Inc. | | | 385 | | | | 8,262 | |
Denny’s Corp.* | | | 738 | | | | 8,140 | |
BJ’s Restaurants, Inc.* | | | 188 | | | | 8,090 | |
Cato Corp. — Class A | | | 231 | | | | 7,861 | |
Finish Line, Inc. — Class A | | | 403 | | | | 7,778 | |
International Speedway Corp. — Class A | | | 244 | | | | 7,740 | |
Hibbett Sports, Inc.* | | | 217 | | | | 7,596 | |
Virgin America, Inc.* | | | 221 | | | | 7,565 | |
SkyWest, Inc. | | | 453 | | | | 7,556 | |
iRobot Corp.* | | | 259 | | | | 7,547 | |
Dave & Buster’s Entertainment, Inc.* | | | 199 | | | | 7,528 | |
Rush Enterprises, Inc. — Class A* | | | 310 | | | | 7,502 | |
Mattress Firm Holding Corp.* | | | 179 | | | | 7,475 | |
TiVo, Inc.* | | | 850 | | | | 7,361 | |
American Woodmark Corp.* | | | 113 | | | | 7,330 | |
Remy International, Inc. | | | 250 | | | | 7,312 | |
National CineMedia, Inc. | | | 538 | | | | 7,221 | |
Steiner Leisure Ltd.* | | | 113 | | | | 7,139 | |
Cooper-Standard Holding, Inc.* | | | 119 | | | | 6,902 | |
Eros International plc* | | | 248 | | | | 6,743 | |
Cash America International, Inc. | | | 239 | | | | 6,685 | |
Zoe’s Kitchen, Inc.* | | | 169 | | | | 6,674 | |
Wesco Aircraft Holdings, Inc.* | | | 541 | | | | 6,600 | |
Interval Leisure Group, Inc. | | | 343 | | | | 6,297 | |
Wabash National Corp.* | | | 593 | | | | 6,280 | |
Libbey, Inc. | | | 190 | | | | 6,196 | |
Standard Motor Products, Inc. | | | 175 | | | | 6,104 | |
Rentrak Corp.* | | | 110 | | | | 5,948 | |
Ethan Allen Interiors, Inc. | | | 223 | | | | 5,889 | |
Sonic Automotive, Inc. — Class A | | | 288 | | | | 5,881 | |
Universal Electronics, Inc.* | | | 139 | | | | 5,842 | |
Conn’s, Inc.* | | | 240 | | | | 5,770 | |
Pep Boys-Manny Moe & Jack* | | | 472 | | | | 5,754 | |
Callaway Golf Co. | | | 684 | | | | 5,711 | |
Navistar International Corp.* | | | 447 | | | | 5,686 | |
Iconix Brand Group, Inc.* | | | 418 | | | | 5,651 | |
Pier 1 Imports, Inc. | | | 788 | | | | 5,437 | |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Barnes & Noble, Inc. | | | 445 | | | $ | 5,389 | |
Performance Sports Group Ltd.* | | | 397 | | | | 5,327 | |
Cavco Industries, Inc.* | | | 78 | | | | 5,311 | |
Taylor Morrison Home Corp. — Class A* | | | 283 | | | | 5,281 | |
Biglari Holdings, Inc.* | | | 14 | | | | 5,120 | |
M/I Homes, Inc.* | | | 214 | | | | 5,046 | |
Ruth’s Hospitality Group, Inc. | | | 306 | | | | 4,969 | |
Motorcar Parts of America, Inc.* | | | 158 | | | | 4,952 | |
Regis Corp.* | | | 359 | | | | 4,703 | |
AMC Entertainment Holdings, Inc. — Class A | | | 185 | | | | 4,660 | |
Scientific Games Corp. — Class A* | | | 441 | | | | 4,608 | |
H&E Equipment Services, Inc. | | | 273 | | | | 4,565 | |
Francesca’s Holdings Corp.* | | | 370 | | | | 4,525 | |
Winnebago Industries, Inc. | | | 235 | | | | 4,500 | |
Installed Building Products, Inc.* | | | 174 | | | | 4,399 | |
Tower International, Inc.* | | | 184 | | | | 4,372 | |
Carmike Cinemas, Inc.* | | | 214 | | | | 4,299 | |
Haverty Furniture Companies, Inc. | | | 179 | | | | 4,203 | |
DTS, Inc.* | | | 155 | | | | 4,139 | |
Nautilus, Inc.* | | | 273 | | | | 4,095 | |
Chuy’s Holdings, Inc.* | | | 144 | | | | 4,090 | |
Unifi, Inc.* | | | 131 | | | | 3,905 | |
Douglas Dynamics, Inc. | | | 196 | | | | 3,893 | |
Fred’s, Inc. — Class A | | | 326 | | | | 3,863 | |
Superior Industries International, Inc. | | | 206 | | | | 3,848 | |
Carrols Restaurant Group, Inc.* | | | 311 | | | | 3,701 | |
Movado Group, Inc. | | | 141 | | | | 3,642 | |
Barnes & Noble Education, Inc.* | | | 279 | | | | 3,546 | |
Beazer Homes USA, Inc.* | | | 265 | | | | 3,532 | |
Party City Holdco, Inc.* | | | 220 | | | | 3,514 | |
William Lyon Homes — Class A* | | | 169 | | | | 3,481 | |
Ruby Tuesday, Inc.* | | | 544 | | | | 3,378 | |
Isle of Capri Casinos, Inc.* | | | 193 | | | | 3,366 | |
LGI Homes, Inc.* | | | 123 | | | | 3,344 | |
Modine Manufacturing Co.* | | | 420 | | | | 3,305 | |
Kirkland’s, Inc. | | | 152 | | | | 3,274 | |
Citi Trends, Inc. | | | 137 | | | | 3,203 | |
Sequential Brands Group, Inc.* | | | 221 | | | | 3,198 | |
MarineMax, Inc.* | | | 223 | | | | 3,151 | |
Shoe Carnival, Inc. | | | 131 | | | | 3,118 | |
Marcus Corp. | | | 161 | | | | 3,114 | |
Lumber Liquidators Holdings, Inc.* | | | 236 | | | | 3,101 | |
WCI Communities, Inc.* | | | 135 | | | | 3,055 | |
Zumiez, Inc.* | | | 193 | | | | 3,017 | |
Daktronics, Inc. | | | 337 | | | | 2,922 | |
Culp, Inc. | | | 91 | | | | 2,918 | |
Caesars Acquisition Co. — Class A* | | | 405 | | | | 2,876 | |
Caesars Entertainment Corp.* | | | 486 | | | | 2,863 | |
Tile Shop Holdings, Inc.* | | | 238 | | | | 2,851 | |
PetMed Express, Inc. | | | 177 | | | | 2,850 | |
Del Frisco’s Restaurant Group, Inc.* | | | 205 | | | | 2,847 | |
Kimball International, Inc. — Class B | | | 299 | | | | 2,829 | |
EZCORP, Inc. — Class A* | | | 454 | | | | 2,801 | |
Stage Stores, Inc. | | | 280 | | | | 2,755 | |
Veritiv Corp.* | | | 71 | | | | 2,644 | |
Century Communities, Inc.* | | | 133 | | | | 2,640 | |
Bassett Furniture Industries, Inc. | | | 94 | | | | 2,618 | |
Republic Airways Holdings, Inc.* | | | 446 | | | | 2,578 | |
Arctic Cat, Inc. | | | 114 | | | | 2,528 | |
Fox Factory Holding Corp.* | | | 149 | | | | 2,512 | |
Titan International, Inc. | | | 378 | | | | 2,499 | |
Stein Mart, Inc. | | | 257 | | | | 2,488 | |
America’s Car-Mart, Inc.* | | | 75 | | | | 2,482 | |
Shake Shack, Inc. — Class A* | | | 50 | | | | 2,370 | |
Build-A-Bear Workshop, Inc. — Class A* | | | 125 | | | | 2,361 | |
Vera Bradley, Inc.* | | | 187 | | | | 2,358 | |
Perry Ellis International, Inc.* | | | 107 | | | | 2,350 | |
Hooker Furniture Corp. | | | 95 | | | | 2,236 | |
Eldorado Resorts, Inc.* | | | 246 | | | | 2,219 | |
Malibu Boats, Inc. — Class A* | | | 157 | | | | 2,195 | |
Habit Restaurants, Inc. — Class A* | | | 100 | | | | 2,141 | |
Metaldyne Performance Group, Inc. | | | 100 | | | | 2,101 | |
Potbelly Corp.* | | | 190 | | | | 2,092 | |
Tuesday Morning Corp.* | | | 386 | | | | 2,088 | |
Winmark Corp. | | | 19 | | | | 1,955 | |
Strattec Security Corp. | | | 31 | | | | 1,955 | |
Sportsman’s Warehouse Holdings, Inc.* | | | 158 | | | | 1,947 | |
Container Store Group, Inc.* | | | 138 | | | | 1,943 | |
Miller Industries, Inc. | | | 99 | | | | 1,934 | |
PC Connection, Inc. | | | 93 | | | | 1,927 | |
Boot Barn Holdings, Inc.* | | | 104 | | | | 1,917 | |
Freshpet, Inc.* | | | 182 | | | | 1,911 | |
Green Brick Partners, Inc.* | | | 175 | | | | 1,896 | |
Hovnanian Enterprises, Inc. — Class A* | | | 1,045 | | | | 1,850 | |
Reading International, Inc. — Class A* | | | 145 | | | | 1,837 | |
Destination XL Group, Inc.* | | | 315 | | | | 1,830 | |
Speedway Motorsports, Inc. | | | 101 | | | | 1,823 | |
Federal-Mogul Holdings Corp.* | | | 265 | | | | 1,810 | |
Titan Machinery, Inc.* | | | 152 | | | | 1,745 | |
Jamba, Inc.* | | | 122 | | | | 1,739 | |
NACCO Industries, Inc. — Class A | | | 36 | | | | 1,712 | |
Big 5 Sporting Goods Corp. | | | 160 | | | | 1,661 | |
Monarch Casino & Resort, Inc.* | | | 89 | | | | 1,599 | |
Flexsteel Industries, Inc. | | | 51 | | | | 1,594 | |
Weyco Group, Inc. | | | 57 | | | | 1,541 | |
Bravo Brio Restaurant Group, Inc.* | | | 133 | | | | 1,499 | |
AV Homes, Inc.* | | | 109 | | | | 1,474 | |
Noodles & Co.* | | | 100 | | | | 1,416 | |
JAKKS Pacific, Inc.* | | | 166 | | | | 1,414 | |
Horizon Global Corp.* | | | 159 | | | | 1,402 | |
West Marine, Inc.* | | | 157 | | | | 1,378 | |
Escalade, Inc. | | | 87 | | | | 1,375 | |
Intrawest Resorts Holdings, Inc.* | | | 158 | | | | 1,368 | |
Lifetime Brands, Inc. | | | 94 | | | | 1,314 | |
VOXX International Corp. — Class A* | | | 174 | | | | 1,291 | |
El Pollo Loco Holdings, Inc.* | | | 118 | | | | 1,272 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Black Diamond, Inc.* | | | 199 | | | $ | 1,250 | |
Bojangles’, Inc.* | | | 73 | | | | 1,234 | |
J Alexander’s Holdings, Inc.* | | | 120 | | | | 1,199 | |
Papa Murphy’s Holdings, Inc.* | | | 80 | | | | 1,174 | |
Kona Grill, Inc.* | | | 74 | | | | 1,166 | |
Superior Uniform Group, Inc. | | | 65 | | | | 1,165 | |
Cherokee, Inc.* | | | 75 | | | | 1,164 | |
Skullcandy, Inc.* | | | 193 | | | | 1,067 | |
Commercial Vehicle Group, Inc.* | | | 263 | | | | 1,060 | |
New Home Company, Inc.* | | | 78 | | | | 1,010 | |
Accuride Corp.* | | | 339 | | | | 939 | |
Johnson Outdoors, Inc. — Class A | | | 44 | | | | 928 | |
Morgans Hotel Group Co.* | | | 238 | | | | 790 | |
Castle Brands, Inc.* | | | 580 | | | | 766 | |
Systemax, Inc.* | | | 99 | | | | 742 | |
Tilly’s, Inc. — Class A* | | | 99 | | | | 729 | |
Marine Products Corp. | | | 94 | | | | 652 | |
Flex Pharma, Inc.* | | | 48 | | | | 576 | |
Empire Resorts, Inc.* | | | 136 | | | | 573 | |
Vince Holding Corp.* | | | 135 | | | | 463 | |
Blue Bird Corp.* | | | 44 | | | | 438 | |
Christopher & Banks Corp.* | | | 326 | | | | 362 | |
bebe stores, Inc. | | | 249 | | | | 234 | |
Total Consumer, Cyclical | | | | | | | 1,947,819 | |
| | | | | | | | | |
Industrial - 7.1% | |
Berry Plastics Group, Inc.* | | | 1,045 | | | | 31,423 | |
Teledyne Technologies, Inc.* | | | 309 | | | | 27,902 | |
FEI Co. | | | 364 | | | | 26,586 | |
Curtiss-Wright Corp. | | | 417 | | | | 26,029 | |
EMCOR Group, Inc. | | | 550 | | | | 24,337 | |
Con-way, Inc. | | | 505 | | | | 23,963 | |
Woodward, Inc. | | | 573 | | | | 23,321 | |
Tech Data Corp.* | | | 321 | | | | 21,989 | |
Dycom Industries, Inc.* | | | 296 | | | | 21,418 | |
CLARCOR, Inc. | | | 440 | | | | 20,979 | |
EnerSys | | | 390 | | | | 20,896 | |
Esterline Technologies Corp.* | | | 273 | | | | 19,626 | |
Moog, Inc. — Class A* | | | 338 | | | | 18,276 | |
Generac Holdings, Inc.* | | | 603 | | | | 18,144 | |
IMAX Corp.* | | | 529 | | | | 17,875 | |
Littelfuse, Inc. | | | 196 | | | | 17,865 | |
Louisiana-Pacific Corp.* | | | 1,247 | | | | 17,757 | |
Belden, Inc. | | | 374 | | | | 17,462 | |
Barnes Group, Inc. | | | 480 | | | | 17,304 | |
KLX, Inc.* | | | 463 | | | | 16,547 | |
Masonite International Corp.* | | | 265 | | | | 16,054 | |
HEICO Corp. — Class A | | | 349 | | | | 15,848 | |
Sanmina Corp.* | | | 722 | | | | 15,430 | |
Rexnord Corp.* | | | 892 | | | | 15,145 | |
XPO Logistics, Inc.* | | | 625 | | | | 14,893 | |
Mueller Industries, Inc. | | | 500 | | | | 14,790 | |
Matson, Inc. | | | 381 | | | | 14,665 | |
Hillenbrand, Inc. | | | 552 | | | | 14,358 | |
Scorpio Tankers, Inc. | | | 1,565 | | | | 14,352 | |
Knowles Corp.* | | | 764 | | | | 14,081 | |
Proto Labs, Inc.* | | | 204 | | | | 13,668 | |
Applied Industrial Technologies, Inc. | | | 352 | | | | 13,428 | |
OSI Systems, Inc.* | | | 174 | | | | 13,391 | |
Knight Transportation, Inc. | | | 548 | | | | 13,152 | |
Watts Water Technologies, Inc. — Class A | | | 247 | | | | 13,047 | |
Tetra Tech, Inc. | | | 528 | | | | 12,836 | |
Simpson Manufacturing Company, Inc. | | | 369 | | | | 12,359 | |
KapStone Paper and Packaging Corp. | | | 747 | | | | 12,333 | |
RBC Bearings, Inc.* | | | 205 | | | | 12,245 | |
Headwaters, Inc.* | | | 644 | | | | 12,107 | |
Universal Display Corp.* | | | 352 | | | | 11,933 | |
Nordic American Tankers Ltd. | | | 781 | | | | 11,871 | |
Swift Transportation Co. — Class A* | | | 771 | | | | 11,580 | |
Drew Industries, Inc. | | | 211 | | | | 11,523 | |
Hub Group, Inc. — Class A* | | | 316 | | | | 11,506 | |
Vishay Intertechnology, Inc. | | | 1,186 | | | | 11,492 | |
Coherent, Inc.* | | | 209 | | | | 11,431 | |
Apogee Enterprises, Inc. | | | 256 | | | | 11,430 | |
Franklin Electric Company, Inc. | | | 417 | | | | 11,355 | |
Plexus Corp.* | | | 293 | | | | 11,304 | |
Forward Air Corp. | | | 272 | | | | 11,285 | |
AZZ, Inc. | | | 225 | | | | 10,955 | |
