UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANIES
Investment Company Act file number 811- 07584
Rydex Series Funds
(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Richard M. Goldman, President
Rydex Series Funds
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
Rydex Series Funds
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant’s telephone number, including area code: 301-296-5100
Date of fiscal year end: March 31
Date of reporting period: September 30, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
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SEPTEMBER 30, 2010
RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
TARGET BETA FUNDS
TARGET BETA FUNDS
NOVA FUND
S&P 500 FUND
INVERSE S&P 500 STRATEGY FUND
NASDAQ-100® FUND
INVERSE NASDAQ-100® STRATEGY FUND
MID-CAP 1.5x STRATEGY FUND
INVERSE MID-CAP STRATEGY FUND
RUSSELL 2000® 1.5x STRATEGY FUND
DOMESTIC EQUITY FUNDS
RUSSELL 2000® FUND
INVERSE RUSSELL 2000® STRATEGY FUND
S&P 500 PURE GROWTH FUND
S&P 500 PURE VALUE FUND
S&P MIDCAP 400 PURE GROWTH FUND
S&P MIDCAP 400 PURE VALUE FUND
S&P SMALLCAP 600 PURE GROWTH FUND
S&P SMALLCAP 600 PURE VALUE FUND
INTERNATIONAL EQUITY FUNDS
EUROPE 1.25x STRATEGY FUND
JAPAN 2x STRATEGY FUND
SPECIALTY FUNDS
STRENGTHENING DOLLAR 2x STRATEGY FUND
WEAKENING DOLLAR 2x STRATEGY FUND
REAL ESTATE FUND
FIXED INCOME FUNDS
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
HIGH YIELD STRATEGY FUND
INVERSE HIGH YIELD STRATEGY FUND
MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, LLC.
TABLE OF CONTENTS
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22 |
194 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER,
Uncertainty over the strength of the U.S. economic recovery and what steps the Federal Reserve might take, if any, to deal with the situation highlighted the six months ending September 30. Stocks bounced back in the July-September period from losses in the second quarter, based partly on relief that the U.S. may be dealing with a prolonged period of slow growth rather than a sharp economic contraction.
The U.S. economy has been out of recession since July 2009, according to a September report from the National Bureau of Economic Research, although employment, income expectations and existing home sales have yet to rebound. Stocks are now roughly where they were six months ago.
U.S. GDP in the second quarter was 1.7%, widely viewed to be insufficient to move the unemployment rate below its current 9.6% before the end of 2010, and significantly lower than the 3.7% GDP in the first quarter. Economists said consumers are not spending at a rate to cause companies to ramp up production, and thus hiring, with confidence. By late September, many investors were widely anticipating that the Federal Reserve, in response to tepid growth, was prepared to start another round of quantitative easing—bond purchases designed to push down long-term interest rates and kick-start private borrowing.
That prospect was welcomed by investors, who sent equities higher in September, the S&P 500® Index* having its best September performance since 1939. For the third quarter, U.S. equity indices were up between 10-15% compared with drops of from 1-3% for the past six months. The technology sector was the main contributor to quarterly performance in the S&P 500 and the Russell 2000® Index, as growth style stocks outperformed value in the third quarter by three percentage points. Emerging markets continued to outperform, with investors continuing to pour money into emerging markets equities funds—$50 billion so far in 2010. Emerging markets are being viewed as less risky than in the recent past, particularly since nations in that sector are not confronting the fiscal debt issues facing many countries in the developed world, and are enjoying healthy economic growth.
Corporations continued to borrow aggressively, based on investor demand for bonds and low interest rates, driving hefty investment-grade bond sales as well as sales of high-yield bonds (where issuance through the third quarter has already surpassed the previous annual record). Various bond indices were up both for the third quarter and six months, led by indices for U.S. Government bond prices and corporate high yield bonds. The expectation of quantitative easing also lifted Treasury prices, despite concerns of a building price bubble in bonds. The Bank of America U.S. Government Index was up almost 3% for the third quarter, while the yield on the benchmark 10-year note closed out September at about 2.5%, down from its 2010 peak of just above 4% in April. U.S. debt also benefited as a safe haven from resurgent worries about the economic health of European nations, including more recently Ireland and Portugal.
Investors have also been flocking to gold, driving the price of an ounce of the metal to a non-inflation-adjusted record of around $1,300. Economists said gold’s appeal was both as a hedge against further financial market instability and to assuage investors worried about the inflationary impact of additional Fed easing and massive levels of government debt. Efforts by central banks around the world to boost their economies by keeping their currencies weaker, thus helping exports, may also be contributing to the rise in the price of gold, which is attractive as an alternative store of value. Continuing economic sluggishness in the U.S. caused the dollar to weaken against the euro and yen throughout the summer, as analysts said the economies behind those currencies are in something of a standoff over which has the worst outlook. The third quarter was good for other commodities, in part a response to strong demand in China, crop failures in Russia and the potential for further monetary easing. Grain prices
2 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
began to fall late in the quarter, as high U.S. yields were expected to offset concerns about shortages in some crops like wheat. High inventory and slack demand combined to keep the price of a barrel of oil stuck in a narrow range, although it traded toward the high end ($82) of the range by September.
In contrast to the second quarter, when worries about European sovereign debt and a possible double-dip recession in the U.S. loomed large, stocks in countries around the world had strong gains in the third quarter. The MSCI EAFE Index* was up 15% for the third quarter and the MSCI EAFE Emerging Markets Index* was up 18%. The latter index was among the best-performing indices for the past six months, up 6%. Markets in Southeast Asia, including Indonesia and Philippines, were at all-time highs, while India and South Korea also flirted with record highs. The domestic stock market of China, which this year is expected to overtake Japan as the world’s second-largest economy, pared its loss for the year, gaining 11% in the third quarter, as investors think the government may be reducing its efforts to rein in the economy. The STOXX 50®* Index also offset year-to-date losses with a 7% rise in the third quarter, despite a weak outlook issued by the European Central Bank. The Nikkei -225 Stock Average Index*, off 11% for the year, rose 6% in September, helped in part by foreign exchange market intervention designed to hold down the value of the yen.
Rydex|SGI has a full lineup of fundamental alpha, target beta and alternative investment products designed to provide investors with the tools needed to participate in all types of markets and market environments. Contact us if you wish to learn more, and thanks for the trust you place in us.
Sincerely,
![-s- Michael Byrum](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a4.gif)
![-s- Michael Byrum](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a4.gif)
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
*Indices are defined as follows:
Standard & Poor’s 500 Index (S&P 500) – a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
Nikkei-225 Stock Average Index – a price-weighted index of 225 blue-chip companies traded on the Tokyo Stock Exchange.
MSCI EAFE Index (Europe, Australasia, Far East) – a market-capitalization index designed to measure equity market performance in developed markets, excluding the U.S. & Canada. Consists in 2010 of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
MSCI EAFE Emerging Markets – a market-capitalization index designed to measure equity market performance in emerging markets. Consists in 2010 of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The STOXX 50 Index – Europe’s leading Blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The STOXX 50 Index is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products worldwide.
Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.
Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%–in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
Index | Index | Fund | Fund | |||||||||||||||||||||||
Level | Performance | Expectation | Fund NAV | Performance | Assessment | |||||||||||||||||||||
Start | 100 | $ | 10.00 | |||||||||||||||||||||||
Day 1 | 106 | 6.0% | 9.0% | $ | 10.90 | 9.0% | In line | |||||||||||||||||||
Day 2 | 99 | -6.6% | -9.9% | $ | 9.82 | -9.9% | In line | |||||||||||||||||||
Cumulative | -1.0% | -1.5% | -1.8% | -0.3% | ||||||||||||||||||||||
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
4 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2010 and ending September 30, 2010.
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.
Certain retirement plans such as IRA, SEP, Roth IRA, 403(b), and Rydex|SGI prototype money purchase plan and profit sharing plan accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | the Period2 | ||||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
Nova Fund | ||||||||||||||||||||
Investor Class | 1.28% | (3.50% | ) | $ | 1,000.00 | $ | 964.99 | $ | 6.31 | |||||||||||
Advisor Class | 1.78% | (3.74% | ) | 1,000.00 | 962.57 | 8.76 | ||||||||||||||
A-Class | 1.52% | (3.63% | ) | 1,000.00 | 963.69 | 7.48 | ||||||||||||||
C-Class | 2.28% | (3.98% | ) | 1,000.00 | 960.18 | 11.20 | ||||||||||||||
S&P 500 Fund | ||||||||||||||||||||
A-Class | 1.53% | (2.03% | ) | 1,000.00 | 979.72 | 7.59 | ||||||||||||||
C-Class | 2.28% | (2.44% | ) | 1,000.00 | 975.55 | 11.29 | ||||||||||||||
H-Class | 1.53% | (2.03% | ) | 1,000.00 | 979.72 | 7.59 | ||||||||||||||
Inverse S&P 500 Strategy Fund | ||||||||||||||||||||
Investor Class | 1.42% | (1.40% | ) | 1,000.00 | 986.04 | 7.07 | ||||||||||||||
Advisor Class | 1.92% | (1.65% | ) | 1,000.00 | 983.47 | 9.55 | ||||||||||||||
A-Class | 1.68% | (1.51% | ) | 1,000.00 | 984.89 | 8.36 | ||||||||||||||
C-Class | 2.42% | (1.90% | ) | 1,000.00 | 981.04 | 12.02 | ||||||||||||||
NASDAQ-100® Fund | ||||||||||||||||||||
Investor Class | 1.30% | 1.71% | 1,000.00 | 1,017.15 | 6.57 | |||||||||||||||
Advisor Class | 1.80% | 1.41% | 1,000.00 | 1,014.06 | 9.09 | |||||||||||||||
A-Class | 1.55% | 1.47% | 1,000.00 | 1,014.67 | 7.83 | |||||||||||||||
C-Class | 2.30% | 1.20% | 1,000.00 | 1,012.00 | 11.60 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | ||||||||||||||||||||
Investor Class | 1.47% | (5.44% | ) | 1,000.00 | 945.59 | 7.17 | ||||||||||||||
Advisor Class | 1.96% | (5.71% | ) | 1,000.00 | 942.92 | 9.55 | ||||||||||||||
A-Class | 1.71% | (5.55% | ) | 1,000.00 | 944.52 | 8.34 | ||||||||||||||
C-Class | 2.47% | (5.87% | ) | 1,000.00 | 941.26 | 12.02 | ||||||||||||||
Mid-Cap 1.5x Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | 1.41% | 1,000.00 | 1,014.13 | 8.48 | |||||||||||||||
C-Class | 2.43% | 1.04% | 1,000.00 | 1,010.41 | 12.25 | |||||||||||||||
H-Class | 1.68% | 1.34% | 1,000.00 | 1,013.39 | 8.48 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | (5.88% | ) | 1,000.00 | 941.18 | 8.18 | ||||||||||||||
C-Class | 2.42% | (6.22% | ) | 1,000.00 | 937.76 | 11.76 | ||||||||||||||
H-Class | 1.68% | (5.92% | ) | 1,000.00 | 940.77 | 8.17 | ||||||||||||||
Russell 2000® 1.5x Strategy Fund | ||||||||||||||||||||
A-Class | 1.70% | (1.98% | ) | 1,000.00 | 980.19 | 8.44 | ||||||||||||||
C-Class | 2.46% | (2.38% | ) | 1,000.00 | 976.17 | 12.19 | ||||||||||||||
H-Class | 1.71% | (2.06% | ) | 1,000.00 | 979.37 | 8.49 | ||||||||||||||
Russell 2000® Fund | ||||||||||||||||||||
A-Class | 1.55% | (0.30% | ) | 1,000.00 | 996.95 | 7.76 | ||||||||||||||
C-Class | 2.30% | (0.76% | ) | 1,000.00 | 992.37 | 11.49 | ||||||||||||||
H-Class | 1.56% | (0.26% | ) | 1,000.00 | 997.38 | 7.81 | ||||||||||||||
Inverse Russell 2000® Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | (5.63% | ) | 1,000.00 | 943.70 | 8.33 | ||||||||||||||
C-Class | 2.45% | (5.98% | ) | 1,000.00 | 940.20 | 11.92 | ||||||||||||||
H-Class | 1.70% | (5.59% | ) | 1,000.00 | 944.09 | 8.29 | ||||||||||||||
S&P 500 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.53% | 3.09% | 1,000.00 | 1,030.93 | 7.79 | |||||||||||||||
C-Class | 2.27% | 2.73% | 1,000.00 | 1,027.25 | 11.54 | |||||||||||||||
H-Class | 1.52% | 3.09% | 1,000.00 | 1,030.94 | 7.74 | |||||||||||||||
S&P 500 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.53% | (4.27% | ) | 1,000.00 | 957.32 | 7.51 | ||||||||||||||
C-Class | 2.28% | (4.64% | ) | 1,000.00 | 953.62 | 11.17 | ||||||||||||||
H-Class | 1.54% | (4.28% | ) | 1,000.00 | 957.20 | 7.56 | ||||||||||||||
S&P MidCap 400 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.53% | 4.19% | 1,000.00 | 1,041.91 | 7.83 | |||||||||||||||
C-Class | 2.28% | 3.84% | 1,000.00 | 1,038.42 | 11.65 | |||||||||||||||
H-Class | 1.53% | 4.19% | 1,000.00 | 1,041.86 | 7.83 |
6 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | the Period2 | ||||||||||||||||
S&P MidCap 400 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.52% | (6.44% | ) | $ | 1,000.00 | $ | 935.63 | $ | 7.38 | |||||||||||
C-Class | 2.28% | (6.77% | ) | 1,000.00 | 932.32 | 11.04 | ||||||||||||||
H-Class | 1.53% | (6.41% | ) | 1,000.00 | 935.92 | 7.43 | ||||||||||||||
S&P SmallCap 600 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.52% | 1.12% | 1,000.00 | 1,011.23 | 7.66 | |||||||||||||||
C-Class | 2.28% | 0.84% | 1,000.00 | 1,008.44 | 11.48 | |||||||||||||||
H-Class | 1.53% | 1.23% | 1,000.00 | 1,012.29 | 7.72 | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.52% | (13.88% | ) | 1,000.00 | 861.22 | 7.09 | ||||||||||||||
C-Class | 2.28% | (14.18% | ) | 1,000.00 | 858.24 | 10.62 | ||||||||||||||
H-Class | 1.54% | (13.90% | ) | 1,000.00 | 861.01 | 7.18 | ||||||||||||||
Europe 1.25x Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | (9.80% | ) | 1,000.00 | 901.98 | 8.01 | ||||||||||||||
C-Class | 2.40% | (10.02% | ) | 1,000.00 | 899.77 | 11.43 | ||||||||||||||
H-Class | 1.68% | (9.79% | ) | 1,000.00 | 902.11 | 8.01 | ||||||||||||||
Japan 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.53% | (12.43% | ) | 1,000.00 | 875.68 | 7.19 | ||||||||||||||
C-Class | 2.29% | (12.57% | ) | 1,000.00 | 874.31 | 10.76 | ||||||||||||||
H-Class | 1.53% | (12.20% | ) | 1,000.00 | 878.03 | 7.20 | ||||||||||||||
Strengthening Dollar 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | (8.85% | ) | 1,000.00 | 911.48 | 8.19 | ||||||||||||||
C-Class | 2.46% | (9.28% | ) | 1,000.00 | 907.24 | 11.76 | ||||||||||||||
H-Class | 1.71% | (8.89% | ) | 1,000.00 | 911.10 | 8.19 | ||||||||||||||
Weakening Dollar 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | 5.51% | 1,000.00 | 1,055.06 | 8.81 | |||||||||||||||
C-Class | 2.46% | 5.14% | 1,000.00 | 1,051.40 | 12.65 | |||||||||||||||
H-Class | 1.70% | 5.51% | 1,000.00 | 1,055.12 | 8.76 | |||||||||||||||
Real Estate Fund | ||||||||||||||||||||
A-Class | 1.63% | 6.81% | 1,000.00 | 1,068.07 | 8.45 | |||||||||||||||
C-Class | 2.38% | 6.27% | 1,000.00 | 1,062.74 | 12.31 | |||||||||||||||
H-Class | 1.63% | 6.77% | 1,000.00 | 1,067.71 | 8.45 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | ||||||||||||||||||||
Investor Class | 0.97% | 25.15% | 1,000.00 | 1,251.53 | 5.47 | |||||||||||||||
Advisor Class | 1.47% | 25.21% | 1,000.00 | 1,252.08 | 8.30 | |||||||||||||||
A-Class | 1.22% | 25.19% | 1,000.00 | 1,251.86 | 6.89 | |||||||||||||||
C-Class | 1.97% | 24.68% | 1,000.00 | 1,246.81 | 11.10 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | ||||||||||||||||||||
Investor Class | 4.97% | (19.59% | ) | 1,000.00 | 804.10 | 22.48 | ||||||||||||||
Advisor Class | 5.47% | (19.69% | ) | 1,000.00 | 803.10 | 24.72 | ||||||||||||||
A-Class | 5.23% | (19.64% | ) | 1,000.00 | 803.62 | 23.65 | ||||||||||||||
C-Class | 5.98% | (19.91% | ) | 1,000.00 | 800.90 | 27.00 | ||||||||||||||
High Yield Strategy Fund | ||||||||||||||||||||
A-Class | 1.53% | 8.72% | 1,000.00 | 1,087.17 | 8.01 | |||||||||||||||
C-Class | 2.27% | 8.35% | 1,000.00 | 1,083.54 | 11.86 | |||||||||||||||
H-Class | 1.51% | 8.78% | 1,000.00 | 1,087.83 | 7.90 | |||||||||||||||
Inverse High Yield Strategy Fund | ||||||||||||||||||||
A-Class | 1.52% | (10.59% | ) | 1,000.00 | 894.05 | 7.22 | ||||||||||||||
C-Class | 2.28% | (10.93% | ) | 1,000.00 | 890.65 | 10.81 | ||||||||||||||
H-Class | 1.53% | (10.60% | ) | 1,000.00 | 894.04 | 7.26 | ||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||
Investor Class | 0.25% | 0.00% | 1,000.00 | 1,000.00 | 1.25 | |||||||||||||||
Investor2 Class | 0.25% | 0.00% | 1,000.00 | 1,000.00 | 1.25 | |||||||||||||||
Advisor Class | 0.24% | 0.00% | 1,000.00 | 1,000.00 | 1.20 | |||||||||||||||
A-Class | 0.24% | 0.00% | 1,000.00 | 1,000.00 | 1.20 | |||||||||||||||
C-Class | 0.25% | 0.00% | 1,000.00 | 1,000.00 | 1.25 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 7 |
2
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | the Period2 | ||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
Nova Fund | ||||||||||||||||||||
Investor Class | 1.28% | 5.00% | $ | 1,000.00 | $ | 1,018.65 | $ | 6.48 | ||||||||||||
Advisor Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 | |||||||||||||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
S&P 500 Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
Inverse S&P 500 Strategy Fund | ||||||||||||||||||||
Investor Class | 1.42% | 5.00% | 1,000.00 | 1,017.95 | 7.18 | |||||||||||||||
Advisor Class | 1.92% | 5.00% | 1,000.00 | 1,015.44 | 9.70 | |||||||||||||||
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
C-Class | 2.42% | 5.00% | 1,000.00 | 1,012.94 | 12.21 | |||||||||||||||
NASDAQ-100® Fund | ||||||||||||||||||||
Investor Class | 1.30% | 5.00% | 1,000.00 | 1,018.55 | 6.58 | |||||||||||||||
Advisor Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 | |||||||||||||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 | |||||||||||||||
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | ||||||||||||||||||||
Investor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 | |||||||||||||||
Advisor Class | 1.96% | 5.00% | 1,000.00 | 1,015.24 | 9.90 | |||||||||||||||
A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
C-Class | 2.47% | 5.00% | 1,000.00 | 1,012.68 | 12.46 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
C-Class | 2.43% | 5.00% | 1,000.00 | 1,012.89 | 12.26 | |||||||||||||||
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
C-Class | 2.42% | 5.00% | 1,000.00 | 1,012.94 | 12.21 | |||||||||||||||
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | ||||||||||||||||||||
A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 | |||||||||||||||
C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.73 | 12.41 | |||||||||||||||
H-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
Russell 2000® Fund | ||||||||||||||||||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 | |||||||||||||||
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 | |||||||||||||||
H-Class | 1.56% | 5.00% | 1,000.00 | 1,017.25 | 7.89 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.78 | 12.36 | |||||||||||||||
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 | |||||||||||||||
S&P 500 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.69 | 11.46 | |||||||||||||||
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
S&P 500 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 | |||||||||||||||
S&P MidCap 400 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
S&P MidCap 400 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
8 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | the Period2 | ||||||||||||||||
S&P SmallCap 600 Pure Growth Fund | ||||||||||||||||||||
A-Class | 1.52% | 5.00% | $ | 1,000.00 | $ | 1,017.45 | $ | 7.69 | ||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | ||||||||||||||||||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 | |||||||||||||||
Europe 1.25x Strategy Fund | ||||||||||||||||||||
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 | |||||||||||||||
H-Class | 1.68% | 5.00% | 1,000.00 | 1,016.65 | 8.49 | |||||||||||||||
Japan 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.29% | 5.00% | 1,000.00 | 1,013.59 | 11.56 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
Strengthening Dollar 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.73 | 12.41 | |||||||||||||||
H-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
Weakening Dollar 2x Strategy Fund | ||||||||||||||||||||
A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.50 | 8.64 | |||||||||||||||
C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.73 | 12.41 | |||||||||||||||
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 | |||||||||||||||
Real Estate Fund | ||||||||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | ||||||||||||||||||||
Investor Class | 0.97% | 5.00% | 1,000.00 | 1,020.21 | 4.91 | |||||||||||||||
Advisor Class | 1.47% | 5.00% | 1,000.00 | 1,017.70 | 7.44 | |||||||||||||||
A-Class | 1.22% | 5.00% | 1,000.00 | 1,018.95 | 6.17 | |||||||||||||||
C-Class | 1.97% | 5.00% | 1,000.00 | 1,015.19 | 9.95 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | ||||||||||||||||||||
Investor Class | 4.97% | 5.00% | 1,000.00 | 1,000.15 | 24.92 | |||||||||||||||
Advisor Class | 5.47% | 5.00% | 1,000.00 | 997.64 | 27.39 | |||||||||||||||
A-Class | 5.23% | 5.00% | 1,000.00 | 998.85 | 26.21 | |||||||||||||||
C-Class | 5.98% | 5.00% | 1,000.00 | 995.09 | 29.91 | |||||||||||||||
High Yield Strategy Fund | ||||||||||||||||||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.69 | 11.46 | |||||||||||||||
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.50 | 7.64 | |||||||||||||||
Inverse High Yield Strategy Fund | ||||||||||||||||||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 | |||||||||||||||
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 | |||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||
Investor Class | 0.25% | 5.00% | 1,000.00 | 1,023.82 | 1.27 | |||||||||||||||
Investor2 Class | 0.25% | 5.00% | 1,000.00 | 1,023.82 | 1.27 | |||||||||||||||
Advisor Class | 0.24% | 5.00% | 1,000.00 | 1,023.87 | 1.22 | |||||||||||||||
A-Class | 0.24% | 5.00% | 1,000.00 | 1,023.87 | 1.22 | |||||||||||||||
C-Class | 0.25% | 5.00% | 1,000.00 | 1,023.82 | 1.27 |
1 | This ratio represents annualized Total Expenses, which include interest expense from securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 3.56%, 3.56%, 3.57%, and 3.57% lower for the Investor Class, Advisor Class, A-Class and C-Class, respectively. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2010 to September 30, 2010. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 9 |
4
FUND PROFILE (Unaudited)
September 30, 2010
NOVA FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a5.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | July 12, 1993 | |||
Advisor Class | October 15, 1998 | |||
A-Class | March 31, 2004 | |||
C-Class | March 14, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 2.0 | % | ||
Apple, Inc. | 1.6 | % | ||
Microsoft Corp. | 1.2 | % | ||
General Electric Co. | 1.1 | % | ||
Johnson & Johnson | 1.1 | % | ||
Procter & Gamble Co. | 1.1 | % | ||
International Business | ||||
Machines Corp. | 1.1 | % | ||
AT&T, Inc. | 1.1 | % | ||
Chevron Corp. | 1.0 | % | ||
JPMorgan Chase & Co. | 1.0 | % | ||
Top Ten Total | 12.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
10 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 65.0% | ||||||||
INFORMATION TECHNOLOGY - 12.2% | ||||||||
Apple, Inc.* | 3,813 | $ | 1,081,939 | |||||
Microsoft Corp. | 31,769 | 778,023 | ||||||
International Business Machines Corp. | 5,260 | 705,576 | ||||||
Google, Inc. — Class A* | 1,040 | 546,822 | ||||||
Cisco Systems, Inc.* | 23,830 | 521,877 | ||||||
Intel Corp. | 23,235 | 446,809 | ||||||
Oracle Corp. | 16,150 | 433,628 | ||||||
Hewlett-Packard Co. | 9,460 | 397,982 | ||||||
QUALCOMM, Inc. | 6,700 | 302,304 | ||||||
EMC Corp.* | 8,566 | 173,975 | ||||||
Visa, Inc. — Class A | 2,075 | 154,090 | ||||||
Texas Instruments, Inc. | 4,980 | 135,157 | ||||||
Corning, Inc. | 6,510 | 119,003 | ||||||
eBay, Inc.* | 4,808 | 117,315 | ||||||
Dell, Inc.* | 7,060 | 91,498 | ||||||
Mastercard, Inc. — Class A | 396 | 88,704 | ||||||
Automatic Data Processing, Inc. | 2,050 | 86,162 | ||||||
Motorola, Inc.* | 9,744 | 83,116 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 1,264 | 81,490 | ||||||
NetApp, Inc.* | 1,494 | 74,386 | ||||||
Yahoo!, Inc.* | 5,090 | 72,125 | ||||||
Broadcom Corp. — Class A | 1,866 | 66,038 | ||||||
Juniper Networks, Inc.* | 2,170 | 65,859 | ||||||
Applied Materials, Inc. | 5,570 | 65,058 | ||||||
Xerox Corp. | 5,770 | 59,719 | ||||||
Adobe Systems, Inc.* | 2,188 | 57,216 | ||||||
Salesforce.com, Inc.* | 486 | 54,335 | ||||||
Citrix Systems, Inc.* | 783 | 53,432 | ||||||
Intuit, Inc.* | 1,178 | 51,608 | ||||||
Symantec Corp.* | 3,290 | 49,909 | ||||||
Western Union Co. | 2,750 | 48,593 | ||||||
Agilent Technologies, Inc.* | 1,440 | 48,053 | ||||||
Analog Devices, Inc. | 1,240 | 38,911 | ||||||
Altera Corp. | 1,282 | 38,665 | ||||||
Akamai Technologies, Inc.* | 760 | 38,137 | ||||||
Paychex, Inc. | 1,337 | 36,754 | ||||||
SanDisk Corp.* | 972 | 35,624 | ||||||
Amphenol Corp. — Class A | 720 | 35,266 | ||||||
CA, Inc. | 1,610 | 34,003 | ||||||
Fiserv, Inc.* | 620 | 33,368 | ||||||
Red Hat, Inc.* | 790 | 32,390 | ||||||
Autodesk, Inc.* | 950 | 30,372 | ||||||
BMC Software, Inc.* | 750 | 30,360 | ||||||
McAfee, Inc.* | 630 | 29,774 | ||||||
Fidelity National Information | ||||||||
Services, Inc. | 1,095 | 29,707 | ||||||
Computer Sciences Corp. | 640 | 29,440 | ||||||
Linear Technology Corp. | 940 | 28,886 | ||||||
Xilinx, Inc. | 1,080 | 28,739 | ||||||
NVIDIA Corp.* | 2,393 | 27,950 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Western Digital Corp.* | 955 | $ | 27,112 | |||||
Teradata Corp.* | 700 | 26,992 | ||||||
Micron Technology, Inc.* | 3,575 | 25,776 | ||||||
KLA-Tencor Corp. | 700 | 24,661 | ||||||
Microchip Technology, Inc. | 775 | 24,374 | ||||||
Harris Corp. | 540 | 23,917 | ||||||
VeriSign, Inc.* | 730 | 23,170 | ||||||
Electronic Arts, Inc.* | 1,380 | 22,673 | ||||||
SAIC, Inc.* | 1,220 | 19,496 | ||||||
Advanced Micro Devices, Inc.* | 2,360 | 16,780 | ||||||
FLIR Systems, Inc.* | 650 | 16,705 | ||||||
Lexmark International, Inc. — Class A* | 330 | 14,725 | ||||||
National Semiconductor Corp. | 997 | 12,732 | ||||||
LSI Corp.* | 2,680 | 12,221 | ||||||
Total System Services, Inc. | 780 | 11,887 | ||||||
Molex, Inc. | 566 | 11,846 | ||||||
Tellabs, Inc. | 1,590 | 11,845 | ||||||
Jabil Circuit, Inc. | 805 | 11,600 | ||||||
JDS Uniphase Corp.* | 920 | 11,399 | ||||||
MEMC Electronic Materials, Inc.* | 950 | 11,324 | ||||||
Novellus Systems, Inc.* | 380 | 10,100 | ||||||
Novell, Inc.* | 1,473 | 8,794 | ||||||
Teradyne, Inc.* | 755 | 8,411 | ||||||
QLogic Corp.* | 460 | 8,114 | ||||||
Compuware Corp.* | 930 | 7,933 | ||||||
Monster Worldwide, Inc.* | 540 | 6,998 | ||||||
Total Information Technology | 8,081,732 | |||||||
FINANCIALS - 10.2% | ||||||||
JPMorgan Chase & Co. | 16,540 | 629,678 | ||||||
Berkshire Hathaway, Inc. — Class B* | 7,205 | 595,709 | ||||||
Bank of America Corp. | 41,857 | 548,745 | ||||||
Wells Fargo & Co. | 21,833 | 548,663 | ||||||
Citigroup, Inc.* | 99,108 | 386,521 | ||||||
Goldman Sachs Group, Inc. | 2,150 | 310,847 | ||||||
American Express Co. | 4,372 | 183,755 | ||||||
U.S. Bancorp | 8,000 | 172,960 | ||||||
MetLife, Inc. | 3,780 | 145,341 | ||||||
Morgan Stanley | 5,835 | 144,008 | ||||||
Bank of New York Mellon Corp. | 5,064 | 132,322 | ||||||
PNC Financial Services Group, Inc. | 2,190 | 113,683 | ||||||
Simon Property Group, Inc. | 1,219 | 113,050 | ||||||
Prudential Financial, Inc. | 1,950 | 105,651 | ||||||
Travelers Companies, Inc. | 1,960 | 102,116 | ||||||
Aflac, Inc. | 1,965 | 101,610 | ||||||
ACE Ltd. | 1,408 | 82,016 | ||||||
State Street Corp. | 2,090 | 78,709 | ||||||
Capital One Financial Corp. | 1,911 | 75,580 | ||||||
Chubb Corp. | 1,310 | 74,657 | ||||||
CME Group, Inc. — Class A | 280 | 72,926 | ||||||
Allstate Corp. | 2,244 | 70,798 | ||||||
BB&T Corp. | 2,894 | 69,688 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Franklin Resources, Inc. | 610 | $ | 65,209 | |||||
Progressive Corp. | 2,790 | 58,227 | ||||||
Charles Schwab Corp. | 4,127 | 57,365 | ||||||
Vornado Realty Trust | 666 | 56,963 | ||||||
Equity Residential | 1,180 | 56,133 | ||||||
Public Storage | 576 | 55,895 | ||||||
Marsh & McLennan Companies, Inc. | 2,261 | 54,535 | ||||||
SunTrust Banks, Inc. | 2,090 | 53,985 | ||||||
T. Rowe Price Group, Inc. | 1,070 | 53,570 | ||||||
Loews Corp. | 1,330 | 50,407 | ||||||
Ameriprise Financial, Inc. | 1,050 | 49,696 | ||||||
Northern Trust Corp. | 1,009 | 48,674 | ||||||
Boston Properties, Inc. | 580 | 48,210 | ||||||
HCP, Inc. | 1,290 | 46,414 | ||||||
AON Corp. | 1,125 | 43,999 | ||||||
Hartford Financial Services Group, Inc. | 1,850 | 42,458 | ||||||
Invesco Ltd. | 1,950 | 41,399 | ||||||
Fifth Third Bancorp | 3,320 | 39,940 | ||||||
Host Hotels & Resorts, Inc. | 2,753 | 39,863 | ||||||
Regions Financial Corp. | 5,245 | 38,131 | ||||||
Discover Financial Services | 2,270 | 37,864 | ||||||
AvalonBay Communities, Inc. | 350 | 36,375 | ||||||
Weyerhaeuser Co. | 2,234 | 35,208 | ||||||
Principal Financial Group, Inc. | 1,340 | 34,733 | ||||||
Ventas, Inc. | 638 | 32,902 | ||||||
Intercontinental Exchange, Inc.* | 310 | 32,463 | ||||||
Lincoln National Corp. | 1,323 | 31,646 | ||||||
NYSE Euronext | 1,090 | 31,141 | ||||||
XL Group plc — Class A | 1,420 | 30,757 | ||||||
Unum Group | 1,360 | 30,124 | ||||||
M&T Bank Corp. | 364 | 29,779 | ||||||
KeyCorp | 3,669 | 29,205 | ||||||
Comerica, Inc. | 730 | 27,120 | ||||||
Kimco Realty Corp. | 1,690 | 26,618 | ||||||