Mueller Water Products, Inc. — Class A | | | 1,408 | | | | 10,786 | |
Itron, Inc.* | | | 337 | | | | 10,753 | |
Methode Electronics, Inc. | | | 336 | | | | 10,718 | |
TASER International, Inc.* | | | 468 | | | | 10,308 | |
MSA Safety, Inc. | | | 257 | | | | 10,272 | |
Universal Forest Products, Inc. | | | 177 | | | | 10,209 | |
Granite Construction, Inc. | | | 344 | | | | 10,207 | |
Exponent, Inc. | | | 226 | | | | 10,070 | |
Benchmark Electronics, Inc.* | | | 460 | | | | 10,010 | |
John Bean Technologies Corp. | | | 256 | | | | 9,792 | |
Werner Enterprises, Inc. | | | 388 | | | | 9,739 | |
Actuant Corp. — Class A | | | 522 | | | | 9,600 | |
Sturm Ruger & Company, Inc. | | | 163 | | | | 9,566 | |
Advanced Energy Industries, Inc.* | | | 359 | | | | 9,442 | |
Trex Company, Inc.* | | | 279 | | | | 9,299 | |
MasTec, Inc.* | | | 584 | | | | 9,245 | |
Tennant Co. | | | 161 | | | | 9,045 | |
Comfort Systems USA, Inc. | | | 327 | | | | 8,914 | |
Aerojet Rocketdyne Holdings, Inc.* | | | 549 | | | | 8,883 | |
Heartland Express, Inc. | | | 442 | | | | 8,813 | |
Boise Cascade Co.* | | | 346 | | | | 8,726 | |
Rogers Corp.* | | | 163 | | | | 8,668 | |
Greif, Inc. — Class A | | | 269 | | | | 8,584 | |
Kaman Corp. | | | 238 | | | | 8,532 | |
Advanced Drainage Systems, Inc. | | | 293 | | | | 8,476 | |
Ship Finance International Ltd. | | | 520 | | | | 8,450 | |
Standex International Corp. | | | 112 | | | | 8,439 | |
US Ecology, Inc. | | | 190 | | | | 8,293 | |
HEICO Corp. | | | 169 | | | | 8,261 | |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Brady Corp. — Class A | | | 418 | | | $ | 8,217 | |
ESCO Technologies, Inc. | | | 228 | | | | 8,185 | |
Cubic Corp. | | | 190 | | | | 7,969 | |
Smith & Wesson Holding Corp.* | | | 472 | | | | 7,963 | |
EnPro Industries, Inc. | | | 198 | | | | 7,756 | |
Atlas Air Worldwide Holdings, Inc.* | | | 219 | | | | 7,569 | |
Briggs & Stratton Corp. | | | 390 | | | | 7,531 | |
Federal Signal Corp. | | | 547 | | | | 7,499 | |
Greenbrier Companies, Inc. | | | 230 | | | | 7,385 | |
II-VI, Inc.* | | | 459 | | | | 7,381 | |
Badger Meter, Inc. | | | 127 | | | | 7,374 | |
Albany International Corp. — Class A | | | 247 | | | | 7,067 | |
Lindsay Corp. | | | 104 | | | | 7,050 | |
AAON, Inc. | | | 359 | | | | 6,957 | |
Saia, Inc.* | | | 220 | | | | 6,809 | |
Astronics Corp.* | | | 168 | | | | 6,792 | |
TriMas Corp.* | | | 397 | | | | 6,491 | |
Rofin-Sinar Technologies, Inc.* | | | 247 | | | | 6,405 | |
Harsco Corp. | | | 700 | | | | 6,349 | |
US Concrete, Inc.* | | | 128 | | | | 6,117 | |
Primoris Services Corp. | | | 339 | | | | 6,071 | |
DHT Holdings, Inc. | | | 813 | | | | 6,032 | |
CIRCOR International, Inc. | | | 150 | | | | 6,018 | |
Encore Wire Corp. | | | 181 | | | | 5,913 | |
AAR Corp. | | | 310 | | | | 5,881 | |
ArcBest Corp. | | | 227 | | | | 5,850 | |
Fabrinet* | | | 311 | | | | 5,701 | |
Continental Building Products, Inc.* | | | 275 | | | | 5,649 | |
Raven Industries, Inc. | | | 332 | | | | 5,627 | |
Astec Industries, Inc. | | | 166 | | | | 5,563 | |
Sun Hydraulics Corp. | | | 199 | | | | 5,467 | |
Tidewater, Inc. | | | 413 | | | | 5,427 | |
Tutor Perini Corp.* | | | 329 | | | | 5,415 | |
CTS Corp. | | | 291 | | | | 5,386 | |
Nortek, Inc.* | | | 85 | | | | 5,381 | |
Quanex Building Products Corp. | | | 295 | | | | 5,360 | |
Altra Industrial Motion Corp. | | | 231 | | | | 5,341 | |
Teekay Tankers Ltd. — Class A | | | 772 | | | | 5,327 | |
FARO Technologies, Inc.* | | | 152 | | | | 5,320 | |
Aegion Corp. — Class A* | | | 321 | | | | 5,290 | |
AVX Corp. | | | 404 | | | | 5,288 | |
Builders FirstSource, Inc.* | | | 412 | | | | 5,224 | |
PGT, Inc.* | | | 418 | | | | 5,133 | |
Chart Industries, Inc.* | | | 267 | | | | 5,129 | |
Echo Global Logistics, Inc.* | | | 260 | | | | 5,096 | |
General Cable Corp. | | | 428 | | | | 5,093 | |
Gibraltar Industries, Inc.* | | | 272 | | | | 4,991 | |
Hyster-Yale Materials Handling, Inc. | | | 83 | | | | 4,800 | |
MYR Group, Inc.* | | | 183 | | | | 4,795 | |
Newport Corp.* | | | 348 | | | | 4,785 | |
Griffon Corp. | | | 299 | | | | 4,715 | |
Roadrunner Transportation Systems, Inc.* | | | 247 | | | | 4,545 | |
Patrick Industries, Inc.* | | | 112 | | | | 4,423 | |
Lydall, Inc.* | | | 149 | | | | 4,245 | |
Summit Materials, Inc. — Class A* | | | 222 | | | | 4,167 | |
Haynes International, Inc. | | | 109 | | | | 4,125 | |
NN, Inc. | | | 218 | | | | 4,033 | |
Gorman-Rupp Co. | | | 167 | | | | 4,003 | |
Alamo Group, Inc. | | | 85 | | | | 3,974 | |
TAL International Group, Inc.* | | | 290 | | | | 3,964 | |
Argan, Inc. | | | 114 | | | | 3,954 | |
Air Transport Services Group, Inc.* | | | 462 | | | | 3,950 | |
Global Brass & Copper Holdings, Inc. | | | 188 | | | | 3,856 | |
Celadon Group, Inc. | | | 240 | | | | 3,845 | |
GSI Group, Inc.* | | | 300 | | | | 3,819 | |
YRC Worldwide, Inc.* | | | 286 | | | | 3,792 | |
Hornbeck Offshore Services, Inc.* | | | 280 | | | | 3,788 | |
Kadant, Inc. | | | 96 | | | | 3,745 | |
UTI Worldwide, Inc.* | | | 807 | | | | 3,704 | |
National Presto Industries, Inc. | | | 42 | | | | 3,539 | |
Scorpio Bulkers, Inc.* | | | 2,421 | | | | 3,535 | |
TimkenSteel Corp. | | | 349 | | | | 3,532 | |
GasLog Ltd. | | | 365 | | | | 3,511 | |
Aerovironment, Inc.* | | | 173 | | | | 3,467 | |
Marten Transport Ltd. | | | 210 | | | | 3,396 | |
TTM Technologies, Inc.* | | | 518 | | | | 3,227 | |
Columbus McKinnon Corp. | | | 176 | | | | 3,196 | |
Textainer Group Holdings Ltd. | | | 193 | | | | 3,183 | |
Park Electrochemical Corp. | | | 179 | | | | 3,149 | |
Kimball Electronics, Inc.* | | | 256 | | | | 3,054 | |
Stoneridge, Inc.* | | | 245 | | | | 3,023 | |
American Railcar Industries, Inc. | | | 83 | | | | 3,001 | |
DXP Enterprises, Inc.* | | | 110 | | | | 3,001 | |
Tredegar Corp. | | | 219 | | | | 2,865 | |
Myers Industries, Inc. | | | 213 | | | | 2,854 | |
Mesa Laboratories, Inc. | | | 25 | | | | 2,785 | |
Era Group, Inc.* | | | 181 | | | | 2,710 | |
Checkpoint Systems, Inc. | | | 368 | | | | 2,668 | |
LSB Industries, Inc.* | | | 173 | | | | 2,650 | |
GP Strategies Corp.* | | | 115 | | | | 2,624 | |
Insteel Industries, Inc. | | | 162 | | | | 2,605 | |
Applied Optoelectronics, Inc.* | | | 138 | | | | 2,592 | |
Frontline Ltd.* | | | 946 | | | | 2,545 | |
Trinseo S.A.* | | | 100 | | | | 2,525 | |
Navios Maritime Acquisition Corp. | | | 717 | | | | 2,524 | |
NCI Building Systems, Inc.* | | | 238 | | | | 2,516 | |
Chase Corp. | | | 61 | | | | 2,403 | |
Powell Industries, Inc. | | | 79 | | | | 2,378 | |
Blount International, Inc.* | | | 426 | | | | 2,373 | |
American Science & Engineering, Inc. | | | 65 | | | | 2,311 | |
Stock Building Supply Holdings, Inc.* | | | 130 | | | | 2,289 | |
PowerSecure International, Inc.* | | | 196 | | | | 2,258 | |
Dorian LPG Ltd.* | | | 219 | | | | 2,258 | |
Park-Ohio Holdings Corp. | | | 77 | | | | 2,222 | |
Ply Gem Holdings, Inc.* | | | 189 | | | | 2,211 | |
NVE Corp. | | | 42 | | | | 2,039 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Fluidigm Corp.* | | | 251 | | | $ | 2,036 | |
Furmanite Corp.* | | | 331 | | | | 2,012 | |
Casella Waste Systems, Inc. — Class A* | | | 346 | | | | 2,007 | |
AEP Industries, Inc.* | | | 35 | | | | 2,007 | |
Ducommun, Inc.* | | | 97 | | | | 1,947 | |
Ardmore Shipping Corp. | | | 157 | | | | 1,897 | |
Mistras Group, Inc.* | | | 147 | | | | 1,889 | |
Sparton Corp.* | | | 87 | | | | 1,862 | |
FreightCar America, Inc. | | | 108 | | | | 1,853 | |
Covenant Transportation Group, Inc. — Class A* | | | 103 | | | | 1,852 | |
Navios Maritime Holdings, Inc. | | | 714 | | | | 1,778 | |
TRC Companies, Inc.* | | | 150 | | | | 1,775 | |
Bel Fuse, Inc. — Class B | | | 91 | | | | 1,769 | |
ZAGG, Inc.* | | | 258 | | | | 1,752 | |
Kratos Defense & Security Solutions, Inc.* | | | 397 | | | | 1,675 | |
LSI Industries, Inc. | | | 189 | | | | 1,595 | |
Graham Corp. | | | 89 | | | | 1,571 | |
CAI International, Inc.* | | | 151 | | | | 1,522 | |
Hurco Companies, Inc. | | | 57 | | | | 1,496 | |
Control4 Corp.* | | | 183 | | | | 1,493 | |
USA Truck, Inc.* | | | 86 | | | | 1,482 | |
Vicor Corp.* | | | 144 | | | | 1,469 | |
Orion Marine Group, Inc.* | | | 243 | | | | 1,453 | |
VSE Corp. | | | 36 | | | | 1,443 | |
Golden Ocean Group Ltd. | | | 585 | | | | 1,439 | |
Imprivata, Inc.* | | | 80 | | | | 1,422 | |
Multi-Fineline Electronix, Inc.* | | | 80 | | | | 1,336 | |
CECO Environmental Corp. | | | 161 | | | | 1,319 | |
Vishay Precision Group, Inc.* | | | 110 | | | | 1,275 | |
Xerium Technologies, Inc.* | | | 96 | | | | 1,246 | |
Core Molding Technologies, Inc.* | | | 67 | | | | 1,236 | |
Radiant Logistics, Inc.* | | | 273 | | | | 1,218 | |
Eagle Bulk Shipping, Inc.* | | | 194 | | | | 1,150 | |
Heritage-Crystal Clean, Inc.* | | | 110 | | | | 1,130 | |
LB Foster Co. — Class A | | | 91 | | | | 1,117 | |
Lawson Products, Inc.* | | | 51 | | | | 1,104 | |
Northwest Pipe Co.* | | | 84 | | | | 1,097 | |
Universal Truckload Services, Inc. | | | 69 | | | | 1,074 | |
Hill International, Inc.* | | | 321 | | | | 1,053 | |
Nordic American Offshore Ltd. | | | 166 | | | | 996 | |
Allied Motion Technologies, Inc. | | | 55 | | | | 977 | |
Power Solutions International, Inc.* | | | 41 | | | | 931 | |
Safe Bulkers, Inc. | | | 332 | | | | 916 | |
Twin Disc, Inc. | | | 73 | | | | 906 | |
PAM Transportation Services, Inc.* | | | 27 | | | | 892 | |
Omega Flex, Inc. | | | 25 | | | | 835 | |
Fenix Parts, Inc.* | | | 121 | | | | 808 | |
Olympic Steel, Inc. | | | 80 | | | | 796 | |
Handy & Harman Ltd.* | | | 22 | | | | 528 | |
NL Industries, Inc.* | | | 60 | | | | 179 | |
Ultrapetrol Bahamas Ltd.* | | | 188 | | | | 77 | |
Total Industrial | | | | | | | 1,673,223 | |
| | | | | | | | | |
Technology - 6.7% | |
Tyler Technologies, Inc.* | | | 294 | | | | 43,898 | |
Manhattan Associates, Inc.* | | | 645 | | | | 40,183 | |
MAXIMUS, Inc. | | | 577 | | | | 34,365 | |
Guidewire Software, Inc.* | | | 614 | | | | 32,285 | |
EPAM Systems, Inc.* | | | 429 | | | | 31,969 | |
Dealertrack Technologies, Inc.* | | | 480 | | | | 30,318 | |
Cavium, Inc.* | | | 485 | | | | 29,765 | |
Qlik Technologies, Inc.* | | | 800 | | | | 29,160 | |
Aspen Technology, Inc.* | | | 745 | | | | 28,243 | |
Microsemi Corp.* | | | 833 | | | | 27,339 | |
Synaptics, Inc.* | | | 323 | | | | 26,634 | |
Integrated Device Technology, Inc.* | | | 1,299 | | | | 26,369 | |
Verint Systems, Inc.* | | | 538 | | | | 23,216 | |
Blackbaud, Inc. | | | 410 | | | | 23,008 | |
Fair Isaac Corp. | | | 272 | | | | 22,983 | |
Mentor Graphics Corp. | | | 877 | | | | 21,601 | |
ACI Worldwide, Inc.* | | | 1,022 | | | | 21,584 | |
SYNNEX Corp. | | | 251 | | | | 21,350 | |
Take-Two Interactive Software, Inc.* | | | 739 | | | | 21,231 | |
Proofpoint, Inc.* | | | 345 | | | | 20,810 | |
Medidata Solutions, Inc.* | | | 485 | | | | 20,423 | |
NetScout Systems, Inc.* | | | 571 | | | | 20,196 | |
Convergys Corp. | | | 865 | | | | 19,990 | |
Electronics for Imaging, Inc.* | | | 410 | | | | 17,745 | |
Monolithic Power Systems, Inc. | | | 346 | | | | 17,715 | |
Cirrus Logic, Inc.* | | | 556 | | | | 17,520 | |
Diebold, Inc. | | | 567 | | | | 16,880 | |
FleetMatics Group plc* | | | 335 | | | | 16,445 | |
Science Applications International Corp. | | | 404 | | | | 16,245 | |
Entegris, Inc.* | | | 1,223 | | | | 16,130 | |
MicroStrategy, Inc. — Class A* | | | 81 | | | | 15,914 | |
Ambarella, Inc.* | | | 273 | | | | 15,776 | |
MKS Instruments, Inc. | | | 468 | | | | 15,692 | |
CACI International, Inc. — Class A* | | | 212 | | | | 15,682 | |
Cornerstone OnDemand, Inc.* | | | 472 | | | | 15,576 | |
Silicon Laboratories, Inc.* | | | 374 | | | | 15,536 | |
Imperva, Inc.* | | | 233 | | | | 15,257 | |