Genworth Financial, Inc. — Class A* | 2,041 | 24,941 | ||||||
Plum Creek Timber Company, Inc. | 670 | 23,651 | ||||||
ProLogis | 1,990 | 23,442 | ||||||
SLM Corp.* | 2,020 | 23,331 | ||||||
Health Care REIT, Inc. | 470 | 22,250 | ||||||
American International Group, Inc.* | 560 | 21,896 | ||||||
Moody’s Corp. | 854 | 21,333 | ||||||
Hudson City Bancorp, Inc. | 1,719 | 21,075 | ||||||
People’s United Financial, Inc. | 1,550 | 20,289 | ||||||
Cincinnati Financial Corp. | 680 | 19,618 | ||||||
Legg Mason, Inc. | 640 | 19,398 | ||||||
Torchmark Corp. | 340 | 18,068 | ||||||
Assurant, Inc. | 440 | 17,908 | ||||||
Huntington Bancshares, Inc. | 2,989 | 16,948 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 920 | 16,818 | ||||||
Marshall & Ilsley Corp. | 2,200 | 15,488 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Zions Bancorporation | 720 | $ | 15,379 | |||||
Leucadia National Corp. | 615 | 14,526 | ||||||
E*Trade Financial Corp.* | 820 | 11,923 | ||||||
NASDAQ OMX Group, Inc.* | 600 | 11,658 | ||||||
First Horizon National Corp.* | 974 | 11,112 | ||||||
Apartment Investment & Management Co. — Class A | 490 | 10,476 | ||||||
Federated Investors, Inc. — Class B | 380 | 8,649 | ||||||
Janus Capital Group, Inc. | 770 | 8,432 | ||||||
Total Financials | 6,724,650 | |||||||
HEALTH CARE - 7.6% | ||||||||
Johnson & Johnson | 11,487 | 711,735 | ||||||
Pfizer, Inc. | 33,530 | 575,710 | ||||||
Merck & Company, Inc. | 12,840 | 472,640 | ||||||
Abbott Laboratories | 6,440 | 336,426 | ||||||
Amgen, Inc.* | 4,000 | 220,440 | ||||||
Bristol-Myers Squibb Co. | 7,150 | 193,837 | ||||||
UnitedHealth Group, Inc. | 4,690 | 164,666 | ||||||
Eli Lilly & Co. | 4,235 | 154,705 | ||||||
Medtronic, Inc. | 4,510 | 151,446 | ||||||
Gilead Sciences, Inc.* | 3,500 | 124,635 | ||||||
Baxter International, Inc. | 2,440 | 116,412 | ||||||
Celgene Corp.* | 1,920 | 110,611 | ||||||
Express Scripts, Inc. — Class A* | 2,260 | 110,062 | ||||||
WellPoint, Inc.* | 1,670 | 94,589 | ||||||
Medco Health Solutions, Inc.* | 1,800 | 93,708 | ||||||
Allergan, Inc. | 1,280 | 85,158 | ||||||
Thermo Fisher Scientific, Inc.* | 1,690 | 80,917 | ||||||
Genzyme Corp.* | 1,060 | 75,037 | ||||||
Becton Dickinson and Co. | 970 | 71,877 | ||||||
McKesson Corp. | 1,090 | 67,340 | ||||||
Stryker Corp. | 1,260 | 63,063 | ||||||
Biogen Idec, Inc.* | 1,000 | 56,120 | ||||||
Aetna, Inc. | 1,740 | 55,001 | ||||||
St. Jude Medical, Inc.* | 1,368 | 53,817 | ||||||
Cardinal Health, Inc. | 1,460 | 48,238 | ||||||
Intuitive Surgical, Inc.* | 160 | 45,398 | ||||||
Zimmer Holdings, Inc.* | 840 | 43,957 | ||||||
CIGNA Corp. | 1,140 | 40,789 | ||||||
Hospira, Inc.* | 700 | 39,907 | ||||||
Boston Scientific Corp.* | 6,320 | 38,742 | ||||||
Forest Laboratories, Inc.* | 1,190 | 36,807 | ||||||
Life Technologies Corp.* | 765 | 35,718 | ||||||
AmerisourceBergen Corp. — Class A | 1,160 | 35,566 | ||||||
Humana, Inc.* | 700 | 35,168 | ||||||
Laboratory Corporation of America Holdings* | 430 | 33,725 | ||||||
CR Bard, Inc. | 390 | 31,758 | ||||||
Varian Medical Systems, Inc.* | 510 | 30,855 | ||||||
Quest Diagnostics, Inc. | 610 | 30,787 | ||||||
DaVita, Inc.* | 430 | 29,683 | ||||||
Waters Corp.* | 380 | 26,896 |
12 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Mylan, Inc.* | 1,290 | $ | 24,265 | |||||
Cerner Corp.* | 286 | 24,021 | ||||||
CareFusion Corp.* | 930 | 23,101 | ||||||
Cephalon, Inc.* | 310 | 19,356 | ||||||
DENTSPLY International, Inc. | 600 | 19,182 | ||||||
Watson Pharmaceuticals, Inc.* | 450 | 19,040 | ||||||
Coventry Health Care, Inc.* | 615 | 13,241 | ||||||
Patterson Companies, Inc. | 400 | 11,460 | ||||||
PerkinElmer, Inc. | 490 | 11,339 | ||||||
King Pharmaceuticals, Inc.* | 1,038 | 10,338 | ||||||
Tenet Healthcare Corp.* | 2,019 | 9,530 | ||||||
Total Health Care | 5,008,819 | |||||||
CONSUMER STAPLES - 7.3% | ||||||||
Procter & Gamble Co. | 11,840 | 710,045 | ||||||
Coca-Cola Co. | 9,635 | 563,840 | ||||||
Wal-Mart Stores, Inc. | 8,340 | 446,357 | ||||||
PepsiCo, Inc. | 6,640 | 441,162 | ||||||
Philip Morris International, Inc. | 7,650 | 428,553 | ||||||
Kraft Foods, Inc. — Class A | 7,279 | 224,630 | ||||||
Altria Group, Inc. | 8,691 | 208,758 | ||||||
CVS Caremark Corp. | 5,670 | 178,435 | ||||||
Colgate-Palmolive Co. | 2,030 | 156,026 | ||||||
Walgreen Co. | 4,060 | 136,010 | ||||||
Costco Wholesale Corp. | 1,827 | 117,823 | ||||||
Kimberly-Clark Corp. | 1,710 | 111,235 | ||||||
General Mills, Inc. | 2,680 | 97,927 | ||||||
Archer-Daniels-Midland Co. | 2,670 | 85,226 | ||||||
Sysco Corp. | 2,450 | 69,874 | ||||||
HJ Heinz Co. | 1,325 | 62,765 | ||||||
Kroger Co. | 2,680 | 58,049 | ||||||
Avon Products, Inc. | 1,788 | 57,413 | ||||||
Kellogg Co. | 1,085 | 54,803 | ||||||
Lorillard, Inc. | 630 | 50,595 | ||||||
Mead Johnson Nutrition Co. — Class A | 850 | 48,373 | ||||||
Coca-Cola Enterprises, Inc. | 1,380 | 42,780 | ||||||
Reynolds American, Inc. | 710 | 42,167 | ||||||
ConAgra Foods, Inc. | 1,830 | 40,150 | ||||||
Clorox Co. | 580 | 38,721 | ||||||
Sara Lee Corp. | 2,760 | 37,067 | ||||||
Dr Pepper Snapple Group, Inc. | 990 | 35,165 | ||||||
Safeway, Inc. | 1,590 | 33,644 | ||||||
Molson Coors Brewing Co. — Class B | 650 | 30,693 | ||||||
Hershey Co. | 640 | 30,458 | ||||||
Estee Lauder Companies, Inc. — Class A | 480 | 30,350 | ||||||
JM Smucker Co. | 500 | 30,265 | ||||||
Campbell Soup Co. | 800 | 28,600 | ||||||
Brown-Forman Corp. — Class B | 430 | 26,505 | ||||||
McCormick & Company, Inc. | 546 | 22,954 | ||||||
Whole Foods Market, Inc.* | 612 | 22,711 | ||||||
Tyson Foods, Inc. — Class A | 1,240 | 19,865 | ||||||
Constellation Brands, Inc. — Class A* | 800 | 14,152 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Hormel Foods Corp. | 290 | $ | 12,934 | |||||
SUPERVALU, Inc. | 888 | 10,239 | ||||||
Dean Foods Co.* | 760 | 7,760 | ||||||
Total Consumer Staples | 4,865,079 | |||||||
ENERGY - 7.1% | ||||||||
Exxon Mobil Corp. | 21,240 | 1,312,420 | ||||||
Chevron Corp. | 8,394 | 680,334 | ||||||
ConocoPhillips | 6,190 | 355,492 | ||||||
Schlumberger Ltd. | 5,700 | 351,177 | ||||||
Occidental Petroleum Corp. | 3,394 | 265,750 | ||||||
Apache Corp. | 1,515 | 148,106 | ||||||
Halliburton Co. | 3,800 | 125,666 | ||||||
Anadarko Petroleum Corp. | 2,059 | 117,466 | ||||||
Devon Energy Corp. | 1,810 | 117,179 | ||||||
EOG Resources, Inc. | 1,062 | 98,734 | ||||||
Marathon Oil Corp. | 2,960 | 97,976 | ||||||
National Oilwell Varco, Inc. | 1,749 | 77,778 | ||||||
Baker Hughes, Inc. | 1,804 | 76,850 | ||||||
Hess Corp. | 1,218 | 72,008 | ||||||
Chesapeake Energy Corp. | 2,735 | 61,948 | ||||||
Spectra Energy Corp. | 2,700 | 60,885 | ||||||
Peabody Energy Corp. | 1,120 | 54,891 | ||||||
Noble Energy, Inc. | 730 | 54,816 | ||||||
Murphy Oil Corp. | 800 | 49,536 | ||||||
Southwestern Energy Co.* | 1,442 | 48,221 | ||||||
Williams Companies, Inc. | 2,437 | 46,571 | ||||||
Cameron International Corp.* | 1,010 | 43,390 | ||||||
Valero Energy Corp. | 2,358 | 41,289 | ||||||
El Paso Corp. | 2,935 | 36,335 | ||||||
Consol Energy, Inc. | 940 | 34,742 | ||||||
FMC Technologies, Inc.* | 500 | 34,145 | ||||||
Pioneer Natural Resources Co. | 480 | 31,215 | ||||||
Denbury Resources, Inc.* | 1,657 | 26,330 | ||||||
Range Resources Corp. | 670 | 25,547 | ||||||
EQT Corp. | 620 | 22,357 | ||||||
QEP Resources, Inc. | 730 | 22,002 | ||||||
Nabors Industries Ltd.* | 1,190 | 21,491 | ||||||
Diamond Offshore Drilling, Inc. | 290 | 19,653 | ||||||
Sunoco, Inc. | 496 | 18,104 | ||||||
Helmerich & Payne, Inc. | 440 | 17,802 | ||||||
Rowan Companies, Inc.* | 480 | 14,573 | ||||||
Massey Energy Co. | 430 | 13,339 | ||||||
Cabot Oil & Gas Corp. | 430 | 12,947 | ||||||
Tesoro Corp. | 580 | 7,749 | ||||||
Total Energy | 4,716,814 | |||||||
INDUSTRIALS - 7.0% | ||||||||
General Electric Co. | 44,599 | 724,734 | ||||||
United Technologies Corp. | 3,880 | 276,372 | ||||||
United Parcel Service, Inc. — Class B | 4,130 | 275,430 | ||||||
3M Co. | 2,980 | 258,396 | ||||||
Caterpillar, Inc. | 2,633 | 207,164 | ||||||
Boeing Co. | 3,050 | 202,947 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Union Pacific Corp. | 2,080 | $ | 170,144 | |||||
Emerson Electric Co. | 3,140 | 165,352 | ||||||
Honeywell International, Inc. | 3,222 | 141,575 | ||||||
Deere & Co. | 1,770 | 123,511 | ||||||
FedEx Corp. | 1,310 | 112,005 | ||||||
General Dynamics Corp. | 1,590 | 99,868 | ||||||
Norfolk Southern Corp. | 1,540 | 91,645 | ||||||
Danaher Corp. | 2,226 | 90,398 | ||||||
Illinois Tool Works, Inc. | 1,916 | 90,090 | ||||||
Lockheed Martin Corp. | 1,240 | 88,387 | ||||||
CSX Corp. | 1,580 | 87,406 | ||||||
Tyco International Ltd. | 2,080 | 76,398 | ||||||
Precision Castparts Corp. | 590 | 75,136 | ||||||
Northrop Grumman Corp. | 1,230 | 74,575 | ||||||
Cummins, Inc. | 820 | 74,276 | ||||||
PACCAR, Inc. | 1,520 | 73,188 | ||||||
Raytheon Co. | 1,560 | 71,308 | ||||||
Waste Management, Inc. | 1,990 | 71,123 | ||||||
Eaton Corp. | 696 | 57,413 | ||||||
CH Robinson Worldwide, Inc. | 690 | 48,245 | ||||||
Parker Hannifin Corp. | 670 | 46,940 | ||||||
Expeditors International of Washington, Inc. | 890 | 41,145 | ||||||
Dover Corp. | 780 | 40,724 | ||||||
Southwest Airlines Co. | 3,110 | 40,648 | ||||||
Republic Services, Inc. — Class A | 1,280 | 39,027 | ||||||
Rockwell Collins, Inc. | 660 | 38,445 | ||||||
Goodrich Corp. | 518 | 38,192 | ||||||
Fluor Corp. | 750 | 37,147 | ||||||
Rockwell Automation, Inc. | 590 | 36,421 | ||||||
ITT Corp. | 770 | 36,059 | ||||||
L-3 Communications Holdings, Inc. | 480 | 34,690 | ||||||
First Solar, Inc.* | 215 | 31,680 | ||||||
WW Grainger, Inc. | 250 | 29,777 | ||||||
Fastenal Co. | 487 | 25,904 | ||||||
Roper Industries, Inc. | 390 | 25,420 | ||||||
Flowserve Corp. | 230 | 25,167 | ||||||
Stericycle, Inc.* | 350 | 24,318 | ||||||
Textron, Inc. | 1,140 | 23,438 | ||||||
Jacobs Engineering Group, Inc.* | 520 | 20,124 | ||||||
Pall Corp. | 480 | 19,987 | ||||||
Pitney Bowes, Inc. | 860 | 18,387 | ||||||
Avery Dennison Corp. | 460 | 17,075 | ||||||
Quanta Services, Inc.* | 876 | 16,714 | ||||||
Masco Corp. | 1,490 | 16,405 | ||||||
Equifax, Inc. | 520 | 16,224 | ||||||
Robert Half International, Inc. | 620 | 16,120 | ||||||
Cintas Corp. | 550 | 15,152 | ||||||
Dun & Bradstreet Corp. | 200 | 14,828 | ||||||
RR Donnelley & Sons Co. | 860 | 14,586 | ||||||
Iron Mountain, Inc. | 616 | 13,761 | ||||||
Snap-On, Inc. | 238 | 11,069 | ||||||
Ryder System, Inc. | 210 | 8,982 | ||||||
Total Industrials | 4,661,642 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY - 6.8% | ||||||||
McDonald’s Corp. | 4,440 | $ | 330,824 | |||||
Walt Disney Co. | 7,980 | 264,218 | ||||||
Amazon.com, Inc.* | 1,480 | 232,449 | ||||||
Home Depot, Inc. | 6,950 | 220,176 | ||||||
Comcast Corp. — Class A | 11,710 | 211,717 | ||||||
Ford Motor Co.* | 14,354 | 175,693 | ||||||
Target Corp. | 3,010 | 160,854 | ||||||
DIRECTV — Class A* | 3,617 | 150,576 | ||||||
Time Warner, Inc. | 4,690 | 143,749 | ||||||
Lowe’s Companies, Inc. | 5,850 | 130,397 | ||||||
NIKE, Inc. — Class B | 1,610 | 129,025 | ||||||
News Corp. — Class A* | 9,510 | 124,201 | ||||||
Viacom, Inc. — Class B | 2,540 | 91,923 | ||||||
Yum! Brands, Inc. | 1,950 | 89,817 | ||||||
Johnson Controls, Inc. | 2,806 | 85,583 | ||||||
Time Warner Cable, Inc. — Class A | 1,479 | 79,851 | ||||||
Starbucks Corp. | 3,080 | 78,786 | ||||||
TJX Companies, Inc. | 1,670 | 74,532 | ||||||
Carnival Corp. | 1,810 | 69,160 | ||||||
Priceline.com, Inc.* | 195 | 67,926 | ||||||
Kohl’s Corp.* | 1,283 | 67,588 | ||||||
Staples, Inc. | 3,049 | 63,785 | ||||||
Best Buy Company, Inc. | 1,435 | 58,591 | ||||||
Coach, Inc. | 1,240 | 53,270 | ||||||
Discovery Communications, Inc. — Class A* | 1,190 | 51,824 | ||||||
Omnicom Group, Inc. | 1,260 | 49,745 | ||||||
Bed Bath & Beyond, Inc.* | 1,090 | 47,317 | ||||||
CBS Corp. — Class B | 2,841 | 45,058 | ||||||
McGraw-Hill Companies, Inc. | 1,290 | 42,647 | ||||||
Stanley Black & Decker, Inc. | 689 | 42,222 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 790 | 41,515 | ||||||
Macy’s, Inc. | 1,759 | 40,615 | ||||||
Marriott International, Inc. — Class A | 988 | 35,400 | ||||||
Mattel, Inc. | 1,500 | 35,190 | ||||||
The Gap, Inc. | 1,830 | 34,111 | ||||||
Fortune Brands, Inc. | 636 | 31,310 | ||||||
O’Reilly Automotive, Inc.* | 569 | 30,271 | ||||||
Limited Brands, Inc. | 1,100 | 29,458 | ||||||
Genuine Parts Co. | 659 | 29,385 | ||||||
VF Corp. | 360 | 29,167 | ||||||
Harley-Davidson, Inc. | 980 | 27,871 | ||||||
AutoZone, Inc.* | 120 | 27,469 | ||||||
Wynn Resorts Ltd. | 314 | 27,246 | ||||||
Apollo Group, Inc. — Class A* | 525 | 26,959 | ||||||
Ross Stores, Inc. | 490 | 26,764 | ||||||
JC Penney Company, Inc. | 978 | 26,582 | ||||||
Nordstrom, Inc. | 699 | 26,003 | ||||||
CarMax, Inc.* | 929 | 25,882 | ||||||
Whirlpool Corp. | 310 | 25,098 | ||||||
Tiffany & Co. | 530 | 24,905 |
14 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Darden Restaurants, Inc. | 580 | $ | 24,812 | |||||
Expedia, Inc. | 869 | 24,514 | ||||||
Family Dollar Stores, Inc. | 550 | 24,288 | ||||||
Polo Ralph Lauren Corp. — Class A | 270 | 24,262 | ||||||
Newell Rubbermaid, Inc. | 1,160 | 20,660 | ||||||
Wyndham Worldwide Corp. | 750 | 20,602 | ||||||
Interpublic Group of Companies, Inc.* | 2,045 | 20,511 | ||||||
Hasbro, Inc. | 459 | 20,430 | ||||||
International Game Technology | 1,240 | 17,918 | ||||||
Scripps Networks Interactive, Inc. — Class A | 370 | 17,605 | ||||||
Urban Outfitters, Inc.* | 540 | 16,978 | ||||||
H&R Block, Inc. | 1,290 | 16,706 | ||||||
Abercrombie & Fitch Co. — Class A | 375 | 14,745 | ||||||
Leggett & Platt, Inc. | 610 | 13,884 | ||||||
DR Horton, Inc. | 1,170 | 13,010 | ||||||
Sears Holdings Corp.* | 180 | 12,985 | ||||||
DeVry, Inc. | 260 | 12,795 | ||||||
GameStop Corp. — Class A* | 630 | 12,417 | ||||||
Pulte Group, Inc.* | 1,398 | 12,246 | ||||||
Gannett Company, Inc. | 1,000 | 12,230 | ||||||
RadioShack Corp. | 518 | 11,049 | ||||||
Goodyear Tire & Rubber Co.* | 1,008 | 10,836 | ||||||
Big Lots, Inc.* | 320 | 10,640 | ||||||
Lennar Corp. — Class A | 660 | 10,151 | ||||||
Harman International Industries, Inc.* | 280 | 9,355 | ||||||
Washington Post Co. — Class B | 20 | 7,988 | ||||||
AutoNation, Inc.* | 260 | 6,045 | ||||||
Office Depot, Inc.* | 1,146 | 5,272 | ||||||
Meredith Corp. | 150 | 4,997 | ||||||
Eastman Kodak Co.* | 1,120 | 4,704 | ||||||
New York Times Co. — Class A* | 489 | 3,785 | ||||||
Total Consumer Discretionary | 4,473,125 | |||||||
UTILITIES - 2.4% Southern Co. | 3,470 | 129,223 | ||||||
Exelon Corp. | 2,763 | 117,649 | ||||||
Dominion Resources, Inc. | 2,460 | 107,404 | ||||||
Duke Energy Corp. | 5,504 | 97,476 | ||||||
NextEra Energy, Inc. | 1,730 | 94,095 | ||||||
American Electric Power Company, Inc. | 1,999 | 72,424 | ||||||
Public Service Enterprise Group, Inc. | 2,106 | 69,666 | ||||||
PG&E Corp. | 1,480 | 67,222 | ||||||
Entergy Corp. | 780 | 59,693 | ||||||
Consolidated Edison, Inc. | 1,180 | 56,900 | ||||||
Sempra Energy | 1,026 | 55,199 | ||||||
PPL Corp. | 2,010 | 54,732 | ||||||
Progress Energy, Inc. | 1,223 | 54,326 | ||||||
FirstEnergy Corp. | 1,270 | 48,946 | ||||||
Edison International | 1,360 | 46,770 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Xcel Energy, Inc. | 1,920 | $ | 44,102 | |||||
DTE Energy Co. | 700 | 32,151 | ||||||
AES Corp.* | 2,780 | 31,553 | ||||||
Wisconsin Energy Corp. | 490 | 28,322 | ||||||
Ameren Corp. | 989 | 28,088 | ||||||
CenterPoint Energy, Inc. | 1,760 | 27,667 | ||||||
Constellation Energy Group, Inc. | 844 | 27,211 | ||||||
NRG Energy, Inc.* | 1,050 | 21,861 | ||||||
Northeast Utilities | 727 | 21,497 | ||||||
NiSource, Inc. | 1,163 | 20,236 | ||||||
Oneok, Inc. | 440 | 19,818 | ||||||
SCANA Corp. | 470 | 18,950 | ||||||
Pinnacle West Capital Corp. | 450 | 18,571 | ||||||
Allegheny Energy, Inc. | 710 | 17,409 | ||||||
CMS Energy Corp. | 960 | 17,299 | ||||||
Pepco Holdings, Inc. | 929 | 17,279 | ||||||
Integrys Energy Group, Inc. | 324 | 16,867 | ||||||
TECO Energy, Inc. | 900 | 15,588 | ||||||
Nicor, Inc. | 190 | 8,706 | ||||||
Total Utilities | 1,564,900 | |||||||
MATERIALS - 2.3% | ||||||||
E. I. du Pont de Nemours & Co. | 3,779 | 168,619 | ||||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 1,956 | 167,023 | ||||||
Dow Chemical Co. | 4,844 | 133,016 | ||||||
Newmont Mining Co. | 2,047 | 128,572 | ||||||
Praxair, Inc. | 1,279 | 115,442 | ||||||
Monsanto Co. | 2,250 | 107,842 | ||||||
Air Products & Chemicals, Inc. | 880 | 72,882 | ||||||
Alcoa, Inc. | 4,264 | 51,637 | ||||||
Nucor Corp. | 1,320 | 50,424 | ||||||
PPG Industries, Inc. | 690 | 50,232 | ||||||
Ecolab, Inc. | 970 | 49,218 | ||||||
International Paper Co. | 1,820 | 39,585 | ||||||
Cliffs Natural Resources, Inc. | 570 | 36,434 | ||||||
Sigma-Aldrich Corp. | 510 | 30,794 | ||||||
Sherwin-Williams Co. | 370 | 27,802 | ||||||
CF Industries Holdings, Inc. | 290 | 27,695 | ||||||
United States Steel Co. | 599 | 26,260 | ||||||
Ball Corp. | 380 | 22,363 | ||||||
Eastman Chemical Co. | 300 | 22,200 | ||||||
Airgas, Inc. | 310 | 21,064 | ||||||
FMC Corp. | 300 | 20,523 | ||||||
Vulcan Materials Co. | 530 | 19,568 | ||||||
Owens-Illinois, Inc.* | 680 | 19,081 | ||||||
Allegheny Technologies, Inc. | 410 | 19,044 | ||||||
Pactiv Corp.* | 560 | 18,469 | ||||||
MeadWestvaco Corp. | 710 | 17,310 | ||||||
International Flavors & Fragrances, Inc. | 330 | 16,012 | ||||||
Sealed Air Corp. | 660 | 14,837 | ||||||
Bemis Company, Inc. | 460 | 14,605 | ||||||
Titanium Metals Corp.* | 366 | 7,305 | ||||||
AK Steel Holding Corp. | 460 | 6,353 | ||||||
Total Materials | 1,522,211 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
TELECOMMUNICATION SERVICES - 2.1% | ||||||||
AT&T, Inc. | 24,646 | $ | 704,876 | |||||
Verizon Communications, Inc. | 11,790 | 384,236 | ||||||
American Tower Corp. — Class A* | 1,670 | 85,604 | ||||||
Sprint Nextel Corp.* | 12,450 | 57,643 | ||||||
CenturyLink, Inc. | 1,250 | 49,325 | ||||||
Qwest Communications International, Inc. | 7,251 | 45,464 | ||||||
Frontier Communications Corp. | 4,141 | 33,832 | ||||||
Windstream Corp. | 2,010 | 24,703 | ||||||
MetroPCS Communications, Inc.* | 1,093 | 11,433 | ||||||
Total Telecommunication Services | 1,397,116 | |||||||
Total Common Stocks (Cost $29,843,596) | 43,016,088 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 29.4% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 5,551,683 | 5,551,683 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 5,545,503 | 5,545,503 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 5,482,693 | 5,482,693 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 2,291,530 | 2,291,530 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 572,882 | 572,882 | ||||||
Total Repurchase Agreements (Cost $19,444,291) | 19,444,291 | |||||||
Total Investments – 94.4% (Cost $49,287,887) | $ | 62,460,379 | ||||||
Cash & Other Assets, Less Liabilities – 5.6% | 3,717,465 | |||||||
Total Net Assets – 100.0% | $ | 66,177,844 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 S&P 500 Index | ||||||||
Mini Futures Contracts (Aggregate Market Value of Contracts $10,735,200) | 189 | $ | 67,888 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International October 2010 S&P 500 Index Swap, Terminating 10/27/103 (Notional Market Value $7,729,662) | 6,773 | $ | (4,339 | ) | ||||
Morgan Stanley Capital Services, Inc. | ||||||||
October 2010 S&P 500 Index Swap, Terminating 10/26/103 (Notional Market Value $11,745,911) | 10,293 | (6,627 | ) | |||||
Credit Suisse Capital, LLC October 2010 S&P 500 Index Swap, Terminating 10/29/103 (Notional Market Value $26,359,985) | 23,098 | (81,362 | ) | |||||
(Total Notional Market Value $45,835,558) | $ | (92,328 | ) | |||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust |
16 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
NOVA FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 43,016,088 | ||
Repurchase agreement, at value | 19,444,291 | |||
Total investments | 62,460,379 | |||
Segregated cash with broker | 2,094,974 | |||
Cash | 126 | |||
Receivables: | ||||
Fund shares sold | 2,083,411 | |||
Dividends | 51,334 | |||
Interest | 104 | |||
Total assets | 66,690,328 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 92,328 | |||
Payable for: | ||||
Variation margin | 35,544 | |||
Fund shares redeemed | 288,810 | |||
Management fees | 34,001 | |||
Custodian fees | 1,520 | |||
Transfer agent/maintenance fees | 11,334 | |||
Distribution and service fees | 10,103 | |||
Portfolio accounting fees | 4,533 | |||
Other | 34,311 | |||
Total liabilities | 512,484 | |||
Net assets | $ | 66,177,844 | ||
Net assets consist of: | ||||
Paid in capital | 176,887,954 | |||
Undistributed net investment income | 94,203 | |||
Accumulated net realized loss on | ||||
sale of investments | (123,952,365 | ) | ||
Net unrealized appreciation in | ||||
value of investments | 13,148,052 | |||
Net assets | 66,177,844 | |||
Investor Class: | ||||
Net assets | $ | 46,697,606 | ||
Capital shares outstanding | 2,386,686 | |||
Net asset value per share | $19.57 | |||
Advisor Class: | ||||
Net assets | $ | 6,886,198 | ||
Capital shares outstanding | 377,132 | |||
Net asset value per share | $18.26 | |||
A-Class: | ||||
Net assets | $ | 4,572,863 | ||
Capital shares outstanding | 246,077 | |||
Net asset value per share | $18.58 | |||
Maximum offering price per share* | $19.51 | |||
C-Class: | ||||
Net assets | $ | 8,021,177 | ||
Capital shares outstanding | 455,680 | |||
Net asset value per share | $17.60 | |||
Investments, at cost | $ | 29,843,596 | ||
Repurchase agreement, at cost | 19,444,291 | |||
Total cost | $ | 49,287,887 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 480,456 | ||
Interest | 13,290 | |||
Total investment income | 493,746 | |||
Expenses: | ||||
Management fees | 242,096 | |||
Transfer agent and administrative fees | 80,698 | |||
Distribution and Service Fees: | ||||
Advisor Class | 17,878 | |||
A-Class | 3,784 | |||
C-Class | 43,743 | |||
Portfolio accounting fees | 32,279 | |||
Trustees’ fees** | 2,986 | |||
Miscellaneous | 54,811 | |||
Total expenses | 478,275 | |||
Net investment income | 15,471 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 2,730,781 | |||
Equity index swaps | (1,657,535 | ) | ||
Futures contracts | (772,170 | ) | ||
Net realized gain | 301,076 | |||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | (5,474,053 | ) | ||
Equity index swaps | (1,219,266 | ) | ||
Futures contracts | (11,577 | ) | ||
Net unrealized depreciation | (6,704,896 | ) | ||
Net loss | (6,403,820 | ) | ||
Net decrease in net assets resulting | ||||
from operations | $ | (6,388,349 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 17 |
NOVA FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 15,471 | $ | 78,731 | ||||
Net realized gain during the period on investments | 301,076 | 14,811,881 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (6,704,896 | ) | 22,856,692 | |||||
Net increase (decrease) in net assets resulting from operations | (6,388,349 | ) | 37,747,304 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (400,020 | ) | |||||
Advisor Class | — | (66,025 | ) | |||||
A-Class | — | (25,816 | ) | |||||
C-Class | — | (115,450 | ) | |||||
Total distributions to shareholders | — | (607,311 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 144,457,505 | 263,372,039 | ||||||
Advisor Class | 11,976,754 | 37,475,685 | ||||||
A-Class | 7,206,663 | 11,892,536 | ||||||
C-Class | 3,572,843 | 7,293,115 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 389,078 | ||||||
Advisor Class | — | 62,038 | ||||||
A-Class | — | 23,887 | ||||||
C-Class | — | 109,992 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (169,972,257 | ) | (241,354,104 | ) | ||||
Advisor Class | (16,250,314 | ) | (42,157,841 | ) | ||||
A-Class | (4,214,705 | ) | (16,805,121 | ) | ||||
C-Class | (5,760,933 | ) | 12,273,520 | |||||
Net increase (decrease) from capital share transactions | (28,984,444 | ) | 8,027,784 | |||||
Net increase (decrease) in net assets | (35,372,793 | ) | 45,167,777 | |||||
Net assets: | ||||||||
Beginning of period | 101,550,637 | 56,382,860 | ||||||
End of period | $ | 66,177,844 | $ | 101,550,637 | ||||
Undistributed net investment income at end of period | $ | 94,203 | $ | 78,732 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 7,609,469 | 15,696,593 | ||||||
Advisor Class | 686,478 | 2,371,621 | ||||||
A-Class | 402,444 | 797,509 | ||||||
C-Class | 211,772 | 489,614 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 20,846 | ||||||
Advisor Class | — | 3,549 | ||||||
A-Class | — | 1,345 | ||||||
C-Class | — | 6,500 | ||||||
Shares redeemed | ||||||||
Investor Class | (9,033,387 | ) | (14,766,800 | ) | ||||
Advisor Class | (928,516 | ) | (2,767,595 | ) | ||||
A-Class | (253,640 | ) | (1,033,705 | ) | ||||
C-Class | (337,597 | ) | (808,245 | ) | ||||
Total capital share activity | (1,642,977 | ) | 11,232 | |||||
18 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
NOVA FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $20.28 | $11.40 | $26.13 | $30.92 | $28.89 | $25.96 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .02 | .06 | .19 | .40 | (.15 | ) | (.12 | ) | ||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (.73 | ) | 8.97 | (14.83 | ) | (4.51 | ) | 4.19 | 3.90 | |||||||||||||||
Total from investment operations | (.71 | ) | 9.03 | (14.64 | ) | (4.11 | ) | 4.04 | 3.78 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Total distributions | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Net asset value, end of period | $19.57 | $20.28 | $11.40 | $26.13 | $30.92 | $28.89 | ||||||||||||||||||
Total Returnc | (3.50% | ) | 79.36% | (56.06% | ) | (13.71% | ) | 13.99% | 14.68% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $46,698 | $77,268 | $32,603 | $74,674 | $113,195 | $139,786 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24% | 0.33% | 0.93% | 1.26% | 1.23% | (0.45% | ) | |||||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.95% | ||||||||||||||||||
Total expensesf | 1.28% | 1.28% | 1.29% | 1.27% | 1.25% | 1.35% | ||||||||||||||||||
Net expensesf | 1.28% | 1.28% | 1.29% | 1.27% | 1.25% | 1.23% | ||||||||||||||||||
Portfolio turnover rate | 38% | 68% | 143% | 115% | 144% | 192% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $18.97 | $10.73 | $24.72 | $29.44 | $27.73 | $25.08 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.01 | ) | .08 | .23 | (.28 | ) | (.25 | ) | ||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (.69 | ) | 8.40 | (13.98 | ) | (4.27 | ) | 4.00 | 3.75 | |||||||||||||||
Total from investment operations | (.71 | ) | 8.39 | (13.90 | ) | (4.04 | ) | 3.72 | 3.50 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Total distributions | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Net asset value, end of period | $18.26 | $18.97 | $10.73 | $24.72 | $29.44 | $27.73 | ||||||||||||||||||
Total Returnc | (3.74% | ) | 78.35% | (56.26% | ) | (14.16% | ) | 13.41% | 14.07% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $6,886 | $11,746 | $10,853 | $19,218 | $36,441 | $41,002 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.26% | ) | (0.03% | ) | 0.45% | 0.78% | 0.73% | (0.96% | ) | |||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.44% | ||||||||||||||||||
Total expensesf | 1.78% | 1.78% | 1.79% | 1.77% | 1.75% | 1.85% | ||||||||||||||||||
Net expensesf | 1.78% | 1.78% | 1.79% | 1.77% | 1.75% | 1.74% | ||||||||||||||||||
Portfolio turnover rate | 38% | 68% | 143% | 115% | 144% | 192% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 19 |
NOVA FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $19.28 | $10.88 | $24.99 | $29.67 | $27.87 | $25.15 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | d | .03 | .13 | .29 | (.21 | ) | (.19 | ) | |||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (.70 | ) | 8.52 | (14.15 | ) | (4.29 | ) | 4.02 | 3.76 | |||||||||||||||
Total from investment operations | (.70 | ) | 8.55 | (14.02 | ) | (4.00 | ) | 3.81 | 3.57 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Total distributions | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Net asset value, end of period | $18.58 | $19.28 | $10.88 | $24.99 | $29.67 | $27.87 | ||||||||||||||||||
Total Returnc | (3.63% | ) | 78.74% | (56.13% | ) | (13.92% | ) | 13.67% | 14.32% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $4,573 | $1,876 | $3,612 | $11,791 | $15,586 | $29,315 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.03% | 0.18% | 0.70% | 0.97% | 0.98% | (0.71% | ) | |||||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.69% | ||||||||||||||||||
Total expensesf | 1.52% | 1.54% | 1.54% | 1.52% | 1.50% | 1.60% | ||||||||||||||||||
Net expensesf | 1.52% | 1.54% | 1.54% | 1.52% | 1.50% | 1.49% | ||||||||||||||||||
Portfolio turnover rate | 38% | 68% | 143% | 115% | 144% | 192% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $18.33 | $10.42 | $24.14 | $28.91 | $27.39 | $24.89 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.09 | ) | (.01 | ) | .07 | (.42 | ) | (.38 | ) | |||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (.67 | ) | 8.15 | (13.62 | ) | (4.16 | ) | 3.95 | 3.73 | |||||||||||||||
Total from investment operations | (.73 | ) | 8.06 | (13.63 | ) | (4.09 | ) | 3.53 | 3.35 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Total distributions | — | (.15 | ) | (.09 | ) | (.68 | ) | (2.01 | ) | (.85 | ) | |||||||||||||
Net asset value, end of period | $17.60 | $18.33 | $10.42 | $24.14 | $28.91 | $27.39 | ||||||||||||||||||
Total Returnc | (3.98% | ) | 77.51% | (56.49% | ) | (14.60% | ) | 12.88% | 13.58% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $8,021 | $10,661 | $9,314 | $29,715 | $42,925 | $50,131 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.72% | ) | (0.61% | ) | (0.05% | ) | 0.24% | 0.23% | (1.46% | ) | ||||||||||||||
Combined net investment losse | — | — | — | — | — | (0.06% | ) | |||||||||||||||||
Total expensesf | 2.28% | 2.28% | 2.29% | 2.27% | 2.25% | 2.35% | ||||||||||||||||||
Net expensesf | 2.28% | 2.28% | 2.29% | 2.27% | 2.25% | 2.24% | ||||||||||||||||||
Portfolio turnover rate | 38% | 68% | 143% | 115% | 144% | 192% |
20 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOVA FUND
FINANCIAL HIGHLIGHTS (concluded)
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Less than $0.01 per share. |
Prior to April 1, 2007, the Nova Fund operated under a Master-Feeder Structure.