Demandware, Inc.* | | | 293 | | | | 15,142 | |
Tessera Technologies, Inc. | | | 461 | | | | 14,941 | |
Fairchild Semiconductor International, Inc. — Class A* | | | 1,016 | | | | 14,265 | |
Acxiom Corp.* | | | 685 | | | | 13,536 | |
Intersil Corp. — Class A | | | 1,152 | | | | 13,478 | |
CommVault Systems, Inc.* | | | 396 | | | | 13,448 | |
OmniVision Technologies, Inc.* | | | 510 | | | | 13,393 | |
Virtusa Corp.* | | | 260 | | | | 13,341 | |
Syntel, Inc.* | | | 275 | | | | 12,460 | |
Rambus, Inc.* | | | 1,010 | | | | 11,918 | |
Stratasys Ltd.* | | | 447 | | | | 11,841 | |
Progress Software Corp.* | | | 443 | | | | 11,443 | |
Synchronoss Technologies, Inc.* | | | 340 | | | | 11,152 | |
Power Integrations, Inc. | | | 258 | | | | 10,880 | |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
ExlService Holdings, Inc.* | | | 291 | | | $ | 10,747 | |
Nimble Storage, Inc.* | | | 443 | | | | 10,685 | |
MedAssets, Inc.* | | | 529 | | | | 10,612 | |
PMC-Sierra, Inc.* | | | 1,526 | | | | 10,331 | |
Luxoft Holding, Inc.* | | | 161 | | | | 10,190 | |
Paycom Software, Inc.* | | | 276 | | | | 9,911 | |
Omnicell, Inc.* | | | 318 | | | | 9,890 | |
SPS Commerce, Inc.* | | | 145 | | | | 9,844 | |
Advanced Micro Devices, Inc.* | | | 5,566 | | | | 9,574 | |
Envestnet, Inc.* | | | 310 | | | | 9,291 | |
Bottomline Technologies de, Inc.* | | | 359 | | | | 8,979 | |
CSG Systems International, Inc. | | | 286 | | | | 8,809 | |
Super Micro Computer, Inc.* | | | 323 | | | | 8,805 | |
Insight Enterprises, Inc.* | | | 340 | | | | 8,789 | |
Semtech Corp.* | | | 580 | | | | 8,758 | |
Sykes Enterprises, Inc.* | | | 341 | | | | 8,696 | |
Cabot Microelectronics Corp.* | | | 216 | | | | 8,368 | |
Callidus Software, Inc.* | | | 485 | | | | 8,240 | |
Rovi Corp.* | | | 773 | | | | 8,109 | |
Inphi Corp.* | | | 336 | | | | 8,077 | |
MTS Systems Corp. | | | 131 | | | | 7,874 | |
QLogic Corp.* | | | 764 | | | | 7,831 | |
AVG Technologies N.V.* | | | 358 | | | | 7,787 | |
Pegasystems, Inc. | | | 314 | | | | 7,728 | |
RealPage, Inc.* | | | 462 | | | | 7,678 | |
BroadSoft, Inc.* | | | 256 | | | | 7,671 | |
Monotype Imaging Holdings, Inc. | | | 351 | | | | 7,659 | |
HubSpot, Inc.* | | | 165 | | | | 7,651 | |
2U, Inc.* | | | 209 | | | | 7,503 | |
Veeco Instruments, Inc.* | | | 354 | | | | 7,261 | |
Cray, Inc.* | | | 358 | | | | 7,092 | |
Diodes, Inc.* | | | 328 | | | | 7,009 | |
Cvent, Inc.* | | | 205 | | | | 6,900 | |
Brooks Automation, Inc. | | | 589 | | | | 6,897 | |
Constant Contact, Inc.* | | | 281 | | | | 6,811 | |
InvenSense, Inc. — Class A* | | | 677 | | | | 6,289 | |
Qualys, Inc.* | | | 215 | | | | 6,119 | |
M/A-COM Technology Solutions Holdings, Inc.* | | | 206 | | | | 5,972 | |
Integrated Silicon Solution, Inc. | | | 277 | | | | 5,953 | |
Ebix, Inc. | | | 235 | | | | 5,866 | |
MaxLinear, Inc. — Class A* | | | 452 | | | | 5,623 | |
ManTech International Corp. — Class A | | | 213 | | | | 5,474 | |
Quality Systems, Inc. | | | 438 | | | | 5,467 | |
Photronics, Inc.* | | | 580 | | | | 5,255 | |
Dot Hill Systems Corp.* | | | 537 | | | | 5,225 | |
Unisys Corp.* | | | 438 | | | | 5,212 | |
Mercury Systems, Inc.* | | | 299 | | | | 4,757 | |
PROS Holdings, Inc.* | | | 210 | | | | 4,649 | |
Glu Mobile, Inc.* | | | 1,053 | | | | 4,602 | |
Interactive Intelligence Group, Inc.* | | | 152 | | | | 4,516 | |
Xura, Inc.* | | | 198 | | | | 4,431 | |
Merge Healthcare, Inc.* | | | 604 | | | | 4,288 | |
Actua Corp.* | | | 356 | | | | 4,187 | |
Computer Programs & Systems, Inc. | | | 99 | | | | 4,171 | |
Silver Spring Networks, Inc.* | | | 320 | | | | 4,122 | |
Globant S.A.* | | | 134 | | | | 4,099 | |
Engility Holdings, Inc. | | | 157 | | | | 4,047 | |
inContact, Inc.* | | | 538 | | | | 4,040 | |
Lattice Semiconductor Corp.* | | | 1,023 | | | | 3,939 | |
Amkor Technology, Inc.* | | | 867 | | | | 3,893 | |
Ultratech, Inc.* | | | 240 | | | | 3,845 | |
TeleTech Holdings, Inc. | | | 143 | | | | 3,831 | |
LivePerson, Inc.* | | | 501 | | | | 3,788 | |
Applied Micro Circuits Corp.* | | | 710 | | | | 3,770 | |
Epiq Systems, Inc. | | | 282 | | | | 3,643 | |
Pericom Semiconductor Corp. | | | 196 | | | | 3,577 | |
Rudolph Technologies, Inc.* | | | 279 | | | | 3,474 | |
FormFactor, Inc.* | | | 504 | | | | 3,417 | |
RealD, Inc.* | | | 354 | | | | 3,402 | |
CEVA, Inc.* | | | 178 | | | | 3,305 | |
Xcerra Corp.* | | | 479 | | | | 3,008 | |
Immersion Corp.* | | | 245 | | | | 2,751 | |
Press Ganey Holdings, Inc.* | | | 90 | | | | 2,663 | |
Axcelis Technologies, Inc.* | | | 993 | | | | 2,651 | |
Digi International, Inc.* | | | 217 | | | | 2,558 | |
Vocera Communications, Inc.* | | | 224 | | | | 2,556 | |
Nanometrics, Inc.* | | | 210 | | | | 2,549 | |
Tangoe, Inc.* | | | 342 | | | | 2,462 | |
Sapiens International Corporation N.V. | | | 210 | | | | 2,419 | |
Eastman Kodak Co.* | | | 154 | | | | 2,405 | |
SciQuest, Inc.* | | | 240 | | | | 2,400 | |
IXYS Corp. | | | 215 | | | | 2,399 | |
PDF Solutions, Inc.* | | | 236 | | | | 2,360 | |
QAD, Inc. — Class A | | | 90 | | | | 2,304 | |
Avid Technology, Inc.* | | | 283 | | | | 2,253 | |
Cohu, Inc. | | | 227 | | | | 2,238 | |
Ciber, Inc.* | | | 690 | | | | 2,194 | |
Sigma Designs, Inc.* | | | 309 | | | | 2,129 | |
Benefitfocus, Inc.* | | | 68 | | | | 2,125 | |
Digimarc Corp.* | | | 67 | | | | 2,047 | |
Exar Corp.* | | | 344 | | | | 2,047 | |
American Software, Inc. — Class A | | | 217 | | | | 2,044 | |
OPOWER, Inc.* | | | 228 | | | | 2,031 | |
InnerWorkings, Inc.* | | | 325 | | | | 2,031 | |
New Relic, Inc.* | | | 51 | | | | 1,944 | |
Jive Software, Inc.* | | | 409 | | | | 1,910 | |
Seachange International, Inc.* | | | 291 | | | | 1,833 | |
Model N, Inc.* | | | 183 | | | | 1,832 | |
Kopin Corp.* | | | 583 | | | | 1,831 | |
KEYW Holding Corp.* | | | 293 | | | | 1,802 | |
DSP Group, Inc.* | | | 196 | | | | 1,786 | |
Carbonite, Inc.* | | | 159 | | | | 1,770 | |
Everyday Health, Inc.* | | | 188 | | | | 1,718 | |
Cascade Microtech, Inc.* | | | 119 | | | | 1,683 | |
Ultra Clean Holdings, Inc.* | | | 275 | | | | 1,579 | |
Mattson Technology, Inc.* | | | 654 | | | | 1,523 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Agilysys, Inc.* | | | 134 | | | $ | 1,490 | |
Hortonworks, Inc.* | | | 66 | | | | 1,445 | |
TubeMogul, Inc.* | | | 137 | | | | 1,441 | |
Brightcove, Inc.* | | | 284 | | | | 1,397 | |
Quantum Corp.* | | | 1,889 | | | | 1,317 | |
Alpha & Omega Semiconductor Ltd.* | | | 168 | | | | 1,309 | |
Castlight Health, Inc. — Class B* | | | 294 | | | | 1,235 | |
Varonis Systems, Inc.* | | | 79 | | | | 1,231 | |
Silicon Graphics International Corp.* | | | 305 | | | | 1,199 | |
EMCORE Corp.* | | | 172 | | | | 1,170 | |
Violin Memory, Inc.* | | | 796 | | | | 1,098 | |
Barracuda Networks, Inc.* | | | 70 | | | | 1,091 | |
Datalink Corp.* | | | 179 | | | | 1,069 | |
MobileIron, Inc.* | | | 341 | | | | 1,057 | |
Guidance Software, Inc.* | | | 167 | | | | 1,005 | |
Park City Group, Inc.* | | | 93 | | | | 983 | |
Workiva, Inc.* | | | 63 | | | | 957 | |
Digital Turbine, Inc.* | | | 426 | | | | 771 | |
Five9, Inc.* | | | 207 | | | | 766 | |
Amber Road, Inc.* | | | 155 | | | | 654 | |
Imation Corp.* | | | 307 | | | | 654 | |
ExOne Co.* | | | 92 | | | | 617 | |
Apigee Corp.* | | | 45 | | | | 475 | |
Code Rebel Corp.* | | | 9 | | | | 64 | |
Total Technology | | | | | | | 1,584,906 | |
| | | | | | | | | |
Communications - 3.8% | |
j2 Global, Inc. | | | 423 | | | | 29,969 | |
Houghton Mifflin Harcourt Co.* | | | 1,198 | | | | 24,331 | |
ViaSat, Inc.* | | | 373 | | | | 23,979 | |
Infinera Corp.* | | | 1,167 | | | | 22,827 | |
Ciena Corp.* | | | 1,080 | | | | 22,378 | |
Time, Inc. | | | 960 | | | | 18,288 | |
GrubHub, Inc.* | | | 658 | | | | 16,015 | |
InterDigital, Inc. | | | 316 | | | | 15,990 | |
Plantronics, Inc. | | | 309 | | | | 15,712 | |
Sinclair Broadcast Group, Inc. — Class A | | | 579 | | | | 14,660 | |
LogMeIn, Inc.* | | | 213 | | | | 14,518 | |
Anixter International, Inc.* | | | 249 | | | | 14,387 | |
New York Times Co. — Class A | | | 1,205 | | | | 14,231 | |
comScore, Inc.* | | | 301 | | | | 13,891 | |
Meredith Corp. | | | 322 | | | | 13,711 | |
WebMD Health Corp. — Class A* | | | 332 | | | | 13,227 | |
NeuStar, Inc. — Class A* | | | 486 | | | | 13,223 | |
Nexstar Broadcasting Group, Inc. — Class A | | | 274 | | | | 12,974 | |
Polycom, Inc.* | | | 1,184 | | | | 12,408 | |
DigitalGlobe, Inc.* | | | 636 | | | | 12,097 | |
Shutterfly, Inc.* | | | 330 | | | | 11,798 | |
Media General, Inc.* | | | 838 | | | | 11,724 | |
Cogent Communications Holdings, Inc. | | | 403 | | | | 10,945 | |
West Corp. | | | 458 | | | | 10,259 | |
NIC, Inc. | | | 574 | | | | 10,165 | |
Finisar Corp.* | | | 911 | | | | 10,139 | |
zulily, Inc. — Class A* | | | 575 | | | | 10,005 | |
Vonage Holdings Corp.* | | | 1,625 | | | | 9,555 | |
Zendesk, Inc.* | | | 470 | | | | 9,265 | |
Stamps.com, Inc.* | | | 125 | | | | 9,251 | |
EW Scripps Co. — Class A | | | 519 | | | | 9,171 | |
Ubiquiti Networks, Inc. | | | 268 | | | | 9,083 | |
Shenandoah Telecommunications Co. | | | 212 | | | | 9,075 | |
Scholastic Corp. | | | 231 | | | | 9,000 | |
Marketo, Inc.* | | | 304 | | | | 8,640 | |
RingCentral, Inc. — Class A* | | | 470 | | | | 8,531 | |
Consolidated Communications Holdings, Inc. | | | 442 | | | | 8,517 | |
NETGEAR, Inc.* | | | 282 | | | | 8,226 | |
Web.com Group, Inc.* | | | 384 | | | | 8,095 | |
Infoblox, Inc.* | | | 495 | | | | 7,910 | |
Ruckus Wireless, Inc.* | | | 659 | | | | 7,829 | |
Ixia* | | | 530 | | | | 7,680 | |
Gogo, Inc.* | | | 493 | | | | 7,533 | |
Gray Television, Inc.* | | | 554 | | | | 7,069 | |
MDC Partners, Inc. — Class A | | | 381 | | | | 7,022 | |
EarthLink Holdings Corp. | | | 902 | | | | 7,018 | |
Endurance International Group Holdings, Inc.* | | | 512 | | | | 6,840 | |
Atlantic Tele-Network, Inc. | | | 90 | | | | 6,654 | |
Globalstar, Inc.* | | | 4,166 | | | | 6,541 | |
Inteliquent, Inc. | | | 292 | | | | 6,520 | |
ADTRAN, Inc. | | | 438 | | | | 6,395 | |
8x8, Inc.* | | | 771 | | | | 6,376 | |
Wayfair, Inc. — Class A* | | | 176 | | | | 6,171 | |
New Media Investment Group, Inc. | | | 392 | | | | 6,060 | |
Bankrate, Inc.* | | | 583 | | | | 6,034 | |
Cincinnati Bell, Inc.* | | | 1,836 | | | | 5,728 | |
Premiere Global Services, Inc.* | | | 404 | | | | 5,551 | |
Windstream Holdings, Inc. | | | 883 | | | | 5,422 | |
Loral Space & Communications, Inc.* | | | 115 | | | | 5,414 | |
General Communication, Inc. — Class A* | | | 306 | | | | 5,282 | |
Shutterstock, Inc.* | | | 172 | | | | 5,201 | |
CalAmp Corp.* | | | 317 | | | | 5,101 | |
GTT Communications, Inc.* | | | 214 | | | | 4,978 | |
Blucora, Inc.* | | | 359 | | | | 4,943 | |
HealthStream, Inc.* | | | 221 | | | | 4,820 | |
Chegg, Inc.* | | | 668 | | | | 4,816 | |
Coupons.com, Inc.* | | | 535 | | | | 4,815 | |
Gigamon, Inc.* | | | 240 | | | | 4,802 | |
Perficient, Inc.* | | | 311 | | | | 4,799 | |
FTD Companies, Inc.* | | | 159 | | | | 4,738 | |
Global Eagle Entertainment, Inc.* | | | 406 | | | | 4,661 | |
Harmonic, Inc.* | | | 777 | | | | 4,507 | |
World Wrestling Entertainment, Inc. — Class A | | | 264 | | | | 4,462 | |
Textura Corp.* | | | 172 | | | | 4,444 | |
Iridium Communications, Inc.* | | | 718 | | | | 4,416 | |
VASCO Data Security International, Inc.* | | | 258 | | | | 4,396 | |
ShoreTel, Inc.* | | | 566 | | | | 4,229 | |
Q2 Holdings, Inc.* | | | 169 | | | | 4,178 | |
Lands’ End, Inc.* | | | 144 | | | | 3,889 | |
ePlus, Inc.* | | | 49 | | | | 3,875 | |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Entravision Communications Corp. — Class A | | | 557 | | | $ | 3,698 | |
Blue Nile, Inc.* | | | 104 | | | | 3,488 | |