e | Ratios represent combined net investment income of the former Master Portfolio and the Fund. Ratios shown under the caption “Combined Net Investment Income (Loss)” for the year ended March 31, 2006 and preceding periods did not reflect the net investment income of the former Master Portfolio. |
f | Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007 and preceding periods. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 21 |
FUND PROFILE (Unaudited)
September 30, 2010
S&P 500 FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a6.gif)
“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) | ||||
Exxon Mobil Corp. | 2.1 | % | ||
Apple, Inc. | 1.7 | % | ||
Microsoft Corp. | 1.2 | % | ||
General Electric Co. | 1.2 | % | ||
Johnson & Johnson | 1.1 | % | ||
Procter & Gamble Co. | 1.1 | % | ||
International Business | ||||
Machines Corp. | 1.1 | % | ||
AT&T, Inc. | 1.1 | % | ||
Chevron Corp. | 1.1 | % | ||
JPMorgan Chase & Co. | 1.0 | % | ||
Top Ten Total | 12.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
22 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 68.4% | ||||||||
INFORMATION TECHNOLOGY - 12.8% | ||||||||
Apple, Inc.* | 5,247 | $ | 1,488,836 | |||||
Microsoft Corp. | 43,760 | 1,071,682 | ||||||
International Business Machines Corp. | 7,250 | 972,515 | ||||||
Google, Inc. — Class A* | 1,428 | 750,828 | ||||||
Cisco Systems, Inc.* | 32,823 | 718,824 | ||||||
Intel Corp. | 31,999 | 615,341 | ||||||
Oracle Corp. | 22,240 | 597,144 | ||||||
Hewlett-Packard Co. | 13,030 | 548,172 | ||||||
QUALCOMM, Inc. | 9,220 | 416,006 | ||||||
EMC Corp.* | 11,800 | 239,658 | ||||||
Visa, Inc. — Class A | 2,858 | 212,235 | ||||||
Texas Instruments, Inc. | 6,870 | 186,452 | ||||||
Corning, Inc. | 8,972 | 164,008 | ||||||
eBay, Inc.* | 6,645 | 162,138 | ||||||
Dell, Inc.* | 9,720 | 125,971 | ||||||
Mastercard, Inc. — Class A | 559 | 125,216 | ||||||
Automatic Data Processing, Inc. | 2,830 | 118,945 | ||||||
Motorola, Inc.* | 13,406 | 114,353 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 1,726 | 111,275 | ||||||
Yahoo!, Inc.* | 7,747 | 109,775 | ||||||
NetApp, Inc.* | 2,056 | 102,368 | ||||||
Broadcom Corp. — Class A | 2,576 | 91,165 | ||||||
Juniper Networks, Inc.* | 2,990 | 90,747 | ||||||
Applied Materials, Inc. | 7,680 | 89,702 | ||||||
Intuit, Inc.* | 1,891 | 82,845 | ||||||
Xerox Corp. | 7,946 | 82,241 | ||||||
Adobe Systems, Inc.* | 3,020 | 78,973 | ||||||
Salesforce.com, Inc.* | 670 | 74,906 | ||||||
Citrix Systems, Inc.* | 1,073 | 73,222 | ||||||
Symantec Corp.* | 4,540 | 68,872 | ||||||
Western Union Co. | 3,790 | 66,969 | ||||||
Agilent Technologies, Inc.* | 2,000 | 66,740 | ||||||
Analog Devices, Inc. | 1,720 | 53,974 | ||||||
Altera Corp. | 1,768 | 53,323 | ||||||
Akamai Technologies, Inc.* | 1,040 | 52,187 | ||||||
Paychex, Inc. | 1,857 | 51,049 | ||||||
SanDisk Corp.* | 1,336 | 48,964 | ||||||
Amphenol Corp. — Class A | 997 | 48,833 | ||||||
CA, Inc. | 2,230 | 47,098 | ||||||
Fiserv, Inc.* | 860 | 46,285 | ||||||
Red Hat, Inc.* | 1,090 | 44,690 | ||||||
McAfee, Inc.* | 890 | 42,062 | ||||||
Autodesk, Inc.* | 1,310 | 41,881 | ||||||
BMC Software, Inc.* | 1,030 | 41,695 | ||||||
Fidelity National Information Services, Inc. | 1,517 | 41,156 | ||||||
Computer Sciences Corp. | 888 | 40,848 | ||||||
Linear Technology Corp. | 1,293 | 39,734 | ||||||
Xilinx, Inc. | 1,490 | 39,649 | ||||||
NVIDIA Corp.* | 3,303 | 38,579 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Western Digital Corp.* | 1,317 | $ | 37,390 | |||||
Teradata Corp.* | 960 | 37,018 | ||||||
Micron Technology, Inc.* | 4,909 | 35,394 | ||||||
KLA-Tencor Corp. | 970 | 34,173 | ||||||
Microchip Technology, Inc. | 1,071 | 33,683 | ||||||
Harris Corp. | 740 | 32,775 | ||||||
VeriSign, Inc.* | 1,000 | 31,740 | ||||||
Electronic Arts, Inc.* | 1,902 | 31,250 | ||||||
SAIC, Inc.* | 1,686 | 26,942 | ||||||
Total System Services, Inc. | 1,596 | 24,323 | ||||||
FLIR Systems, Inc.* | 910 | 23,387 | ||||||
Advanced Micro Devices, Inc.* | 3,257 | 23,157 | ||||||
Lexmark International, Inc. — Class A* | 452 | 20,168 | ||||||
National Semiconductor Corp. | 1,378 | 17,597 | ||||||
LSI Corp.* | 3,690 | 16,826 | ||||||
Molex, Inc. | 802 | 16,786 | ||||||
Tellabs, Inc. | 2,190 | 16,316 | ||||||
Jabil Circuit, Inc. | 1,130 | 16,283 | ||||||
JDS Uniphase Corp.* | 1,280 | 15,859 | ||||||
MEMC Electronic Materials, Inc.* | 1,308 | 15,591 | ||||||
Novellus Systems, Inc.* | 530 | 14,087 | ||||||
Novell, Inc.* | 2,020 | 12,059 | ||||||
Teradyne, Inc.* | 1,038 | 11,563 | ||||||
QLogic Corp.* | 630 | 11,113 | ||||||
Compuware Corp.* | 1,280 | 10,919 | ||||||
Monster Worldwide, Inc.* | 750 | 9,720 | ||||||
Total Information Technology | 11,166,250 | |||||||
FINANCIALS - 10.7% | ||||||||
JPMorgan Chase & Co. | 22,790 | 867,615 | ||||||
Berkshire Hathaway, Inc. — Class B* | 9,943 | 822,087 | ||||||
Bank of America Corp. | 57,660 | 755,923 | ||||||
Wells Fargo & Co. | 30,072 | 755,709 | ||||||
Citigroup, Inc.* | 136,531 | 532,471 | ||||||
Goldman Sachs Group, Inc. | 2,960 | 427,957 | ||||||
American Express Co. | 6,298 | 264,705 | ||||||
U.S. Bancorp | 11,023 | 238,317 | ||||||
MetLife, Inc. | 5,210 | 200,325 | ||||||
Morgan Stanley | 8,029 | 198,156 | ||||||
Bank of New York Mellon Corp. | 6,978 | 182,335 | ||||||
PNC Financial Services Group, Inc. | 3,016 | 156,561 | ||||||
Simon Property Group, Inc. | 1,687 | 156,452 | ||||||
Prudential Financial, Inc. | 2,684 | 145,419 | ||||||
Travelers Companies, Inc. | 2,700 | 140,670 | ||||||
Aflac, Inc. | 2,707 | 139,979 | ||||||
ACE Ltd. | 1,950 | 113,588 | ||||||
State Street Corp. | 2,878 | 108,385 | ||||||
Capital One Financial Corp. | 2,618 | 103,542 | ||||||
Chubb Corp. | 1,810 | 103,152 | ||||||
CME Group, Inc. — Class A | 386 | 100,534 | ||||||
Allstate Corp. | 3,097 | 97,710 | ||||||
BB&T Corp. | 3,979 | 95,814 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 23 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Franklin Resources, Inc. | 840 | $ | 89,796 | |||||
Loews Corp. | 2,144 | 81,258 | ||||||
Vornado Realty Trust | 940 | 80,398 | ||||||
Progressive Corp. | 3,840 | 80,141 | ||||||
Charles Schwab Corp. | 5,698 | 79,202 | ||||||
Public Storage | 812 | 78,796 | ||||||
Equity Residential | 1,630 | 77,539 | ||||||
Marsh & McLennan Companies, Inc. | 3,118 | 75,206 | ||||||
SunTrust Banks, Inc. | 2,873 | 74,210 | ||||||
T. Rowe Price Group, Inc. | 1,480 | 74,096 | ||||||
Ameriprise Financial, Inc. | 1,440 | 68,155 | ||||||
Northern Trust Corp. | 1,386 | 66,861 | ||||||
Boston Properties, Inc. | 797 | 66,247 | ||||||
HCP, Inc. | 1,776 | 63,900 | ||||||
AON Corp. | 1,549 | 60,581 | ||||||
Hartford Financial Services Group, Inc. | 2,557 | 58,683 | ||||||
Invesco Ltd. | 2,690 | 57,109 | ||||||
Fifth Third Bancorp | 4,580 | 55,097 | ||||||
Host Hotels & Resorts, Inc. | 3,783 | 54,778 | ||||||
Regions Financial Corp. | 7,220 | 52,489 | ||||||
Discover Financial Services | 3,130 | 52,208 | ||||||
AvalonBay Communities, Inc. | 490 | 50,926 | ||||||
Weyerhaeuser Co. | 3,091 | 48,714 | ||||||
Principal Financial Group, Inc. | 1,842 | 47,745 | ||||||
Ventas, Inc. | 905 | 46,671 | ||||||
IntercontinentalExchange, Inc.* | 430 | 45,030 | ||||||
Lincoln National Corp. | 1,816 | 43,439 | ||||||
NYSE Euronext | 1,500 | 42,855 | ||||||
XL Group plc — Class A | 1,970 | 42,670 | ||||||
Unum Group | 1,880 | 41,642 | ||||||
M&T Bank Corp. | 500 | 40,905 | ||||||
KeyCorp | 5,056 | 40,246 | ||||||
Comerica, Inc. | 1,020 | 37,893 | ||||||
Hudson City Bancorp, Inc. | 3,031 | 37,160 | ||||||
Kimco Realty Corp. | 2,326 | 36,635 | ||||||
Health Care REIT, Inc. | 758 | 35,884 | ||||||
Genworth Financial, Inc. — Class A* | 2,815 | 34,399 | ||||||
Plum Creek Timber Company, Inc. | 936 | 33,041 | ||||||
ProLogis | 2,740 | 32,277 | ||||||
SLM Corp.* | 2,788 | 32,201 | ||||||
American International Group, Inc.* | 780 | 30,498 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 1,656 | 30,272 | ||||||
Moody’s Corp. | 1,170 | 29,227 | ||||||
People’s United Financial, Inc. | 2,130 | 27,882 | ||||||
Legg Mason, Inc. | 890 | 26,976 | ||||||
Cincinnati Financial Corp. | 930 | 26,831 | ||||||
Leucadia National Corp. | 1,133 | 26,761 | ||||||
Assurant, Inc. | 620 | 25,234 | ||||||
Torchmark Corp. | 460 | 24,444 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Huntington Bancshares, Inc. | 4,120 | $ | 23,360 | |||||
Zions Bancorporation | 1,000 | 21,360 | ||||||
Marshall & Ilsley Corp. | 3,026 | 21,303 | ||||||
E*Trade Financial Corp.* | 1,143 | 16,619 | ||||||
NASDAQ OMX Group, Inc.* | 830 | 16,127 | ||||||
First Horizon National Corp.* | 1,339 | 15,278 | ||||||
Apartment Investment & Management Co. — Class A | 680 | 14,538 | ||||||
Federated Investors, Inc. — Class B | 530 | 12,063 | ||||||
Janus Capital Group, Inc. | 1,060 | 11,607 | ||||||
Total Financials | 9,324,869 | |||||||
HEALTH CARE - 8.0% | ||||||||
Johnson & Johnson | 15,830 | 980,827 | ||||||
Pfizer, Inc. | 46,190 | 793,082 | ||||||
Merck & Company, Inc. | 17,690 | 651,169 | ||||||
Abbott Laboratories | 8,873 | 463,526 | ||||||
Amgen, Inc.* | 5,507 | 303,491 | ||||||
Bristol-Myers Squibb Co. | 9,850 | 267,034 | ||||||
UnitedHealth Group, Inc. | 6,460 | 226,811 | ||||||
Eli Lilly & Co. | 5,833 | 213,079 | ||||||
Medtronic, Inc. | 6,210 | 208,532 | ||||||
Gilead Sciences, Inc.* | 4,817 | 171,533 | ||||||
Baxter International, Inc. | 3,360 | 160,306 | ||||||
Celgene Corp.* | 2,640 | 152,090 | ||||||
Express Scripts, Inc. — Class A* | 3,120 | 151,944 | ||||||
WellPoint, Inc.* | 2,296 | 130,045 | ||||||
Medco Health Solutions, Inc.* | 2,490 | 129,629 | ||||||
Allergan, Inc. | 1,780 | 118,423 | ||||||
Thermo Fisher Scientific, Inc.* | 2,340 | 112,039 | ||||||
Genzyme Corp.* | 1,460 | 103,353 | ||||||
Becton Dickinson and Co. | 1,330 | 98,553 | ||||||
Stryker Corp. | 1,960 | 98,098 | ||||||
McKesson Corp. | 1,500 | 92,670 | ||||||
Biogen Idec, Inc.* | 1,390 | 78,007 | ||||||
Aetna, Inc. | 2,400 | 75,864 | ||||||
St. Jude Medical, Inc.* | 1,883 | 74,077 | ||||||
Cardinal Health, Inc. | 2,030 | 67,071 | ||||||
Intuitive Surgical, Inc.* | 230 | 65,260 | ||||||
Zimmer Holdings, Inc.* | 1,150 | 60,180 | ||||||
CIGNA Corp. | 1,570 | 56,175 | ||||||
Hospira, Inc.* | 960 | 54,730 | ||||||
Boston Scientific Corp.* | 8,716 | 53,429 | ||||||
Forest Laboratories, Inc.* | 1,640 | 50,725 | ||||||
Humana, Inc.* | 980 | 49,235 | ||||||
AmerisourceBergen Corp. — Class A | 1,600 | 49,056 | ||||||
Life Technologies Corp.* | 1,047 | 48,884 | ||||||
Laboratory Corporation of America Holdings* | 590 | 46,274 | ||||||
CR Bard, Inc. | 550 | 44,786 | ||||||
Quest Diagnostics, Inc. | 850 | 42,900 | ||||||
Varian Medical Systems, Inc.* | 700 | 42,350 | ||||||
DaVita, Inc.* | 590 | 40,728 |
24 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Waters Corp.* | 540 | $ | 38,221 | |||||
Cerner Corp.* | 410 | 34,436 | ||||||
Mylan, Inc.* | 1,776 | 33,407 | ||||||
CareFusion Corp.* | 1,280 | 31,795 | ||||||
Cephalon, Inc.* | 440 | 27,474 | ||||||
Watson Pharmaceuticals, Inc.* | 620 | 26,232 | ||||||
DENTSPLY International, Inc. | 820 | 26,215 | ||||||
Coventry Health Care, Inc.* | 860 | 18,516 | ||||||
Patterson Companies, Inc. | 563 | 16,130 | ||||||
PerkinElmer, Inc. | 680 | 15,735 | ||||||
King Pharmaceuticals, Inc.* | 1,430 | 14,243 | ||||||
Tenet Healthcare Corp.* | 2,789 | 13,164 | ||||||
Total Health Care | 6,921,533 | |||||||
CONSUMER STAPLES - 7.8% | ||||||||
Procter & Gamble Co. | 16,310 | 978,111 | ||||||
Coca-Cola Co. | 13,274 | 776,794 | ||||||
Wal-Mart Stores, Inc. | 11,490 | 614,945 | ||||||
PepsiCo, Inc. | 9,140 | 607,262 | ||||||
Philip Morris International, Inc. | 10,530 | 589,891 | ||||||
Kraft Foods, Inc. — Class A | 10,024 | 309,341 | ||||||
Altria Group, Inc. | 11,976 | 287,663 | ||||||
CVS Caremark Corp. | 7,810 | 245,781 | ||||||
Colgate-Palmolive Co. | 2,790 | 214,439 | ||||||
Walgreen Co. | 5,590 | 187,265 | ||||||
Costco Wholesale Corp. | 2,520 | 162,515 | ||||||
Kimberly-Clark Corp. | 2,350 | 152,867 | ||||||
General Mills, Inc. | 3,690 | 134,833 | ||||||
Archer-Daniels-Midland Co. | 3,670 | 117,146 | ||||||
Sysco Corp. | 3,380 | 96,398 | ||||||
HJ Heinz Co. | 1,826 | 86,498 | ||||||
Kroger Co. | 3,690 | 79,925 | ||||||
Avon Products, Inc. | 2,468 | 79,247 | ||||||
Kellogg Co. | 1,500 | 75,765 | ||||||
Lorillard, Inc. | 870 | 69,870 | ||||||
Mead Johnson Nutrition Co. — Class A | 1,184 | 67,381 | ||||||
Coca-Cola Enterprises, Inc. | 1,913 | 59,303 | ||||||
Reynolds American, Inc. | 970 | 57,608 | ||||||
ConAgra Foods, Inc. | 2,530 | 55,508 | ||||||
Hershey Co. | 1,136 | 54,062 | ||||||
Clorox Co. | 800 | 53,408 | ||||||
Sara Lee Corp. | 3,806 | 51,115 | ||||||
Dr Pepper Snapple Group, Inc. | 1,380 | 49,018 | ||||||
Safeway, Inc. | 2,200 | 46,552 | ||||||
Whole Foods Market, Inc.* | 1,167 | 43,307 | ||||||
Molson Coors Brewing Co. — Class B | 910 | 42,970 | ||||||
JM Smucker Co. | 692 | 41,887 | ||||||
Estee Lauder Companies, Inc. — Class A | 660 | 41,732 | ||||||
Campbell Soup Co. | 1,110 | 39,682 | ||||||
Brown-Forman Corp. — Class B | 600 | 36,984 | ||||||
McCormick & Company, Inc. | 770 | 32,371 | ||||||
Constellation Brands, Inc. — Class A* | 1,630 | 28,835 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Tyson Foods, Inc. — Class A | 1,720 | $ | 27,554 | |||||
Hormel Foods Corp. | 400 | 17,840 | ||||||
SUPERVALU, Inc. | 1,220 | 14,067 | ||||||
Dean Foods Co.* | 1,054 | 10,761 | ||||||
Total Consumer Staples | 6,738,501 | |||||||
ENERGY - 7.5% | ||||||||
Exxon Mobil Corp. | 29,260 | 1,807,975 | ||||||
Chevron Corp. | 11,549 | 936,046 | ||||||
ConocoPhillips | 8,520 | 489,304 | ||||||
Schlumberger Ltd. | 7,846 | 483,392 | ||||||
Occidental Petroleum Corp. | 4,672 | 365,818 | ||||||
Apache Corp. | 2,096 | 204,905 | ||||||
Halliburton Co. | 5,229 | 172,923 | ||||||
Anadarko Petroleum Corp. | 2,849 | 162,535 | ||||||
Devon Energy Corp. | 2,510 | 162,497 | ||||||
EOG Resources, Inc. | 1,460 | 135,736 | ||||||
Marathon Oil Corp. | 4,078 | 134,982 | ||||||
National Oilwell Varco, Inc. | 2,406 | 106,995 | ||||||
Baker Hughes, Inc. | 2,476 | 105,478 | ||||||
Hess Corp. | 1,680 | 99,322 | ||||||
Chesapeake Energy Corp. | 3,756 | 85,073 | ||||||
Spectra Energy Corp. | 3,728 | 84,066 | ||||||
Peabody Energy Corp. | 1,550 | 75,966 | ||||||
Noble Energy, Inc. | 1,009 | 75,766 | ||||||
Murphy Oil Corp. | 1,100 | 68,112 | ||||||
Southwestern Energy Co.* | 1,990 | 66,546 | ||||||
Williams Companies, Inc. | 3,359 | 64,190 | ||||||
Cameron International Corp.* | 1,390 | 59,714 | ||||||
Valero Energy Corp. | 3,252 | 56,943 | ||||||
El Paso Corp. | 4,053 | 50,176 | ||||||
Consol Energy, Inc. | 1,298 | 47,974 | ||||||
FMC Technologies, Inc.* | 690 | 47,120 | ||||||
Pioneer Natural Resources Co. | 670 | 43,570 | ||||||
Denbury Resources, Inc.* | 2,303 | 36,595 | ||||||
Range Resources Corp. | 918 | 35,003 | ||||||
EQT Corp. | 863 | 31,120 | ||||||
QEP Resources, Inc. | 1,010 | 30,441 | ||||||
Nabors Industries Ltd.* | 1,638 | 29,582 | ||||||
Diamond Offshore Drilling, Inc. | 404 | 27,379 | ||||||
Sunoco, Inc. | 690 | 25,185 | ||||||
Helmerich & Payne, Inc. | 610 | 24,681 | ||||||
Rowan Companies, Inc.* | 660 | 20,038 | ||||||
Massey Energy Co. | 588 | 18,240 | ||||||
Cabot Oil & Gas Corp. | 600 | 18,066 | ||||||
Tesoro Corp. | 825 | 11,022 | ||||||
Total Energy | 6,500,476 | |||||||
INDUSTRIALS - 7.4% | ||||||||
General Electric Co. | 61,441 | 998,416 | ||||||
United Technologies Corp. | 5,340 | 380,368 | ||||||
United Parcel Service, Inc. — Class B | 5,702 | 380,266 | ||||||
3M Co. | 4,098 | 355,337 | ||||||
Caterpillar, Inc. | 3,623 | 285,058 | ||||||
Boeing Co. | 4,200 | 279,468 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Union Pacific Corp. | 2,860 | $ | 233,948 | |||||
Emerson Electric Co. | 4,319 | 227,438 | ||||||
Honeywell International, Inc. | 4,443 | 195,225 | ||||||
Deere & Co. | 2,440 | 170,263 | ||||||
FedEx Corp. | 1,813 | 155,011 | ||||||
General Dynamics Corp. | 2,190 | 137,554 | ||||||
Illinois Tool Works, Inc. | 2,890 | 135,888 | ||||||
Norfolk Southern Corp. | 2,120 | 126,161 | ||||||
Danaher Corp. | 3,080 | 125,079 | ||||||
Lockheed Martin Corp. | 1,710 | 121,889 | ||||||
CSX Corp. | 2,180 | 120,598 | ||||||
Tyco International Ltd. | 2,860 | 105,048 | ||||||
Precision Castparts Corp. | 820 | 104,427 | ||||||
Cummins, Inc. | 1,140 | 103,261 | ||||||
Northrop Grumman Corp. | 1,700 | 103,071 | ||||||
PACCAR, Inc. | 2,098 | 101,019 | ||||||
Raytheon Co. | 2,150 | 98,276 | ||||||
Waste Management, Inc. | 2,740 | 97,928 | ||||||
Eaton Corp. | 973 | 80,263 | ||||||
CH Robinson Worldwide, Inc. | 946 | 66,144 | ||||||
Parker Hannifin Corp. | 927 | 64,946 | ||||||
Republic Services, Inc. — Class A | 2,125 | 64,791 | ||||||
Expeditors International of Washington, Inc. | 1,220 | 56,401 | ||||||
Southwest Airlines Co. | 4,286 | 56,018 | ||||||
Dover Corp. | 1,070 | 55,865 | ||||||
Goodrich Corp. | 720 | 53,086 | ||||||
Rockwell Collins, Inc. | 900 | 52,425 | ||||||
Fluor Corp. | 1,032 | 51,115 | ||||||
Rockwell Automation, Inc. | 820 | 50,619 | ||||||
ITT Corp. | 1,059 | 49,593 | ||||||
L-3 Communications Holdings, Inc. | 660 | 47,698 | ||||||
First Solar, Inc.* | 310 | 45,678 | ||||||
Fastenal Co. | 850 | 45,211 | ||||||
WW Grainger, Inc. | 340 | 40,497 | ||||||
Flowserve Corp. | 330 | 36,109 | ||||||
Roper Industries, Inc. | 540 | 35,197 | ||||||
Stericycle, Inc.* | 486 | 33,767 | ||||||
Textron, Inc. | 1,580 | 32,485 | ||||||
Pall Corp. | 670 | 27,899 | ||||||
Jacobs Engineering Group, Inc.* | 720 | 27,864 | ||||||
Iron Mountain, Inc. | 1,164 | 26,004 | ||||||
Pitney Bowes, Inc. | 1,190 | 25,442 | ||||||
Avery Dennison Corp. | 630 | 23,386 | ||||||
Quanta Services, Inc.* | 1,208 | 23,049 | ||||||
Masco Corp. | 2,070 | 22,791 | ||||||
Equifax, Inc. | 718 | 22,402 | ||||||
Robert Half International, Inc. | 850 | 22,100 | ||||||
Dun & Bradstreet Corp. | 290 | 21,501 | ||||||
Cintas Corp. | 768 | 21,158 | ||||||
RR Donnelley & Sons Co. | 1,190 | 20,182 | ||||||
Snap-On, Inc. | 343 | 15,953 | ||||||
Ryder System, Inc. | 300 | 12,831 | ||||||
Total Industrials | 6,471,467 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY - 7.1% | ||||||||
McDonald’s Corp. | 6,120 | $ | 456,001 | |||||
Walt Disney Co. | 10,990 | 363,879 | ||||||
Amazon.com, Inc.* | 2,029 | 318,675 | ||||||
Home Depot, Inc. | 9,570 | 303,178 | ||||||
Comcast Corp. — Class A | 16,130 | 291,630 | ||||||
Ford Motor Co.* | 19,765 | 241,924 | ||||||
Target Corp. | 4,150 | 221,776 | ||||||
DIRECTV — Class A* | 5,277 | 219,682 | ||||||
Time Warner, Inc. | 6,460 | 197,999 | ||||||
Lowe’s Companies, Inc. | 8,060 | 179,657 | ||||||
NIKE, Inc. — Class B | 2,220 | 177,911 | ||||||
News Corp. — Class A* | 13,100 | 171,086 | ||||||
Viacom, Inc. — Class B | 3,490 | 126,303 | ||||||
Yum! Brands, Inc. | 2,676 | 123,257 | ||||||
Johnson Controls, Inc. | 3,874 | 118,157 | ||||||
Time Warner Cable, Inc. — Class A | 2,039 | 110,086 | ||||||
Starbucks Corp. | 4,250 | 108,715 | ||||||
TJX Companies, Inc. | 2,300 | 102,649 | ||||||
Priceline.com, Inc.* | 283 | 98,580 | ||||||
Carnival Corp. | 2,500 | 95,525 | ||||||
Kohl’s Corp.* | 1,766 | 93,033 | ||||||
Staples, Inc. | 4,196 | 87,780 | ||||||
Best Buy Company, Inc. | 1,988 | 81,170 | ||||||
Coach, Inc. | 1,710 | 73,462 | ||||||
Discovery Communications, Inc. — Class A* | 1,637 | 71,291 | ||||||
Omnicom Group, Inc. | 1,730 | 68,300 | ||||||
Bed Bath & Beyond, Inc.* | 1,516 | 65,810 | ||||||
CBS Corp. — Class B | 3,909 | 61,997 | ||||||
Marriott International, Inc. — Class A | 1,652 | 59,191 | ||||||
McGraw-Hill Companies, Inc. | 1,780 | 58,847 | ||||||
Stanley Black & Decker, Inc. | 950 | 58,216 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,090 | 57,280 | ||||||
Macy’s, Inc. | 2,426 | 56,016 | ||||||
Mattel, Inc. | 2,070 | 48,562 | ||||||
The Gap, Inc. | 2,530 | 47,159 | ||||||
Fortune Brands, Inc. | 876 | 43,125 | ||||||
O’Reilly Automotive, Inc.* | 798 | 42,454 | ||||||
Limited Brands, Inc. | 1,530 | 40,973 | ||||||
Genuine Parts Co. | 910 | 40,577 | ||||||
VF Corp. | 500 | 40,510 | ||||||
Harley-Davidson, Inc. | 1,360 | 38,678 | ||||||
Wynn Resorts Ltd. | 440 | 38,179 | ||||||
AutoZone, Inc.* | 166 | 37,999 | ||||||
Ross Stores, Inc. | 690 | 37,688 | ||||||
Apollo Group, Inc. — Class A* | 730 | 37,485 | ||||||
JC Penney Company, Inc. | 1,360 | 36,965 | ||||||
Nordstrom, Inc. | 970 | 36,084 | ||||||
CarMax, Inc.* | 1,290 | 35,939 | ||||||
Hasbro, Inc. | 804 | 35,786 | ||||||
Whirlpool Corp. | 440 | 35,622 |
26 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Tiffany & Co. | 730 | $ | 34,303 | |||||
Darden Restaurants, Inc. | 800 | 34,224 | ||||||
Family Dollar Stores, Inc. | 770 | 34,003 | ||||||
Expedia, Inc. | 1,186 | 33,457 | ||||||
Polo Ralph Lauren Corp. — Class A | 366 | 32,889 | ||||||
Newell Rubbermaid, Inc. | 1,600 | 28,496 | ||||||
Wyndham Worldwide Corp. | 1,030 | 28,294 | ||||||
Interpublic Group of Companies, Inc.* | 2,808 | 28,164 | ||||||
International Game Technology | 1,717 | 24,811 | ||||||
Scripps Networks Interactive, Inc. — Class A | 519 | 24,694 | ||||||
Urban Outfitters, Inc.* | 750 | 23,580 | ||||||
H&R Block, Inc. | 1,770 | 22,922 | ||||||
Abercrombie & Fitch Co. — Class A | 510 | 20,053 | ||||||
Leggett & Platt, Inc. | 840 | 19,118 | ||||||
Sears Holdings Corp.* | 260 | 18,756 | ||||||
DR Horton, Inc. | 1,608 | 17,881 | ||||||
DeVry, Inc. | 356 | 17,519 | ||||||
GameStop Corp. — Class A* | 870 | 17,148 | ||||||
Pulte Group, Inc.* | 1,940 | 16,994 | ||||||
Gannett Company, Inc. | 1,370 | 16,755 | ||||||
Washington Post Co. — Class B | 40 | 15,976 | ||||||
RadioShack Corp. | 720 | 15,358 | ||||||
Goodyear Tire & Rubber Co.* | 1,399 | 15,039 | ||||||
Big Lots, Inc.* | 430 | 14,298 | ||||||
Lennar Corp. — Class A | 920 | 14,150 | ||||||
Harman International Industries, Inc.* | 405 | 13,531 | ||||||
AutoNation, Inc.* | 360 | 8,370 | ||||||
Office Depot, Inc.* | 1,589 | 7,309 | ||||||
Meredith Corp. | 210 | 6,995 | ||||||
Eastman Kodak Co.* | 1,536 | 6,451 | ||||||
New York Times Co. — Class A* | 694 | 5,372 | ||||||
Total Consumer Discretionary | 6,209,758 | |||||||
UTILITIES - 2.5% | ||||||||
Southern Co. | 4,772 | 177,709 | ||||||
Exelon Corp. | 3,804 | 161,974 | ||||||
Dominion Resources, Inc. | 3,390 | 148,007 | ||||||
Duke Energy Corp. | 7,576 | 134,171 | ||||||
NextEra Energy, Inc. | 2,403 | 130,699 | ||||||
PG&E Corp. | 2,248 | 102,104 | ||||||
American Electric Power Company, Inc. | 2,757 | 99,886 | ||||||
Public Service Enterprise Group, Inc. | 2,906 | 96,131 | ||||||
Entergy Corp. | 1,070 | 81,887 | ||||||
Consolidated Edison, Inc. | 1,623 | 78,261 | ||||||
Sempra Energy | 1,430 | 76,934 | ||||||
PPL Corp. | 2,766 | 75,318 | ||||||
Progress Energy, Inc. | 1,680 | 74,626 | ||||||
FirstEnergy Corp. | 1,756 | 67,676 | ||||||
Edison International | 1,866 | 64,172 | ||||||
Xcel Energy, Inc. | 2,640 | 60,641 |
MARKET | ||||||||
SHARES | VALUE | |||||||
DTE Energy Co. | 970 | $ | 44,552 | |||||
AES Corp.* | 3,830 | 43,471 | ||||||
Ameren Corp. | 1,377 | 39,107 | ||||||
Wisconsin Energy Corp. | 670 | 38,726 | ||||||
CenterPoint Energy, Inc. | 2,416 | 37,980 | ||||||
Constellation Energy Group, Inc. | 1,170 | 37,721 | ||||||
NRG Energy, Inc.* | 1,450 | 30,189 | ||||||
Northeast Utilities | 1,020 | 30,162 | ||||||
NiSource, Inc. | 1,601 | 27,858 | ||||||
Oneok, Inc. | 616 | 27,745 | ||||||
SCANA Corp. | 650 | 26,208 | ||||||
Pinnacle West Capital Corp. | 616 | 25,422 | ||||||
Pepco Holdings, Inc. | 1,289 | 23,975 | ||||||
Allegheny Energy, Inc. | 970 | 23,784 | ||||||
CMS Energy Corp. | 1,316 | 23,714 | ||||||
Integrys Energy Group, Inc. | 450 | 23,427 | ||||||
TECO Energy, Inc. | 1,226 | 21,234 | ||||||
Nicor, Inc. | 273 | 12,509 | ||||||
Total Utilities | 2,167,980 | |||||||
MATERIALS - 2.4% E. I. du Pont de Nemours & Co. | 5,210 | 232,470 | ||||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 2,710 | 231,407 | ||||||
Dow Chemical Co. | 6,667 | 183,076 | ||||||
Newmont Mining Co. | 2,838 | 178,255 | ||||||
Praxair, Inc. | 1,761 | 158,948 | ||||||
Monsanto Co. | 3,110 | 149,062 | ||||||
Air Products & Chemicals, Inc. | 1,216 | 100,709 | ||||||
Alcoa, Inc. | 5,870 | 71,086 | ||||||
PPG Industries, Inc. | 960 | 69,888 | ||||||
Nucor Corp. | 1,813 | 69,257 | ||||||
Ecolab, Inc. | 1,346 | 68,296 | ||||||
International Paper Co. | 2,508 | 54,549 | ||||||
Cliffs Natural Resources, Inc. | 780 | 49,858 | ||||||
Sigma-Aldrich Corp. | 700 | 42,266 | ||||||
CF Industries Holdings, Inc. | 410 | 39,155 | ||||||
Sherwin-Williams Co. | 520 | 39,073 | ||||||
United States Steel Co. | 830 | 36,387 | ||||||
Ball Corp. | 530 | 31,190 | ||||||
Eastman Chemical Co. | 420 | 31,080 | ||||||
Airgas, Inc. | 430 | 29,218 | ||||||
FMC Corp. | 420 | 28,732 | ||||||
Vulcan Materials Co. | 738 | 27,247 | ||||||
Allegheny Technologies, Inc. | 573 | 26,616 | ||||||
Owens-Illinois, Inc.* | 940 | 26,376 | ||||||
Pactiv Corp.* | 780 | 25,724 | ||||||
MeadWestvaco Corp. | 986 | 24,039 | ||||||
International Flavors & Fragrances, Inc. | 457 | 22,174 | ||||||
Sealed Air Corp. | 917 | 20,614 | ||||||
Bemis Company, Inc. | 626 | 19,876 | ||||||
Titanium Metals Corp.* | 516 | 10,299 | ||||||
AK Steel Holding Corp. | 627 | 8,659 | ||||||
Total Materials | 2,105,586 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 27 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P 500 FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
TELECOMMUNICATION SERVICES - 2.2% | ||||||||
AT&T, Inc. | 33,964 | $ | 971,370 | |||||
Verizon Communications, Inc. | 16,236 | 529,131 | ||||||
American Tower Corp. — Class A* | 2,310 | 118,411 | ||||||
Sprint Nextel Corp.* | 17,149 | 79,400 | ||||||
CenturyLink, Inc. | 1,739 | 68,621 | ||||||
Qwest Communications International, Inc. | 9,995 | 62,669 | ||||||
Frontier Communications Corp. | 5,700 | 46,569 | ||||||
Windstream Corp. | 2,780 | 34,166 | ||||||
MetroPCS Communications, Inc.* | 1,510 | 15,795 | ||||||
Total Telecommunication Services | 1,926,132 | |||||||
Total Common Stocks (Cost $39,629,541) | 59,532,552 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 29.7% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 8,938,624 | 8,938,624 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 8,928,673 | 8,928,673 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 3,689,534 | 3,689,534 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 3,316,304 | 3,316,304 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 922,384 | 922,384 | ||||||
Total Repurchase Agreements (Cost $25,795,519) | 25,795,519 | |||||||
Total Investments – 98.1% (Cost $65,425,060) | $ | 85,328,071 | ||||||
Cash & Other Assets, Less Liabilities – 1.9% | 1,661,595 | |||||||
Total Net Assets – 100.0% | $ | 86,989,666 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $15,733,600) | 277 | $ | 68,034 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Morgan Stanley Capital Services, Inc. October 2010 S&P 500 Index Swap, Terminating 10/26/103 | ||||||||
(Notional Market Value | ||||||||
$2,846,054) | 2,494 | $ | (1,606 | ) | ||||
Goldman Sachs International | ||||||||
October 2010 S&P 500 | ||||||||
Index Swap, Terminating | ||||||||
10/27/103 | ||||||||
(Notional Market Value | ||||||||
$3,257,071) | 2,854 | (15,153 | ) | |||||
Credit Suisse Capital, LLC | ||||||||
October 2010 S&P 500 | ||||||||
Index Swap, Terminating | ||||||||
10/29/103 | ||||||||
(Notional Market Value | ||||||||
$5,821,662) | 5,101 | (17,924 | ) | |||||
(Total Notional Market Value | ||||||||
$11,924,787) | $ | (34,683 | ) | |||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust |
28 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 59,532,552 | ||
Repurchase agreement, at value | 25,795,519 | |||
Total investments | 85,328,071 | |||
Segregated cash with broker | 927,556 | |||
Cash | 262 | |||
Receivables: | ||||
Securities sold | 14,826,857 | |||
Fund shares sold | 14,129,915 | |||
Dividends | 97,208 | |||
Interest | 141 | |||
Total assets | 115,310,010 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 34,683 | |||
Payable for: | ||||
Swap settlement | 29,048 | |||
Variation margin | 35,582 | |||
Fund shares redeemed | 28,023,522 | |||
Management fees | 60,300 | |||
Custodian fees | 2,653 | |||
Transfer agent/maintenance fees | 20,100 | |||
Distribution and service fees | 24,790 | |||
Portfolio accounting fees | 8,040 | |||
Other | 81,626 | |||
Total liabilities | 28,320,344 | |||
Net assets | $ | 86,989,666 | ||
Net assets consist of: | ||||
Paid in capital | 123,359,211 | |||
Accumulated net investment loss | (106,791 | ) | ||
Accumulated net realized loss on sale of investments | (56,199,116 | ) | ||
Net unrealized appreciation in value of investments | 19,936,362 | |||
Net assets | 86,989,666 | |||
A-Class: | ||||
Net assets | $ | 8,052,306 | ||
Capital shares outstanding | 354,500 | |||
Net asset value per share | $22.71 | |||
Maximum offering price per share* | $23.84 | |||
C-Class: | ||||
Net assets | $ | 6,782,640 | ||
Capital shares outstanding | 309,007 | |||
Net asset value per share | $21.95 | |||
H-Class: | ||||
Net assets | $ | 72,154,720 | ||
Capital shares outstanding | 3,179,158 | |||
Net asset value per share | $22.70 | |||
Investments, at cost | $ | 39,629,541 | ||
Repurchase agreement, at cost | 25,795,519 | |||
Total cost | $ | 65,425,060 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 1,074,964 | ||
Interest | 41,101 | |||
Other income | 572 | |||
Total investment income | 1,116,637 | |||
Expenses: | ||||
Management fees | 582,439 | |||
Transfer agent and administrative fees | 194,147 | |||
Distribution and Service Fees: | ||||
A-Class | 28,736 | |||
C-Class | 46,453 | |||
H-Class | 153,797 | |||
Portfolio accounting fees | 77,336 | |||
Trustees’ fees** | 7,626 | |||
Miscellaneous | 132,894 | |||
Total expenses | 1,223,428 | |||
Net investment loss | (106,791 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 2,567,844 | |||
Equity index swaps | (4,167,636 | ) | ||
Futures contracts | (867,091 | ) | ||
Net realized loss | (2,466,883 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (10,947,338 | ) | ||
Equity index swaps | (2,210,387 | ) | ||
Futures contracts | 67,293 | |||
Net unrealized depreciation | (13,090,432 | ) | ||
Net loss | (15,557,315 | ) | ||
Net decrease in net assets resulting from operations | $ | (15,664,106 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 29 |
S&P 500 FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (106,791 | ) | $ | 408,186 | |||
Net realized gain (loss) during the period on investments | (2,466,883 | ) | 12,709,584 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (13,090,432 | ) | 43,947,609 | |||||
Net increase (decrease) in net assets resulting from operations | (15,664,106 | ) | 57,065,379 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (214,408 | ) | |||||
C-Class | — | (58,232 | ) | |||||
H-Class | — | (482,360 | ) | |||||
Total distributions to shareholders | — | (755,000 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 38,430,018 | 127,800,637 | ||||||
C-Class | 85,814,304 | 176,980,665 | ||||||
H-Class | 620,540,003 | 861,487,506 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 209,596 | ||||||
C-Class | — | 55,329 | ||||||
H-Class | — | 471,404 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (74,380,793 | ) | (123,598,227 | ) | ||||
C-Class | (89,894,954 | ) | (175,801,622 | ) | ||||
H-Class | (729,816,052 | ) | (848,417,642 | ) | ||||
Net increase (decrease) from capital share transactions | (149,307,474 | ) | 19,187,646 | |||||
Net increase (decrease) in net assets | (164,971,580 | ) | 75,498,025 | |||||
Net assets: | ||||||||
Beginning of period | 251,961,246 | 176,463,221 | ||||||
End of period | $ | 86,989,666 | $ | 251,961,246 | ||||
Accumulated net investment loss at end of period | $ | (106,791 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,720,323 | 6,051,794 | ||||||
C-Class | 3,958,702 | 8,799,827 | ||||||
H-Class | 28,128,151 | 42,212,414 | ||||||
Shares reinvested | ||||||||
A-Class | — | 9,536 | ||||||
C-Class | — | 2,580 | ||||||
H-Class | — | 21,463 | ||||||
Shares redeemed | ||||||||
A-Class | (3,363,458 | ) | (5,926,421 | ) | ||||
C-Class | (4,158,808 | ) | (8,765,777 | ) | ||||
H-Class | (33,330,177 | ) | (42,711,431 | ) | ||||
Total capital share activity | (7,045,267 | ) | (306,015 | ) | ||||
30 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $23.18 | $15.79 | $25.92 | $27.32 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.01 | ) | .07 | .12 | .52 | .30 | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.46 | ) | 7.43 | (10.21 | ) | (1.78 | ) | 2.53 | ||||||||||||
Total from investment operations | (.47 | ) | 7.50 | (10.09 | ) | (1.26 | ) | 2.83 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (.11 | ) | (.04 | ) | (.14 | ) | (.11 | ) | |||||||||||
Distributions from realized gains | — | — | — | — | (.40 | ) | ||||||||||||||
Total distributions | — | (.11 | ) | (.04 | ) | (.14 | ) | (.51 | ) | |||||||||||
Net asset value, end of period | $22.71 | $23.18 | $15.79 | $25.92 | $27.32 | |||||||||||||||
Total Returnd | (2.03% | ) | 47.55% | (38.95% | ) | (4.68% | ) | 11.34% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $8,052 | $46,312 | $29,409 | $2,358 | $2,063 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.12% | ) | 0.34% | 0.68% | 1.86% | 1.35% | e | |||||||||||||
Total expenses | 1.53% | 1.53% | 1.52% | 1.51% | 1.55% | e | ||||||||||||||
Portfolio turnover rate | 147% | 58% | 168% | 396% | 119% |
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $22.50 | $15.44 | $25.55 | $27.15 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.09 | ) | (.08 | ) | (.02 | ) | .18 | .19 | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.46 | ) | 7.25 | (10.05 | ) | (1.64 | ) | 2.47 | ||||||||||||
Total from investment operations | (.55 | ) | 7.17 | (10.07 | ) | (1.46 | ) | 2.66 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (.11 | ) | (.04 | ) | (.14 | ) | (.11 | ) | |||||||||||
Distributions from realized gains | — | — | — | — | (.40 | ) | ||||||||||||||
Total distributions | — | (.11 | ) | (.04 | ) | (.14 | ) | (.51 | ) | |||||||||||
Net asset value, end of period | $21.95 | $22.50 | $15.44 | $25.55 | $27.15 | |||||||||||||||
Total Returnd | (2.44% | ) | 46.49% | (39.43% | ) | (5.45% | ) | 10.65% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $6,783 | $11,456 | $7,295 | $7,836 | $1,971 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.80% | ) | (0.41% | ) | (0.08% | ) | 0.67% | 0.84% | e | |||||||||||
Total expenses | 2.28% | 2.28% | 2.28% | 2.25% | 2.25% | e | ||||||||||||||
Portfolio turnover rate | 147% | 58% | 168% | 396% | 119% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 31 |
S&P 500 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.
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $23.17 | $15.78 | $25.90 | $27.31 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.01 | ) | .06 | .13 | .39 | .30 | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.46 | ) | 7.44 | (10.21 | ) | (1.66 | ) | 2.52 | ||||||||||||
Total from investment operations | (.47 | ) | 7.50 | (10.08 | ) | (1.27 | ) | 2.82 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (.11 | ) | (.04 | ) | (.14 | ) | (.11 | ) | |||||||||||
Distributions from realized gains | — | — | — | — | (.40 | ) | ||||||||||||||
Total distributions | — | (.11 | ) | (.04 | ) | (.14 | ) | (.51 | ) | |||||||||||
Net asset value, end of period | $22.70 | $23.17 | $15.78 | $25.90 | $27.31 | |||||||||||||||
Total Returnd | (2.03% | ) | 47.58% | (38.94% | ) | (4.72% | ) | 11.29% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $72,155 | $194,193 | $139,759 | $78,963 | $6,374 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.09% | ) | 0.29% | 0.64% | 1.40% | 1.33% | e | |||||||||||||
Total expenses | 1.53% | 1.53% | 1.53% | 1.48% | 1.54% | e | ||||||||||||||
Portfolio turnover rate | 147% | 58% | 168% | 396% | 119% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations May 31, 2006. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Annualized |
32 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE S&P 500 STRATEGY FUND
OBJECTIVE: To provide investment results that inversely correlate to the performance of the S&P 500 Index (the “underlying index”) on a daily basis.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a7.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | January 7, 1994 | |||
Advisor Class | August 5, 1998 | |||
A-Class | March 31, 2004 | |||
C-Class | March 15, 2001 | |||
The Fund invests principally in derivative investments such as equity index swap agreements and futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 33 |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE S&P 500 STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 54.4% | ||||||||
Freddie Mac1 | ||||||||
0.20% due 11/23/10 | $ | 25,000,000 | $ | 24,995,575 | ||||
0.25% due 10/13/10 | 20,000,000 | 19,998,333 | ||||||
0.26% due 11/02/10 | 20,000,000 | 19,997,860 | ||||||
0.24% due 06/01/11 | 20,000,000 | 19,973,000 | ||||||
Fannie Mae1 | ||||||||
0.20% due 11/15/10 | 25,000,000 | 24,996,250 | ||||||
0.37% due 12/01/10 | 25,000,000 | 24,994,075 | ||||||
0.24% due 12/29/10 | 25,000,000 | 24,991,350 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $159,917,193) | 159,946,443 | |||||||
FEDERAL AGENCY NOTES†† - 8.5% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.25% due 12/28/10 | 25,000,000 | 25,002,400 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $25,000,000) | 25,002,400 | |||||||
WORLD BANK DISCOUNT NOTE†† - 8.5% | ||||||||
World Bank | ||||||||
0.35% due 11/08/10 | 25,000,000 | 24,996,825 | ||||||
Total World Bank Discount Note | ||||||||
(Cost $24,990,764) | 24,996,825 | |||||||
REPURCHASE AGREEMENTS††,3 - 27.5% | ||||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/104 | 46,246,230 | 46,246,230 | ||||||
Mizuho Financial Group, Inc. | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 13,797,963 | 13,797,963 | ||||||
HSBC Group | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 13,782,602 | 13,782,602 | ||||||
Morgan Stanley | ||||||||
issued 09/30/10 at 0.19% | ||||||||
due 10/01/10 | 5,695,290 | 5,695,290 | ||||||
Deutsche Bank | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 1,423,823 | 1,423,823 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $80,945,908) | 80,945,908 | |||||||
Total Investments – 98.9% | ||||||||
(Cost $290,853,865) | $ | 290,891,576 | ||||||
Cash & Other Assets, | ||||||||
Less Liabilities – 1.1% | 3,029,839 | |||||||
Total Net Assets – 100.0% | $ | 293,921,415 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $12,780,000) | 225 | $ | 81,111 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Credit Suisse Capital, LLC October 2010 S&P 500 Index Swap, Terminating 10/29/105 (Notional Market Value | ||||||||
$115,404,710) | 101,126 | $ | 350,031 | |||||
Goldman Sachs International October 2010 S&P 500 Index Swap, Terminating 10/27/105 (Notional Market Value | ||||||||
$156,383,201) | 137,034 | 85,941 | ||||||
Morgan Stanley Capital Services, Inc. October 2010 S&P 500 Index Swap, Terminating 10/26/105 (Notional Market Value | ||||||||
$8,572,808) | 7,512 | 4,658 | ||||||
(Total Notional Market Value $280,360,719) | $ | 440,630 | ||||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 7. |
4 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
5 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
34 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
INVERSE S&P 500 STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 209,945,668 | ||
Repurchase agreement, at value | 80,945,908 | |||
Total investments | 290,891,576 | |||
Segregated cash with broker | 2,128,162 | |||
Unrealized appreciation on swap agreements | 440,630 | |||
Receivables: | ||||
Variation margin | 55,125 | |||
Fund shares sold | 1,180,018 | |||
Interest | 16,568 | |||
Total assets | 294,712,079 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 261,004 | |||
Management fees | 239,050 | |||
Custodian fees | 8,765 | |||
Transfer agent/maintenance fees | 66,403 | |||
Distribution and service fees | 29,916 | |||
Portfolio accounting fees | 25,058 | |||
Other | 160,468 | |||
Total liabilities | 790,664 | |||
Net assets | $ | 293,921,415 | ||
Net assets consist of: | ||||
Paid in capital | 625,725,958 | |||
Accumulated net investment loss | (2,042,465 | ) | ||
Accumulated net realized loss on sale of investments | (330,321,530 | ) | ||
Net unrealized appreciation in value of investments | 559,452 | |||
Net assets | 293,921,415 | |||
Investor Class: | ||||
Net assets | $ | 235,413,976 | ||
Capital shares outstanding | 6,944,208 | |||
Net asset value per share | $33.90 | |||
Advisor Class: | ||||
Net assets | $ | 25,393,349 | ||
Capital shares outstanding | 805,368 | |||
Net asset value per share | $31.53 | |||
A-Class: | ||||
Net assets | $ | 14,642,037 | ||
Capital shares outstanding | 458,402 | |||
Net asset value per share | $31.94 | |||
Maximum offering price per share* | $33.53 | |||
C-Class: | ||||
Net assets | $ | 18,472,053 | ||
Capital shares outstanding | 605,076 | |||
Net asset value per share | $30.53 | |||
Investments, at cost | $ | 209,907,957 | ||
Repurchase agreement, at cost | 80,945,908 | |||
Total cost | $ | 290,853,865 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 336,908 | ||
Total investment income | 336,908 | |||
Expenses: | ||||
Management fees | 1,393,747 | |||
Transfer agent and administrative fees | 387,152 | |||
Distribution and Service Fees: | ||||
Advisor Class | 55,590 | |||
A-Class | 39,057 | |||
C-Class | 86,978 | |||
Portfolio accounting fees | 146,952 | |||
Trustees’ fees** | 9,576 | |||
Miscellaneous | 260,321 | |||
Total expenses | 2,379,373 | |||
Net investment loss | (2,042,465 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Equity index swaps | (2,080,570 | ) | ||
Futures contracts | (23,138,051 | ) | ||
Net realized loss | (25,218,621 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 20,000 | |||
Equity index swaps | 7,005,563 | |||
Futures contracts | (2,395 | ) | ||
Net unrealized appreciation | 7,023,168 | |||
Net loss | (18,195,453 | ) | ||
Net decrease in net assets resulting from operations | $ | (20,237,918 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 35 |
INVERSE S&P 500 STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (2,042,465 | ) | $ | (2,962,824 | ) | ||
Net realized loss during the period on investments | (25,218,621 | ) | (136,665,271 | ) | ||||
Net unrealized appreciation during the period on investments | 7,023,168 | 15,795,098 | ||||||
Net decrease in net assets resulting from operations | (20,237,918 | ) | (123,832,997 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (300,599 | ) | |||||
Advisor Class | — | (11,483 | ) | |||||
A-Class | — | (46,691 | ) | |||||
C-Class | — | (28,291 | ) | |||||
Total distributions to shareholders | — | (387,064 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 459,111,566 | 942,697,042 | ||||||
Advisor Class | 54,748,071 | 53,161,952 | ||||||
A-Class | 40,906,812 | 78,958,664 | ||||||
C-Class | 18,463,035 | 67,595,341 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 286,564 | ||||||
Advisor Class | — | 10,548 | ||||||
A-Class | — | 42,604 | ||||||
C-Class | — | 23,464 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (378,320,908 | ) | (889,787,263 | ) | ||||
Advisor Class | (36,917,287 | ) | (53,392,982 | ) | ||||
A-Class | (54,098,475 | ) | (59,041,010 | ) | ||||
C-Class | (15,369,558 | ) | (61,798,174 | ) | ||||
Net increase from capital share transactions | 88,523,256 | 78,756,750 | ||||||
Net increase (decrease) in net assets | 68,285,338 | (45,463,311 | ) | |||||
Net assets: | ||||||||
Beginning of period | 225,636,077 | 271,099,388 | ||||||
End of period | $ | 293,921,415 | $ | 225,636,077 | ||||
Accumulated net investment loss at end of period | $ | (2,042,465 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 12,656,038 | 22,518,195 | ||||||
Advisor Class | 1,635,014 | 1,405,215 | ||||||
A-Class | 1,216,976 | 2,007,978 | ||||||
C-Class | 569,425 | 1,842,781 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 7,784 | ||||||
Advisor Class | — | 307 | ||||||
A-Class | — | 1,227 | ||||||
C-Class | — | 702 | ||||||
Shares redeemed | ||||||||
Investor Class | (10,697,935 | ) | (21,554,903 | ) | ||||
Advisor Class | (1,129,331 | ) | (1,406,947 | ) | ||||
A-Class | (1,639,360 | ) | (1,486,753 | ) | ||||
C-Class | (479,851 | ) | (1,724,746 | ) | ||||
Total capital share activity | 2,130,976 | 1,610,840 | ||||||
36 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
INVERSE S&P 500 STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | e | 2006 | e | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $34.38 | $54.23 | $40.00 | $37.85 | $40.30 | $43.45 | ||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.47 | ) | .12 | .93 | (.20 | ) | (.20 | ) | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.27 | ) | (19.32 | ) | 14.94 | 2.74 | (1.15 | ) | (2.35 | ) | ||||||||||||||||||
Total from investment operations | (.48 | ) | (19.79 | ) | 15.06 | 3.67 | (1.35 | ) | (2.55 | ) | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Distributions from net investment income | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||||||
Total distributions | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||||||
Net asset value, end of period | $33.90 | $34.38 | $54.23 | $40.00 | $37.85 | $40.30 | ||||||||||||||||||||||
Total Returnc | (1.40% | ) | (36.51% | ) | 37.66% | 10.24% | (3.26% | ) | (5.84% | ) | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $235,414 | $171,423 | $217,740 | $223,044 | $293,092 | $329,785 | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) | (1.20% | ) | (1.16% | ) | 0.25% | 3.08% | 3.85% | (0.45% | ) | |||||||||||||||||||
Combined net investment incomef | — | — | — | — | — | 2.29% | ||||||||||||||||||||||
Total expensesg | 1.42% | 1.43% | 1.43% | 1.41% | 1.36% | 1.41% | ||||||||||||||||||||||
Net expensesg | 1.42% | 1.43% | 1.43% | 1.41% | 1.36% | 1.38% | ||||||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — | ||||||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | e | 2006 | e | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||||
Net asset value, beginning of period | $32.06 | $50.83 | $37.72 | $36.00 | $38.55 | $41.80 | ||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)b | (.28 | ) | (.63 | ) | (.13 | ) | .73 | (.35 | ) | (.40 | ) | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.25 | ) | (18.08 | ) | 14.07 | 2.51 | (1.10 | ) | (2.25 | ) | ||||||||||||||||||
Total from investment operations | (.53 | ) | (18.71 | ) | 13.94 | 3.24 | (1.45 | ) | (2.65 | ) | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||||
Distributions from net investment income | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||||||
Total distributions | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||||||
Net asset value, end of period | $31.53 | $32.06 | $50.83 | $37.72 | $36.00 | $38.55 | ||||||||||||||||||||||
Total Returnc | (1.65% | ) | (36.82% | ) | 36.96% | 9.56% | (3.67% | ) | (6.32% | ) | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $25,393 | $9,607 | $15,305 | $11,131 | $22,712 | $45,332 | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Net investment income (loss) | (1.69% | ) | (1.63% | ) | (0.30% | ) | 2.64% | 3.34% | (0.95% | ) | ||||||||||||||||||
Combined net investment incomef | — | — | — | — | — | 1.79% | ||||||||||||||||||||||
Total expensesg | 1.92% | 1.93% | 1.93% | 1.92% | 1.87% | 1.91% | ||||||||||||||||||||||
Net expensesg | 1.92% | 1.93% | 1.93% | 1.92% | 1.87% | 1.88% | ||||||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 37 |
2
INVERSE S&P 500 STRATEGY FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | e | 2006 | e | |||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $32.43 | $51.30 | $37.97 | $36.10 | $38.60 | $41.85 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.25 | ) | (.53 | ) | — | d | .81 | (.25 | ) | (.30 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.24 | ) | (18.28 | ) | 14.16 | 2.58 | (1.15 | ) | (2.35 | ) | ||||||||||||||
Total from investment operations | (.49 | ) | (18.81 | ) | 14.16 | 3.39 | (1.40 | ) | (2.65 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||
Total distributions | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||
Net asset value, end of period | $31.94 | $32.43 | $51.30 | $37.97 | $36.10 | $38.60 | ||||||||||||||||||
Total Returnc | (1.51% | ) | (36.68% | ) | 37.30% | 9.95% | (3.53% | ) | (6.31% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $14,642 | $28,565 | $18,381 | $9,344 | $11,388 | $8,932 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.46% | ) | (1.42% | ) | 0.00% | 2.83% | 3.60% | (0.70% | ) | |||||||||||||||
Combined net investment incomef | — | — | — | — | — | 2.04% | ||||||||||||||||||
Total expensesg | 1.68% | 1.67% | 1.68% | 1.66% | 1.61% | 1.66% | ||||||||||||||||||
Net expensesg | 1.68% | 1.67% | 1.68% | 1.66% | 1.61% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | e | 2006 | e | |||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $31.12 | $49.59 | $37.00 | $35.50 | $38.25 | $41.65 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.35 | ) | (.79 | ) | (.28 | ) | .58 | (.55 | ) | (.60 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.24 | ) | (17.62 | ) | 13.70 | 2.44 | (1.10 | ) | (2.20 | ) | ||||||||||||||
Total from investment operations | (.59 | ) | (18.41 | ) | 13.42 | 3.02 | (1.65 | ) | (2.80 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||
Total distributions | — | (.06 | ) | (.83 | ) | (1.52 | ) | (1.10 | ) | (.60 | ) | |||||||||||||
Net asset value, end of period | $30.53 | $31.12 | $49.59 | $37.00 | $35.50 | $38.25 | ||||||||||||||||||
Total Returnc | (1.90% | ) | (37.14% | ) | 36.27% | 9.07% | (4.22% | ) | (6.70% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $18,472 | $16,041 | $19,674 | $32,299 | $42,651 | $39,146 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.20% | ) | (2.15% | ) | (0.67% | ) | 2.14% | 2.85% | (1.45% | ) | ||||||||||||||
Combined net investment incomef | — | — | — | — | — | 1.29% | ||||||||||||||||||
Total expensesg | 2.42% | 2.43% | 2.43% | 2.41% | 2.36% | 2.41% | ||||||||||||||||||
Net expensesg | 2.42% | 2.43% | 2.43% | 2.41% | 2.36% | 2.38% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
38 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
INVERSE S&P 500 STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Less than $0.01 per share. |
e | Reverse Shares Splits — Per share amounts for the years ended March 31, 2006 and March 31, 2007 have been restated to reflect a 1:5 reverse share split effective April 23, 2007. |
Prior to April 1, 2007, the Inverse S&P 500 Strategy Fund operated under a Master-Feeder Structure. |
f | Ratios represent combined net investment income of the former Master Portfolio and the Fund. Ratios shown under the caption “Combined Net Investment Income (Loss)” for the year ended March 31, 2006 and preceding periods did not reflect the net investment income of the former Master Portfolio. | |
g | Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007 and preceding periods. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 39 |
4
FUND PROFILE (Unaudited)
September 30, 2010
NASDAQ-100® FUND
OBJECTIVE: To provide investment results that correspond to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a8.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | February 14, 1994 | |||
Advisor Class | September 22, 1998 | |||
A-Class | March 31, 2004 | |||
C-Class | March 26, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Apple, Inc. | 16.6 | % | ||
QUALCOMM, Inc. | 4.0 | % | ||
Google, Inc. — Class A | 3.6 | % | ||
Microsoft Corp. | 3.4 | % | ||
Oracle Corp. | 2.6 | % | ||
Amazon.com, Inc. | 2.1 | % | ||
Cisco Systems, Inc. | 2.1 | % | ||
Teva Pharmaceutical Industries Ltd. ADR | 1.8 | % | ||
Intel Corp. | 1.7 | % | ||
Gilead Sciences, Inc. | 1.3 | % | ||
Top Ten Total | 39.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
40 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
NASDAQ-100® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 83.8% | ||||||||
INFORMATION TECHNOLOGY - 52.8% | ||||||||
Apple, Inc.* | 362,801 | $ | 102,944,784 | |||||
QUALCOMM, Inc. | 551,220 | 24,871,046 | ||||||
Google, Inc. — Class A* | 42,694 | 22,448,078 | ||||||
Microsoft Corp. | 847,980 | 20,767,030 | ||||||
Oracle Corp. | 596,724 | 16,022,039 | ||||||
Cisco Systems, Inc.* | 580,952 | 12,722,849 | ||||||
Intel Corp. | 555,144 | 10,675,419 | ||||||
Baidu, Inc. ADR* | 78,061 | 8,010,620 | ||||||
Research In Motion Ltd.* | 150,380 | 7,322,002 | ||||||
eBay, Inc.* | 278,641 | 6,798,840 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 83,495 | 5,382,923 | ||||||
NetApp, Inc.* | 106,308 | 5,293,075 | ||||||
Intuit, Inc.* | 112,674 | 4,936,248 | ||||||
Citrix Systems, Inc.* | 63,243 | 4,315,702 | ||||||
Automatic Data Processing, Inc. | 99,000 | 4,160,970 | ||||||
Broadcom Corp. — Class A | 116,454 | 4,121,307 | ||||||
Adobe Systems, Inc.* | 146,561 | 3,832,570 | ||||||
Altera Corp. | 123,029 | 3,710,555 | ||||||
Symantec Corp.* | 235,010 | 3,565,102 | ||||||
Activision Blizzard, Inc. | 311,290 | 3,368,158 | ||||||
Marvell Technology Group Ltd.* | 176,613 | 3,092,494 | ||||||
CA, Inc. | 141,110 | 2,980,243 | ||||||
Fiserv, Inc.* | 53,460 | 2,877,217 | ||||||
Paychex, Inc. | 97,640 | 2,684,124 | ||||||
Dell, Inc.* | 203,700 | 2,639,952 | ||||||
Linear Technology Corp. | 85,411 | 2,624,680 | ||||||
Yahoo!, Inc.* | 184,540 | 2,614,932 | ||||||
Xilinx, Inc. | 97,770 | 2,601,660 | ||||||
SanDisk Corp.* | 67,454 | 2,472,189 | ||||||
BMC Software, Inc.* | 59,130 | 2,393,583 | ||||||
Applied Materials, Inc. | 197,746 | 2,309,673 | ||||||
Check Point Software Technologies Ltd.* | 58,400 | 2,156,712 | ||||||
Autodesk, Inc.* | 67,400 | 2,154,778 | ||||||
Infosys Technologies Ltd. ADR | 31,169 | 2,097,985 | ||||||
KLA-Tencor Corp. | 57,910 | 2,040,169 | ||||||
NVIDIA Corp.* | 160,490 | 1,874,523 | ||||||
Seagate Technology plc* | 133,950 | 1,577,931 | ||||||
Electronic Arts, Inc.* | 94,810 | 1,557,728 | ||||||
Maxim Integrated Products, Inc. | 83,590 | 1,547,251 | ||||||
Lam Research Corp.* | 36,510 | 1,527,944 | ||||||
VeriSign, Inc.* | 46,750 | 1,483,845 | ||||||
Flextronics International Ltd.* | 242,620 | 1,465,425 | ||||||
Microchip Technology, Inc. | 44,008 | 1,384,052 | ||||||
FLIR Systems, Inc.* | 47,106 | 1,210,624 | ||||||
Logitech International S.A.* | 48,900 | 850,860 | ||||||
Total Information Technology | 327,489,891 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY - 12.7% | ||||||||
Amazon.com, Inc.* | 84,657 | $ | 13,296,229 | |||||
Starbucks Corp. | 292,990 | 7,494,684 | ||||||
DIRECTV — Class A* | 179,710 | 7,481,327 | ||||||
Comcast Corp. — Class A | 412,417 | 7,456,499 | ||||||
News Corp. — Class A* | 405,705 | 5,298,507 | ||||||
Priceline.com, Inc.* | 14,570 | 5,075,314 | ||||||
Bed Bath & Beyond, Inc.* | 101,044 | 4,386,320 | ||||||
Wynn Resorts Ltd. | 38,340 | 3,326,762 | ||||||
Staples, Inc. | 139,638 | 2,921,227 | ||||||
Mattel, Inc. | 117,130 | 2,747,870 | ||||||
Sears Holdings Corp.* | 32,950 | 2,377,013 | ||||||
Expedia, Inc. | 79,590 | 2,245,234 | ||||||
Virgin Media, Inc. | 96,666 | 2,225,251 | ||||||
Apollo Group, Inc. — Class A* | 42,460 | 2,180,321 | ||||||
Liberty Media Corporation — Interactive* | 156,165 | 2,141,022 | ||||||
O’Reilly Automotive, Inc.* | 39,395 | 2,095,814 | ||||||
Ross Stores, Inc. | 35,164 | 1,920,658 | ||||||
Garmin Ltd. | 51,390 | 1,559,687 | ||||||
Urban Outfitters, Inc.* | 47,350 | 1,488,684 | ||||||
DISH Network Corp. — Class A | 61,532 | 1,178,953 | ||||||
Total Consumer Discretionary | 78,897,376 | |||||||
HEALTH CARE - 11.8% | ||||||||
Teva Pharmaceutical Industries Ltd. ADR | 208,550 | 11,001,012 | ||||||
Gilead Sciences, Inc.* | 235,150 | 8,373,691 | ||||||
Celgene Corp.* | 129,714 | 7,472,823 | ||||||
Amgen, Inc.* | 127,197 | 7,009,827 | ||||||
Express Scripts, Inc. — Class A* | 137,810 | 6,711,347 | ||||||
Genzyme Corp.* | 90,960 | 6,439,058 | ||||||
Biogen Idec, Inc.* | 74,880 | 4,202,266 | ||||||
Intuitive Surgical, Inc.* | 11,194 | 3,176,185 | ||||||
Life Technologies Corp.* | 52,826 | 2,466,446 | ||||||
Vertex Pharmaceuticals, Inc.* | 60,400 | 2,088,028 | ||||||