Pacific DataVision, Inc.* | | | 114 | | | | 3,409 | |
Straight Path Communications, Inc. — Class B* | | | 82 | | | | 3,314 | |
XO Group, Inc.* | | | 231 | | | | 3,264 | |
Rubicon Project, Inc.* | | | 224 | | | | 3,255 | |
Spok Holdings, Inc. | | | 191 | | | | 3,144 | |
Calix, Inc.* | | | 390 | | | | 3,038 | |
Comtech Telecommunications Corp. | | | 143 | | | | 2,947 | |
Extreme Networks, Inc.* | | | 876 | | | | 2,943 | |
Internap Corp.* | | | 480 | | | | 2,942 | |
Intralinks Holdings, Inc.* | | | 353 | | | | 2,926 | |
ORBCOMM, Inc.* | | | 524 | | | | 2,924 | |
Wix.com Ltd.* | | | 164 | | | | 2,857 | |
DHI Group, Inc.* | | | 390 | | | | 2,851 | |
FairPoint Communications, Inc.* | | | 183 | | | | 2,820 | |
Safeguard Scientifics, Inc.* | | | 180 | | | | 2,797 | |
Lionbridge Technologies, Inc.* | | | 564 | | | | 2,786 | |
RetailMeNot, Inc.* | | | 337 | | | | 2,777 | |
RigNet, Inc.* | | | 106 | | | | 2,703 | |
Boingo Wireless, Inc.* | | | 321 | | | | 2,658 | |
Yodlee, Inc.* | | | 160 | | | | 2,581 | |
Sonus Networks, Inc.* | | | 432 | | | | 2,471 | |
Lumos Networks Corp. | | | 199 | | | | 2,420 | |
Bazaarvoice, Inc.* | | | 535 | | | | 2,413 | |
Etsy, Inc.* | | | 175 | | | | 2,396 | |
Entercom Communications Corp. — Class A* | | | 222 | | | | 2,255 | |
TrueCar, Inc.* | | | 429 | | | | 2,235 | |
Alliance Fiber Optic Products, Inc. | | | 127 | | | | 2,170 | |
Zix Corp.* | | | 504 | | | | 2,122 | |
IDT Corp. — Class B | | | 147 | | | | 2,102 | |
1-800-Flowers.com, Inc. — Class A* | | | 219 | | | | 1,993 | |
Black Box Corp. | | | 135 | | | | 1,990 | |
Oclaro, Inc.* | | | 857 | | | | 1,971 | |
Hawaiian Telcom Holdco, Inc.* | | | 94 | | | | 1,953 | |
Angie’s List, Inc.* | | | 384 | | | | 1,935 | |
Telenav, Inc.* | | | 247 | | | | 1,929 | |
ChannelAdvisor Corp.* | | | 190 | | | | 1,889 | |
Millennial Media, Inc.* | | | 1,047 | | | | 1,832 | |
Tribune Publishing Co. | | | 231 | | | | 1,811 | |
Overstock.com, Inc.* | | | 105 | | | | 1,802 | |
A10 Networks, Inc.* | | | 297 | | | | 1,779 | |
QuinStreet, Inc.* | | | 310 | | | | 1,721 | |
Reis, Inc. | | | 75 | | | | 1,699 | |
Daily Journal Corp.* | | | 9 | | | | 1,676 | |
NeoPhotonics Corp.* | | | 244 | | | | 1,662 | |
Crown Media Holdings, Inc. — Class A* | | | 302 | | | | 1,616 | |
Martha Stewart Living Omnimedia, Inc. — Class A* | | | 270 | | | | 1,609 | |
Journal Media Group, Inc. | | | 213 | | | | 1,598 | |
Intelsat S.A.* | | | 247 | | | | 1,588 | |
Liquidity Services, Inc.* | | | 211 | | | | 1,559 | |
TeleCommunication Systems, Inc. — Class A* | | | 440 | | | | 1,514 | |
Harte-Hanks, Inc. | | | 423 | | | | 1,493 | |
TechTarget, Inc.* | | | 170 | | | | 1,448 | |
Box, Inc. — Class A* | | | 113 | | | | 1,422 | |
KVH Industries, Inc.* | | | 141 | | | | 1,410 | |
VirnetX Holding Corp.* | | | 395 | | | | 1,406 | |
Central European Media Enterprises Ltd. — Class A* | | | 643 | | | | 1,389 | |
NTELOS Holdings Corp.* | | | 152 | | | | 1,373 | |
Clearfield, Inc.* | | | 99 | | | | 1,330 | |
United Online, Inc.* | | | 129 | | | | 1,290 | |
Aerohive Networks, Inc.* | | | 204 | | | | 1,220 | |
HC2 Holdings, Inc.* | | | 173 | | | | 1,213 | |
Hemisphere Media Group, Inc.* | | | 89 | | | | 1,210 | |
EVINE Live, Inc.* | | | 437 | | | | 1,145 | |
Marchex, Inc. — Class B | | | 283 | | | | 1,140 | |
Sizmek, Inc.* | | | 188 | | | | 1,126 | |
Rocket Fuel, Inc.* | | | 232 | | | | 1,083 | |
Saga Communications, Inc. — Class A | | | 32 | | | | 1,076 | |
Limelight Networks, Inc.* | | | 534 | | | | 1,020 | |
ModusLink Global Solutions, Inc.* | | | 331 | | | | 947 | |
Cumulus Media, Inc. — Class A* | | | 1,250 | | | | 880 | |
Preformed Line Products Co. | | | 23 | | | | 854 | |
RealNetworks, Inc.* | | | 203 | | | | 830 | |
Marin Software, Inc.* | | | 262 | | | | 820 | |
Novatel Wireless, Inc.* | | | 330 | | | | 729 | |
Corindus Vascular Robotics, Inc.* | | | 196 | | | | 606 | |
Townsquare Media, Inc. — Class A* | | | 60 | | | | 586 | |
Travelzoo, Inc.* | | | 61 | | | | 504 | |
Connecture, Inc.* | | | 58 | | | | 264 | |
MaxPoint Interactive, Inc.* | | | 60 | | | | 245 | |
Total Communications | | | | | | | 903,270 | |
| | | | | | | | | |
Utilities - 2.2% | |
IDACORP, Inc. | | | 442 | | | | 28,603 | |
Cleco Corp. | | | 530 | | | | 28,217 | |
Piedmont Natural Gas Company, Inc. | | | 689 | | | | 27,608 | |
Portland General Electric Co. | | | 721 | | | | 26,655 | |
WGL Holdings, Inc. | | | 436 | | | | 25,144 | |
UIL Holdings Corp. | | | 495 | | | | 24,885 | |
Southwest Gas Corp. | | | 409 | | | | 23,853 | |
Dynegy, Inc.* | | | 1,123 | | | | 23,212 | |
New Jersey Resources Corp. | | | 748 | | | | 22,462 | |
NorthWestern Corp. | | | 412 | | | | 22,178 | |
ALLETE, Inc. | | | 427 | | | | 21,559 | |
ONE Gas, Inc. | | | 460 | | | | 20,852 | |
Laclede Group, Inc. | | | 379 | | | | 20,667 | |
PNM Resources, Inc. | | | 696 | | | | 19,523 | |
Avista Corp. | | | 546 | | | | 18,155 | |
Black Hills Corp. | | | 392 | | | | 16,205 | |
South Jersey Industries, Inc. | | | 599 | | | | 15,125 | |
American States Water Co. | | | 331 | | | | 13,704 | |
El Paso Electric Co. | | | 354 | | | | 13,034 | |
MGE Energy, Inc. | | | 304 | | | | 12,522 | |
Ormat Technologies, Inc. | | | 324 | | | | 11,025 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Northwest Natural Gas Co. | | | 240 | | | $ | 11,002 | |
California Water Service Group | | | 420 | | | | 9,290 | |
Otter Tail Corp. | | | 328 | | | | 8,548 | |
Empire District Electric Co. | | | 380 | | | | 8,371 | |
Talen Energy Corp.* | | | 730 | | | | 7,373 | |
Abengoa Yield plc | | | 430 | | | | 7,117 | |
Chesapeake Utilities Corp. | | | 133 | | | | 7,060 | |
NRG Yield, Inc. — Class C | | | 490 | | | | 5,689 | |
Unitil Corp. | | | 123 | | | | 4,536 | |
SJW Corp. | | | 139 | | | | 4,274 | |
Connecticut Water Service, Inc. | | | 98 | | | | 3,579 | |
Middlesex Water Co. | | | 142 | | | | 3,385 | |
NRG Yield, Inc. — Class A | | | 301 | | | | 3,356 | |
York Water Co. | | | 113 | | | | 2,375 | |
Atlantic Power Corp. | | | 1,068 | | | | 1,986 | |
PICO Holdings, Inc.* | | | 201 | | | | 1,946 | |
EnerNOC, Inc.* | | | 236 | | | | 1,864 | |
Artesian Resources Corp. — Class A | | | 68 | | | | 1,642 | |
Consolidated Water Company Ltd. | | | 129 | | | | 1,496 | |
Ameresco, Inc. — Class A* | | | 176 | | | | 1,035 | |
Genie Energy Ltd. — Class B* | | | 110 | | | | 905 | |
Spark Energy, Inc. — Class A | | | 26 | | | | 430 | |
Total Utilities | | | | | | | 532,447 | |
| | | | | | | | | |
Basic Materials - 1.6% | |
Sensient Technologies Corp. | | | 410 | | | | 25,132 | |
PolyOne Corp. | | | 780 | | | | 22,885 | |
Chemtura Corp.* | | | 589 | | | | 16,856 | |
Balchem Corp. | | | 273 | | | | 16,590 | |
HB Fuller Co. | | | 442 | | | | 15,001 | |
Minerals Technologies, Inc. | | | 304 | | | | 14,641 | |
Commercial Metals Co. | | | 1,011 | | | | 13,700 | |
Carpenter Technology Corp. | | | 442 | | | | 13,158 | |
Kaiser Aluminum Corp. | | | 151 | | | | 12,118 | |
Olin Corp. | | | 677 | | | | 11,380 | |
Worthington Industries, Inc. | | | 421 | | | | 11,148 | |
Stillwater Mining Co.* | | | 1,058 | | | | 10,929 | |
Innospec, Inc. | | | 212 | | | | 9,860 | |
Axiall Corp. | | | 615 | | | | 9,649 | |
Schweitzer-Mauduit International, Inc. | | | 267 | | | | 9,180 | |
Quaker Chemical Corp. | | | 117 | | | | 9,018 | |
OM Group, Inc. | | | 265 | | | | 8,716 | |
Neenah Paper, Inc. | | | 147 | | | | 8,567 | |
A. Schulman, Inc. | | | 257 | | | | 8,345 | |
Clearwater Paper Corp.* | | | 167 | | | | 7,889 | |
Calgon Carbon Corp. | | | 462 | | | | 7,198 | |
Stepan Co. | | | 169 | | | | 7,032 | |
Aceto Corp. | | | 255 | | | | 7,000 | |
Ferro Corp.* | | | 637 | | | | 6,975 | |
Globe Specialty Metals, Inc. | | | 570 | | | | 6,913 | |
Innophos Holdings, Inc. | | | 172 | | | | 6,818 | |
US Silica Holdings, Inc. | | | 468 | | | | 6,594 | |
PH Glatfelter Co. | | | 377 | | | | 6,492 | |
Hecla Mining Co. | | | 3,240 | | | | 6,383 | |
Deltic Timber Corp. | | | 96 | | | | 5,742 | |
Materion Corp. | | | 177 | | | | 5,314 | |
Kraton Performance Polymers, Inc.* | | | 274 | | | | 4,905 | |
AK Steel Holding Corp.* | | | 1,557 | | | | 3,752 | |
Koppers Holdings, Inc. | | | 179 | | | | 3,610 | |
Hawkins, Inc. | | | 93 | | | | 3,581 | |
Coeur Mining, Inc.* | | | 1,190 | | | | 3,356 | |
Cliffs Natural Resources, Inc. | | | 1,341 | | | | 3,272 | |
Schnitzer Steel Industries, Inc. — Class A | | | 230 | | | | 3,114 | |
American Vanguard Corp. | | | 255 | | | | 2,948 | |
Intrepid Potash, Inc.* | | | 493 | | | | 2,731 | |
Landec Corp.* | | | 234 | | | | 2,731 | |
Tronox Ltd. — Class A | | | 557 | | | | 2,434 | |
OMNOVA Solutions, Inc.* | | | 409 | | | | 2,266 | |
Rayonier Advanced Materials, Inc. | | | 357 | | | | 2,185 | |
Orchids Paper Products Co. | | | 81 | | | | 2,114 | |
Ring Energy, Inc.* | | | 214 | | | | 2,112 | |
Century Aluminum Co.* | | | 432 | | | | 1,987 | |
KMG Chemicals, Inc. | | | 85 | | | | 1,640 | |
Horsehead Holding Corp.* | | | 496 | | | | 1,508 | |
Kronos Worldwide, Inc. | | | 184 | | | | 1,143 | |
Rentech, Inc.* | | | 201 | | | | 1,126 | |
Energy Fuels, Inc.* | | | 383 | | | | 1,115 | |
Oil-Dri Corporation of America | | | 43 | | | | 985 | |
Uranium Energy Corp.* | | | 854 | | | | 854 | |
United States Lime & Minerals, Inc. | | | 17 | | | | 776 | |
Ryerson Holding Corp.* | | | 95 | | | | 499 | |
Valhi, Inc. | | | 166 | | | | 314 | |
Total Basic Materials | | | | | | | 384,281 | |
| | | | | | | | | |
Energy - 1.6% | |
Western Refining, Inc. | | | 622 | | | | 27,443 | |
PDC Energy, Inc.* | | | 351 | | | | 18,606 | |
SemGroup Corp. — Class A | | | 385 | | | | 16,647 | |
Delek US Holdings, Inc. | | | 503 | | | | 13,933 | |
Carrizo Oil & Gas, Inc.* | | | 451 | | | | 13,774 | |
Matador Resources Co.* | | | 642 | | | | 13,315 | |
Oil States International, Inc.* | | | 453 | | | | 11,836 | |
Parsley Energy, Inc. — Class A* | | | 729 | | | | 10,986 | |
Exterran Holdings, Inc. | | | 608 | | | | 10,943 | |
Oasis Petroleum, Inc.* | | | 1,219 | | | | 10,581 | |
MRC Global, Inc.* | | | 902 | | | | 10,057 | |
RSP Permian, Inc.* | | | 481 | | | | 9,740 | |
SEACOR Holdings, Inc.* | | | 159 | | | | 9,510 | |
Pattern Energy Group, Inc. | | | 488 | | | | 9,316 | |
McDermott International, Inc.* | | | 2,093 | | | | 9,000 | |
Synergy Resources Corp.* | | | 912 | | | | 8,938 | |
Ultra Petroleum Corp.* | | | 1,341 | | | | 8,569 | |
Atwood Oceanics, Inc. | | | 566 | | | | 8,382 | |
Bristow Group, Inc. | | | 304 | | | | 7,953 | |
Flotek Industries, Inc.* | | | 469 | | | | 7,833 | |
Green Plains, Inc. | | | 332 | | | | 6,461 | |
Forum Energy Technologies, Inc.* | | | 520 | | | | 6,349 | |
Thermon Group Holdings, Inc.* | | | 279 | | | | 5,734 | |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
Matrix Service Co.* | | | 233 | | | $ | 5,236 | |
Alon USA Energy, Inc. | | | 274 | | | | 4,952 | |
Unit Corp.* | | | 439 | | | | 4,943 | |
Helix Energy Solutions Group, Inc.* | | | 928 | | | | 4,445 | |
SunCoke Energy, Inc. | | | 571 | | | | 4,443 | |
Callon Petroleum Co.* | | | 576 | | | | 4,199 | |
TETRA Technologies, Inc.* | | | 696 | | | | 4,113 | |
Newpark Resources, Inc.* | | | 735 | | | | 3,763 | |
Peabody Energy Corp. | | | 2,432 | | | | 3,356 | |
CARBO Ceramics, Inc. | | | 172 | | | | 3,266 | |
Renewable Energy Group, Inc.* | | | 385 | | | | 3,188 | |
Par Petroleum Corp.* | | | 141 | | | | 2,937 | |
REX American Resources Corp.* | | | 58 | | | | 2,936 | |
Sanchez Energy Corp.* | | | 463 | | | | 2,847 | |
Parker Drilling Co.* | | | 1,070 | | | | 2,814 | |
Clean Energy Fuels Corp.* | | | 623 | | | | 2,804 | |
Plug Power, Inc.* | | | 1,518 | | | | 2,778 | |
Stone Energy Corp.* | | | 502 | | | | 2,490 | |
Tesco Corp. | | | 341 | | | | 2,435 | |
Northern Oil and Gas, Inc.* | | | 538 | | | | 2,378 | |
Panhandle Oil and Gas, Inc. — Class A | | | 145 | | | | 2,343 | |
Westmoreland Coal Co.* | | | 157 | | | | 2,212 | |
Trecora Resources* | | | 177 | | | | 2,198 | |
Natural Gas Services Group, Inc.* | | | 111 | | | | 2,142 | |
FutureFuel Corp. | | | 214 | | | | 2,114 | |
PHI, Inc.* | | | 110 | | | | 2,077 | |
Clayton Williams Energy, Inc.* | | | 52 | | | | 2,018 | |
Vivint Solar, Inc.* | | | 181 | | | | 1,897 | |
Solazyme, Inc.* | | | 701 | | | | 1,823 | |
Bonanza Creek Energy, Inc.* | | | 436 | | | | 1,775 | |
Pacific Ethanol, Inc.* | | | 272 | | | | 1,765 | |
C&J Energy Services Ltd.* | | | 495 | | | | 1,742 | |
Halcon Resources Corp.* | | | 3,221 | | | | 1,707 | |
FuelCell Energy, Inc.* | | | 2,193 | | | | 1,611 | |
Geospace Technologies Corp.* | | | 115 | | | | 1,589 | |
Fairmount Santrol Holdings, Inc.* | | | 560 | | | | 1,512 | |
Bill Barrett Corp.* | | | 439 | | | | 1,449 | |
Cloud Peak Energy, Inc.* | | | 535 | | | | 1,407 | |
Gulfmark Offshore, Inc. — Class A | | | 224 | | | | 1,369 | |
Basic Energy Services, Inc.* | | | 374 | | | | 1,234 | |
Jones Energy, Inc. — Class A* | | | 254 | | | | 1,217 | |
Pioneer Energy Services Corp.* | | | 565 | | | | 1,187 | |
Evolution Petroleum Corp. | | | 213 | | | | 1,182 | |
Contango Oil & Gas Co.* | | | 153 | | | | 1,163 | |
Abraxas Petroleum Corp.* | | | 823 | | | | 1,053 | |
EXCO Resources, Inc.* | | | 1,384 | | | | 1,038 | |
SandRidge Energy, Inc.* | | | 3,789 | | | | 1,023 | |
W&T Offshore, Inc. | | | 306 | | | | 918 | |
Enphase Energy, Inc.* | | | 242 | | | | 895 | |
Rex Energy Corp.* | | | 422 | | | | 874 | |
Energy XXI Ltd. | | | 828 | | | | 869 | |
Eclipse Resources Corp.* | | | 421 | | | | 821 | |
Gastar Exploration, Inc.* | | | 710 | | | | 817 | |
Isramco, Inc.* | | | 8 | | | | 795 | |
Adams Resources & Energy, Inc. | | | 19 | | | | 779 | |
Independence Contract Drilling, Inc.* | | | 145 | | | | 722 | |
Seventy Seven Energy, Inc.* | | | 493 | | | | 680 | |
Hallador Energy Co. | | | 95 | | | | 660 | |
Magnum Hunter Resources Corp.* | | | 1,793 | | | | 610 | |
Approach Resources, Inc.* | | | 317 | | | | 593 | |
Triangle Petroleum Corp.* | | | 408 | | | | 579 | |
TransAtlantic Petroleum Ltd.* | | | 226 | | | | 574 | |
Key Energy Services, Inc.* | | | 1,166 | | | | 548 | |
ION Geophysical Corp.* | | | 1,237 | | | | 482 | |
North Atlantic Drilling Ltd.* | | | 625 | | | | 481 | |
Erin Energy Corp.* | | | 122 | | | | 478 | |
Penn Virginia Corp.* | | | 626 | | | | 332 | |
Earthstone Energy, Inc.* | | | 12 | | | | 182 | |
Total Energy | | | | | | | 383,765 | |
| | | | | | | | | |
Diversified - 0.1% | |
HRG Group, Inc.* | | | 687 | | | | 8,059 | |
National Bank Holdings Corp. — Class A | | | 304 | | | | 6,241 | |
Tiptree Financial, Inc. — Class A | | | 263 | | | | 1,683 | |
Resource America, Inc. — Class A | | | 140 | | | | 931 | |
Total Diversified | | | | | | | 16,914 | |
| | | | | | | | | |
FOREIGN Government - 0.0% | |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 264 | | | | 6,112 | |
| | | | | | | | | |
Total Common Stocks | | | | | | | | |
(Cost $10,035,272) | | | | | | | 14,390,071 | |
| | | | | | | | | |
WARRANTS†† - 0.0% | |
Tejon Ranch Co. | | | | | | | | |
$10.50, 08/31/16† | | | 39 | | | | 6 | |
Magnum Hunter Resources Corp. | | | | | | | | |
$8.50, 04/15/16 | | | 334 | | | | — | |
Imperial Holdings, Inc. | | | | | | | | |
$10.75, 10/06/19 | | | 18 | | | | — | |
Total Warrants | | | | | | | | |
(Cost $220) | | | | | | | 6 | |
| | | | | | | | | |
RIGHTS††† - 0.0% | |
Furiex Pharmaceuticals, Inc. | | | | | | | | |
Expires 07/03/17 | | | 140 | | | | — | |
Omthera Pharmaceuticals, Inc. | | | | | | | | |
Expires 12/31/20 | | | 110 | | | | — | |
Leap Wireless International, Inc. | | | | | | | | |
Expires 02/17/16 | | | 1,031 | | | | — | |
Total Rights | | | | | | | | |
(Cost $1,595) | | | | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2015 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
CORPORATE BONDS†† - 0.0% | |
Financial - 0.0% | |
GAMCO Investors, Inc. | | | | | | |
0.00% due 12/31/15 | | $ | 200 | | | $ | 200 | |
Total Corporate Bonds | | | | | | | | |
(Cost $ —) | | | | | | | 200 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,1 - 18.4% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 3,891,758 | | | | 3,891,758 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 437,276 | | | | 437,276 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 24,405 | | | | 24,405 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $4,353,439) | | | | | | | 4,353,439 | |
| | | | | | | | | |
Total Investments - 79.1% | | | | | | | | |
(Cost $14,390,526) | | | | | | $ | 18,743,716 | |
Other Assets & Liabilities, net - 20.9% | | | | | | | 4,939,070 | |
Total Net Assets - 100.0% | | | | | | $ | 23,682,786 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS PURCHASED† | |
December 2015 Russell 2000 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $9,637,760) | | | 88 | | | $ | (6,506 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS†† | |
Barclays Bank plc
October 2015 Russell 2000 Index Swap,
Terminating 10/30/152
(Notional Value $12,383,873) | | | 11,251 | | | $ | 51,874 | |
Goldman Sachs International
October 2015 Russell 2000 Index Swap,
Terminating 10/26/152
(Notional Value $3,657,612) | | | 3,323 | | | | 34,029 | |
Credit Suisse Capital, LLC
October 2015 Russell 2000 Index Swap,
Terminating 10/27/152
(Notional Value $7,580,818) | | | 6,887 | | | | (146,817 | ) |
(Total Notional Value $23,622,303) | | | | | | $ | (60,914 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 5. |
2 | Total Return based on Russell 2000 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $10,037,087) | | $ | 14,390,277 | |
Repurchase agreements, at value (cost $4,353,439) | | | 4,353,439 | |
Total investments (cost $14,390,526) | | | 18,743,716 | |
Foreign currency, at value (cost $34) | | | 34 | |
Segregated cash with broker | | | 3,541,980 | |
Unrealized appreciation on swap agreements | | | 85,903 | |
Cash | | | 4,975 | |
Receivables: | |
Fund shares sold | | | 6,782,950 | |
Variation margin | | | 147,301 | |
Dividends | | | 17,097 | |
Foreign taxes reclaim | | | 24 | |
Interest | | | 5 | |
Securities lending income | | | 4 | |
Total assets | | | 29,323,989 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 146,817 | |
Payable for: | |
Fund shares redeemed | | | 5,341,217 | |
Swap settlement | | | 84,946 | |
Management fees | | | 16,765 | |
Distribution and service fees | | | 5,320 | |
Transfer agent and administrative fees | | | 4,657 | |
Portfolio accounting fees | | | 2,794 | |
Miscellaneous | | | 38,687 | |
Total liabilities | | | 5,641,203 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 23,682,786 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 28,042,436 | |
Accumulated net investment loss | | | (366,625 | ) |
Accumulated net realized loss on investments | | | (8,278,795 | ) |
Net unrealized appreciation on investments | | | 4,285,770 | |
Net assets | | $ | 23,682,786 | |
| | | | | |
A-Class: | |
Net assets | | $ | 2,232,006 | |
Capital shares outstanding | | | 8,368 | |
Net asset value per share | | $ | 266.73 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 280.03 | |
| | | | | |
C-Class: | |
Net assets | | $ | 1,088,708 | |
Capital shares outstanding | | | 4,384 | |
Net asset value per share | | $ | 248.34 | |
| | | | | |
H-Class: | |
Net assets | | $ | 20,362,072 | |
Capital shares outstanding | | | 76,448 | |
Net asset value per share | | $ | 266.35 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Dividends (net of foreign withholding tax of $309) | | $ | 205,218 | |
Income from securities lending, net | | | 13,912 | |
Interest | | | 3,955 | |
Total investment income | | | 223,085 | |
| | | | | |
Expenses: | |
Management fees | | | 286,557 | |
Transfer agent and administrative fees | | | 79,600 | |
Distribution and service fees: | |
A-Class | | | 4,796 | |
C-Class | | | 6,934 | |
H-Class | | | 73,071 | |
Portfolio accounting fees | | | 47,760 | |
Registration fees | | | 37,303 | |
Custodian fees | | | 3,651 | |
Trustees’ fees* | | | 2,447 | |
Line of credit fees | | | 600 | |
Miscellaneous | | | 32,458 | |
Total expenses | | | 575,177 | |
Net investment loss | | | (352,092 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | 2,603,380 | |
Swap agreements | | | (9,909,157 | ) |
Futures contracts | | | 1,819,670 | |
Net realized loss | | | (5,486,107 | ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | (5,490,535 | ) |
Swap agreements | | | (863,524 | ) |
Futures contracts | | | (1,196,970 | ) |
Net change in unrealized appreciation (depreciation) | | | (7,551,029 | ) |
Net realized and unrealized loss | | | (13,037,136 | ) |
Net decrease in net assets resulting from operations | | $ | (13,389,228 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (352,092 | ) | | $ | (606,416 | ) |
Net realized gain (loss) on investments | | | (5,486,107 | ) | | | 14,392,271 | |
Net change in unrealized appreciation (depreciation) on investments | | | (7,551,029 | ) | | | 1,080,823 | |
Net increase (decrease) in net assets resulting from operations | | | (13,389,228 | ) | | | 14,866,678 | |
| | | | | | | | | |
Distributions to shareholders from: | | | | | | | | |
Net realized gains | | | | | | | | |
A-Class | | | — | | | | (19,140 | ) |
C-Class | | | — | | | | (6,150 | ) |
H-Class | | | — | | | | (129,464 | ) |
Total distributions to shareholders | | | — | | | | (154,754 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 25,785,711 | | | | 52,972,910 | |
C-Class | | | 12,251,430 | | | | 45,533,953 | |
H-Class | | | 958,083,533 | | | | 2,329,838,795 | |
Distributions reinvested | | | | | | | | |
A-Class | | | — | | | | 17,968 | |
C-Class | | | — | | | | 5,816 | |
H-Class | | | — | | | | 127,254 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (27,312,949 | ) | | | (53,884,041 | ) |
C-Class | | | (12,587,115 | ) | | | (49,493,373 | ) |
H-Class | | | (1,054,853,114 | ) | | | (2,278,396,597 | ) |
Net increase (decrease) from capital share transactions | | | (98,632,504 | ) | | | 46,722,685 | |
Net increase (decrease) in net assets | | | (112,021,732 | ) | | | 61,434,609 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 135,704,518 | | | | 74,269,909 | |
End of period | | $ | 23,682,786 | | | $ | 135,704,518 | |
Accumulated net investment loss at end of period | | $ | (366,625 | ) | | $ | (14,533 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 75,841 | | | | 170,091 | |
C-Class | | | 39,419 | | | | 158,088 | |
H-Class | | | 2,886,190 | | | | 7,671,539 | |
Shares issued from reinvestment of distributions | | | | | | | | |
A-Class | | | — | | | | 57 | |
C-Class | | | — | | | | 20 | |
H-Class | | | — | | | | 403 | |
Shares redeemed | | | | | | | | |
A-Class | | | (80,324 | ) | | | (173,402 | ) |
C-Class | | | (40,362 | ) | | | (171,790 | ) |
H-Class | | | (3,180,893 | ) | | | (7,503,123 | ) |
Net increase (decrease) in shares | | | (300,129 | ) | | | 151,883 | |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 349.39 | | | $ | 314.68 | | | $ | 217.14 | | | $ | 173.53 | | | $ | 135.39 | | | $ | 169.09 | | | $ | 113.55 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (1.69 | ) | | | (3.03 | ) | | | (2.80 | ) | | | (.60 | ) | | | (1.50 | ) | | | (2.46 | ) | | | (1.49 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (80.97 | ) | | | 39.13 | | | | 107.93 | | | | 44.21 | | | | 39.64 | | | | (31.24 | ) | | | 57.03 | |