Cerner Corp.* | 23,390 | 1,964,526 | ||||||
Illumina, Inc.* | 34,744 | 1,709,405 | ||||||
Mylan, Inc.* | 89,493 | 1,683,363 | ||||||
Warner Chilcott plc — Class A | 71,561 | 1,605,829 | ||||||
Henry Schein, Inc.* | 25,979 | 1,521,850 | ||||||
Cephalon, Inc.* | 20,847 | 1,301,687 | ||||||
DENTSPLY International, Inc. | 39,040 | 1,248,109 | ||||||
Hologic, Inc.* | 77,577 | 1,242,008 | ||||||
QIAGEN N.V.* | 67,055 | 1,189,556 | ||||||
Patterson Companies, Inc. | 33,858 | 970,032 | ||||||
Total Health Care | 73,377,048 | |||||||
INDUSTRIALS - 3.9% PACCAR, Inc. | 116,337 | 5,601,627 | ||||||
CH Robinson Worldwide, Inc. | 46,684 | 3,264,145 | ||||||
First Solar, Inc.* | 21,326 | 3,142,386 | ||||||
Expeditors International of Washington, Inc. | 59,309 | 2,741,855 | ||||||
Fastenal Co. | 40,129 | 2,134,461 | ||||||
Joy Global, Inc. | 28,853 | 2,028,943 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
NASDAQ-100® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Stericycle, Inc.* | 25,520 | $ | 1,773,130 | |||||
Cintas Corp. | 52,223 | 1,438,744 | ||||||
J.B. Hunt Transport Services, Inc. | 35,090 | 1,217,623 | ||||||
Foster Wheeler AG* | 37,927 | 927,694 | ||||||
Total Industrials | 24,270,608 | |||||||
TELECOMMUNICATION SERVICES - 1.6% | ||||||||
Vodafone Group plc ADR | 201,418 | 4,997,181 | ||||||
Millicom International Cellular S.A. | 29,995 | 2,878,020 | ||||||
NII Holdings, Inc.* | 46,604 | 1,915,424 | ||||||
Total Telecommunication Services | 9,790,625 | |||||||
CONSUMER STAPLES - 0.7% Costco Wholesale Corp. | 65,862 | 4,247,440 | ||||||
MATERIALS - 0.3% Sigma-Aldrich Corp. | 33,178 | 2,003,288 | ||||||
Total Common Stocks (Cost $236,662,346) | 520,076,276 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 14.3% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 32,206,947 | 32,206,947 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 32,171,091 | 32,171,091 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% | ||||||||
due 10/01/10 | 13,293,839 | 13,293,839 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 7,419,589 | 7,419,589 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 3,323,460 | 3,323,460 | ||||||
Total Repurchase Agreements (Cost $88,414,926) | 88,414,926 | |||||||
Total Investments – 98.1% (Cost $325,077,272) | $ | 608,491,202 | ||||||
Cash & Other Assets, Less Liabilities – 1.9% | 11,845,394 | |||||||
Total Net Assets – 100.0% | $ | 620,336,596 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 NASDAQ-100 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $60,221,980) | 1,508 | $ | 2,589,189 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Morgan Stanley Capital Services, Inc. October 2010 NASDAQ-100 Index Swap, Terminating 10/26/103 (Notional Market | ||||||||
Value $5,898,847) | 2,952 | $ | (38,524 | ) | ||||
Credit Suisse Capital, LLC October 2010 NASDAQ-100 Index Swap, Terminating 10/29/103 (Notional Market | ||||||||
Value $17,972,187) | 8,995 | (73,586 | ) | |||||
Goldman Sachs International October 2010 NASDAQ-100 Index Swap, Terminating 10/27/103 (Notional Market | ||||||||
Value $16,088,020) | 8,052 | (104,498 | ) | |||||
(Total Notional Market Value $39,959,054) | $ | (216,608 | ) | |||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. ADR — American Depositary Receipt plc — Public Limited Company |
42 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
NASDAQ-100® FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 520,076,276 | ||
Repurchase agreement, at value | 88,414,926 | |||
Total investments | 608,491,202 | |||
Segregated cash with broker | 4,888,962 | |||
Cash | 660,407 | |||
Receivables: | ||||
Fund shares sold | 8,688,246 | |||
Dividends | 88,156 | |||
Interest | 483 | |||
Total assets | 622,817,456 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 216,608 | |||
Payable for: | ||||
Variation margin | 350,318 | |||
Fund shares redeemed | 950,520 | |||
Management fees | 347,416 | |||
Custodian fees | 15,286 | |||
Transfer agent/maintenance fees | 115,805 | |||
Distribution and service fees | 31,812 | |||
Portfolio accounting fees | 38,547 | |||
Licensing fees | 113,861 | |||
Other | 300,687 | |||
Total liabilities | 2,480,860 | |||
Net assets | $ | 620,336,596 | ||
Net assets consist of: | ||||
Paid in capital | 769,259,357 | |||
Accumulated net investment loss | (1,202,397 | ) | ||
Accumulated net realized loss on sale of investments | (433,506,875 | ) | ||
Net unrealized appreciation in value of investments | 285,786,511 | |||
Net assets | 620,336,596 | |||
Investor Class: | ||||
Net assets | $ | 527,616,937 | ||
Capital shares outstanding | 40,427,014 | |||
Net asset value per share | $13.05 | |||
Advisor Class: | ||||
Net assets | $ | 65,455,845 | ||
Capital shares outstanding | 5,339,981 | |||
Net asset value per share | $12.26 | |||
A-Class: | ||||
Net assets | $ | 16,625,670 | ||
Capital shares outstanding | 1,334,955 | |||
Net asset value per share | $12.45 | |||
Maximum offering price per share* | $13.07 | |||
C-Class: | ||||
Net assets | $ | 10,638,144 | ||
Capital shares outstanding | 900,656 | |||
Net asset value per share | $11.81 | |||
Investments, at cost | $ | 236,662,346 | ||
Repurchase agreement, at cost | 88,414,926 | |||
Total cost | $ | 325,077,272 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $30,393) | $ | 2,622,068 | ||
Interest | 35,691 | |||
Total investment income | 2,657,759 | |||
Expenses: | ||||
Management fees | 2,132,775 | |||
Transfer agent and administrative fees | 710,925 | |||
Distribution and Service Fees: | ||||
Advisor Class | 103,435 | |||
A-Class | 10,510 | |||
C-Class | 51,434 | |||
Portfolio accounting fees | 236,112 | |||
Trustees’ fees** | 21,915 | |||
Miscellaneous | 593,050 | |||
Total expenses | 3,860,156 | |||
Net investment loss | (1,202,397 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 31,776,882 | |||
Equity index swaps | (3,091,703 | ) | ||
Futures contracts | (2,485,833 | ) | ||
Net realized gain | 26,199,346 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (27,017,254 | ) | ||
Equity index swaps | (295,444 | ) | ||
Futures contracts | 2,564,430 | |||
Net unrealized depreciation | (24,748,268 | ) | ||
Net realized and unrealized gain | 1,451,078 | |||
Net increase in net assets resulting from operations | $ | 248,681 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 43 |
NASDAQ-100® FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (1,202,397 | ) | $ | (3,604,566 | ) | ||
Net realized gain during the period on investments | 26,199,346 | 15,245,004 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (24,748,268 | ) | 216,908,868 | |||||
Net increase in net assets resulting from operations | 248,681 | 228,549,306 | ||||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 399,017,977 | 750,255,904 | ||||||
Advisor Class | 245,144,754 | 155,543,357 | ||||||
A-Class | 22,090,641 | 30,156,587 | ||||||
C-Class | 10,599,933 | 24,010,905 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (445,705,141 | ) | (781,927,624 | ) | ||||
Advisor Class | (195,652,234 | ) | (164,471,567 | ) | ||||
A-Class | (20,152,248 | ) | (20,940,455 | ) | ||||
C-Class | (12,220,564 | ) | (21,740,962 | ) | ||||
Net increase (decrease) from capital share transactions | 3,123,118 | (29,113,855 | ) | |||||
Net increase in net assets | 3,371,799 | 199,435,451 | ||||||
Net assets: | ||||||||
Beginning of period | 616,964,797 | 417,529,346 | ||||||
End of period | $ | 620,336,596 | $ | 616,964,797 | ||||
Accumulated net investment loss at end of period | $ | (1,202,397 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 32,229,027 | 71,031,032 | ||||||
Advisor Class | 21,223,025 | 15,143,129 | ||||||
A-Class | 1,826,118 | 2,796,536 | ||||||
C-Class | 944,520 | 2,450,071 | ||||||
Shares redeemed | ||||||||
Investor Class | (36,360,203 | ) | (74,294,680 | ) | ||||
Advisor Class | (17,360,601 | ) | (16,008,249 | ) | ||||
A-Class | (1,724,605 | ) | (1,964,731 | ) | ||||
C-Class | (1,090,483 | ) | (2,253,969 | ) | ||||
Total capital share activity | (313,202 | ) | (3,100,861 | ) | ||||
44 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
NASDAQ-100® FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.83 | $ 8.15 | $11.81 | $11.78 | $11.34 | $ 9.94 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.02 | ) | (.07 | ) | (.06 | ) | (.06 | ) | (.06 | ) | (.05 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .24 | 4.75 | (3.60 | ) | .09 | .50 | 1.49 | |||||||||||||||||
Total from investment operations | .22 | 4.68 | (3.66 | ) | .03 | .44 | 1.44 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Net asset value, end of period | $13.05 | $12.83 | $ 8.15 | $11.81 | $11.78 | $11.34 | ||||||||||||||||||
Total Returnc | 1.71% | 57.42% | (30.99% | ) | 0.25% | 3.88% | 14.45% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $527,617 | $571,761 | $389,944 | $617,923 | $635,744 | $893,295 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.38% | ) | (0.63% | ) | (0.59% | ) | (0.50% | ) | (0.52% | ) | (0.49% | ) | ||||||||||||
Total expenses | 1.30% | 1.30% | 1.30% | 1.28% | 1.22% | 1.20% | ||||||||||||||||||
Portfolio turnover rate | 18% | 34% | 55% | 57% | 71% | 122% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.09 | $ 7.72 | $11.23 | $11.26 | $10.90 | $ 9.60 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.04 | ) | (.12 | ) | (.11 | ) | (.12 | ) | (.11 | ) | (.10 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .21 | 4.49 | (3.40 | ) | .09 | .47 | 1.44 | |||||||||||||||||
Total from investment operations | .17 | 4.37 | (3.51 | ) | (.03 | ) | .36 | 1.34 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Net asset value, end of period | $12.26 | $12.09 | $ 7.72 | $11.23 | $11.26 | $10.90 | ||||||||||||||||||
Total Returnc | 1.41% | 56.61% | (31.26% | ) | (0.27% | ) | 3.30% | 13.92% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $65,456 | $17,859 | $18,078 | $15,184 | $9,349 | $27,832 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.68% | ) | (1.13% | ) | (1.11% | ) | (0.99% | ) | (1.07% | ) | (1.00% | ) | ||||||||||||
Total expenses | 1.80% | 1.80% | 1.79% | 1.78% | 1.73% | 1.70% | ||||||||||||||||||
Portfolio turnover rate | 18% | 34% | 55% | 57% | 71% | 122% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 45 |
NASDAQ-100® 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.27 | $ 7.82 | $11.35 | $11.36 | $10.96 | $ 9.63 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.04 | ) | (.09 | ) | (.08 | ) | (.09 | ) | (.08 | ) | (.08 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .22 | 4.54 | (3.45 | ) | .08 | .48 | 1.45 | |||||||||||||||||
Total from investment operations | .18 | 4.45 | (3.53 | ) | (.01 | ) | .40 | 1.37 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Net asset value, end of period | $12.45 | $12.27 | $ 7.82 | $11.35 | $11.36 | $10.96 | ||||||||||||||||||
Total Returnc | 1.47% | 56.91% | (31.10% | ) | (0.09% | ) | 3.65% | 14.18% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $16,626 | $15,128 | $3,140 | $6,044 | $3,686 | $2,491 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.69% | ) | (0.86% | ) | (0.82% | ) | (0.76% | ) | (0.73% | ) | (0.78% | ) | ||||||||||||
Total expenses | 1.55% | 1.55% | 1.55% | 1.54% | 1.46% | 1.46% | ||||||||||||||||||
Portfolio turnover rate | 18% | 34% | 55% | 57% | 71% | 122% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.67 | $ 7.49 | $10.95 | $11.02 | $10.73 | $ 9.50 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.08 | ) | (.16 | ) | (.15 | ) | (.18 | ) | (.16 | ) | (.16 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .22 | 4.34 | (3.31 | ) | .11 | .45 | 1.43 | |||||||||||||||||
Total from investment operations | .14 | 4.18 | (3.46 | ) | (.07 | ) | .29 | 1.27 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Net asset value, end of period | $11.81 | $11.67 | $ 7.49 | $10.95 | $11.02 | $10.73 | ||||||||||||||||||
Total Returnc | 1.20% | (55.81% | ) | (31.60% | ) | (0.64% | ) | 2.70% | 13.33% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $10,638 | $12,216 | $6,368 | $10,343 | $10,032 | $18,707 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.39% | ) | (1.63% | ) | (1.59% | ) | (1.50% | ) | (1.55% | ) | (1.52% | ) | ||||||||||||
Total expenses | 2.30% | 2.30% | 2.30% | 2.28% | 2.22% | 2.21% | ||||||||||||||||||
Portfolio turnover rate | 18% | 34% | 55% | 57% | 71% | 122% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment loss was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
46 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664a9.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | September 3, 1998 | |||
Advisor Class | August 1, 2003 | |||
A-Class | March 31, 2004 | |||
C-Class | March 7, 2001 | |||
The Fund invests principally in derivative investments such as equity index swap agreements and futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE NASDAQ-100® STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 94.8% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $6,004,704 | $ | 6,004,704 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 5,998,019 | 5,998,019 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 5,402,657 | 5,402,657 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 2,478,520 | 2,478,520 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 619,630 | 619,630 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $20,503,530) | 20,503,530 | |||||||
Total Investments – 94.8% | ||||||||
(Cost $20,503,530) | $ | 20,503,530 | ||||||
Cash & Other Assets, | ||||||||
Less Liabilities – 5.2% | 1,115,656 | |||||||
Total Net Assets – 100.0% | $ | 21,619,186 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 NASDAQ-100 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $1,757,140) | 44 | $ | 889 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Credit Suisse Capital, LLC October 2010 NASDAQ-100 Index Swap, Terminating 10/29/103 | ||||||||
(Notional Market | ||||||||
Value $16,785,023) | 8,401 | $ | 92,721 | |||||
Morgan Stanley Capital Services, Inc. October 2010 NASDAQ-100 Index Swap, Terminating 10/26/103 (Notional Market | ||||||||
Value $2,295,385) | 1,149 | 14,875 | ||||||
Goldman Sachs International October 2010 NASDAQ-100 Index Swap, Terminating 10/27/103 | ||||||||
(Notional Market Value $759,513) | 380 | 4,936 | ||||||
(Total Notional Market | ||||||||
Value $19,839,921) | $ | 112,532 | ||||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. |
48 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE NASDAQ-100® STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 20,503,530 | ||
Total investments | 20,503,530 | |||
Segregated cash with broker | 381,794 | |||
Unrealized appreciation on swap agreements | 112,532 | |||
Receivable for swap settlement | 10,498 | |||
Receivables: | ||||
Fund shares sold | 676,365 | |||
Interest | 110 | |||
Total assets | 21,684,829 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 4,085 | |||
Fund shares redeemed | 9,140 | |||
Management fees | 19,278 | |||
Custodian fees | 707 | |||
Transfer agent/maintenance fees | 5,355 | |||
Distribution and service fees | 2,307 | |||
Portfolio accounting fees | 2,142 | |||
Licensing fees | 6,273 | |||
Other | 16,356 | |||
Total liabilities | 65,643 | |||
Net assets | $ | 21,619,186 | ||
Net assets consist of: | ||||
Paid in capital | 110,113,469 | |||
Accumulated net investment loss | (215,762 | ) | ||
Accumulated net realized loss on sale of investments | (88,391,942 | ) | ||
Net unrealized appreciation in value of investments | 113,421 | |||
Net assets | 21,619,186 | |||
Investor Class: | ||||
Net assets | $ | 17,935,174 | ||
Capital shares outstanding | 1,258,635 | |||
Net asset value per share | $14.25 | |||
Advisor Class: | ||||
Net assets | $ | 175,609 | ||
Capital shares outstanding | 12,813 | |||
Net asset value per share | $13.71 | |||
A-Class: | ||||
Net assets | $ | 1,429,448 | ||
Capital shares outstanding | 102,401 | |||
Net asset value per share | $13.96 | |||
Maximum offering price per share* | $14.66 | |||
C-Class: | ||||
Net assets | $ | 2,078,955 | ||
Capital shares outstanding | 162,180 | |||
Net asset value per share | $12.82 | |||
Repurchase agreement, at cost | $ | 20,503,530 | ||
Total cost | $ | 20,503,530 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 27,466 | ||
Total investment income | 27,466 | |||
Expenses: | ||||
Management fees | 140,659 | |||
Transfer agent and administrative fees | 39,072 | |||
Distribution and Service Fees: | ||||
Advisor Class | 2,417 | |||
A-Class | 1,610 | |||
C-Class | 10,043 | |||
Portfolio accounting fees | 15,629 | |||
Trustees’ fees** | 1,046 | |||
Miscellaneous | 32,752 | |||
Total expenses | 243,228 | |||
Net investment loss | (215,762 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Equity index swaps | (3,129,836 | ) | ||
Futures contracts | (428,380 | ) | ||
Net realized loss | (3,558,216 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Equity index swaps | 1,501,402 | |||
Futures contracts | 1,026 | |||
Net unrealized appreciation | 1,502,428 | |||
Net loss | (2,055,788 | ) | ||
Net decrease in net assets resulting | ||||
from operations | $ | (2,271,550 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 49 |
INVERSE NASDAQ-100® STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (215,762 | ) | $ | (444,051 | ) | ||
Net realized loss during the period on investments | (3,558,216 | ) | (20,372,903 | ) | ||||
Net unrealized appreciation during the period on investments | 1,502,428 | 1,493,832 | ||||||
Net decrease in net assets resulting from operations | (2,271,550 | ) | (19,323,122 | ) | ||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 126,277,383 | 263,519,478 | ||||||
Advisor Class | 15,280,405 | 13,001,544 | ||||||
A-Class | 3,737,460 | 8,874,805 | ||||||
C-Class | 5,035,355 | 9,150,986 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (127,557,175 | ) | (259,836,615 | ) | ||||
Advisor Class | (15,836,721 | ) | (11,961,791 | ) | ||||
A-Class | (3,312,740 | ) | (9,179,789 | ) | ||||
C-Class | (4,685,832 | ) | (8,808,360 | ) | ||||
Net increase (decrease) from capital share transactions | (1,061,865 | ) | 4,760,258 | |||||
Net decrease in net assets | (3,333,415 | ) | (14,562,864 | ) | ||||
Net assets: | ||||||||
Beginning of period | 24,952,601 | 39,515,465 | ||||||
End of period | $ | 21,619,186 | $ | 24,952,601 | ||||
Accumulated net investment loss at end of period | $ | (215,762 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 8,196,068 | 14,461,941 | ||||||
Advisor Class | 1,024,573 | 732,358 | ||||||
A-Class | 248,870 | 465,562 | ||||||
C-Class | 363,674 | 536,740 | ||||||
Shares redeemed | ||||||||
Investor Class | (8,340,253 | ) | (14,401,266 | ) | ||||
Advisor Class | (1,074,777 | ) | (688,875 | ) | ||||
A-Class | (216,943 | ) | (488,378 | ) | ||||
C-Class | (337,931 | ) | (534,150 | ) | ||||
Total capital share activity | (136,719 | ) | 83,932 | |||||
50 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
INVERSE NASDAQ-100® STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $15.07 | $25.09 | $21.27 | $21.67 | $21.80 | $24.55 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.25 | ) | (.06 | ) | .59 | (.11 | ) | (.11 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.72 | ) | (9.77 | ) | 4.25 | (.30 | ) | .54 | (2.31 | ) | ||||||||||||||
Total from investment operations | (.82 | ) | (10.02 | ) | 4.19 | .29 | .43 | (2.42 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Total distributions | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Net asset value, end of period | $14.25 | $15.07 | $25.09 | $21.27 | $21.67 | $21.80 | ||||||||||||||||||
Total Returnc | (5.44% | ) | (39.94% | ) | 19.48% | 1.92% | 2.01% | (9.85% | ) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $17,935 | $21,137 | $33,672 | $59,819 | $104,617 | $143,742 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.29% | ) | (1.35% | ) | (0.26% | ) | 2.98% | 3.79% | (0.45% | ) | ||||||||||||||
Combined net investment incomed | — | — | — | — | — | 2.22% | ||||||||||||||||||
Total expensese | 1.47% | 1.47% | 1.46% | 1.47% | 1.40% | 1.39% | ||||||||||||||||||
Net expensese | 1.47% | 1.47% | 1.46% | 1.47% | 1.40% | 1.38% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.54 | $24.37 | $20.77 | $21.28 | $21.51 | $24.34 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.32 | ) | (.06 | ) | .51 | (.22 | ) | (.22 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.69 | ) | (9.51 | ) | 4.03 | (.33 | ) | .55 | (2.28 | ) | ||||||||||||||
Total from investment operations | (.83 | ) | (9.83 | ) | 3.97 | .18 | .33 | (2.50 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Total distributions | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Net asset value, end of period | $13.71 | $14.54 | $24.37 | $20.77 | $21.28 | $21.51 | ||||||||||||||||||
Total Returnc | (5.71% | ) | (40.34% | ) | 18.88% | 1.43% | 1.56% | (10.27% | ) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $176 | $916 | $476 | $3,744 | $11,436 | $10,390 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.79% | ) | (1.84% | ) | (0.29% | ) | 2.56% | 3.29% | (0.96% | ) | ||||||||||||||
Combined net investment incomed | — | — | — | — | — | 1.71% | ||||||||||||||||||
Total expensese | 1.96% | 1.97% | 1.97% | 1.98% | 1.90% | 1.89% | ||||||||||||||||||
Net expensese | 1.96% | 1.97% | 1.97% | 1.98% | 1.90% | 1.89% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 51 |
2
INVERSE NASDAQ-100® STRATEGY FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.78 | $24.67 | $20.97 | $21.43 | $21.61 | $24.39 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.26 | ) | (.22 | ) | .52 | (.16 | ) | (.16 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.71 | ) | (9.63 | ) | 4.29 | (.29 | ) | .54 | (2.29 | ) | ||||||||||||||
Total from investment operations | (.82 | ) | (9.89 | ) | 4.07 | .23 | .38 | (2.45 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Total distributions | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Net asset value, end of period | $13.96 | $14.78 | $24.67 | $20.97 | $21.43 | $21.61 | ||||||||||||||||||
Total Returnc | (5.55% | ) | (40.09% | ) | 19.18% | 1.65% | 1.79% | (10.04% | ) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,429 | $1,041 | $2,301 | $1,784 | $4,086 | $2,108 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.54% | ) | (1.37% | ) | (0.92% | ) | 2.61% | 3.55% | (0.70% | ) | ||||||||||||||
Combined net investment incomed | — | — | — | — | — | 1.97% | ||||||||||||||||||
Total expensese | 1.71% | 1.71% | 1.71% | 1.72% | 1.64% | 1.63% | ||||||||||||||||||
Net expensese | 1.71% | 1.71% | 1.71% | 1.72% | 1.64% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $13.62 | $22.91 | $19.63 | $20.27 | $20.63 | $23.48 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.39 | ) | (.25 | ) | .38 | (.32 | ) | (.32 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.64 | ) | (8.90 | ) | 3.90 | (.33 | ) | .52 | (2.20 | ) | ||||||||||||||
Total from investment operations | (.80 | ) | (9.29 | ) | 3.65 | .05 | .20 | (2.52 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Total distributions | — | — | (.37 | ) | (.69 | ) | (.56 | ) | (.33 | ) | ||||||||||||||
Net asset value, end of period | $12.82 | $13.62 | $22.91 | $19.63 | $20.27 | $20.63 | ||||||||||||||||||
Total Returnc | (5.87% | ) | (40.55% | ) | 18.35% | 0.85% | 1.00% | (10.73% | ) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,079 | $1,858 | $3,066 | $7,633 | $17,834 | $13,527 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.29% | ) | (2.33% | ) | (1.19% | ) | 2.05% | 2.79% | (1.46% | ) | ||||||||||||||
Combined net investment incomed | — | — | — | — | — | 1.21% | ||||||||||||||||||
Total expensese | 2.47% | 2.47% | 2.47% | 2.48% | 2.40% | 2.40% | ||||||||||||||||||
Net expensese | 2.47% | 2.47% | 2.47% | 2.48% | 2.40% | 2.39% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
52 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
INVERSE NASDAQ-100® STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
Prior to April 1, 2007, the Inverse NASDAQ-100® Strategy Fund operated under a Master-Feeder Structure. |
d | Ratios represent combined net investment income of the former Master Portfolio and the Fund. Ratios shown under the caption “Combined Net Investment Income (Loss)” for the year ended March 31, 2006 and preceding periods did not reflect the net investment income of the former Master Portfolio. | |
e | Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007 and preceding periods. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 53 |
4
FUND PROFILE (Unaudited)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PREFORMANCE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b1.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | August 20, 2001 | |||
H-Class | August 16, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
F5 Networks, Inc. | 0.5 | % | ||
Newfield Exploration Co. | 0.4 | % | ||
Edwards Lifesciences Corp. | 0.4 | % | ||
Joy Global, Inc. | 0.4 | % | ||
Lubrizol Corp. | 0.4 | % | ||
New York Community Bancorp, Inc. | 0.4 | % | ||
NetFlix, Inc. | 0.4 | % | ||
Vertex Pharmaceuticals, Inc. | 0.4 | % | ||
Dollar Tree, Inc. | 0.4 | % | ||
BorgWarner, Inc. | 0.3 | % | ||
Top Ten Total | 4.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
54 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 57.4% | ||||||||
FINANCIALS - 11.5% | ||||||||
New York Community Bancorp, Inc. | 6,290 | $ | 102,212 | |||||
Macerich Co. | 1,880 | 80,746 | ||||||
Federal Realty Investment Trust | 890 | 72,677 | ||||||
SL Green Realty Corp. | 1,130 | 71,563 | ||||||
Everest Re Group Ltd. | 810 | 70,041 | ||||||
Nationwide Health Properties, Inc. | 1,790 | 69,219 | ||||||
AMB Property Corp. | 2,430 | 64,322 | ||||||
Rayonier, Inc. | 1,160 | 58,139 | ||||||
Affiliated Managers Group, Inc.* | 740 | 57,727 | ||||||
MSCI, Inc. — Class A* | 1,700 | 56,457 | ||||||
Alexandria Real Estate Equities, Inc. | 790 | 55,300 | ||||||
UDR, Inc. | 2,590 | 54,701 | ||||||
Realty Income Corp. | 1,590 | 53,615 | ||||||
Jones Lang LaSalle, Inc. | 620 | 53,487 | ||||||
Liberty Property Trust | 1,640 | 52,316 | ||||||
Old Republic International Corp. | 3,740 | 51,799 | ||||||
Fidelity National Financial, Inc. — Class A | 3,290 | 51,686 | ||||||
Reinsurance Group of America, Inc. — Class A | 1,057 | 51,043 | ||||||
Eaton Vance Corp. | 1,710 | 49,658 | ||||||
WR Berkley Corp. | 1,819 | 49,240 | ||||||
Essex Property Trust, Inc. | 439 | 48,044 | ||||||
Cullen | 880 | 47,406 | ||||||
Transatlantic Holdings, Inc. | 920 | 46,754 | ||||||
Regency Centers Corp. | 1,180 | 46,575 | ||||||
Camden Property Trust | 970 | 46,531 | ||||||
HCC Insurance Holdings, Inc. | 1,660 | 43,309 | ||||||
Senior Housing Properties Trust | 1,840 | 43,240 | ||||||
Duke Realty Corp. | 3,640 | 42,188 | ||||||
SEI Investments Co. | 2,040 | 41,494 | ||||||
Jefferies Group, Inc. | 1,790 | 40,615 | ||||||
Commerce Bancshares, Inc. | 1,070 | 40,221 | ||||||
Arthur J Gallagher & Co. | 1,521 | 40,109 | ||||||
Hospitality Properties Trust | 1,780 | 39,747 | ||||||
BRE Properties, Inc. | 930 | 38,595 | ||||||
Mack-Cali Realty Corp. | 1,150 | 37,617 | ||||||
Raymond James Financial, Inc. | 1,440 | 36,475 | ||||||
Weingarten Realty Investors | 1,670 | 36,439 | ||||||
City National Corp. | 670 | 35,557 | ||||||
First Niagara Financial Group, Inc. | 3,020 | 35,183 | ||||||
American Financial Group, Inc. | 1,140 | 34,861 | ||||||
Brown & Brown, Inc. | 1,680 | 33,919 | ||||||
Waddell & Reed Financial, Inc. — Class A | 1,230 | 33,653 | ||||||
Highwoods Properties, Inc. | 1,030 | 33,444 | ||||||
Associated Banc-Corp | 2,500 | 32,975 | ||||||
Corporate Office Properties Trust | 860 | 32,087 | ||||||
Bank of Hawaii Corp. | 700 | 31,444 | ||||||
Omega Healthcare Investors, Inc. | 1,370 | 30,757 | ||||||
Hanover Insurance Group, Inc. | 650 | 30,550 | ||||||
Valley National Bancorp | 2,330 | 30,057 |
MARKET | ||||||||
SHARES | VALUE | |||||||
TCF Financial Corp. | 1,830 | $ | 29,628 | |||||
Greenhill & Company, Inc. | 370 | 29,348 | ||||||
FirstMerit Corp. | 1,570 | 28,762 | ||||||
Apollo Investment Corp. | 2,810 | 28,746 | ||||||