Total from investment operations | | | (82.66 | ) | | | 36.10 | | | | 105.13 | | | | 43.61 | | | | 38.14 | | | | (33.70 | ) | | | 55.54 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 266.73 | | | $ | 349.39 | | | $ | 314.68 | | | $ | 217.14 | | | $ | 173.53 | | | $ | 135.39 | | | $ | 169.09 | |
| | |
Total Returne | | | (23.66 | %) | | | 11.52 | % | | | 48.84 | % | | | 25.14 | % | | | 28.18 | % | | | (19.93 | %) | | | 48.89 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 2,232 | | | $ | 4,490 | | | $ | 5,068 | | | $ | 5,149 | | | $ | 1,706 | | | $ | 3,356 | | | $ | 3,183 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.00 | %) | | | (0.98 | %) | | | (1.02 | %) | | | (1.21 | %) | | | (0.95 | %) | | | (1.52 | %) | | | (1.16 | %) |
Total expenses | | | 1.77 | % | | | 1.80 | % | | | 1.76 | % | | | 1.79 | % | | | 1.82 | % | | | 1.94 | % | | | 1.80 | % |
Portfolio turnover rate | | | 159 | % | | | 620 | % | | | 515 | % | | | 88 | % | | | 622 | % | | | 150 | % | | | 148 | % |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 326.49 | | | $ | 296.29 | | | $ | 206.27 | | | $ | 165.09 | | | $ | 129.68 | | | $ | 163.02 | | | $ | 110.27 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (2.75 | ) | | | (5.66 | ) | | | (4.58 | ) | | | (.96 | ) | | | (2.28 | ) | | | (3.51 | ) | | | (2.28 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (75.40 | ) | | | 37.25 | | | | 102.19 | | | | 42.14 | | | | 37.69 | | | | (29.83 | ) | | | 55.03 | |
Total from investment operations | | | (78.15 | ) | | | 31.59 | | | | 97.61 | | | | 41.18 | | | | 35.41 | | | | (33.34 | ) | | | 52.75 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 248.34 | | | $ | 326.49 | | | $ | 296.29 | | | $ | 206.27 | | | $ | 165.09 | | | $ | 129.68 | | | $ | 163.02 | |
| | |
Total Returne | | | (23.94 | %) | | | 10.71 | % | | | 47.76 | % | | | 24.95 | % | | | 27.32 | % | | | (20.45 | %) | | | 47.82 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 1,089 | | | $ | 1,739 | | | $ | 5,632 | | | $ | 2,301 | | | $ | 3,398 | | | $ | 1,301 | | | $ | 1,900 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.71 | %) | | | (1.97 | %) | | | (1.78 | %) | | | (2.00 | %) | | | (1.48 | %) | | | (2.28 | %) | | | (1.91 | %) |
Total expenses | | | 2.51 | % | | | 2.75 | % | | | 2.50 | % | | | 2.49 | % | | | 2.51 | % | | | 2.69 | % | | | 2.56 | % |
Portfolio turnover rate | | | 159 | % | | | 620 | % | | | 515 | % | | | 88 | % | | | 622 | % | | | 150 | % | | | 148 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
RUSSELL 2000® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | | | Period Ended
March 28,
2013b,c | | | Year Ended
December 31,
2012 | | | Year Ended
December 31,
2011 | | | Year Ended
December 31,
2010 | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 348.85 | | | $ | 314.19 | | | $ | 216.88 | | | $ | 173.36 | | | $ | 135.31 | | | $ | 169.09 | | | $ | 113.58 | |
Income (loss) from investment operations: | |
Net investment income (loss)d | | | (1.82 | ) | | | (2.85 | ) | | | (2.80 | ) | | | (.62 | ) | | | (1.42 | ) | | | (2.48 | ) | | | (1.57 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (80.68 | ) | | | 38.90 | | | | 107.70 | | | | 44.14 | | | | 39.47 | | | | (31.30 | ) | | | 57.08 | |
Total from investment operations | | | (82.50 | ) | | | 36.05 | | | | 104.90 | | | | 43.52 | | | | 38.05 | | | | (33.78 | ) | | | 55.51 | |
Less distributions from: | |
Net realized gains | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (1.39 | ) | | | (7.59 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 266.35 | | | $ | 348.85 | | | $ | 314.19 | | | $ | 216.88 | | | $ | 173.36 | | | $ | 135.31 | | | $ | 169.09 | |
| | |
Total Returne | | | (23.65 | %) | | | 11.52 | % | | | 48.79 | % | | | 25.12 | % | | | 28.13 | % | | | (19.98 | %) | | | 48.86 | % |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 20,362 | | | $ | 129,475 | | | $ | 63,570 | | | $ | 48,837 | | | $ | 43,854 | | | $ | 30,306 | | | $ | 39,755 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.10 | %) | | | (0.95 | %) | | | (1.07 | %) | | | (1.29 | %) | | | (0.91 | %) | | | (1.56 | %) | | | (1.20 | %) |
Total expenses | | | 1.79 | % | | | 1.81 | % | | | 1.78 | % | | | 1.83 | % | | | 1.82 | % | | | 1.94 | % | | | 1.81 | % |
Portfolio turnover rate | | | 159 | % | | | 620 | % | | | 515 | % | | | 88 | % | | | 622 | % | | | 150 | % | | | 148 | % |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FUND PROFILE (Unaudited) | September 30, 2015 |
INVERSE 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 inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2015 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 50.7% | |
Federal Home Loan Bank1 | | | | | | |
0.16% due 11/09/15 | | $ | 3,400,000 | | | $ | 3,399,762 | |
0.15% due 12/02/15 | | | 1,000,000 | | | | 999,811 | |
0.10% due 10/23/15 | | | 500,000 | | | | 499,969 | |
Total Federal Home Loan Bank | | | | | | | 4,899,542 | |
Fannie Mae2 | | | | | | | | |
0.50% due 08/15/162 | | | 2,000,000 | | | | 1,994,966 | |
Total Federal Agency Discount Notes | | | | | | | | |
(Cost $6,890,153) | | | | | | | 6,894,508 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 18.8% | |
HSBC Group
issued 09/30/15 at 0.04%
due 10/01/15 | | | 2,287,598 | | | | 2,287,598 | |
Royal Bank of Canada
issued 09/30/15 at 0.03%
due 10/01/15 | | | 257,033 | | | | 257,033 | |
UMB Financial Corp.
issued 09/30/15 at 0.04%
due 10/01/15 | | | 14,346 | | | | 14,346 | |
Total Repurchase Agreements | | | | | | | | |
(Cost $2,558,977) | | | | | | | 2,558,977 | |
| | | | | | | | | |
Total Investments - 69.5% | | | | | | | | |
(Cost $9,449,130) | | | | | | $ | 9,453,485 | |
Other Assets & Liabilities, net - 30.5% | | | | | | | 4,142,856 | |
Total Net Assets - 100.0% | | | | | | $ | 13,596,341 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| | | | | | | |
EQUITY FUTURES CONTRACTS SOLD SHORT† | |
December 2015 Russell 2000 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $2,738,000) | | | 25 | | | $ | (21,194 | ) |
| | | Units | | | | |
| | | | | | | |
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | |
Credit Suisse Capital, LLC
October 2015 Russell 2000 Index Swap,
Terminating 10/27/154
(Notional Value $591,672) | | | 538 | | | $ | 11,424 | |
Barclays Bank plc
October 2015 Russell 2000 Index Swap,
Terminating 10/30/154
(Notional Value $4,538,805) | | | 4,124 | | | | (36,906 | ) |
Goldman Sachs International
October 2015 Russell 2000 Index Swap,
Terminating 10/26/154
(Notional Value $19,220,017) | | | 17,462 | | | | (179,469 | ) |
(Total Notional Value $24,350,494) | | | | | | $ | (204,951 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | Repurchase Agreements — See Note 5. |
4 | Total Return based on Russell 2000 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2015 | |
Assets: | |
Investments, at value (cost $6,890,153) | | $ | 6,894,508 | |
Repurchase agreements, at value (cost $2,558,977) | | | 2,558,977 | |
Total investments (cost $9,449,130) | | | 9,453,485 | |
Segregated cash with broker | | | 3,573,600 | |
Unrealized appreciation on swap agreements | | | 11,424 | |
Receivables: | |
Fund shares sold | | | 2,232,192 | |
Swap settlement | | | 1,828 | |
Interest | | | 3 | |
Total assets | | | 15,272,532 | |
| | | | | |
Liabilities: | |
Unrealized depreciation on swap agreements | | | 216,375 | |
Payable for: | |
Fund shares redeemed | | | 1,385,493 | |
Variation margin | | | 42,000 | |
Management fees | | | 12,139 | |
Distribution and service fees | | | 3,853 | |
Transfer agent and administrative fees | | | 3,372 | |
Portfolio accounting fees | | | 2,023 | |
Miscellaneous | | | 10,936 | |
Total liabilities | | | 1,676,191 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 13,596,341 | |
| | | | | |
Net assets consist of: | |
Paid in capital | | $ | 140,312,210 | |
Accumulated net investment loss | | | (133,123 | ) |
Accumulated net realized loss on investments | | | (126,360,956 | ) |
Net unrealized depreciation on investments | | | (221,790 | ) |
Net assets | | $ | 13,596,341 | |
| | | | | |
A-Class: | |
Net assets | | $ | 614,788 | |
Capital shares outstanding | | | 20,219 | |
Net asset value per share | | $ | 30.41 | |
Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 31.93 | |
| | | | | |
C-Class: | |
Net assets | | $ | 773,194 | |
Capital shares outstanding | | | 27,393 | |
Net asset value per share | | $ | 28.23 | |
| | | | | |
H-Class: | |
Net assets | | $ | 12,208,359 | |
Capital shares outstanding | | | 402,864 | |
Net asset value per share | | $ | 30.30 | |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2015 | |
Investment Income: | |
Interest | | $ | 3,702 | |
Total investment income | | | 3,702 | |
| | | | | |
Expenses: | |
Management fees | | | 67,836 | |
Transfer agent and administrative fees | | | 18,844 | |
Distribution and service fees: | |
A-Class | | | 690 | |
C-Class | | | 3,383 | |
H-Class | | | 17,309 | |
Portfolio accounting fees | | | 11,307 | |
Registration fees | | | 8,800 | |
Custodian fees | | | 868 | |
Trustees’ fees* | | | 500 | |
Miscellaneous | | | 7,288 | |
Total expenses | | | 136,825 | |
Net investment loss | | | (133,123 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): | |
Net realized gain (loss) on: | |
Investments | | | (35 | ) |
Swap agreements | | | 2,540,668 | |
Futures contracts | | | 844,962 | |
Net realized gain | | | 3,385,595 | |
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 4,355 | |
Swap agreements | | | (360 | ) |
Futures contracts | | | (14,641 | ) |
Net change in unrealized appreciation (depreciation) | | | (10,646 | ) |
Net realized and unrealized gain | | | 3,374,949 | |
Net increase in net assets resulting from operations | | $ | 3,241,826 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended
September 30,
2015
(Unaudited) | | | Year Ended
March 31,
2015 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | |
Net investment loss | | $ | (133,123 | ) | | $ | (456,181 | ) |
Net realized gain (loss) on investments | | | 3,385,595 | | | | (4,642,305 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (10,646 | ) | | | 79,802 | |
Net increase (decrease) in net assets resulting from operations | | | 3,241,826 | | | | (5,018,684 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | | | | | | |
A-Class | | | 3,185,255 | | | | 25,053,419 | |
C-Class | | | 12,652,333 | | | | 60,186,523 | |
H-Class | | | 376,089,498 | | | | 1,333,164,672 | |
Cost of shares redeemed | | | | | | | | |
A-Class | | | (3,203,980 | ) | | | (24,888,532 | ) |
C-Class | | | (12,730,092 | ) | | | (59,783,125 | ) |
H-Class | | | (377,326,356 | ) | | | (1,334,005,882 | ) |
Net decrease from capital share transactions | | | (1,333,342 | ) | | | (272,925 | ) |
Net increase (decrease) in net assets | | | 1,908,484 | | | | (5,291,609 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 11,687,857 | | | | 16,979,466 | |
End of period | | $ | 13,596,341 | | | $ | 11,687,857 | |
Accumulated net investment loss at end of period | | $ | (133,123 | ) | | $ | — | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | | | | | | |
A-Class | | | 126,907 | | | | 831,137 | |
C-Class | | | 534,240 | | | | 2,015,744 | |
H-Class | | | 14,908,888 | | | | 42,281,149 | |
Shares redeemed | | | | | | | | |
A-Class | | | (127,295 | ) | | | (830,251 | ) |
C-Class | | | (535,315 | ) | | | (2,003,141 | ) |
H-Class | | | (14,927,016 | ) | | | (42,346,014 | ) |
Net decrease in shares | | | (19,591 | ) | | | (51,376 | ) |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE 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.
A-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 25.05 | | | $ | 32.70 | | | $ | 57.03 | | | $ | 73.35 | | | $ | 111.91 | | | $ | 146.40 | | | $ | 291.80 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.22 | ) | | | (.56 | ) | | | (.76 | ) | | | (.25 | ) | | | (1.45 | ) | | | (2.65 | ) | | | (3.60 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.58 | | | | (7.09 | ) | | | (23.57 | ) | | | (16.07 | ) | | | (37.11 | ) | | | (31.84 | ) | | | (141.80 | ) |
Total from investment operations | | | 5.36 | | | | (7.65 | ) | | | (24.33 | ) | | | (16.32 | ) | | | (38.56 | ) | | | (34.49 | ) | | | (145.40 | ) |
Net asset value, end of period | | $ | 30.41 | | | $ | 25.05 | | | $ | 32.70 | | | $ | 57.03 | | | $ | 73.35 | | | $ | 111.91 | | | $ | 146.40 | |
| | |
Total Returnf | | | 21.40 | % | | | (23.39 | %) | | | (42.68 | %) | | | (22.22 | %) | | | (34.45 | %) | | | (23.57 | %) | | | (49.83 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 615 | | | $ | 516 | | | $ | 645 | | | $ | 823 | | | $ | 997 | | | $ | 837 | | | $ | 851 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.73 | %) | | | (1.77 | %) | | | (1.75 | %) | | | (1.86 | %) | | | (1.69 | %) | | | (1.95 | %) | | | (1.66 | %) |
Total expenses | | | 1.78 | % | | | 1.78 | % | | | 1.77 | % | | | 1.94 | % | | | 1.81 | % | | | 1.99 | % | | | 1.81 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
C-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 23.33 | | | $ | 30.73 | | | $ | 54.03 | | | $ | 69.56 | | | $ | 106.30 | | | $ | 140.00 | | | $ | 280.60 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.30 | ) | | | (.74 | ) | | | (1.00 | ) | | | (.40 | ) | | | (2.05 | ) | | | (3.40 | ) | | | (4.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.20 | | | | (6.66 | ) | | | (22.30 | ) | | | (15.13 | ) | | | (34.69 | ) | | | (30.30 | ) | | | (135.80 | ) |
Total from investment operations | | | 4.90 | | | | (7.40 | ) | | | (23.30 | ) | | | (15.53 | ) | | | (36.74 | ) | | | (33.70 | ) | | | (140.60 | ) |
Net asset value, end of period | | $ | 28.23 | | | $ | 23.33 | | | $ | 30.73 | | | $ | 54.03 | | | $ | 69.56 | | | $ | 106.30 | | | $ | 140.00 | |
| | |
Total Returnf | | | 21.00 | % | | | (24.08 | %) | | | (43.15 | %) | | | (22.29 | %) | | | (34.57 | %) | | | (24.07 | %) | | | (50.11 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 773 | | | $ | 664 | | | $ | 488 | | | $ | 533 | | | $ | 1,059 | | | $ | 2,886 | | | $ | 2,798 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (2.50 | %) | | | (2.55 | %) | | | (2.47 | %) | | | (2.32 | %) | | | (2.46 | %) | | | (2.65 | %) | | | (2.39 | %) |
Total expenses | | | 2.55 | % | | | 2.56 | % | | | 2.49 | % | | | 2.39 | % | | | 2.57 | % | | | 2.73 | % | | | 2.56 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | | Period Ended
September 30,
2015a | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014g | | | Period Ended
March 28,
2013b,c,g | | | Year Ended
December 31,
2012g | | | Year Ended
December 31,
2011d,g | | | Year Ended
December 31,
2010d,g | |
Per Share Data | | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of period | | $ | 24.96 | | | $ | 32.62 | | | $ | 56.61 | | | $ | 72.71 | | | $ | 111.31 | | | $ | 145.60 | | | $ | 290.40 | |
Income (loss) from investment operations: | |
Net investment income (loss)e | | | (.22 | ) | | | (.56 | ) | | | (.74 | ) | | | (.25 | ) | | | (1.50 | ) | | | (2.55 | ) | | | (3.60 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.56 | | | | (7.10 | ) | | | (23.25 | ) | | | (15.85 | ) | | | (37.10 | ) | | | (31.74 | ) | | | (141.20 | ) |
Total from investment operations | | | 5.34 | | | | (7.66 | ) | | | (23.99 | ) | | | (16.10 | ) | | | (38.60 | ) | | | (34.29 | ) | | | (144.80 | ) |
Net asset value, end of period | | $ | 30.30 | | | $ | 24.96 | | | $ | 32.62 | | | $ | 56.61 | | | $ | 72.71 | | | $ | 111.31 | | | $ | 145.60 | |
| | |
Total Returnf | | | 21.39 | % | | | (23.48 | %) | | | (42.37 | %) | | | (22.15 | %) | | | (34.68 | %) | | | (23.56 | %) | | | (49.86 | %) |
Ratios/Supplemental Data | |
Net assets, end of period (in thousands) | | $ | 12,208 | | | $ | 10,508 | | | $ | 15,847 | | | $ | 43,907 | | | $ | 13,462 | | | $ | 23,518 | | | $ | 25,103 | |
Ratios to average net assets: | |
Net investment income (loss) | | | (1.73 | %) | | | (1.80 | %) | | | (1.76 | %) | | | (1.73 | %) | | | (1.75 | %) | | | (1.94 | %) | | | (1.66 | %) |
Total expenses | | | 1.78 | % | | | 1.82 | % | | | 1.79 | % | | | 1.81 | % | | | 1.86 | % | | | 1.97 | % | | | 1.81 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended September 30, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | The Fund changed its fiscal year end from December to March in 2013. |
d | Reverse Share Split — Per share amounts for periods presented through December 2, 2011 have been restated to reflect a 1:4 reverse share split effective December 2, 2011. |
e | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
g | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Dynamic Funds (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company, of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of three separate classes of shares: A-Class shares, C-Class shares, and H-Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. At September 30, 2015, the Trust consisted of eight funds.
This report covers the S&P 500® 2x Strategy Fund, Inverse S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Inverse NASDAQ-100® 2x Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Russell 2000® 2x Strategy Fund and Inverse Russell 2000® 2x Strategy Fund (the “Funds”), each a non-diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Guggenheim Investments (“GI”) provides advisory services, and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, RFS 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
The Trust calculates a NAV twice each business day; at 10:45 a.m. and at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets, as of the respective time of calculation.These financial statements are based on the September 30, 2015, afternoon NAV.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review
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responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of OTC swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s value is then adjusted to include dividends accrued, and financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees.
Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
B. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
C. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records
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a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
D. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
E. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
F. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
G. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.
H. The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.
I. Under the Funds’ organizational documents, their Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
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Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Each of the Funds uses derivative instruments to achieve leveraged exposure to their respective underlying indices. Since these Funds’ investment strategy involves consistently applied 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. In addition, as investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, this creates an opportunity for increased net income but, at the same time, additional leverage risk. The Funds’ use of leverage, through borrowings or instruments such as derivatives, may cause the Funds to be more volatile and riskier than if they had not been leveraged.
During the period ended September 30, 2015, the Funds sought to gain leverage and exposure to their respective benchmarks by investing in financial-linked derivative instruments, including swap agreements and futures. The following table represents the average notional amount of derivative instruments outstanding (excluding any non-derivative positions) on a quarterly basis:
| | | Average Notional | |
Fund | | Long | | | Short | |
S&P 500® 2x Strategy Fund | | $ | 225,153,804 | | | $ | — | |
Inverse S&P 500® 2x Strategy Fund | | | — | | | | 93,908,729 | |
NASDAQ-100® 2x Strategy Fund | | | 408,758,350 | | | | — | |
Inverse NASDAQ-100® 2x Strategy Fund | | | — | | | | 40,392,554 | |
Dow 2x Strategy Fund | | | 67,094,784 | | | | — | |
Inverse Dow 2x Strategy Fund | | | — | | | | 25,291,938 | |
Russell 2000® 2x Strategy Fund | | | 139,491,834 | | | | — | |
Inverse Russell 2000® 2x Strategy Fund | | | — | | | | 23,725,882 | |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A Fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including: (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-
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traded, and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
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 September 30, 2015:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | Variation margin | Variation margin |
| | Unrealized appreciation on swap agreements | Unrealized appreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2015:
Asset Derivative Investments Value | |
Fund | | Futures
Equity
Contracts* | | | Swaps
Equity
Contracts | | | Total Value at
September 30,
2015 | |
S&P 500® 2x Strategy Fund | | $ | — | | | $ | 1,809,864 | | | $ | 1,809,864 | |
Inverse S&P 500® 2x Strategy Fund | | | 3,434 | | | | 5,930 | | | | 9,364 | |
NASDAQ-100® 2x Strategy Fund | | | — | | | | 4,831,844 | | | | 4,831,844 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | — | | | | 18,850 | | | | 18,850 | |
Dow 2x Strategy Fund | | | — | | | | 344,768 | | | | 344,768 | |
Inverse Dow 2x Strategy Fund | | | — | | | | 4,043 | | | | 4,043 | |
Russell 2000® 2x Strategy Fund | | | — | | | | 85,903 | | | | 85,903 | |
Inverse Russell 2000® 2x Strategy Fund | | | — | | | | 11,424 | | | | 11,424 | |
Liability Derivative Investments Value | |
Fund | | Futures
Equity
Contracts* | | | Swaps
Equity
Contracts | | | Total Value at
September 30,
2015 | |
S&P 500® 2x Strategy Fund | | $ | 227,298 | | | $ | 4,254 | | | $ | 231,552 | |
Inverse S&P 500® 2x Strategy Fund | | | — | | | | 2,792,911 | | | | 2,792,911 | |
NASDAQ-100® 2x Strategy Fund | | | 460,974 | | | | 16,110 | | | | 477,084 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | 17,520 | | | | 886,338 | | | | 903,858 | |
Dow 2x Strategy Fund | | | 18,516 | | | | 3,649 | | | | 22,165 | |
Inverse Dow 2x Strategy Fund | | | 13,298 | | | | 497,620 | | | | 510,918 | |
Russell 2000® 2x Strategy Fund | | | 6,506 | | | | 146,817 | | | | 153,323 | |
Inverse Russell 2000® 2x Strategy Fund | | | 21,194 | | | | 216,375 | | | | 237,569 | |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2015:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity contracts | Net realized gain (loss) on futures contracts |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on futures contracts |
| Net change in unrealized appreciation (depreciation) on swap agreements |
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The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2015:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | |
Fund | | Futures
Equity
Contracts | | | Swaps
Equity
Contracts | | | Total | |
S&P 500® 2x Strategy Fund | | $ | (1,767,796 | ) | | $ | (12,135,043 | ) | | $ | (13,902,839 | ) |
Inverse S&P 500® 2x Strategy Fund | | | (187,368 | ) | | | 7,819,678 | | | | 7,632,310 | |
NASDAQ-100® 2x Strategy Fund | | | 80,139 | | | | (18,180,703 | ) | | | (18,100,564 | ) |
Inverse NASDAQ-100® 2x Strategy Fund | | | 880,498 | | | | 493,759 | | | | 1,374,257 | |
Dow 2x Strategy Fund | | | 447,700 | | | | (1,363,842 | ) | | | (916,142 | ) |
Inverse Dow 2x Strategy Fund | | | 51,616 | | | | 2,054,187 | | | | 2,105,803 | |
Russell 2000® 2x Strategy Fund | | | 1,819,670 | | | | (9,909,157 | ) | | | (8,089,487 | ) |
Inverse Russell 2000® 2x Strategy Fund | | | 844,962 | | | | 2,540,668 | | | | 3,385,630 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | |
Fund | | Futures
Equity
Contracts | | | Swaps
Equity
Contracts | | | Total | |
S&P 500® 2x Strategy Fund | | $ | (738,216 | ) | | $ | 1,112,671 | | | $ | 374,455 | |
Inverse S&P 500® 2x Strategy Fund | | | (95,806 | ) | | | (2,515,763 | ) | | | (2,611,569 | ) |
NASDAQ-100® 2x Strategy Fund | | | (762,331 | ) | | | 4,222,235 | | | | 3,459,904 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | (54,187 | ) | | | (861,688 | ) | | | (915,875 | ) |
Dow 2x Strategy Fund | | | (38,486 | ) | | | 98,028 | | | | 59,542 | |
Inverse Dow 2x Strategy Fund | | | (12,840 | ) | | | (423,744 | ) | | | (436,584 | ) |
Russell 2000® 2x Strategy Fund | | | (1,196,970 | ) | | | (863,524 | ) | | | (2,060,494 | ) |
Inverse Russell 2000® 2x Strategy Fund | | | (14,641 | ) | | | (360 | ) | | | (15,001 | ) |
In conjunction with the use derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
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3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at their annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees
(as a % of Net Assets) |
S&P 500® 2x Strategy Fund | 0.90% |
Inverse S&P 500® 2x Strategy Fund | 0.90% |
NASDAQ-100® 2x Strategy Fund | 0.90% |
Inverse NASDAQ-100® 2x Strategy Fund | 0.90% |
Dow 2x Strategy Fund | 0.90% |
Inverse Dow 2x Strategy Fund | 0.90% |
Russell 2000® 2x Strategy Fund | 0.90% |
Inverse Russell 2000® 2x Strategy Fund | 0.90% |
RFS provides transfer agent and administrative services to the Funds for fees calculated at the annualized rate of 0.25% based on the average daily net assets of each Fund.