Synovus Financial Corp. | 11,350 | 27,921 | ||||||
Protective Life Corp. | 1,240 | 26,982 | ||||||
Fulton Financial Corp. | 2,870 | 26,002 | ||||||
StanCorp Financial Group, Inc. | 680 | 25,840 | ||||||
SVB Financial Group* | 608 | 25,731 | ||||||
Washington Federal, Inc. | 1,630 | 24,874 | ||||||
Westamerica Bancorporation | 420 | 22,886 | ||||||
First American Financial Corp. | 1,510 | 22,559 | ||||||
Prosperity Bancshares, Inc. | 670 | 21,755 | ||||||
Mercury General Corp. | 510 | 20,844 | ||||||
Potlatch Corp. | 580 | 19,720 | ||||||
NewAlliance Bancshares, Inc. | 1,520 | 19,182 | ||||||
Trustmark Corp. | 820 | 17,827 | ||||||
Unitrin, Inc. | 720 | 17,561 | ||||||
Webster Financial Corp. | 950 | 16,682 | ||||||
Astoria Financial Corp. | 1,190 | 16,220 | ||||||
BancorpSouth, Inc. | 1,060 | 15,031 | ||||||
Cathay General Bancorp | 1,130 | 13,436 | ||||||
International Bancshares Corp. | 770 | 13,005 | ||||||
Wilmington Trust Corp. | 1,320 | 11,854 | ||||||
Cousins Properties, Inc. | 1,491 | 10,646 | ||||||
Equity One, Inc. | 505 | 8,524 | ||||||
PacWest Bancorp | 446 | 8,501 | ||||||
Total Financials | 2,885,861 | |||||||
INFORMATION TECHNOLOGY - 9.1% | ||||||||
F5 Networks, Inc.* | 1,160 | 120,420 | ||||||
Cree, Inc.* | 1,560 | 84,692 | ||||||
Rovi Corp.* | 1,490 | 75,111 | ||||||
Lam Research Corp.* | 1,790 | 74,912 | ||||||
Equinix, Inc.* | 660 | 67,551 | ||||||
Hewitt Associates, Inc. — Class A* | 1,330 | 67,072 | ||||||
Trimble Navigation Ltd.* | 1,720 | 60,269 | ||||||
Avnet, Inc.* | 2,190 | 59,152 | ||||||
ANSYS, Inc.* | 1,310 | 55,347 | ||||||
Factset Research Systems, Inc. | 670 | 54,357 | ||||||
Skyworks Solutions, Inc.* | 2,580 | 53,354 | ||||||
Synopsys, Inc.* | 2,149 | 53,231 | ||||||
Atmel Corp.* | 6,670 | 53,093 | ||||||
Informatica Corp.* | 1,341 | 51,508 | ||||||
Alliance Data Systems Corp.* | 760 | 49,598 | ||||||
Global Payments, Inc. | 1,150 | 49,324 | ||||||
MICROS Systems, Inc.* | 1,160 | 49,103 | ||||||
Arrow Electronics, Inc.* | 1,700 | 45,441 | ||||||
Lender Processing Services, Inc. | 1,350 | 44,860 | ||||||
Solera Holdings, Inc. | 1,010 | 44,602 | ||||||
TIBCO Software, Inc.* | 2,370 | 42,044 | ||||||
Broadridge Financial Solutions, Inc. | 1,830 | 41,852 | ||||||
AOL, Inc.* | 1,540 | 38,115 | ||||||
Ingram Micro, Inc. — Class A* | 2,260 | 38,104 | ||||||
Rackspace Hosting, Inc.* | 1,390 | 36,112 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 55 |
2
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Itron, Inc.* | 580 | $ | 35,513 | |||||
Polycom, Inc.* | 1,230 | 33,554 | ||||||
Parametric Technology Corp.* | 1,670 | 32,632 | ||||||
CommScope, Inc.* | 1,370 | 32,524 | ||||||
ADTRAN, Inc. | 910 | 32,123 | ||||||
NCR Corp.* | 2,320 | 31,622 | ||||||
Jack Henry & Associates, Inc. | 1,240 | 31,620 | ||||||
Diebold, Inc. | 950 | 29,535 | ||||||
Gartner, Inc.* | 1,000 | 29,440 | ||||||
Cadence Design Systems, Inc.* | 3,850 | 29,375 | ||||||
CoreLogic, Inc. | 1,500 | 28,740 | ||||||
National Instruments Corp. | 850 | 27,761 | ||||||
Zebra Technologies Corp. — Class A* | 820 | 27,585 | ||||||
Tech Data Corp.* | 670 | 27,001 | ||||||
NeuStar, Inc. — Class A* | 1,080 | 26,849 | ||||||
Vishay Intertechnology, Inc.* | 2,700 | 26,136 | ||||||
RF Micro Devices, Inc.* | 3,940 | 24,192 | ||||||
Silicon Laboratories, Inc.* | 640 | 23,456 | ||||||
DST Systems, Inc. | 520 | 23,317 | ||||||
Plantronics, Inc. | 690 | 23,308 | ||||||
Quest Software, Inc.* | 890 | 21,885 | ||||||
International Rectifier Corp.* | 1,020 | 21,512 | ||||||
Ciena Corp.* | 1,350 | 21,019 | ||||||
Intersil Corp. — Class A | 1,790 | 20,925 | ||||||
Digital River, Inc.* | 570 | 19,403 | ||||||
Convergys Corp.* | 1,790 | 18,705 | ||||||
Acxiom Corp.* | 1,160 | 18,398 | ||||||
Semtech Corp.* | 900 | 18,171 | ||||||
ADC Telecommunications, Inc.* | 1,400 | 17,738 | ||||||
Fairchild Semiconductor International, Inc. — Class A* | 1,800 | 16,920 | ||||||
Mentor Graphics Corp.* | 1,580 | 16,701 | ||||||
ValueClick, Inc.* | 1,180 | 15,434 | ||||||
Fair Isaac Corp. | 600 | 14,796 | ||||||
Integrated Device Technology, Inc.* | 2,290 | 13,396 | ||||||
Mantech International Corp. — Class A* | 320 | 12,672 | ||||||
SRA International, Inc. — Class A* | 620 | 12,226 | ||||||
Advent Software, Inc.* | 229 | 11,952 | ||||||
ACI Worldwide, Inc.* | 480 | 10,747 | ||||||
Total Information Technology | 2,288,107 | |||||||
INDUSTRIALS - 8.7% | ||||||||
Joy Global, Inc. | 1,490 | 104,777 | ||||||
Bucyrus International, Inc. — Class A | 1,170 | 81,140 | ||||||
AMETEK, Inc. | 1,540 | 73,566 | ||||||
Manpower, Inc. | 1,190 | 62,118 | ||||||
KBR, Inc. | 2,260 | 55,686 | ||||||
Kansas City Southern* | 1,480 | 55,367 | ||||||
AGCO Corp.* | 1,340 | 52,273 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Donaldson Company, Inc. | 1,100 | $ | 51,843 | |||||
Pentair, Inc. | 1,430 | 48,091 | ||||||
URS Corp.* | 1,210 | 45,956 | ||||||
SPX Corp. | 720 | 45,562 | ||||||
BE Aerospace, Inc.* | 1,480 | 44,859 | ||||||
Timken Co. | 1,160 | 44,498 | ||||||
Waste Connections, Inc.* | 1,120 | 44,419 | ||||||
J.B. Hunt Transport Services, Inc. | 1,280 | 44,416 | ||||||
Hubbell, Inc. — Class B | 870 | 44,152 | ||||||
IDEX Corp. | 1,180 | 41,902 | ||||||
Shaw Group, Inc.* | 1,220 | 40,943 | ||||||
Gardner Denver, Inc. | 760 | 40,797 | ||||||
Aecom Technology Corp.* | 1,680 | 40,757 | ||||||
Corrections Corporation of America* | 1,600 | 39,488 | ||||||
Kennametal, Inc. | 1,180 | 36,497 | ||||||
Alliant Techsystems, Inc.* | 480 | 36,192 | ||||||
Nordson Corp. | 490 | 36,108 | ||||||
Oshkosh Corp.* | 1,310 | 36,025 | ||||||
Terex Corp.* | 1,570 | 35,984 | ||||||
Lincoln Electric Holdings, Inc. | 610 | 35,270 | ||||||
MSC Industrial Direct Co. — Class A | 640 | 34,586 | ||||||
Wabtec Corp. | 690 | 32,975 | ||||||
Regal-Beloit Corp. | 560 | 32,866 | ||||||
Copart, Inc.* | 990 | 32,640 | ||||||
Towers Watson & Co. — Class A | 650 | 31,967 | ||||||
Kirby Corp.* | 780 | 31,247 | ||||||
Thomas & Betts Corp.* | 760 | 31,175 | ||||||
Harsco Corp. | 1,160 | 28,513 | ||||||
Acuity Brands, Inc. | 630 | 27,871 | ||||||
Landstar System, Inc. | 720 | 27,806 | ||||||
Graco, Inc. | 870 | 27,605 | ||||||
Woodward Governor Co. | 850 | 27,557 | ||||||
Lennox International, Inc. | 660 | 27,515 | ||||||
Baldor Electric Co. | 680 | 27,472 | ||||||
Alaska Air Group, Inc.* | 520 | 26,536 | ||||||
Carlisle Companies, Inc. | 876 | 26,236 | ||||||
Trinity Industries, Inc. | 1,150 | 25,611 | ||||||
Crane Co. | 670 | 25,420 | ||||||
Con-way, Inc. | 790 | 24,482 | ||||||
FTI Consulting, Inc.* | 680 | 23,589 | ||||||
Valmont Industries, Inc. | 310 | 22,444 | ||||||
Clean Harbors, Inc.* | 330 | 22,357 | ||||||
Alexander & Baldwin, Inc. | 600 | 20,904 | ||||||
GATX Corp. | 670 | 19,644 | ||||||
JetBlue Airways Corp.* | 2,910 | 19,468 | ||||||
HNI Corp. | 650 | 18,694 | ||||||
Herman Miller, Inc. | 820 | 16,138 | ||||||
Rollins, Inc. | 680 | 15,898 | ||||||
Corporate Executive Board Co. | 500 | 15,780 | ||||||
Brink’s Co. | 680 | 15,640 | ||||||
AirTran Holdings, Inc.* | 1,960 | 14,406 | ||||||
Deluxe Corp. | 740 | 14,156 |
56 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Werner Enterprises, Inc. | 640 | $ | 13,114 | |||||
United Rentals, Inc.* | 870 | 12,911 | ||||||
Mine Safety Appliances Co. | 450 | 12,195 | ||||||
Granite Construction, Inc. | 490 | 11,143 | ||||||
Korn* | 670 | 11,082 | ||||||
Navigant Consulting, Inc.* | 720 | 8,374 | ||||||
Total Industrials | 2,176,703 | |||||||
CONSUMER DISCRETIONARY - 8.2% | ||||||||
NetFlix, Inc.* | 630 | 102,161 | ||||||
Dollar Tree, Inc.* | 1,830 | 89,231 | ||||||
BorgWarner, Inc.* | 1,650 | 86,823 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 450 | 77,400 | ||||||
Advance Auto Parts, Inc. | 1,220 | 71,590 | ||||||
PetSmart, Inc. | 1,710 | 59,850 | ||||||
Phillips-Van Heusen Corp. | 960 | 57,754 | ||||||
NVR, Inc.* | 80 | 51,802 | ||||||
Williams-Sonoma, Inc. | 1,560 | 49,452 | ||||||
Mohawk Industries, Inc.* | 810 | 43,173 | ||||||
LKQ Corp.* | 2,070 | 43,056 | ||||||
American Eagle Outfitters, Inc. | 2,830 | 42,337 | ||||||
Tractor Supply Co. | 1,050 | 41,643 | ||||||
Tupperware Brands Corp. | 910 | 41,642 | ||||||
Fossil, Inc.* | 770 | 41,418 | ||||||
Panera Bread Co. — Class A* | 450 | 39,875 | ||||||
Toll Brothers, Inc.* | 2,090 | 39,752 | ||||||
Gentex Corp. | 2,020 | 39,410 | ||||||
Guess?, Inc. | 920 | 37,380 | ||||||
Sotheby’s | 970 | 35,715 | ||||||
Hanesbrands, Inc.* | 1,380 | 35,687 | ||||||
Dick’s Sporting Goods, Inc.* | 1,270 | 35,611 | ||||||
Strayer Education, Inc. | 200 | 34,900 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 1,081 | 34,495 | ||||||
Warnaco Group, Inc.* | 640 | 32,723 | ||||||
Foot Locker, Inc. | 2,250 | 32,692 | ||||||
Service Corporation International | 3,760 | 32,411 | ||||||
Burger King Holdings, Inc. | 1,340 | 31,999 | ||||||
WMS Industries, Inc.* | 840 | 31,979 | ||||||
Aeropostale, Inc.* | 1,340 | 31,155 | ||||||
J Crew Group, Inc.* | 920 | 30,930 | ||||||
ITT Educational Services, Inc.* | 400 | 28,108 | ||||||
Brinker International, Inc. | 1,470 | 27,724 | ||||||
Bally Technologies, Inc.* | 780 | 27,261 | ||||||
Chico’s FAS, Inc. | 2,590 | 27,247 | ||||||
Lamar Advertising Co. — Class A* | 829 | 26,379 | ||||||
John Wiley & Sons, Inc. — Class A | 628 | 25,660 | ||||||
Life Time Fitness, Inc.* | 610 | 24,077 | ||||||
Dress Barn, Inc.* | 1,000 | 23,750 | ||||||
Under Armour, Inc. — Class A* | 510 | 22,970 | ||||||
Cheesecake Factory, Inc.* | 860 | 22,764 | ||||||
Rent-A-Center, Inc. — Class A | 950 | 21,261 | ||||||
Aaron’s, Inc. | 1,143 | 21,088 | ||||||
Wendy’s — Class A | 4,650 | 21,065 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Career Education Corp.* | 950 | $ | 20,396 | |||||
Saks, Inc.* | 2,330 | 20,038 | ||||||
Thor Industries, Inc. | 570 | 19,038 | ||||||
AnnTaylor Stores Corp.* | 850 | 17,204 | ||||||
Regis Corp. | 830 | 15,878 | ||||||
MDC Holdings, Inc. | 540 | 15,676 | ||||||
Matthews International Corp. — Class A | 430 | 15,205 | ||||||
Collective Brands, Inc.* | 930 | 15,010 | ||||||
99 Cents Only Stores* | 680 | 12,838 | ||||||
Bob Evans Farms, Inc. | 440 | 12,351 | ||||||
International Speedway Corp. — Class A | 490 | 11,956 | ||||||
KB Home | 1,040 | 11,783 | ||||||
Timberland Co. — Class A* | 580 | 11,490 | ||||||
Ryland Group, Inc. | 637 | 11,415 | ||||||
Scholastic Corp. | 400 | 11,128 | ||||||
American Greetings Corp. — Class A | 580 | 10,782 | ||||||
Barnes & Noble, Inc. | 560 | 9,078 | ||||||
Corinthian Colleges, Inc.* | 1,270 | 8,915 | ||||||
Scientific Games Corp. — Class A* | 910 | 8,827 | ||||||
Harte-Hanks, Inc. | 560 | 6,535 | ||||||
Boyd Gaming Corp.* | 810 | 5,873 | ||||||
Coldwater Creek, Inc.* | 870 | 4,585 | ||||||
Total Consumer Discretionary | 2,051,401 | |||||||
HEALTH CARE - 6.5% | ||||||||
Edwards Lifesciences Corp.* | 1,640 | 109,962 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,930 | 101,290 | ||||||
Henry Schein, Inc.* | 1,320 | 77,326 | ||||||
Perrigo Co. | 1,190 | 76,422 | ||||||
ResMed, Inc.* | 2,190 | 71,854 | ||||||
Hologic, Inc.* | 3,750 | 60,037 | ||||||
Mettler-Toledo International, Inc.* | 480 | 59,731 | ||||||
Endo Pharmaceuticals Holdings, Inc.* | 1,670 | 55,511 | ||||||
Universal Health Services, Inc. — Class B | 1,400 | 54,404 | ||||||
IDEXX Laboratories, Inc.* | 830 | 51,228 | ||||||
Beckman Coulter, Inc. | 1,000 | 48,790 | ||||||
Covance, Inc.* | 940 | 43,983 | ||||||
Allscripts Healthcare Solutions, Inc.* | 2,370 | 43,774 | ||||||
Pharmaceutical Product Development, Inc. | 1,720 | 42,639 | ||||||
Community Health Systems, Inc.* | 1,360 | 42,119 | ||||||
Omnicare, Inc. | 1,710 | 40,835 | ||||||
United Therapeutics Corp.* | 720 | 40,327 | ||||||
Health Net, Inc.* | 1,410 | 38,338 | ||||||
Mednax, Inc.* | 690 | 36,777 | ||||||
Lincare Holdings, Inc. | 1,420 | 35,628 | ||||||
Gen-Probe, Inc.* | 700 | 33,922 | ||||||
Techne Corp. | 540 | 33,334 | ||||||
Hill-Rom Holdings, Inc. | 920 | 33,019 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 57 |
4
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Teleflex, Inc. | 580 | $ | 32,932 | |||||
Kinetic Concepts, Inc.* | 900 | 32,922 | ||||||
Charles River Laboratories International, Inc.* | 959 | 31,791 | ||||||
Thoratec Corp.* | 840 | 31,063 | ||||||
STERIS Corp. | 860 | 28,569 | ||||||
Psychiatric Solutions, Inc.* | 830 | 27,846 | ||||||
Health Management Associates, Inc. — Class A* | 3,620 | 27,729 | ||||||
LifePoint Hospitals, Inc.* | 780 | 27,347 | ||||||
Owens & Minor, Inc. | 920 | 26,183 | ||||||
VCA Antech, Inc.* | 1,240 | 26,152 | ||||||
Medicis Pharmaceutical Corp. — Class A | 870 | 25,795 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 280 | 25,343 | ||||||
Masimo Corp. | 850 | 23,214 | ||||||
Immucor, Inc.* | 1,010 | 20,028 | ||||||
WellCare Health Plans, Inc.* | 610 | 17,666 | ||||||
Kindred Healthcare, Inc.* | 570 | 7,421 | ||||||
Total Health Care | 1,643,251 | |||||||
MATERIALS - 3.8% | ||||||||
Lubrizol Corp. | 980 | 103,851 | ||||||
Albemarle Corp. | 1,320 | 61,789 | ||||||
Ashland, Inc. | 1,140 | 55,598 | ||||||
Martin Marietta Materials, Inc. | 660 | 50,800 | ||||||
Sonoco Products Co. | 1,450 | 48,488 | ||||||
Valspar Corp. | 1,420 | 45,227 | ||||||
Reliance Steel & Aluminum Co. | 1,070 | 44,437 | ||||||
Aptargroup, Inc. | 970 | 44,300 | ||||||
Steel Dynamics, Inc. | 3,130 | 44,164 | ||||||
Cytec Industries, Inc. | 710 | 40,030 | ||||||
RPM International, Inc. | 1,880 | 37,450 | ||||||
Packaging Corporation of America | 1,500 | 34,755 | ||||||
Scotts Miracle-Gro Co. — Class A | 670 | 34,659 | ||||||
Cabot Corp. | 940 | 30,616 | ||||||
Temple-Inland, Inc. | 1,560 | 29,110 | ||||||
Rock-Tenn Co. — Class A | 560 | 27,894 | ||||||
Greif, Inc. — Class A | 450 | 26,478 | ||||||
Silgan Holdings, Inc. | 780 | 24,726 | ||||||
Commercial Metals Co. | 1,650 | 23,908 | ||||||
Olin Corp. | 1,140 | 22,982 | ||||||
Sensient Technologies Corp. | 720 | 21,953 | ||||||
Carpenter Technology Corp. | 640 | 21,574 | ||||||
Intrepid Potash, Inc.* | 640 | 16,685 | ||||||
NewMarket Corp. | 140 | 15,915 | ||||||
Minerals Technologies, Inc. | 269 | 15,849 | ||||||
Louisiana-Pacific Corp.* | 1,870 | 14,156 | ||||||
Worthington Industries, Inc. | 830 | 12,475 | ||||||
Total Materials | 949,869 | |||||||
UTILITIES - 3.5% National Fuel Gas Co. | 1,180 | 61,136 | ||||||
NSTAR | 1,500 | 59,025 | ||||||
Alliant Energy Corp. | 1,600 | 58,160 |
MARKET | ||||||||
SHARES | VALUE | |||||||
OGE Energy Corp. | 1,410 | $ | 56,217 | |||||
MDU Resources Group, Inc. | 2,720 | 54,264 | ||||||
Energen Corp. | 1,040 | 47,549 | ||||||
UGI Corp. | 1,590 | 45,490 | ||||||
DPL, Inc. | 1,720 | 44,944 | ||||||
N.V. Energy, Inc. | 3,400 | 44,710 | ||||||
Questar Corp. | 2,540 | 44,526 | ||||||
AGL Resources, Inc. | 1,130 | 43,347 | ||||||
Aqua America, Inc. | 1,980 | 40,392 | ||||||
Westar Energy, Inc. | 1,600 | 38,768 | ||||||
Atmos Energy Corp. | 1,300 | 38,025 | ||||||
Great Plains Energy, Inc. | 1,960 | 37,044 | ||||||
Vectren Corp. | 1,180 | 30,527 | ||||||
Hawaiian Electric Industries, Inc. | 1,350 | 30,429 | ||||||
WGL Holdings, Inc. | 730 | 27,579 | ||||||
Cleco Corp. | 880 | 26,065 | ||||||
IDACORP, Inc. | 700 | 25,144 | ||||||
Black Hills Corp. | 570 | 17,784 | ||||||
PNM Resources, Inc. | 1,250 | 14,237 | ||||||
Dynegy, Inc. — Class A* | 1,480 | 7,207 | ||||||
Total Utilities | 892,569 | |||||||
ENERGY - 3.4% | ||||||||
Newfield Exploration Co.* | 1,930 | 110,859 | ||||||
Cimarex Energy Co. | 1,219 | 80,673 | ||||||
Pride International, Inc.* | 2,540 | 74,752 | ||||||
Arch Coal, Inc. | 2,350 | 62,769 | ||||||
Plains Exploration & Production Co.* | 2,020 | 53,873 | ||||||
Forest Oil Corp.* | 1,640 | 48,708 | ||||||
Southern Union Co. | 1,800 | 43,308 | ||||||
Oceaneering International, Inc.* | 780 | 42,011 | ||||||
Patterson-UTI Energy, Inc. | 2,230 | 38,088 | ||||||
Mariner Energy, Inc.* | 1,490 | 36,103 | ||||||
Tidewater, Inc. | 740 | 33,159 | ||||||
Superior Energy Services, Inc.* | 1,140 | 30,427 | ||||||
Atwood Oceanics, Inc.* | 810 | 24,665 | ||||||
Bill Barrett Corp.* | 660 | 23,760 | ||||||
Quicksilver Resources, Inc.* | 1,700 | 21,420 | ||||||
Unit Corp.* | 570 | 21,255 | ||||||
Exterran Holdings, Inc.* | 910 | 20,666 | ||||||
Frontier Oil Corp. | 1,530 | 20,502 | ||||||
Helix Energy Solutions Group, Inc.* | 1,520 | 16,933 | ||||||
Comstock Resources, Inc.* | 680 | 15,293 | ||||||
Overseas Shipholding Group, Inc. | 390 | 13,385 | ||||||
Patriot Coal Corp.* | 1,160 | 13,236 | ||||||
Total Energy | 845,845 | |||||||
CONSUMER STAPLES - 2.3% | ||||||||
Energizer Holdings, Inc.* | 1,010 | 67,902 | ||||||
Church & Dwight Company, Inc. | 1,030 | 66,888 | ||||||
Green Mountain Coffee Roasters, Inc.* | 1,660 | 51,775 | ||||||
NBTY, Inc.* | 920 | 50,582 | ||||||
Alberto-Culver Co. | 1,240 | 46,686 |
58 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
5
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Ralcorp Holdings, Inc.* | 790 | $ | 46,199 | |||||
Hansen Natural Corp.* | 990 | 46,154 | ||||||
Corn Products International, Inc. | 1,090 | 40,875 | ||||||
Smithfield Foods, Inc.* | 2,400 | 40,392 | ||||||
BJ’s Wholesale Club, Inc.* | 790 | 32,785 | ||||||
Flowers Foods, Inc. | 1,100 | 27,324 | ||||||
Ruddick Corp. | 610 | 21,155 | ||||||
Universal Corp. | 350 | 14,032 | ||||||
Lancaster Colony Corp. | 280 | 13,300 | ||||||
Tootsie Roll Industries, Inc. | 350 | 8,708 | ||||||
Total Consumer Staples | 574,757 | |||||||
TELECOMMUNICATION SERVICES - 0.4% | ||||||||
Telephone & Data Systems, Inc. | 1,340 | 43,952 | ||||||
tw telecom inc — Class A* | 2,190 | 40,668 | ||||||
Syniverse Holdings, Inc.* | 1,000 | 22,670 | ||||||
Cincinnati Bell, Inc.* | 2,910 | 7,770 | ||||||
Total Telecommunication Services | 115,060 | |||||||
Total Common Stocks (Cost $10,707,133) | 14,423,423 | |||||||
WARRANT†† - 0.0% | ||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc.* $12.21, 03/02/12 | 510 | 25 | ||||||
Total Warrant (Cost $—) | 25 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 33.4% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | $2,749,322 | $ | 2,749,322 | |||||
HSBC Group issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 2,746,261 | 2,746,261 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% | ||||||||
due 10/01/102 | 1,466,639 | 1,466,639 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% | ||||||||
due 10/01/10 | 1,134,819 | 1,134,819 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 283,705 | 283,705 | ||||||
Total Repurchase Agreements (Cost $8,380,746) | 8,380,746 | |||||||
Total Investments – 90.8% (Cost $19,087,879) | $ | 22,804,194 | ||||||
Cash & Other Assets, Less Liabilities – 9.2% | 2,302,945 | |||||||
Total Net Assets – 100.0% | $ | 25,107,139 | ||||||
Unrealized | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $15,032,480) | 188 | $ | 412,302 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International October 2010 S&P MidCap 400 Index Swap, Terminating 10/27/103 | ||||||||
(Notional Market Value | ||||||||
$6,175,070) | 7,699 | $ | 61,154 | |||||
Morgan Stanley Capital Services, Inc. October 2010 S&P MidCap 400 Index Swap, Terminating 10/26/103 | ||||||||
(Notional Market Value | ||||||||
$386,313) | 482 | 3,803 | ||||||
Credit Suisse Capital, LLC October 2010 S&P MidCap 400 Index Swap, Terminating 10/29/103 | ||||||||
(Notional Market Value | ||||||||
$1,546,392) | 1,928 | 2,360 | ||||||
(Total Notional Market Value | ||||||||
$8,107,775) | $ | 67,317 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 59 |
5
MID-CAP 1.5x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 14,423,448 | ||
Repurchase agreement, at value | 8,380,746 | |||
Total investments | 22,804,194 | |||
Segregated cash with broker | 1,079,484 | |||
Unrealized appreciation on swap agreements | 67,317 | |||
Receivable for swap settlement | 2,843 | |||
Receivables: | ||||
Securities sold | 34,733 | |||
Fund shares sold | 1,565,148 | |||
Dividends | 12,412 | |||
Interest | 45 | |||
Total assets | 25,566,176 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 6,059 | |||
Securities purchased | 39,681 | |||
Fund shares redeemed | 372,592 | |||
Management fees | 15,074 | |||
Custodian fees | 553 | |||
Transfer agent/maintenance fees | 4,187 | |||
Distribution and service fees | 6,693 | |||
Portfolio accounting fees | 1,675 | |||
Other | 12,523 | |||
Total liabilities | 459,037 | |||
Net assets | $ | 25,107,139 | ||
Net assets consist of: | ||||
Paid in capital | 44,137,812 | |||
Accumulated net investment loss | (120,575 | ) | ||
Accumulated net realized loss on sale | ||||
of investments | (23,106,032 | ) | ||
Net unrealized appreciation in value of investments | 4,195,934 | |||
Net assets | 25,107,139 | |||
A-Class: | ||||
Net assets | $ | 766,911 | ||
Capital shares outstanding | 28,122 | |||
Net asset value per share | $27.27 | |||
Maximum offering price per share* | $28.63 | |||
C-Class: | ||||
Net assets | $ | 4,091,452 | ||
Capital shares outstanding | 162,071 | |||
Net asset value per share | $25.24 | |||
H-Class: | ||||
Net assets | $ | 20,248,776 | ||
Capital shares outstanding | 742,970 | |||
Net asset value per share | $27.25 | |||
Investments, at cost | $ | 10,707,133 | ||
Repurchase agreement, at cost | 8,380,746 | |||
Total cost | $ | 19,087,879 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 126,936 | ||
Interest | 6,539 | |||
Total investment income | 133,475 | |||
Expenses: | ||||
Management fees | 127,347 | |||
Transfer agent and administrative fees | 35,374 | |||
Distribution and Service Fees: | ||||
A-Class | 1,157 | |||
C-Class | 21,272 | |||
H-Class | 28,899 | |||
Portfolio accounting fees | 14,149 | |||
Trustees’ fees** | 1,225 | |||
Miscellaneous | 24,627 | |||
Total expenses | 254,050 | |||
Net investment loss | (120,575 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,277,738 | ) | ||
Equity index swaps | 95,638 | |||
Futures contracts | (3,110,284 | ) | ||
Net realized loss | (4,292,384 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 450,713 | |||
Equity index swaps | (1,090,350 | ) | ||
Futures contracts | 320,141 | |||
Net unrealized depreciation | (319,496 | ) | ||
Net loss | (4,611,880 | ) | ||
Net decrease in net assets resulting | ||||
from operations | $ | (4,732,455 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
60 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
MID-CAP 1.5x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (120,575 | ) | $ | (160,250 | ) | ||
Net realized gain (loss) during the period on investments | (4,292,384 | ) | 3,461,477 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (319,496 | ) | 5,812,914 | |||||
Net increase (decrease) in net assets resulting from operations | (4,732,455 | ) | 9,114,141 | |||||
Distributions To Shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 309,720 | 4,303,723 | ||||||
C-Class | 3,154,801 | 12,820,669 | ||||||
H-Class | 127,257,525 | 180,310,582 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,099,105 | ) | (4,338,121 | ) | ||||
C-Class | (2,999,607 | ) | (13,909,187 | ) | ||||
H-Class | (133,244,807 | ) | (166,937,942 | ) | ||||
Net increase (decrease) from capital share transactions | (6,621,473 | ) | 12,249,724 | |||||
Net increase (decrease) in net assets | (11,353,928 | ) | 21,363,865 | |||||
Net assets: | ||||||||
Beginning of period | 36,461,067 | 15,097,202 | ||||||
End of period | $ | 25,107,139 | $ | 36,461,067 | ||||
Accumulated net investment loss at end of period | $ | (120,575 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 11,426 | 191,775 | ||||||
C-Class | 122,683 | 710,630 | ||||||
H-Class | 4,910,398 | 8,541,819 | ||||||
Shares redeemed | ||||||||
A-Class | (41,567 | ) | (214,540 | ) | ||||
C-Class | (123,462 | ) | (784,596 | ) | ||||
H-Class | (5,313,946 | ) | (8,225,083 | ) | ||||
Total capital share activity | (434,468 | ) | 220,005 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 61 |
MID-CAP 1.5x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.89 | $13.33 | $32.39 | $41.56 | $40.14 | $31.86 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) b | (.10 | ) | (.16 | ) | — | c | .23 | .05 | .01 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .48 | 13.72 | (17.74 | ) | (7.46 | ) | 2.74 | 8.65 | ||||||||||||||||
Total from investment operations | .38 | 13.56 | (17.74 | ) | (7.23 | ) | 2.79 | 8.66 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.26 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | (1.32 | ) | (1.68 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Total distributions | — | — | (1.32 | ) | (1.94 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Net asset value, end of period | $27.27 | $26.89 | $13.33 | $32.39 | $41.56 | $40.14 | ||||||||||||||||||
Total Returnd | 1.41% | 101.73% | (54.70% | ) | (18.29% | ) | 7.11% | 27.27% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $767 | $1,567 | $1,080 | $1,571 | $2,806 | $4,948 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.75% | ) | (0.79% | ) | 0.01% | 0.57% | 0.13% | 0.03% | ||||||||||||||||
Total expenses | 1.68% | 1.69% | 1.68% | 1.67% | 1.67% | 1.92% | ||||||||||||||||||
Net expenses | 1.68% | 1.69% | 1.68% | 1.67% | 1.67% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | 61% | 219% | 204% | 226% | 296% | 528% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $24.98 | $12.47 | $30.73 | $39.82 | $38.81 | $31.03 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.17 | ) | (.27 | ) | (.17 | ) | (.08 | ) | (.23 | ) | (.25 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .43 | 12.78 | (16.77 | ) | (7.07 | ) | 2.61 | 8.41 | ||||||||||||||||
Total from investment operations | .26 | 12.51 | (16.94 | ) | (7.15 | ) | 2.38 | 8.16 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.26 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | (1.32 | ) | (1.68 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Total distributions | — | — | (1.32 | ) | (1.94 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Net asset value, end of period | $25.24 | $24.98 | $12.47 | $30.73 | $39.82 | $38.81 | ||||||||||||||||||
Total Returnd | 1.04% | 100.32% | (55.06% | ) | (18.90% | ) | 6.29% | 26.38% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $4,091 | $4,069 | $2,954 | $8,388 | $17,112 | $28,836 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.42% | ) | (1.43% | ) | (0.72% | ) | (0.20% | ) | (0.62% | ) | (0.72% | ) | ||||||||||||
Total expenses | 2.43% | 2.44% | 2.43% | 2.42% | 2.41% | 2.66% | ||||||||||||||||||
Net expenses | 2.43% | 2.44% | 2.43% | 2.42% | 2.41% | 2.40% | ||||||||||||||||||
Portfolio turnover rate | 61% | 219% | 204% | 226% | 296% | 528% |
62 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
MID-CAP 1.5x 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.89 | $13.33 | $32.40 | $41.58 | $40.17 | $31.86 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.15 | ) | .01 | .25 | .06 | — | c | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .46 | 13.71 | (17.76 | ) | (7.49 | ) | 2.72 | 8.69 | ||||||||||||||||
Total from investment operations | .36 | 13.56 | (17.75 | ) | (7.24 | ) | 2.78 | 8.69 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.26 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | (1.32 | ) | (1.68 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Total distributions | — | — | (1.32 | ) | (1.94 | ) | (1.37 | ) | (.38 | ) | ||||||||||||||
Net asset value, end of period | $27.25 | $26.89 | $13.33 | $32.40 | $41.58 | $40.17 | ||||||||||||||||||
Total Returnd | 1.34% | 101.73% | (54.71% | ) | (18.31% | ) | 7.08% | 27.36% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $20,249 | $30,825 | $11,063 | $11,763 | $24,918 | $50,883 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.75% | ) | (0.73% | ) | 0.06% | 0.61% | 0.16% | 0.01% | ||||||||||||||||
Total expenses | 1.68% | 1.68% | 1.68% | 1.67% | 1.67% | 1.90% | ||||||||||||||||||
Net expenses | 1.68% | 1.68% | 1.68% | 1.67% | 1.67% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | 61% | 219% | 204% | 226% | 296% | 528% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 63 |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b2.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | February 20, 2004 | |||