RFS also provides accounting services to the Funds for fees calculated at the annualized rate of 0.15% based on the average daily net assets of each Fund.
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Funds will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
For the period ended September 30, 2015, GFD retained sales charges of $27,175 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI, RFS and GFD.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
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Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The following table summarizes the inputs used to value the Funds’ investments at September 30, 2015. See Schedule of Investments for more details in the classification of securities.
| | | Level 1
Investments
In Securities | | | Level 1
Other Financial
Instruments* | | | Level 2
Investments
In Securities | | | Level 2
Other Financial
Instruments* | | | Level 3
Investments
In Securities | | | Total | |
Assets | | | | | | | | | | | | | | | | | | |
S&P 500® 2x Strategy Fund | | $ | 70,592,546 | | | $ | — | | | $ | 35,667,961 | | | $ | 1,809,864 | | | $ | — | | | $ | 108,070,371 | |
Inverse S&P 500® 2x Strategy Fund | | | — | | | | 3,434 | | | | 51,575,666 | | | | 5,930 | | | | — | | | | 51,585,030 | |
NASDAQ-100® 2x Strategy Fund | | | 206,047,929 | | | | — | | | | 28,973,009 | | | | 4,831,844 | | | | — | | | | 239,852,782 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | — | | | | — | | | | 18,495,312 | | | | 18,850 | | | | — | | | | 18,514,162 | |
Dow 2x Strategy Fund | | | 29,300,587 | | | | — | | | | 2,516,907 | | | | 344,768 | | | | — | | | | 32,162,262 | |
Inverse Dow 2x Strategy Fund | | | — | | | | — | | | | 13,119,031 | | | | 4,043 | | | | — | | | | 13,123,074 | |
Russell 2000® 2x Strategy Fund | | | 14,389,620 | | | | — | | | | 4,354,096 | | | | 85,903 | | | | — | | | | 18,829,619 | |
Inverse Russell 2000® 2x Strategy Fund | | | — | | | | — | | | | 9,453,485 | | | | 11,424 | | | | — | | | | 9,464,909 | |
| | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500® 2x Strategy Fund | | $ | — | | | $ | 227,298 | | | $ | — | | | $ | 4,254 | | | $ | — | | | $ | 231,552 | |
Inverse S&P 500® 2x Strategy Fund | | | — | | | | — | | | | — | | | | 2,792,911 | | | | — | | | | 2,792,911 | |
NASDAQ-100® 2x Strategy Fund | | | — | | | | 460,974 | | | | — | | | | 16,110 | | | | — | | | | 477,084 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | — | | | | 17,520 | | | | — | | | | 886,338 | | | | — | | | | 903,858 | |
Dow 2x Strategy Fund | | | — | | | | 18,516 | | | | — | | | | 3,649 | | | | — | | | | 22,165 | |
Inverse Dow 2x Strategy Fund | | | — | | | | 13,298 | | | | — | | | | 497,620 | | | | — | | | | 510,918 | |
Russell 2000® 2x Strategy Fund | | | — | | | | 6,506 | | | | — | | | | 146,817 | | | | — | | | | 153,323 | |
Inverse Russell 2000® 2x Strategy Fund | | | — | | | | 21,194 | | | | — | | | | 216,375 | | | | — | | | | 237,569 | |
* | Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Funds recognize transfers between the levels as of the beginning of the period. For the period ended September 30, 2015, there were no transfers between levels.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The 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.
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2015, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | | Face Value | | | | Repurchase Price | | Collateral | | | | Par Value | | | | Fair Value |
HSBC Group | | | | | | | | | U.S. Treasury Strips | | | | | | | | |
0.04% | | | | | | | | | 0.00% | | | | | | | | |
Due 10/01/15 | | $ | 89,000,000 | | | $ | 89,000,099 | | 02/15/40 - 11/15/40 | | | $ | 188,955,100 | | | $ | 90,780,018 |
| | | | | | | | | | | | | | | | | | |
Royal Bank of Canada | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.03% | | | | | | | | | 1.75% | | | | | | | | |
Due 10/01/15 | | | 10,000,000 | | | | 10,000,008 | | 05/15/23 | | | | 10,171,000 | | | | 10,200,090 |
| | | | | | | | | | | | | | | | | | |
UMB Financial Corp. | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.04% | | | | | | | | | 0.50% | | | | | | | | |
Due 10/01/15 | | | 558,121 | | | | 558,122 | | 07/31/17 | | | | 570,300 | | | | 569,355 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
6. 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 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, is reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.
| | | | | | | | | | | | | Gross Amounts Not Offset
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 | |
S&P 500® 2x Strategy Fund | Swap equity contracts | | $ | 1,809,864 | | | $ | — | | | $ | 1,809,864 | | | $ | — | | | $ | — | | | $ | 1,809,864 | |
Inverse S&P 500® 2x Strategy Fund | Swap equity contracts | | | 5,930 | | | | — | | | | 5,930 | | | | — | | | | — | | | | 5,930 | |
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 4,831,844 | | | | — | | | | 4,831,844 | | | | — | | | | — | | | | 4,831,844 | |
Inverse NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 18,850 | | | | — | | | | 18,850 | | | | — | | | | — | | | | 18,850 | |
Dow 2x Strategy Fund | Swap equity contracts | | | 344,768 | | | | — | | | | 344,768 | | | | — | | | | — | | | | 344,768 | |
Inverse Dow 2x Strategy Fund | Swap equity contracts | | | 4,043 | | | | — | | | | 4,043 | | | | — | | | | — | | | | 4,043 | |
Russell 2000® 2x Strategy Fund | Swap equity contracts | | | 85,903 | | | | — | | | | 85,903 | | | | — | | | | — | | | | 85,903 | |
Inverse Russell 2000® 2x Strategy Fund | Swap equity contracts | | | 11,424 | | | | — | | | | 11,424 | | | | — | | | | — | | | | 11,424 | |
| | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | |
Fund | Instrument | | Gross Amounts of Recognized Liabilities1 | | | Gross Amounts Offset In the Statements of Assets and Liabilities | | | Net Amount of Liabilities Presented on the Statements of Assets and Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
S&P 500® 2x Strategy Fund | Swap equity contracts | | $ | 4,254 | | | $ | — | | | $ | 4,254 | | | $ | — | | | $ | 4,254 | | | $ | — | |
Inverse S&P 500® 2x Strategy Fund | Swap equity contracts | | | 2,792,911 | | | | — | | | | 2,792,911 | | | | — | | | | 2,792,911 | | | | — | |
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 16,110 | | | | — | | | | 16,110 | | | | — | | | | 16,110 | | | | — | |
Inverse NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 886,338 | | | | — | | | | 886,338 | | | | — | | | | 886,338 | | | | — | |
Dow 2x Strategy Fund | Swap equity contracts | | | 3,649 | | | | — | | | | 3,649 | | | | — | | | | 3,649 | | | | — | |
Inverse Dow 2x Strategy Fund | Swap equity contracts | | | 497,620 | | | | — | | | | 497,620 | | | | — | | | | 497,620 | | | | — | |
Russell 2000® 2x Strategy Fund | Swap equity contracts | | | 146,817 | | | | — | | | | 146,817 | | | | — | | | | 146,817 | | | | — | |
Inverse Russell 2000® 2x Strategy Fund | Swap equity contracts | | | 216,375 | | | | — | | | | 216,375 | | | | — | | | | 216,375 | | | | — | |
1 | Exchange-traded futures are excluded from these reported amounts. |
7. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2015, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Gain | | | Tax
Unrealized
Loss | | | Net
Unrealized
Gain (Loss) | |
S&P 500® 2x Strategy Fund | | $ | 91,268,047 | | | $ | 15,760,400 | | | $ | (767,940 | ) | | $ | 14,992,460 | |
Inverse S&P 500® 2x Strategy Fund | | | 51,561,237 | | | | 15,038 | | | | (609 | ) | | | 14,429 | |
NASDAQ-100® 2x Strategy Fund | | | 213,939,652 | | | | 28,228,534 | | | | (7,147,247 | ) | | | 21,081,287 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | 18,487,036 | | | | 8,276 | | | | — | | | | 8,276 | |
Dow 2x Strategy Fund | | | 33,083,729 | | | | — | | | | (1,266,235 | ) | | | (1,266,235 | ) |
Inverse Dow 2x Strategy Fund | | | 13,114,966 | | | | 4,065 | | | | — | | | | 4,065 | |
Russell 2000® 2x Strategy Fund | | | 16,640,137 | | | | 2,498,478 | | | | (394,899 | ) | | | 2,103,579 | |
Inverse Russell 2000® 2x Strategy Fund | | | 9,449,130 | | | | 4,355 | | | | — | | | | 4,355 | |
8. Securities Transactions
For the period ended September 30, 2015, 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® 2x Strategy Fund | | $ | 141,186,723 | | | $ | 172,460,863 | |
Inverse S&P 500® 2x Strategy Fund | | | 1,000,000 | | | | — | |
NASDAQ-100® 2x Strategy Fund | | | 164,033,140 | | | | 216,001,040 | |
Inverse NASDAQ-100® 2x Strategy Fund | | | — | | | | — | |
Dow 2x Strategy Fund | | | 108,034,163 | | | | 84,386,404 | |
Inverse Dow 2x Strategy Fund | | | — | | | | — | |
Russell 2000® 2x Strategy Fund | | | 63,223,547 | | | | 128,326,987 | |
Inverse Russell 2000® 2x Strategy Fund | | | — | | | | — | |
9. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 12, 2016. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2015. The Funds did not have any borrowings under this agreement at September 30, 2015.
The average daily balances borrowed for the period ended September 30, 2015, were as follows:
Fund | | Average Balance | |
S&P 500® 2x Strategy Fund | | $ | 80,575 | |
NASDAQ-100® 2x Strategy Fund | | | 44,273 | |
Dow 2x Strategy Fund | | | 2,312 | |
Russell 2000® 2x Strategy Fund | | | 94,384 | |
10. Portfolio Securities Loaned
During the period ended September 30, 2015, certain Funds lent their securities to approved brokers to earn additional income. Security lending income shown on the Statement of Operations is net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending agent. As of September 30, 2015, all Funds had ceased participation in securities.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
11. Legal Proceedings
Tribune Company
Rydex Dynamic Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Dynamic Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave the Tribune Company insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Dynamic Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Dynamic Funds has been named as a putative member of the proposed defendant class of shareholders in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. The SLCFC appeals have been fully briefed, and oral argument in front of the U.S. Court of Appeals for the Second Circuit occurred on November 5, 2014. The Court has not yet issued a decision on the appeals.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. The Court has not yet issued a decision on any of these motions.
None of these lawsuits alleges any wrongdoing on the part of Rydex Dynamic Funds. The following series of Rydex Dynamic Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: S&P 500 2x Strategy Fund (the “Fund”). The value of the proceeds received by the foregoing Fund was $52,020. At this stage of the proceedings, Rydex Dynamic Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Dynamic Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 18, 2015, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 28, 2015 (together, with the May 18 meeting, the “Meetings”).
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from fund counsel regarding the responsibilities of the Board with respect to the approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s investment management personnel; (c) the Advisor’s operations and financial condition; (d) the Advisor’s brokerage practices (including any soft dollar arrangements) and the variety and complexity of its investment strategies; (e) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
OTHER INFORMATION (Unaudited)(continued) |
for breakpoints at this point in time; (f) each Fund’s overall fees and operating expenses compared with those of similar funds; (g) the level of the Advisor’s profitability from its Fund-related operations; (h) the Advisor’s compliance processes and systems; (i) the Advisor’s compliance policies and procedures; (j) the Advisor’s reputation, expertise and resources in the financial markets; and (k) Fund performance compared with that of similar funds and/or appropriate benchmarks. In its deliberations, the Trustees did not identify any single piece of information that was all-important or controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees are reasonable in light of the services that it provides to the Funds; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
| | ● | Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies, brokerage practices, and the adequacy of its compliance systems and processes. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable. |
| | ● | Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board also considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate. The statistical information related to the performance of each Fund included three month and one-, three-, and five-year performance for the Fund compared to that of its peers. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor. |
| | ● | Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board considered information regarding the Advisor’s profit margin as reflected in the Advisor’s profitability analysis, as well as information provided by the Advisor concerning the methodology used to allocate various expenses among the individual Funds in determining the Advisor’s profitability. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor. |
| | ● | Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(concluded) |
most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
| | ● | Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Fund, including any soft dollar usage by the Advisor and any intangible benefits. In particular, the Board considered the nature, extent, quality, and cost of certain administrative, distribution, and shareholder services performed by the Advisor’s affiliates under separate agreements and the Distribution and Shareholders Services Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliates’ commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable. |
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address*
and Year of Birth
of Trustee | Position(s) Held with the
Trust, Term of Office and
Length of Time Served | Principal Occupation(s)
During Past 5 Years | Number of
Portfolios in
Fund Complex
Overseen
by Trustee*** | Other
Directorships
Held by
Trustee |
INTERESTED TRUSTEE | | | |
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 224 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | | | |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (4) (2009-present). |
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the
Trust, Term of Office and
Length of Time Served | Principal Occupation(s)
During Past 5 Years | Number of
Portfolios in
Fund Complex
Overseen
by Trustee*** | Other
Directorships
Held by
Trustee |
INDEPENDENT TRUSTEES - concluded | | | |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee and Member of the Audit Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Chairman and Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Name, Address*
and Year of Birth | Position(s) Held with the
Trust, Term of Office and
Length of Time Served | Principal Occupation(s)
During Past 5 Years |
OFFICERS | | |
Donald C. Cacciapaglia (1951) | President (2012-present). | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group Inc. (2002-2010). |
Michael P. Byrum (1970) | Vice President (1999-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s) Held with the
Trust, Term of Office and
Length of Time Served | Principal Occupation(s)
During Past 5 Years |
OFFICERS - concluded | |
Nikolaos Bonos (1963) | Vice President and Treasurer (2003-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); Chief Executive Officer, Guggenheim Specialized Products, LLC (2009-present); Chief Executive Officer & President, Rydex Fund Services, LLC (2009-present); Vice President, Rydex Holdings, LLC (2008-present). Former: Senior Vice President, Security Global Investors, LLC (2010-2011); and Senior Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC (2006-2011). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Joseph M. Arruda (1966) | Assistant Treasurer (2006-present). | Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present). Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010). |
Paul J. Davio (1972) | Assistant Treasurer (2014-present). | Current: Assistant Treasurer, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2006-present). Former: Manager, Mutual Fund Administration, Guggenheim Investments (2003-2006). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present). | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Security Distributors, Inc., Guggenheim Partners Investment Managers, LLC, and Rydex Advisory Services (Collectively “Guggenheim Investments”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only 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 email 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
We restrict access to nonpublic personal information about shareholders 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’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
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Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
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