H-Class | February 20, 2004 | |||
The Fund invests principally in derivative investments such as equity index swap agreements. |
64 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE MID-CAP STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 96.9% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $853,689 | $ | 853,689 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 852,739 | 852,739 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 705,129 | 705,129 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 352,371 | 352,371 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 88,093 | 88,093 | ||||||
Total Repurchase Agreements (Cost $2,852,021) | 2,852,021 | |||||||
Total Investments – 96.9% (Cost $2,852,021) | $ | 2,852,021 | ||||||
Cash & Other Assets, Less Liabilities – 3.1% | 91,020 | |||||||
Total Net Assets – 100.0% | $ | 2,943,041 | ||||||
UNREALIZED | ||||||||
UNITS | LOSS | |||||||
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Goldman Sachs International October 2010 S&P MidCap 400 Index Swap, Terminating 10/27/103 (Notional Market Value | ||||||||
$259,225) | 323 | $(2,561 | ) | |||||
Morgan Stanley Capital Services, Inc. October 2010 S&P MidCap 400 Index Swap, Terminating 10/26/103 (Notional Market Value | ||||||||
$345,144) | 430 | (3,417 | ) | |||||
Credit Suisse Capital, LLC October 2010 S&P MidCap 400 Index Swap, Terminating 10/29/103 (Notional Market Value | ||||||||
$2,344,761) | 2,923 | (3,578 | ) | |||||
(Total Notional Market Value $2,949,130) | $(9,556 | ) | ||||||
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 65 |
INVERSE MID-CAP STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 2,852,021 | ||
Total investments | 2,852,021 | |||
Segregated cash with broker | 107,416 | |||
Receivables: | �� | |||
Fund shares sold | 10,763 | |||
Interest | 15 | |||
Total assets | 2,970,215 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 9,556 | |||
Payable for: | ||||
Fund shares redeemed | 10,104 | |||
Management fees | 2,594 | |||
Custodian fees | 95 | |||
Transfer agent/maintenance fees | 721 | |||
Distribution and service fees | 1,054 | |||
Portfolio accounting fees | 288 | |||
Other | 2,762 | |||
Total liabilities | 27,174 | |||
Net assets | $ | 2,943,041 | ||
Net assets consist of: | ||||
Paid in capital | 15,447,715 | |||
Accumulated net investment loss | (41,536 | ) | ||
Accumulated net realized loss on sale of investments | (12,453,582 | ) | ||
Net unrealized depreciation in value of investments | (9,556 | ) | ||
Net assets | 2,943,041 | |||
A-Class: | ||||
Net assets | $ | 418,536 | ||
Capital shares outstanding | 16,249 | |||
Net asset value per share | $25.76 | |||
Maximum offering price per share* | $27.04 | |||
C-Class: | ||||
Net assets | $ | 498,695 | ||
Capital shares outstanding | 20,430 | |||
Net asset value per share | $24.41 | |||
H-Class: | ||||
Net assets | $ | 2,025,810 | ||
Capital shares outstanding | 78,738 | |||
Net asset value per share | $25.73 | |||
Repurchase agreement, at cost | $ | 2,852,021 | ||
Total cost | $ | 2,852,021 | ||
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 4,551 | ||
Total investment income | 4,551 | |||
Expenses: | ||||
Management fees | 23,701 | |||
Transfer agent and administrative fees | 6,584 | |||
Distribution and Service Fees: | ||||
A-Class | 685 | |||
C-Class | 2,501 | |||
H-Class | 5,273 | |||
Portfolio accounting fees | 2,633 | |||
Trustees’ fees** | 197 | |||
Miscellaneous | 4,513 | |||
Total expenses | 46,087 | |||
Net investment loss | (41,536 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Equity index swaps | (274,273 | ) | ||
Futures contracts | (359,128 | ) | ||
Net realized loss | (633,401 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Equity index swaps | 161,030 | |||
Futures contracts | (496 | ) | ||
Net unrealized appreciation | 160,534 | |||
Net loss | (472,867 | ) | ||
Net decrease in net assets resulting from operations | $ | (514,403 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
66 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE MID-CAP STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (41,536 | ) | $ | (84,936 | ) | ||
Net realized loss during the period on investments | (633,401 | ) | (4,520,733 | ) | ||||
Net unrealized appreciation during the period on investments | 160,534 | 163,417 | ||||||
Net decrease in net assets resulting from operations | (514,403 | ) | (4,442,252 | ) | ||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 481,971 | 3,321,246 | ||||||
C-Class | 1,278,469 | 3,242,403 | ||||||
H-Class | 24,536,815 | 56,497,756 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (760,987 | ) | (2,621,482 | ) | ||||
C-Class | (1,001,633 | ) | (3,059,874 | ) | ||||
H-Class | (24,969,004 | ) | (57,174,748 | ) | ||||
Net increase (decrease) from capital share transactions | (434,369 | ) | 205,301 | |||||
Net decrease in net assets | (948,772 | ) | (4,236,951 | ) | ||||
Net assets: | ||||||||
Beginning of period | 3,891,813 | 8,128,764 | ||||||
End of period | $ | 2,943,041 | $ | 3,891,813 | ||||
Accumulated net investment loss at end of period | $ | (41,536 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 16,938 | 96,465 | ||||||
C-Class | 47,740 | 94,397 | ||||||
H-Class | 883,437 | 1,600,220 | ||||||
Shares redeemed | ||||||||
A-Class | (27,484 | ) | (79,043 | ) | ||||
C-Class | (37,596 | ) | (91,190 | ) | ||||
H-Class | (910,386 | ) | (1,646,993 | ) | ||||
Total capital share activity | (27,351 | ) | (26,144 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 67 |
INVERSE MID-CAP STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.37 | $48.21 | $37.07 | $33.78 | $37.03 | $44.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.52 | ) | (.22 | ) | .81 | 1.35 | .87 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.40 | ) | (20.32 | ) | 11.40 | 3.11 | (1.81 | ) | (7.20 | ) | ||||||||||||||
Total from investment operations | (1.61 | ) | (20.84 | ) | 11.18 | 3.92 | (.46 | ) | (6.33 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Total distributions | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Net asset value, end of period | $25.76 | $27.37 | $48.21 | $37.07 | $33.78 | $37.03 | ||||||||||||||||||
Total Returnc | (5.88% | ) | (43.23% | ) | 30.14% | 11.83% | (1.35% | ) | (14.44% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $419 | $733 | $452 | $906 | $477 | $161 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.51% | ) | (1.56% | ) | (0.55% | ) | 2.35% | 3.52% | 2.12% | |||||||||||||||
Total expenses | 1.68% | 1.69% | 1.68% | 1.66% | 1.65% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.03 | $46.24 | $35.82 | $32.89 | $36.43 | $43.62 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.29 | ) | (.75 | ) | (.41 | ) | .60 | 1.05 | .15 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.33 | ) | (19.46 | ) | 10.87 | 2.96 | (1.80 | ) | (6.69 | ) | ||||||||||||||
Total from investment operations | (1.62 | ) | (20.21 | ) | 10.46 | 3.56 | (.75 | ) | (6.54 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Total distributions | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Net asset value, end of period | $24.41 | $26.03 | $46.24 | $35.82 | $32.89 | $36.43 | ||||||||||||||||||
Total Returnc | (6.22% | ) | (43.71% | ) | 29.18% | 11.05% | (2.19% | ) | (15.05% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $499 | $268 | $327 | $1,478 | $801 | $1,147 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.25% | ) | (2.30% | ) | (1.07% | ) | 1.83% | 2.81% | 1.54% | |||||||||||||||
Total expenses | 2.42% | 2.43% | 2.43% | 2.41% | 2.40% | 2.41% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
68 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INVERSE MID-CAP 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.35 | $48.21 | $37.07 | $33.78 | $37.04 | $44.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.55 | ) | (.27 | ) | .78 | 1.35 | .83 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.41 | ) | (20.31 | ) | 11.45 | 3.14 | (1.82 | ) | (7.15 | ) | ||||||||||||||
Total from investment operations | (1.62 | ) | (20.86 | ) | 11.18 | 3.92 | (.47 | ) | (6.32 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Total distributions | — | — | (.04 | ) | (.63 | ) | (2.79 | ) | (.65 | ) | ||||||||||||||
Net asset value, end of period | $25.73 | $27.35 | $48.21 | $37.07 | $33.78 | $37.04 | ||||||||||||||||||
Total Returnc | (5.92% | ) | (43.27% | ) | 30.14% | 11.83% | (1.38% | ) | (14.42% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,026 | $2,891 | $7,350 | $46,630 | $15,531 | $18,475 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.51% | ) | (1.55% | ) | (0.62% | ) | 2.26% | 3.51% | 2.01% | |||||||||||||||
Total expenses | 1.68% | 1.68% | 1.70% | 1.65% | 1.66% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 69 |
FUND PROFILE (Unaudited)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b3.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | January 23, 2001 | |||
H-Class | November 1, 2000 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
TIBCO Software, Inc. | 0.1 | % | ||
Riverbed Technology, Inc. | 0.1 | % | ||
VeriFone Systems, Inc. | 0.1 | % | ||
Nordson Corp. | 0.1 | % | ||
Rackspace Hosting, Inc. | 0.1 | % | ||
Sotheby’s | 0.1 | % | ||
Highwoods Properties, Inc. | 0.1 | % | ||
Parametric Technology Corp. | 0.1 | % | ||
Warnaco Group, Inc. | 0.1 | % | ||
Dril-Quip, Inc. | 0.1 | % | ||
Top Ten Total | 1.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
70 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 42.0% | ||||||||
FINANCIALS - 8.8% | ||||||||
Highwoods Properties, Inc. | 606 | $ | 19,677 | |||||
Home Properties, Inc. | 347 | 18,356 | ||||||
MFA Financial, Inc. | 2,400 | 18,312 | ||||||
Omega Healthcare Investors, Inc. | 803 | 18,027 | ||||||
National Retail Properties, Inc. | 713 | 17,903 | ||||||
BioMed Realty Trust, Inc. | 969 | 17,364 | ||||||
Apollo Investment Corp. | 1,659 | 16,972 | ||||||
American Capital Ltd.* | 2,909 | 16,901 | ||||||
FirstMerit Corp. | 918 | 16,818 | ||||||
Entertainment Properties Trust | 389 | 16,797 | ||||||
Tanger Factory Outlet Centers | 350 | 16,499 | ||||||
American Campus Communities, Inc. | 542 | 16,498 | ||||||
Alterra Capital Holdings Ltd. | 820 | 16,334 | ||||||
Washington Real Estate Investment Trust | 509 | 16,151 | ||||||
ProAssurance Corp.* | 280 | 16,125 | ||||||
MGIC Investment Corp.* | 1,708 | 15,765 | ||||||
Mid-America Apartment Communities, Inc. | 270 | 15,736 | ||||||
CBL & Associates Properties, Inc. | 1,184 | 15,463 | ||||||
SVB Financial Group* | 359 | 15,193 | ||||||
Platinum Underwriters Holdings Ltd. | 349 | 15,188 | ||||||
Kilroy Realty Corp. | 448 | 14,847 | ||||||
Stifel Financial Corp.* | 303 | 14,026 | ||||||
LaSalle Hotel Properties | 595 | 13,917 | ||||||
Signature Bank * | 353 | 13,711 | ||||||
Westamerica Bancorporation | 246 | 13,405 | ||||||
First American Financial Corp. | 876 | 13,087 | ||||||
Equity Lifestyle Properties, Inc. | 233 | 12,694 | ||||||
Healthcare Realty Trust, Inc. | 542 | 12,677 | ||||||
Prosperity Bancshares, Inc. | 386 | 12,533 | ||||||
DiamondRock Hospitality Co.* | 1,315 | 12,479 | ||||||
Extra Space Storage, Inc. | 746 | 11,966 | ||||||
Trustmark Corp. | 546 | 11,870 | ||||||
Potlatch Corp. | 349 | 11,866 | ||||||
Iberiabank Corp. | 232 | 11,595 | ||||||
Post Properties, Inc. | 415 | 11,587 | ||||||
NewAlliance Bancshares, Inc. | 902 | 11,383 | ||||||
Umpqua Holdings Corp. | 972 | 11,022 | ||||||
Northwest Bancshares, Inc. | 951 | 10,642 | ||||||
Montpelier Re Holdings Ltd. | 612 | 10,600 | ||||||
CNO Financial Group, Inc.* | 1,908 | 10,570 | ||||||
Astoria Financial Corp. | 740 | 10,086 | ||||||
Delphi Financial Group, Inc. — Class A | 400 | 9,996 | ||||||
Knight Capital Group, Inc. — Class A* | 796 | 9,862 | ||||||
Webster Financial Corp. | 560 | 9,834 | ||||||
Colonial Properties Trust | 603 | 9,763 | ||||||
PHH Corp.* | 459 | 9,667 | ||||||
Redwood Trust, Inc. | 666 | 9,630 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Medical Properties Trust, Inc. | 946 | $ | 9,592 | |||||
UMB Financial Corp. | 270 | 9,588 | ||||||
Argo Group International Holdings Ltd. | 268 | 9,310 | ||||||
Susquehanna Bancshares, Inc. | 1,100 | 9,284 | ||||||
National Health Investors, Inc. | 210 | 9,253 | ||||||
Hatteras Financial Corp. | 315 | 8,968 | ||||||
DuPont Fabros Technology, Inc. | 355 | 8,928 | ||||||
Radian Group, Inc. | 1,133 | 8,860 | ||||||
Glacier Bancorp, Inc. | 606 | 8,848 | ||||||
Portfolio Recovery Associates, Inc.* | 136 | 8,792 | ||||||
Wintrust Financial Corp. | 271 | 8,783 | ||||||
PS Business Parks, Inc. | 155 | 8,768 | ||||||
Cash America International, Inc. | 250 | 8,750 | ||||||
Sovran Self Storage, Inc. | 230 | 8,717 | ||||||
DCT Industrial Trust, Inc. | 1,806 | 8,651 | ||||||
EastGroup Properties, Inc. | 229 | 8,560 | ||||||
RLI Corp. | 150 | 8,493 | ||||||
First Financial Bancorp | 500 | 8,340 | ||||||
FNB Corp. | 974 | 8,337 | ||||||
First Financial Bankshares, Inc. | 175 | 8,223 | ||||||
United Bankshares, Inc. | 330 | 8,214 | ||||||
Tower Group, Inc. | 350 | 8,173 | ||||||
Cathay General Bancorp | 670 | 7,966 | ||||||
Starwood Property Trust, Inc. | 400 | 7,948 | ||||||
Ezcorp, Inc. — Class A* | 392 | 7,856 | ||||||
Old National Bancorp | 746 | 7,833 | ||||||
Sunstone Hotel Investors, Inc.* | 844 | 7,655 | ||||||
KBW, Inc. | 299 | 7,654 | ||||||
International Bancshares Corp. | 451 | 7,617 | ||||||
Franklin Street Properties Corp. | 600 | 7,452 | ||||||
Hancock Holding Co. | 246 | 7,397 | ||||||
MB Financial, Inc. | 456 | 7,396 | ||||||
Selective Insurance Group, Inc. | 448 | 7,298 | ||||||
First Midwest Bancorp, Inc. | 630 | 7,264 | ||||||
Anworth Mortgage Asset Corp. | 1,012 | 7,216 | ||||||
American Capital Agency Corp. | 270 | 7,174 | ||||||
First Cash Financial Services, Inc.* | 256 | 7,104 | ||||||
National Penn Bancshares, Inc. | 1,074 | 6,713 | ||||||
Whitney Holding Corp. | 820 | 6,699 | ||||||
U-Store-It Trust | 796 | 6,647 | ||||||
Capstead Mortgage Corp. | 603 | 6,555 | ||||||
Park National Corp. | 102 | 6,532 | ||||||
Community Bank System, Inc. | 283 | 6,512 | ||||||
Ocwen Financial Corp.* | 634 | 6,429 | ||||||
Columbia Banking System, Inc. | 327 | 6,426 | ||||||
Acadia Realty Trust | 336 | 6,384 | ||||||
BlackRock Kelso Capital Corp. | 553 | 6,359 | ||||||
MF Global Holdings Ltd.* | 881 | 6,343 | ||||||
Alexander’s, Inc. | 20 | 6,316 | ||||||
NBT Bancorp, Inc. | 286 | 6,312 | ||||||
Greenlight Capital Re Ltd. — Class A* | 252 | 6,305 | ||||||
Provident Financial Services, Inc. | 510 | 6,304 | ||||||
World Acceptance Corp.* | 140 | 6,182 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 71 |
2
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Pico Holdings, Inc.* | 203 | $ | 6,062 | |||||
Government Properties Income Trust | 225 | 6,008 | ||||||
Infinity Property & Casualty Corp. | 123 | 5,999 | ||||||
Lexington Realty Trust | 830 | 5,943 | ||||||
Horace Mann Educators Corp. | 330 | 5,867 | ||||||
Prospect Capital Corp. | 604 | 5,865 | ||||||
CVB Financial Corp. | 764 | 5,738 | ||||||
LTC Properties, Inc. | 223 | 5,691 | ||||||
Employers Holdings, Inc. | 360 | 5,677 | ||||||
Pennsylvania Real Estate Investment Trust | 464 | 5,503 | ||||||
Cousins Properties, Inc. | 768 | 5,484 | ||||||
Texas Capital Bancshares, Inc.* | 312 | 5,388 | ||||||
optionsXpress Holdings, Inc.* | 350 | 5,376 | ||||||
Investors Real Estate Trust | 640 | 5,363 | ||||||
Investment Technology Group, Inc.* | 376 | 5,347 | ||||||
Nelnet, Inc. — Class A | 230 | 5,262 | ||||||
Inland Real Estate Corp. | 626 | 5,202 | ||||||
Forestar Group, Inc.* | 305 | 5,200 | ||||||
Equity One, Inc. | 308 | 5,199 | ||||||
Fifth Street Finance Corp. | 463 | 5,158 | ||||||
PrivateBancorp, Inc. — Class A | 450 | 5,125 | ||||||
American Equity Investment Life Holding Co. | 500 | 5,120 | ||||||
Strategic Hotels & Resorts, Inc.* | 1,206 | 5,113 | ||||||
Sun Communities, Inc. | 165 | 5,065 | ||||||
PacWest Bancorp | 265 | 5,051 | ||||||
Brookline Bancorp, Inc. | 495 | 4,940 | ||||||
Getty Realty Corp. | 183 | 4,910 | ||||||
Hersha Hospitality Trust | 943 | 4,885 | ||||||
Investors Bancorp, Inc.* | 406 | 4,807 | ||||||
First Potomac Realty Trust | 319 | 4,785 | ||||||
First Commonwealth Financial Corp. | 876 | 4,774 | ||||||
Flagstone Reinsurance Holdings S.A. | 447 | 4,743 | ||||||
Invesco Mortgage Capital, Inc. | 220 | 4,734 | ||||||
Oriental Financial Group, Inc. | 353 | 4,695 | ||||||
Oritani Financial Corp. | 466 | 4,651 | ||||||
Navigators Group, Inc.* | 103 | 4,597 | ||||||
National Financial Partners Corp.* | 360 | 4,561 | ||||||
Compass Diversified Holdings | 279 | 4,509 | ||||||
PMI Group, Inc.* | 1,222 | 4,485 | ||||||
Safety Insurance Group, Inc. | 106 | 4,454 | ||||||
Piper Jaffray Cos.* | 152 | 4,428 | ||||||
City Holding Co. | 143 | 4,386 | ||||||
Glimcher Realty Trust | 711 | 4,373 | ||||||
United Fire & Casualty Co. | 205 | 4,348 | ||||||
Chemical Financial Corp. | 210 | 4,334 | ||||||
Dollar Financial Corp.* | 206 | 4,299 | ||||||
Sterling Bancshares, Inc. | 780 | 4,189 | ||||||
Meadowbrook Insurance Group, Inc. | 462 | 4,144 | ||||||
Enstar Group Ltd.* | 57 | 4,138 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Boston Private Financial Holdings, Inc. | 627 | $ | 4,101 | |||||
Bank of the Ozarks, Inc. | 110 | 4,080 | ||||||
Primerica, Inc. | 200 | 4,068 | ||||||
Independent Bank Corp. | 179 | 4,031 | ||||||
MarketAxess Holdings, Inc. | 232 | 3,939 | ||||||
MCG Capital Corp. | 665 | 3,884 | ||||||
Simmons First National Corp. — Class A | 137 | 3,873 | ||||||
Walter Investment Management Corp. | 221 | 3,865 | ||||||
Associated Estates Realty Corp. | 271 | 3,789 | ||||||
Evercore Partners, Inc. — Class A | 131 | 3,748 | ||||||
S&T Bancorp, Inc. | 214 | 3,728 | ||||||
Trustco Bank Corp. | 662 | 3,681 | ||||||
Western Alliance Bancorp* | 549 | 3,678 | ||||||
Home Bancshares, Inc. | 178 | 3,617 | ||||||
Cardtronics, Inc.* | 232 | 3,580 | ||||||
Ramco-Gershenson Properties Trust | 334 | 3,577 | ||||||
Artio Global Investors, Inc. — Class A | 232 | 3,550 | ||||||
Harleysville Group, Inc. | 105 | 3,443 | ||||||
Education Realty Trust, Inc. | 480 | 3,432 | ||||||
Pebblebrook Hotel Trust* | 188 | 3,386 | ||||||
Retail Opportunity Investments Corp. | 352 | 3,369 | ||||||
Cohen & Steers, Inc. | 154 | 3,342 | ||||||
SCBT Financial Corp. | 107 | 3,337 | ||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 230 | 3,324 | ||||||
Credit Acceptance Corp.* | 54 | 3,270 | ||||||
WesBanco, Inc. | 200 | 3,268 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 180 | 3,254 | ||||||
Hilltop Holdings, Inc.* | 339 | 3,248 | ||||||
Renasant Corp. | 212 | 3,225 | ||||||
Community Trust Bancorp, Inc. | 119 | 3,224 | ||||||
Dime Community Bancshares, Inc. | 232 | 3,213 | ||||||
Ashford Hospitality Trust, Inc.* | 355 | 3,213 | ||||||
Maiden Holdings Ltd. | 420 | 3,196 | ||||||
PennantPark Investment Corp. | 300 | 3,183 | ||||||
Flushing Financial Corp. | 270 | 3,121 | ||||||
FBL Financial Group, Inc. — Class A | 120 | 3,118 | ||||||
Duff & Phelps Corp. — Class A | 231 | 3,112 | ||||||
American Physicians Capital, Inc. | 75 | 3,110 | ||||||
Sandy Spring Bancorp, Inc. | 200 | 3,100 | ||||||
Hercules Technology Growth Capital, Inc. | 306 | 3,094 | ||||||
TowneBank | 205 | 3,067 | ||||||
Universal Health Realty Income Trust | 89 | 3,062 | ||||||
AMERISAFE, Inc.* | 162 | 3,042 | ||||||
Citizens Republic Bancorp, Inc.* | 3,369 | 3,036 | ||||||
FelCor Lodging Trust, Inc.* | 658 | 3,027 | ||||||
BGC Partners, Inc. — Class A | 478 | 2,854 | ||||||
CNA Surety Corp.* | 158 | 2,831 | ||||||
Cedar Shopping Centers, Inc. | 457 | 2,779 |
72 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Tompkins Financial Corp. | 70 | $ | 2,776 | |||||
Provident New York Bancorp | 330 | 2,769 | ||||||
Amtrust Financial Services, Inc. | 188 | 2,730 | ||||||
First Industrial Realty Trust, Inc.* | 538 | 2,728 | ||||||
MVC Capital, Inc. | 210 | 2,724 | ||||||
FPIC Insurance Group, Inc.* | 77 | 2,702 | ||||||
Beneficial Mutual Bancorp, Inc.* | 301 | 2,700 | ||||||
Pennymac Mortgage Investment Trust | 150 | 2,683 | ||||||
CapLease, Inc. | 480 | 2,683 | ||||||
First Financial Corp. | 90 | 2,655 | ||||||
GFI Group, Inc. | 572 | 2,654 | ||||||
eHealth, Inc.* | 204 | 2,636 | ||||||
Parkway Properties, Inc. | 177 | 2,620 | ||||||
Pinnacle Financial Partners, Inc.* | 280 | 2,573 | ||||||
Oppenheimer Holdings, Inc. — Class A | 92 | 2,571 | ||||||
StellarOne Corp. | 200 | 2,544 | ||||||
Danvers Bancorp, Inc. | 162 | 2,483 | ||||||
SY Bancorp, Inc. | 100 | 2,482 | ||||||
Lakeland Financial Corp. | 132 | 2,463 | ||||||
Univest Corporation of Pennsylvania | 140 | 2,444 | ||||||
iStar Financial, Inc.* | 796 | 2,436 | ||||||
NorthStar Realty Finance Corp. | 640 | 2,394 | ||||||
Tejon Ranch Co.* | 110 | 2,384 | ||||||
Southside Bancshares, Inc. | 126 | 2,380 | ||||||
TICC Capital Corp. | 229 | 2,370 | ||||||
Cardinal Financial Corp. | 246 | 2,364 | ||||||
Resource Capital Corp. | 372 | 2,362 | ||||||
Nara Bancorp, Inc.* | 330 | 2,330 | ||||||
Bancfirst Corp. | 57 | 2,306 | ||||||
TradeStation Group, Inc.* | 350 | 2,303 | ||||||
Cogdell Spencer, Inc. | 363 | 2,294 | ||||||
1st Source Corp. | 132 | 2,292 | ||||||
Berkshire Hills Bancorp, Inc. | 120 | 2,275 | ||||||
Washington Trust Bancorp, Inc. | 118 | 2,256 | ||||||
National Western Life Insurance Co. — Class A | 16 | 2,251 | ||||||
Encore Capital Group, Inc.* | 123 | 2,216 | ||||||
Safeguard Scientifics, Inc.* | 176 | 2,205 | ||||||
Colony Financial, Inc. | 119 | 2,199 | ||||||
GAMCO Investors, Inc. — Class A | 57 | 2,196 | ||||||
Capital Southwest Corp. | 24 | 2,179 | ||||||
Cypress Sharpridge Investments, Inc. | 158 | 2,109 | ||||||
Camden National Corp. | 60 | 2,079 | ||||||
Phoenix Companies, Inc.* | 986 | 2,071 | ||||||
Hudson Valley Holding Corp. | 106 | 2,069 | ||||||
Citizens, Inc.* | 300 | 2,067 | ||||||
WSFS Financial Corp. | 55 | 2,063 | ||||||
Kite Realty Group Trust | 464 | 2,060 | ||||||
Saul Centers, Inc. | 49 | 2,056 | ||||||
Gladstone Capital Corp. | 182 | 2,051 | ||||||
PMA Capital Corp. — Class A* | 272 | 2,051 | ||||||
Trico Bancshares | 133 | 2,044 | ||||||
Southwest Bancorp, Inc. | 157 | 2,036 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Baldwin & Lyons, Inc. — Class B | 80 | $ | 2,036 | |||||
Arrow Financial Corp. | 81 | 2,031 | ||||||
First Busey Corp. | 446 | 2,029 | ||||||
United Financial Bancorp, Inc. | 150 | 2,026 | ||||||
Suffolk Bancorp | 80 | 2,026 | ||||||
Sterling Bancorp | 231 | 2,007 | ||||||
Bank Mutual Corp. | 386 | 2,003 | ||||||
Two Harbors Investment Corp. | 220 | 1,984 | ||||||
Union First Market Bankshares Corp. | 150 | 1,959 | ||||||
Westfield Financial, Inc. | 251 | 1,958 | ||||||
International Assets Holding Corp.* | 106 | 1,919 | ||||||
Global Indemnity plc — Class A* | 119 | 1,910 | ||||||
Great Southern Bancorp, Inc. | 86 | 1,872 | ||||||
Kennedy-Wilson Holdings, Inc.* | 176 | 1,866 | ||||||
Washington Banking Co. | 134 | 1,857 | ||||||
Winthrop Realty Trust | 150 | 1,854 | ||||||
Advance America Cash Advance Centers, Inc. | 460 | 1,854 | ||||||
West Coast Bancorp* | 810 | 1,847 | ||||||
Centerstate Banks, Inc. | 215 | 1,845 | ||||||
Abington Bancorp, Inc. | 175 | 1,844 | ||||||
Main Street Capital Corp. | 116 | 1,843 | ||||||
Ameris Bancorp | 197 | 1,842 | ||||||
Calamos Asset Management, Inc. — Class A | 160 | 1,840 | ||||||
Westwood Holdings Group, Inc. | 54 | 1,827 | ||||||
Agree Realty Corp. | 72 | 1,818 | ||||||
Monmouth Real Estate Investment Corp. — Class A | 232 | 1,814 | ||||||
First Community Bancshares, Inc. | 139 | 1,793 | ||||||
SWS Group, Inc. | 250 | 1,793 | ||||||
United Community Banks, Inc.* | 797 | 1,785 | ||||||
NewStar Financial, Inc.* | 240 | 1,778 | ||||||
Presidential Life Corp. | 181 | 1,774 | ||||||
State Auto Financial Corp. | 116 | 1,764 | ||||||
First Bancorp | 129 | 1,757 | ||||||
Republic Bancorp, Inc. — Class A | 83 | 1,754 | ||||||
Triangle Capital Corp. | 108 | 1,726 | ||||||
Stewart Information Services Corp. | 152 | 1,721 | ||||||
Heartland Financial USA, Inc. | 110 | 1,693 | ||||||
Territorial Bancorp, Inc. | 100 | 1,683 | ||||||
American Physicians Service Group, Inc. | 52 | 1,682 | ||||||
First Merchants Corp. | 219 | 1,671 | ||||||
Home Federal Bancorp, Inc. | 136 | 1,655 | ||||||
Ames National Corp. | 83 | 1,655 | ||||||
Newcastle Investment Corp.* | 527 | 1,634 | ||||||
Eagle Bancorp, Inc.* | 140 | 1,607 | ||||||
NGP Capital Resources Co. | 177 | 1,604 | ||||||
Northfield Bancorp, Inc. | 148 | 1,601 | ||||||
Financial Institutions, Inc. | 90 | 1,589 | ||||||
CoBiz Financial, Inc. | 281 | 1,562 | ||||||
First Financial Holdings, Inc. | 139 | 1,548 | ||||||
German American Bancorp, Inc. | 90 | 1,544 | ||||||
Consolidated-Tomoka Land Co. | 54 | 1,540 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 73 |
4
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
American Safety Insurance Holdings Ltd.* | 94 | $ | 1,536 | |||||
OceanFirst Financial Corp. | 125 | 1,534 | ||||||
Center Financial Corp.* | 300 | 1,527 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 93 | 1,495 | ||||||
HFF, Inc. — Class A* | 160 | 1,485 | ||||||
Lakeland Bancorp, Inc. | 176 | 1,484 | ||||||
Bank of Marin Bancorp | 46 | 1,483 | ||||||
National Bankshares, Inc. | 57 | 1,471 | ||||||
BankFinancial Corp. | 160 | 1,467 | ||||||
Financial Engines, Inc.* | 110 | 1,461 | ||||||
SeaBright Holdings, Inc. | 180 | 1,451 | ||||||
Kayne Anderson Energy Development Co. | 90 | 1,444 | ||||||
CreXus Investment Corp. | 119 | 1,432 | ||||||
First of Long Island Corp. | 57 | 1,424 | ||||||
ESSA Bancorp, Inc. | 120 | 1,421 | ||||||
Excel Trust, Inc. | 126 | 1,420 | ||||||
Avatar Holdings, Inc.* | 74 | 1,412 | ||||||
Dynex Capital, Inc. | 130 | 1,401 | ||||||
FBR Capital Markets Corp.* | 446 | 1,400 | ||||||
Arlington Asset Investment Corp. — Class A | 60 | 1,399 | ||||||
First Interstate Bancsystem, Inc. — Class A | 103 | 1,386 | ||||||
Bryn Mawr Bank Corp. | 80 | 1,378 | ||||||
Ambac Financial Group, Inc.* | 2,460 | 1,365 | ||||||
Epoch Holding Corp. | 106 | 1,365 | ||||||
Bancorp, Inc.* | 202 | 1,351 | ||||||
Pacific Continental Corp. | 149 | 1,348 | ||||||
Orrstown Financial Services, Inc. | 58 | 1,343 | ||||||
Citizens & Northern Corp. | 103 | 1,339 | ||||||
MainSource Financial Group, Inc. | 175 | 1,337 | ||||||
Terreno Realty Corp.* | 72 | 1,312 | ||||||
Gladstone Investment Corp. | 190 | 1,273 | ||||||
State Bancorp, Inc. | 140 | 1,257 | ||||||
LaBranche & Company, Inc.* | 320 | 1,248 | ||||||
Diamond Hill Investment Group, Inc. | 17 | 1,241 | ||||||
Virtus Investment Partners, Inc.* | 41 | 1,241 | ||||||
Chatham Lodging Trust | 66 | 1,228 | ||||||
Bridge Bancorp, Inc. | 49 | 1,225 | ||||||
CNB Financial Corp. | 89 | 1,224 | ||||||
Capital City Bank Group, Inc. | 100 | 1,214 | ||||||
Metro Bancorp, Inc.* | 116 | 1,205 | ||||||
First Mercury Financial Corp. | 119 | 1,200 | ||||||
OmniAmerican Bancorp, Inc.* | 106 | 1,195 | ||||||
1st United Bancorp, Inc.* | 183 | 1,177 | ||||||
Donegal Group, Inc. — Class A | 90 | 1,176 | ||||||
RAIT Financial Trust* | 710 | 1,171 | ||||||
Penns Woods Bancorp, Inc. | 35 | 1,157 | ||||||
ViewPoint Financial Group | 125 | 1,156 | ||||||
National Interstate Corp. | 53 | 1,154 | ||||||
Enterprise Financial Services Corp. | 123 | 1,144 | ||||||
Life Partners Holdings, Inc. | 60 | 1,142 | ||||||
Gladstone Commercial Corp. | 66 | 1,133 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Hanmi Financial Corp.* | 880 | $ | 1,126 | |||||
Alliance Financial Corp. | 37 | 1,119 | ||||||
Harris & Harris Group, Inc.* | 261 | 1,114 | ||||||
One Liberty Properties, Inc. | 70 | 1,114 | ||||||
Peoples Bancorp, Inc. | 90 | 1,113 | ||||||
Kearny Financial Corp. | 126 | 1,113 | ||||||
Wilshire Bancorp, Inc. | 170 | 1,112 | ||||||
Heritage Financial Corp.* | 77 | 1,078 | ||||||
First Marblehead Corp.* | 459 | 1,074 | ||||||
Solar Capital Ltd. | 50 | 1,072 | ||||||
Gleacher & Company, Inc.* | 662 | 1,066 | ||||||
Thomas Properties Group, Inc. | 296 | 1,057 | ||||||
Sierra Bancorp | 85 | 1,050 | ||||||
NYMAGIC, Inc. | 40 | 1,027 | ||||||
Cowen Group, Inc. — Class A* | 311 | 1,023 | ||||||
Mission West Properties, Inc. | 150 | 1,017 | ||||||
MPG Office Trust, Inc.* | 406 | 1,015 | ||||||
Tower Bancorp, Inc. | 50 | 1,014 | ||||||
American National Bankshares, Inc. | 46 | 1,009 | ||||||
Merchants Bancshares, Inc. | 40 | 998 | ||||||
Sanders Morris Harris Group, Inc. | 176 | 996 | ||||||
First Bancorp, Inc. | 72 | 996 | ||||||
Chesapeake Lodging Trust | 60 | 982 | ||||||
ESB Financial Corp. | 70 | 974 | ||||||
THL Credit, Inc. | 80 | 942 | ||||||
Midsouth Bancorp, Inc. | 65 | 920 | ||||||
Medallion Financial Corp. | 118 | 919 | ||||||
Rockville Financial, Inc. | 80 | 919 | ||||||
Taylor Capital Group, Inc.* | 80 | 918 | ||||||
Penson Worldwide, Inc.* | 182 | 905 | ||||||
Kansas City Life Insurance Co. | 29 | 905 | ||||||
UMH Properties, Inc. | 83 | 891 | ||||||
Student Loan Corp. | 30 | 891 | ||||||
Farmer Mac — Class C | 80 | 866 | ||||||
Golub Capital BDC, Inc. | 56 | 857 | ||||||
Hallmark Financial Services* | 97 | 848 | ||||||
Meridian Interstate Bancorp, Inc.* | 80 | 843 | ||||||
Roma Financial Corp. | 80 | 842 | ||||||
Bancorp Rhode Island, Inc. | 30 | 838 | ||||||
Peapack Gladstone Financial Corp. | 71 | 836 | ||||||
MidWestOne Financial Group, Inc. | 57 | 836 | ||||||
Virginia Commerce Bancorp, Inc.* | 169 | 821 | ||||||
EMC Insurance Group, Inc. | 38 | 810 | ||||||
Home Bancorp, Inc.* | 60 | 803 | ||||||
West Bancorporation, Inc.* | 127 | 800 | ||||||
Marlin Business Services Corp.* | 66 | 792 | ||||||
Ladenburg Thalmann Financial Services, Inc.* | 776 | 792 | ||||||
First South Bancorp, Inc. | 76 | 754 | ||||||
JMP Group, Inc. | 123 | 750 | ||||||
Flagstar Bancorp, Inc.* | 394 | 717 | ||||||
Clifton Savings Bancorp, Inc. | 82 | 705 | ||||||
Asset Acceptance Capital Corp.* | 129 | 693 | ||||||
Asta Funding, Inc. | 90 | 687 | ||||||
Green Bankshares, Inc.* | 100 | 679 | ||||||
BofI Holding, Inc.* | 57 | 677 |
74 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
5
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CompuCredit Holdings Corp. | 140 | $ | 675 | |||||
Universal Insurance Holdings, Inc. | 143 | 642 | ||||||
Primus Guaranty Ltd.* | 140 | 638 | ||||||
Century Bancorp, Inc. — Class A | 26 | 621 | ||||||
Encore Bancshares, Inc.* | 70 | 503 | ||||||
Crawford & Co. — Class B* | 201 | 488 | ||||||
NASB Financial, Inc. | 29 | 480 | ||||||
Fox Chase Bancorp, Inc.* | 50 | 473 | ||||||
Pzena Investment Management, Inc. — Class A | 60 | 412 | ||||||
Porter Bancorp, Inc. | 33 | 331 | ||||||
Gerova Financial Group Ltd.* | 58 | 313 | ||||||
K-Fed Bancorp | 35 | 276 | ||||||
Rodman & Renshaw Capital Group, Inc.* | 126 | 271 | ||||||
Doral Financial Corp.* | 160 | 266 | ||||||
Waterstone Financial, Inc.* | 64 | 255 | ||||||
California First National Bancorp | 20 | 253 | ||||||
First BanCorp* | 794 | 222 | ||||||
Heritage Financial Group | 20 | 168 | ||||||
Total Financials | 1,810,544 | |||||||
INFORMATION TECHNOLOGY 7.9% | ||||||||
TIBCO Software, Inc.* | 1,432 | 25,404 | ||||||
Riverbed Technology, Inc.* | 531 | 24,203 | ||||||
VeriFone Systems, Inc.* | 727 | 22,588 | ||||||
Rackspace Hosting, Inc.* | 828 | 21,511 | ||||||
Parametric Technology Corp.* | 996 | 19,462 | ||||||
Jack Henry & Associates, Inc. | 732 | 18,666 | ||||||
ADTRAN, Inc. | 528 | 18,638 | ||||||
Concur Technologies, Inc.* | 336 | 16,612 | ||||||
Ariba, Inc.* | 778 | 14,704 | ||||||
Netlogic Microsystems, Inc.* | 526 | 14,507 | ||||||
RF Micro Devices, Inc.* | 2,293 | 14,079 | ||||||
Acme Packet, Inc.* | 370 | 14,038 | ||||||
GSI Commerce, Inc.* | 565 | 13,955 | ||||||
Plantronics, Inc. | 409 | 13,816 | ||||||
Aruba Networks, Inc.* | 635 | 13,551 | ||||||
Anixter International, Inc.* | 250 | 13,498 | ||||||
SuccessFactors, Inc.* | 534 | 13,409 | ||||||
TriQuint Semiconductor, Inc.* | 1,330 | 12,768 | ||||||
Quest Software, Inc.* | 510 | 12,541 | ||||||
Finisar Corp.* | 650 | 12,213 | ||||||
Veeco Instruments, Inc.* | 348 | 12,135 | ||||||
Microsemi Corp.* | 696 | 11,936 | ||||||
Netezza Corp.* | 442 | 11,912 | ||||||
Wright Express Corp.* | 330 | 11,784 | ||||||
CACI International, Inc. — Class A* | 260 | 11,768 | ||||||
Digital River, Inc.* | 341 | 11,608 | ||||||
Progress Software Corp.* | 349 | 11,552 | ||||||
Viasat, Inc.* | 280 | 11,511 | ||||||
Hittite Microwave Corp.* | 231 | 11,007 | ||||||
InterDigital, Inc.* | 370 | 10,956 | ||||||
Cavium Networks, Inc.* | 378 | 10,871 | ||||||
Semtech Corp.* | 532 | 10,741 | ||||||
Arris Group, Inc.* | 1,076 | 10,513 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Sapient Corp. | 876 | $ | 10,486 | |||||
ADC Telecommunications, Inc.* | 826 | 10,465 | ||||||
Blackboard, Inc.* | 289 | 10,416 | ||||||
Omnivision Technologies, Inc.* | 450 | 10,368 | ||||||
Taleo Corp. — Class A* | 352 | 10,204 | ||||||
Cirrus Logic, Inc.* | 565 | 10,080 | ||||||
Plexus Corp.* | 343 | 10,067 | ||||||
Unisys Corp.* | 360 | 10,044 | ||||||
Lawson Software, Inc.* | 1,178 | 9,978 | ||||||
Fair Isaac Corp. | 400 | 9,864 | ||||||
Cymer, Inc.* | 260 | 9,641 | ||||||
Mentor Graphics Corp.* | 908 | 9,598 | ||||||
CommVault Systems, Inc.* | 368 | 9,579 | ||||||
OpenTable, Inc.* | 140 | 9,531 | ||||||
Cognex Corp. | 349 | 9,360 | ||||||
MAXIMUS, Inc. | 152 | 9,360 | ||||||
Acxiom Corp.* | 583 | 9,246 | ||||||
ArcSight, Inc.* | 212 | 9,235 | ||||||
j2 Global Communications, Inc.* | 387 | 9,207 | ||||||
ValueClick, Inc.* | 702 | 9,182 | ||||||
Blackbaud, Inc. | 380 | 9,135 | ||||||
JDA Software Group, Inc.* | 360 | 9,130 | ||||||
Coherent, Inc.* | 225 | 9,002 | ||||||
Infinera Corp.* | 762 | 8,893 | ||||||
Fortinet, Inc.* | 355 | 8,875 | ||||||
TiVo, Inc.* | 978 | 8,861 | ||||||
Benchmark Electronics, Inc.* | 532 | 8,725 | ||||||
Blue Coat Systems, Inc.* | 356 | 8,565 | ||||||
Synaptics, Inc.* | 300 | 8,442 | ||||||
Earthlink, Inc. | 928 | 8,436 | ||||||
Sanmina-SCI Corp.* | 680 | 8,214 | ||||||
Integrated Device Technology, Inc.* | 1,390 | 8,131 | ||||||
Ultimate Software Group, Inc.* | 210 | 8,114 | ||||||
Littelfuse, Inc.* | 183 | 7,997 | ||||||
Netgear, Inc.* | 291 | 7,860 | ||||||
Tessera Technologies, Inc.* | 423 | 7,825 | ||||||
Euronet Worldwide, Inc.* | 430 | 7,736 | ||||||
MKS Instruments, Inc.* | 429 | 7,713 | ||||||
L-1 Identity Solutions, Inc. * | 656 | 7,695 | ||||||
Tekelec* | 580 | 7,517 | ||||||
Rofin-Sinar Technologies, Inc.* | 294 | 7,462 | ||||||
Mantech International Corp. — Class A* | 186 | 7,366 | ||||||
Emulex Corp.* | 692 | 7,224 | ||||||
Advent Software, Inc.* | 138 | 7,202 | ||||||
SRA International, Inc. — Class A* | 360 | 7,099 | ||||||
MicroStrategy, Inc. — Class A* | 80 | 6,929 | ||||||
Checkpoint Systems, Inc.* | 340 | 6,919 | ||||||
SAVVIS, Inc.* | 325 | 6,851 | ||||||
Comtech Telecommunications Corp. | 246 | 6,728 | ||||||
ACI Worldwide, Inc.* | 300 | 6,717 | ||||||
Sourcefire, Inc.* | 232 | 6,691 | ||||||
Power Integrations, Inc. | 210 | 6,676 | ||||||
TTM Technologies, Inc.* | 678 | 6,638 | ||||||
Websense, Inc.* | 373 | 6,617 | ||||||
Oclaro, Inc.* | 411 | 6,580 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 75 |
6
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Cabot Microelectronics Corp.* | 202 | $ | 6,500 | |||||
FEI Co.* | 329 | 6,439 | ||||||
Scansource, Inc.* | 227 | 6,297 | ||||||
Sonus Networks, Inc.* | 1,782 | 6,290 | ||||||
Insight Enterprises, Inc.* | 390 | 6,100 | ||||||
Take-Two Interactive Software, Inc.* | 600 | 6,084 | ||||||
Universal Display Corp.* | 256 | 6,016 | ||||||
Manhattan Associates, Inc.* | 202 | 5,929 | ||||||
Amkor Technology, Inc.* | 898 | 5,900 | ||||||
DealerTrack Holdings, Inc.* | 336 | 5,739 | ||||||
Harmonic, Inc.* | 828 | 5,697 | ||||||
DTS, Inc.* | 149 | 5,687 | ||||||
Applied Micro Circuits Corp.* | 561 | 5,610 | ||||||
Art Technology Group, Inc.* | 1,345 | 5,555 | ||||||
Aspen Technology, Inc.* | 530 | 5,496 | ||||||
Ebix, Inc.* | 234 | 5,487 | ||||||
CSG Systems International, Inc.* | 300 | 5,469 | ||||||
SYNNEX Corp.* | 194 | 5,459 | ||||||
Tyler Technologies, Inc.* | 267 | 5,383 | ||||||
Netscout Systems, Inc.* | 260 | 5,333 | ||||||
Constant Contact, Inc.* | 248 | 5,315 | ||||||
Power-One, Inc.* | 581 | 5,281 | ||||||
IPG Photonics Corp.* | 217 | 5,238 | ||||||
Entegris, Inc.* | 1,119 | 5,226 | ||||||
Sycamore Networks, Inc. | 160 | 5,186 | ||||||
Diodes, Inc.* | 300 | 5,127 | ||||||
Intermec, Inc.* | 416 | 5,100 | ||||||
Isilon Systems, Inc.* | 228 | 5,080 | ||||||
SolarWinds, Inc.* | 292 | 5,040 | ||||||
Terremark Worldwide, Inc.* | 486 | 5,025 | ||||||
Stratasys, Inc.* | 181 | 5,017 | ||||||
OSI Systems, Inc.* | 136 | 4,940 | ||||||
Heartland Payment Systems, Inc. | 320 | 4,870 | ||||||
DG FastChannel, Inc.* | 223 | 4,850 | ||||||
LogMeIn, Inc.* | 134 | 4,821 | ||||||
Black Box Corp. | 150 | 4,809 | ||||||
Cogent, Inc.* | 450 | 4,788 | ||||||
Syntel, Inc. | 106 | 4,717 | ||||||
Electronics for Imaging, Inc.* | 389 | 4,715 | ||||||
Lattice Semiconductor Corp.* | 990 | 4,702 | ||||||
Loral Space & Communications, Inc.* | 90 | 4,698 | ||||||
Entropic Communications, Inc.* | 482 | 4,627 | ||||||
comScore, Inc.* | 196 | 4,610 | ||||||
Park Electrochemical Corp. | 175 | 4,610 | ||||||
Volterra Semiconductor Corp.* | 211 | 4,541 | ||||||
Monolithic Power Systems, Inc.* | 276 | 4,507 | ||||||
Rogers Corp.* | 141 | 4,439 | ||||||
Standard Microsystems Corp.* | 194 | 4,425 | ||||||
Pegasystems, Inc. | 142 | 4,409 | ||||||
VirnetX Holding Corp. | 300 | 4,404 | ||||||
MTS Systems Corp. | 140 | 4,340 | ||||||
STEC, Inc.* | 346 | 4,308 | ||||||
United Online, Inc. | 753 | 4,307 | ||||||
Micrel, Inc. | 430 | 4,240 | ||||||
Brightpoint, Inc.* | 602 | 4,208 | ||||||
Radiant Systems, Inc.* | 240 | 4,104 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Bottomline Technologies, Inc.* | 263 | $ | 4,040 | |||||
NIC, Inc. | 485 | 4,021 | ||||||
ATMI, Inc.* | 270 | 4,012 | ||||||
Advanced Energy Industries, Inc.* | 305 | 3,983 | ||||||
Forrester Research, Inc.* | 120 | 3,970 | ||||||
Quantum Corp.* | 1,830 | 3,880 | ||||||
Xyratex Ltd.* | 260 | 3,858 | ||||||
TeleTech Holdings, Inc.* | 260 | 3,858 | ||||||
MIPS Technologies, Inc. — Class A* | 387 | 3,766 | ||||||
Kulicke & Soffa Industries, Inc.* | 603 | 3,733 | ||||||
TNS, Inc.* | 220 | 3,729 | ||||||
Compellent Technologies, Inc.* | 203 | 3,691 | ||||||
Ancestry.com, Inc.* | 162 | 3,687 | ||||||
iGate Corp. | 203 | 3,682 | ||||||
Formfactor, Inc.* | 428 | 3,681 | ||||||
Brooks Automation, Inc.* | 546 | 3,664 | ||||||
Oplink Communications, Inc.* | 183 | 3,631 | ||||||
Kenexa Corp.* | 203 | 3,557 | ||||||
Newport Corp.* | 312 | 3,538 | ||||||
Epicor Software Corp.* | 406 | 3,532 | ||||||
RightNow Technologies, Inc.* | 177 | 3,487 | ||||||
Internet Capital Group, Inc.* | 315 | 3,474 | ||||||
NetSuite, Inc.* | 146 | 3,441 | ||||||
Ultratech, Inc.* | 200 | 3,420 | ||||||
Ixia* | 275 | 3,410 | ||||||
Anadigics, Inc.* | 556 | 3,386 | ||||||
Internet Brands, Inc. — Class A* | 252 | 3,347 | ||||||
Avid Technology, Inc.* | 255 | 3,343 | ||||||
EPIQ Systems, Inc. | 270 | 3,310 | ||||||
Zoran Corp.* | 430 | 3,285 | ||||||
Maxwell Technologies, Inc.* | 219 | 3,200 | ||||||
LivePerson, Inc.* | 376 | 3,158 | ||||||
Silicon Image, Inc.* | 656 | 3,136 | ||||||
Synchronoss Technologies, Inc.* | 175 | 3,117 | ||||||
Sigma Designs, Inc.* | 269 | 3,091 | ||||||
Unica Corp.* | 147 | 3,084 | ||||||
FARO Technologies, Inc.* | 139 | 3,032 | ||||||
Move, Inc.* | 1,334 | 2,975 | ||||||
Daktronics, Inc. | 300 | 2,946 | ||||||
Rubicon Technology, Inc.* | 129 | 2,927 | ||||||
Methode Electronics, Inc. | 322 | 2,924 | ||||||
Actel Corp.* | 180 | 2,871 | ||||||
CTS Corp. | 296 | 2,848 | ||||||
Vocus, Inc.* | 150 | 2,772 | ||||||
SMART Modular Technologies WWH, Inc.* | 446 | 2,689 | ||||||
DivX, Inc.* | 281 | 2,678 | ||||||
Infospace, Inc.* | 308 | 2,667 | ||||||
LTX-Credence Corp.* | 1,256 | 2,625 | ||||||
Smith Micro Software, Inc.* | 260 | 2,584 | ||||||
Electro Scientific Industries, Inc.* | 230 | 2,555 | ||||||
ExlService Holdings, Inc.* | 131 | 2,548 | ||||||
Cohu, Inc. | 202 | 2,543 | ||||||
Hypercom Corp.* | 390 | 2,535 | ||||||
Ceva, Inc.* | 177 | 2,531 |
76 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
7
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Diamond Management & | ||||||||
Technology Consultants, Inc. — Class A | 200 | $ | 2,500 | |||||
Mercury Computer Systems, Inc.* | 205 | 2,466 | ||||||
Sonic Solutions, Inc.* | 216 | 2,458 | ||||||
Extreme Networks* | 780 | 2,426 | ||||||
ModusLink Global Solutions, Inc.* | 382 | 2,426 | ||||||
EMS Technologies, Inc.* | 130 | 2,422 | ||||||
Echelon Corp.* | 280 | 2,394 | ||||||
Photronics, Inc.* | 450 | 2,380 | ||||||
Knot, Inc.* | 260 | 2,374 | ||||||
Cass Information Systems, Inc. | 69 | 2,367 | ||||||
THQ, Inc.* | 580 | 2,332 | ||||||
RealNetworks, Inc.* | 708 | 2,308 | ||||||
Imation Corp.* | 246 | 2,295 | ||||||
Nanometrics, Inc.* | 150 | 2,257 | ||||||
Limelight Networks, Inc.* | 381 | 2,240 | ||||||
Rudolph Technologies, Inc.* | 269 | 2,235 | ||||||
S1 Corp.* | 429 | 2,235 | ||||||
Opnet Technologies, Inc. | 123 | 2,232 | ||||||
Measurement Specialties, Inc.* | 118 | 2,181 | ||||||
Internap Network Services Corp.* | 443 | 2,175 | ||||||
Mindspeed Technologies, Inc.* | 279 | 2,168 | ||||||
UTStarcom, Inc.* | 998 | 2,166 | ||||||
Super Micro Computer, Inc.* | 208 | 2,161 | ||||||
Lionbridge Technologies, Inc.* | 501 | 2,154 | ||||||
Novatel Wireless, Inc.* | 270 | 2,128 | ||||||
Symmetricom, Inc.* | 368 | 2,105 | ||||||
Aviat Networks, Inc.* | 510 | 2,086 | ||||||
Anaren, Inc.* | 123 | 2,065 | ||||||
Powerwave Technologies, Inc.* | 1,120 | 2,038 | ||||||
Silicon Graphics International Corp.* | 260 | 2,018 | ||||||
Digi International, Inc.* | 210 | 1,993 | ||||||
Kopin Corp.* | 561 | 1,992 | ||||||
KIT Digital, Inc.* | 166 | 1,990 | ||||||
Cray, Inc.* | 300 | 1,980 | ||||||
Actuate Corp.* | 382 | 1,967 | ||||||
Keithley Instruments, Inc. | 90 | 1,936 | ||||||
Multi-Fineline Electronix, Inc.* | 88 | 1,935 | ||||||
Liquidity Services, Inc.* | 120 | 1,921 | ||||||
LoopNet, Inc.* | 162 | 1,918 | ||||||
Pericom Semiconductor Corp.* | 220 | 1,912 | ||||||
Rosetta Stone, Inc.* | 90 | 1,912 | ||||||
IXYS Corp.* | 200 | 1,910 | ||||||
Intevac, Inc.* | 190 | 1,902 | ||||||
Integrated Silicon Solution, Inc.* | 220 | 1,894 | ||||||
Electro Rent Corp. | 142 | 1,886 | ||||||
ShoreTel, Inc.* | 380 | 1,885 | ||||||
Interactive Intelligence, Inc.* | 107 | 1,883 | ||||||
Radisys Corp.* | 198 | 1,865 | ||||||
Exar Corp.* | 310 | 1,857 | ||||||
Bel Fuse, Inc. — Class B | 89 | 1,853 | ||||||
Perficient, Inc.* | 200 | 1,828 | ||||||
support.com, Inc.* | 396 | 1,814 | ||||||
KVH Industries, Inc.* | 120 | 1,801 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Hughes Communications, Inc.* | 66 | $ | 1,798 | |||||
Supertex, Inc.* | 80 | 1,770 | ||||||
AXT, Inc.* | 264 | 1,748 | ||||||
Monotype Imaging Holdings, Inc.* | 190 | 1,738 | ||||||
Global Cash Access Holdings, Inc.* | 426 | 1,738 | ||||||
MoneyGram International, Inc.* | 702 | 1,713 | ||||||
Axcelis Technologies, Inc.* | 886 | 1,710 | ||||||
Seachange International, Inc.* | 230 | 1,704 | ||||||
SS&C Technologies Holdings, Inc.* | 105 | 1,659 | ||||||
Comverge, Inc.* | 210 | 1,651 | ||||||
Spansion, Inc. — Class A* | 110 | 1,647 | ||||||
Ciber, Inc.* | 542 | 1,631 | ||||||
Magma Design Automation, Inc.* | 439 | 1,624 | ||||||
Spectrum Control, Inc.* | 106 | 1,560 | ||||||
NVE Corp.* | 36 | 1,549 | ||||||
Technitrol, Inc. | 350 | 1,544 | ||||||
Ultra Clean Holdings* | 177 | 1,526 | ||||||
Wave Systems Corp. — Class A* | 676 | 1,514 | ||||||
TeleCommunication Systems, Inc. — Class A* | 386 | 1,509 | ||||||
DemandTec, Inc.* | 160 | 1,506 | ||||||
PROS Holdings, Inc.* | 162 | 1,503 | ||||||
Globecomm Systems, Inc.* | 179 | 1,498 | ||||||
VASCO Data Security International, Inc.* | 229 | 1,488 | ||||||
Immersion Corp.* | 250 | 1,477 | ||||||
Zygo Corp.* | 146 | 1,431 | ||||||
Digimarc Corp.* | 60 | 1,408 | ||||||
DSP Group, Inc.* | 200 | 1,400 | ||||||
Deltek, Inc.* | 170 | 1,362 | ||||||
Zix Corp.* | 476 | 1,352 | ||||||
Microtune, Inc.* | 456 | 1,322 | ||||||
Rimage Corp.* | 80 | 1,315 | ||||||
Saba Software, Inc.* | 240 | 1,306 | ||||||
Gerber Scientific, Inc.* | 210 | 1,296 | ||||||
QuinStreet, Inc.* | 86 | 1,293 | ||||||
Keynote Systems, Inc. | 111 | 1,290 | ||||||
Advanced Analogic Technologies, Inc.* | 359 | 1,260 | ||||||
Richardson Electronics, Ltd. | 120 | 1,260 | ||||||
Archipelago Learning, Inc.* | 105 | 1,257 | ||||||
BigBand Networks, Inc.* | 431 | 1,224 | ||||||
Openwave Systems, Inc.* | 712 | 1,210 | ||||||
Evergreen Solar, Inc.* | 1,646 | 1,208 | ||||||
NCI, Inc. — Class A* | 63 | 1,192 | ||||||
Travelzoo, Inc.* | 46 | 1,185 | ||||||
Mattson Technology, Inc.* | 426 | 1,171 | ||||||
Stamps.com, Inc.* | 90 | 1,170 | ||||||
PLX Technology, Inc.* | 319 | 1,155 | ||||||
Virtusa Corp.* | 119 | 1,153 | ||||||
Echo Global Logistics, Inc.* | 90 | 1,149 | ||||||
DDi Corp. | 123 | 1,137 | ||||||
Conexant Systems, Inc.* | 690 | 1,132 | ||||||
MoSys, Inc.* | 230 | 1,122 | ||||||
Integral Systems, Inc.* | 152 | 1,122 | ||||||
American Software, Inc. — Class A | 190 | 1,121 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 77 |
8
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Dice Holdings, Inc.* | 130 | $ | 1,102 | |||||
Renaissance Learning, Inc. | 108 | 1,101 | ||||||
X-Rite, Inc.* | 284 | 1,076 | ||||||
Trident Microsystems, Inc.* | 609 | 1,041 | ||||||
CDC Corporation — Class A* | 246 | 1,041 | ||||||
Hackett Group, Inc.* | 250 | 1,032 | ||||||
Online Resources Corp.* | 229 | 1,017 | ||||||
PC-Telephone, Inc.* | 160 | 982 | ||||||
Agilysys, Inc.* | 150 | 975 | ||||||
SRS Labs, Inc.* | 100 | 934 | ||||||
Computer Task Group, Inc.* | 121 | 924 | ||||||
GSI Technology, Inc.* | 160 | 917 | ||||||
Network Equipment Technologies, Inc.* | 260 | 897 | ||||||
Marchex, Inc. — Class A | 160 | 872 | ||||||
Calix, Inc.* | 60 | 862 | ||||||
FSI International, Inc.* | 316 | 841 | ||||||
CPI International, Inc.* | 60 | 840 | ||||||
Occam Networks, Inc.* | 106 | 830 | ||||||
Meru Networks, Inc.* | 46 | 793 | ||||||
ICx Technologies, Inc.* | 103 | 778 | ||||||
FalconStor Software, Inc.* | 250 | 765 | ||||||
PDF Solutions, Inc.* | 203 | 751 | ||||||
Guidance Software, Inc.* | 122 | 712 | ||||||
Tier Technologies, Inc. — Class B* | 126 | 698 | ||||||
TechTarget, Inc.* | 131 | 688 | ||||||
ePlus, Inc.* | 32 | 686 | ||||||
Hutchinson Technology, Inc.* | 196 | 680 | ||||||
Tessco Technologies, Inc. | 45 | 678 | ||||||
MaxLinear, Inc. — Class A* | 60 | 673 | ||||||
Viasystems Group, Inc.* | 40 | 608 | ||||||
Opnext, Inc.* | 377 | 592 | ||||||
Local.com Corp.* | 126 | 557 | ||||||
PC Connection, Inc.* | 80 | 546 | ||||||
SPS Commerce, Inc.* | 40 | 513 | ||||||
Presstek, Inc.* | 228 | 499 | ||||||
QAD, Inc.* | 114 | 474 | ||||||
Convio, Inc.* | 50 | 461 | ||||||
Alpha & Omega Semiconductor Ltd.* | 40 | 454 | ||||||
Network Engines, Inc.* | 310 | 453 | ||||||
TeleNav, Inc.* | 70 | 370 | ||||||
Ikanos Communications, Inc.* | 260 | 309 | ||||||
Stream Global Services, Inc.* | 50 | 202 | ||||||
Total Information Technology | 1,627,137 | |||||||
INDUSTRIALS - 6.4% Nordson Corp. | 299 | 22,033 | ||||||
Woodward Governor Co. | 516 | 16,729 | ||||||
Acuity Brands, Inc. | 376 | 16,634 | ||||||
CLARCOR, Inc. | 430 | 16,611 | ||||||
Baldor Electric Co. | 398 | 16,079 | ||||||
GrafTech International Ltd.* | 1,026 | 16,036 | ||||||
Alaska Air Group, Inc.* | 308 | 15,717 | ||||||
Hexcel Corp.* | 826 | 14,695 | ||||||
Genesee & Wyoming, Inc. — Class A* | 335 | 14,536 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Esterline Technologies Corp.* | 249 | $ | 14,250 | |||||
EMCOR Group, Inc.* | 572 | 14,065 | ||||||
JetBlue Airways Corp.* | 2,089 | 13,975 | ||||||
Clean Harbors, Inc.* | 205 | 13,889 | ||||||
Moog, Inc. — Class A* | 382 | 13,565 | ||||||
Actuant Corp. — Class A | 575 | 13,202 | ||||||
Watsco, Inc. | 233 | 12,973 | ||||||
US Airways Group, Inc.* | 1,380 | 12,765 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 250 | 12,535 | ||||||
Teledyne Technologies, Inc.* | 310 | 12,344 | ||||||
Brady Corp. — Class A | 416 | 12,135 | ||||||
Geo Group, Inc.* | 516 | 12,049 | ||||||
American Superconductor Corp.* | 380 | 11,818 | ||||||
AO Smith Corp. | 204 | 11,810 | ||||||
Curtiss-Wright Corp. | 389 | 11,787 | ||||||
HEICO Corp. | 254 | 11,593 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 221 | 11,116 | ||||||
Tetra Tech, Inc.* | 530 | 11,114 | ||||||
HNI Corp. | 384 | 11,044 | ||||||
Applied Industrial Technologies, Inc. | 360 | 11,016 | ||||||
United Stationers, Inc.* | 200 | 10,702 | ||||||
Belden, Inc. | 398 | 10,499 | ||||||
Triumph Group, Inc. | 140 | 10,443 | ||||||
Avis Budget Group, Inc.* | 880 | 10,252 | ||||||
EnerSys* | 410 | 10,238 | ||||||
Knight Transportation, Inc. | 506 | 9,781 | ||||||
Kaydon Corp. | 276 | 9,550 | ||||||
ABM Industries, Inc. | 442 | 9,543 | ||||||
Herman Miller, Inc. | 480 | 9,446 | ||||||
HUB Group, Inc. — Class A* | 322 | 9,422 | ||||||
Brink’s Co. | 400 | 9,200 | ||||||
Old Dominion Freight Line, Inc.* | 360 | 9,151 | ||||||
Corporate Executive Board Co. | 288 | 9,089 | ||||||
Middleby Corp.* | 140 | 8,875 | ||||||
Mueller Industries, Inc. | 328 | 8,689 | ||||||
CoStar Group, Inc.* | 176 | 8,573 | ||||||
Simpson Manufacturing Company, Inc. | 330 | 8,507 | ||||||
Rollins, Inc. | 362 | 8,464 | ||||||
Watts Water Technologies, Inc. — Class A | 248 | 8,444 | ||||||
AirTran Holdings, Inc.* | 1,146 | 8,423 | ||||||
Healthcare Services Group, Inc. | 368 | 8,387 | ||||||
Deluxe Corp. | 430 | 8,226 | ||||||
II-VI, Inc.* | 219 | 8,175 | ||||||
Briggs & Stratton Corp. | 429 | 8,155 | ||||||
Insituform Technologies, Inc. — Class A* | 330 | 7,979 | ||||||
United Rentals, Inc.* | 531 | 7,880 | ||||||
GeoEye, Inc.* | 189 | 7,651 | ||||||
Orbital Sciences Corp.* | 500 | 7,650 | ||||||
ESCO Technologies, Inc. | 230 | 7,650 | ||||||
Barnes Group, Inc. | 431 | 7,581 |
78 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
9
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Werner Enterprises, Inc. | 360 | $ | 7,376 | |||||
DigitalGlobe, Inc.* | 228 | 6,931 | ||||||
Skywest, Inc. | 481 | 6,715 | ||||||
Granite Construction, Inc. | 292 | 6,640 | ||||||
Franklin Electric Company, Inc. | 200 | 6,632 | ||||||
Korn* | 389 | 6,434 | ||||||
Heartland Express, Inc. | 430 | 6,394 | ||||||
Forward Air Corp. | 240 | 6,240 | ||||||
Mine Safety Appliances Co. | 230 | 6,233 | ||||||
Knoll, Inc. | 400 | 6,204 | ||||||
AAR Corp.* | 330 | 6,158 | ||||||
Robbins & Myers, Inc. | 229 | 6,133 | ||||||
Interface, Inc. — Class A | 430 | 6,119 | ||||||
RBC Bearings, Inc.* | 180 | 6,116 | ||||||
American Science & Engineering, Inc. | 80 | 5,892 | ||||||
Cubic Corp. | 143 | 5,834 | ||||||
Beacon Roofing Supply, Inc.* | 400 | 5,828 | ||||||
Kaman Corp. | 220 | 5,766 | ||||||
Amerco, Inc.* | 72 | 5,723 | ||||||
Advisory Board Co.* | 127 | 5,607 | ||||||
Quanex Building Products Corp. | 324 | 5,595 | ||||||
A123 Systems, Inc.* | 620 | 5,561 | ||||||
Steelcase, Inc. — Class A | 661 | 5,506 | ||||||
EnPro Industries, Inc.* | 176 | 5,505 | ||||||
Allegiant Travel Co. — Class A | 130 | 5,502 | ||||||
Polypore International, Inc.* | 180 | 5,429 | ||||||
Badger Meter, Inc. | 134 | 5,424 | ||||||
Unifirst Corp. | 122 | 5,386 | ||||||
Resources Connection, Inc. | 390 | 5,366 | ||||||
Arkansas Best Corp. | 220 | 5,331 | ||||||
Raven Industries, Inc. | 140 | 5,305 | ||||||
Ameron International Corp. | 78 | 5,301 | ||||||
Interline Brands, Inc.* | 283 | 5,105 | ||||||
Acacia Research — Acacia Technologies* | 290 | 5,104 | ||||||
Blount International, Inc.* | 400 | 5,092 | ||||||
TrueBlue, Inc.* | 373 | 5,091 | ||||||
Ceradyne, Inc.* | 216 | 5,044 | ||||||
EnerNOC, Inc.* | 160 | 5,026 | ||||||
Chart Industries, Inc.* | 246 | 5,009 | ||||||
Navigant Consulting, Inc.* | 425 | 4,943 | ||||||
Tennant Co. | 157 | 4,851 | ||||||
Administaff, Inc. | 180 | 4,847 | ||||||
McGrath Rentcorp | 200 | 4,790 | ||||||
Astec Industries, Inc.* | 166 | 4,736 | ||||||
SYKES Enterprises, Inc.* | 347 | 4,712 | ||||||
Universal Forest Products, Inc. | 161 | 4,709 | ||||||
Griffon Corp.* | 385 | 4,693 | ||||||
Mobile Mini, Inc.* | 305 | 4,679 | ||||||
Tutor Perini Corp.* | 232 | 4,661 | ||||||
MasTec, Inc.* | 448 | 4,623 | ||||||
CIRCOR International, Inc. | 145 | 4,582 | ||||||
Lindsay Corp. | 102 | 4,419 | ||||||
AZZ, Inc. | 103 | 4,413 | ||||||
GT Solar International, Inc.* | 523 | 4,378 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Exponent, Inc.* | 130 | $ | 4,367 | |||||
Albany International Corp. — Class A | 230 | 4,352 | ||||||
Rush Enterprises, Inc. — Class A* | 280 | 4,295 | ||||||
NACCO Industries, Inc. — Class A | 48 | 4,195 | ||||||
ATC Technology Corp.* | 169 | 4,181 | ||||||
Ladish Company, Inc.* | 134 | 4,171 | ||||||
Layne Christensen Co.* | 160 | 4,142 | ||||||
Titan International, Inc. | 300 | 4,071 | ||||||
Wabash National Corp.* | 496 | 4,013 | ||||||
Mueller Water Products, Inc. — Class A | 1,320 | 3,986 | ||||||
Tredegar Corp. | 209 | 3,967 | ||||||
John Bean Technologies Corp. | 246 | 3,963 | ||||||
Ennis, Inc. | 220 | 3,936 | ||||||
Huron Consulting Group, Inc.* | 178 | 3,914 | ||||||
Genco Shipping & Trading Ltd.* | 242 | 3,857 | ||||||
Bowne & Company, Inc. | 338 | 3,830 | ||||||
EnergySolutions, Inc. | 753 | 3,788 | ||||||
TAL International Group, Inc. | 151 | 3,657 | ||||||
Aircastle, Ltd. | 431 | 3,655 | ||||||
ICF International, Inc.* | 144 | 3,610 | ||||||
Kforce, Inc.* | 260 | 3,567 | ||||||
G&K Services, Inc. — Class A | 156 | 3,566 | ||||||
Comfort Systems USA, Inc. | 330 | 3,541 | ||||||
Viad Corp. | 176 | 3,404 | ||||||
Altra Holdings, Inc.* | 231 | 3,403 | ||||||
Consolidated Graphics, Inc.* | 80 | 3,316 | ||||||
Dycom Industries, Inc.* | 326 | 3,257 | ||||||
RSC Holdings, Inc.* | 429 | 3,200 | ||||||
Encore Wire Corp. | 155 | 3,179 | ||||||
Aerovironment, Inc.* | 140 | 3,115 | ||||||
Force Protection, Inc.* | 599 | 3,019 | ||||||
Heidrick & Struggles International, Inc. | 154 | 3,000 | ||||||
Colfax Corp.* | 199 | 2,959 | ||||||
Dolan Co.* | 260 | 2,956 | ||||||
Marten Transport Ltd. | 127 | 2,944 | ||||||
Great Lakes Dredge & Dock Corp. | 505 | 2,934 | ||||||
Sun Hydraulics Corp. | 102 | 2,875 | ||||||
Orion Marine Group, Inc.* | 229 | 2,842 | ||||||
Federal Signal Corp. | 527 | 2,841 | ||||||
Team, Inc.* | 165 | 2,840 | ||||||
Air Transport Services Group, Inc.* | 458 | 2,789 | ||||||
Applied Signal Technology, Inc. | 112 | 2,787 | ||||||
Eagle Bulk Shipping, Inc.* | 530 | 2,767 | ||||||
MYR Group, Inc.* | 166 | 2,721 | ||||||
Kelly Services, Inc. — Class A* | 230 | 2,698 | ||||||
ACCO Brands Corp.* | 466 | 2,679 | ||||||
Columbus McKinnon Corp.* | 160 | 2,654 | ||||||
Gorman-Rupp Co. | 96 | 2,646 | ||||||
SFN Group, Inc.* | 439 | 2,638 | ||||||
FreightCar America, Inc. | 105 | 2,583 | ||||||
Trex Company, Inc.* | 135 | 2,574 | ||||||
Hawaiian Holdings, Inc.* | 429 | 2,570 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 79 |
1
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Cascade Corp. | 80 | $ | 2,544 | |||||
Standex International Corp. | 105 | 2,540 | ||||||
Greenbrier Companies, Inc.* | 162 | 2,526 | ||||||
LB Foster Co. — Class A* | 87 | 2,518 | ||||||
American Reprographics Co.* | 320 | 2,512 | ||||||
Celadon Group, Inc.* | 180 | 2,486 | ||||||
Vicor Corp. | 170 | 2,484 | ||||||
GenCorp, Inc.* | 501 | 2,465 | ||||||
US Ecology, Inc. | 150 | 2,400 | ||||||
Republic Airways Holdings, Inc.* | 288 | 2,385 | ||||||
AAON, Inc. | 100 | 2,352 | ||||||
3D Systems Corp.* | 149 | 2,341 | ||||||
Gibraltar Industries, Inc.* | 259 | 2,326 | ||||||
Michael Baker Corp.* | 70 | 2,307 | ||||||
Cenveo, Inc.* | 456 | 2,294 | ||||||
Apogee Enterprises, Inc. | 250 | 2,287 | ||||||
Satcon Technology Corp.* | 608 | 2,286 | ||||||
Textainer Group Holdings Ltd. | 85 | 2,273 | ||||||
Generac Holdings, Inc.* | 165 | 2,251 | ||||||
American Commercial Lines, Inc.* | 80 | 2,230 | ||||||
Standard Parking Corp.* | 130 | 2,223 | ||||||
CBIZ, Inc.* | 370 | 2,194 | ||||||
Powell Industries, Inc.* | 70 | 2,178 | ||||||
M&F Worldwide Corp.* | 89 | 2,167 | ||||||
Commercial Vehicle Group, Inc.* | 209 | 2,128 | ||||||
School Specialty, Inc.* | 162 | 2,108 | ||||||
Sauer-Danfoss, Inc.* | 98 | 2,086 | ||||||
PMFG, Inc.* | 122 | 2,080 | ||||||
Taser International, Inc.* | 522 | 2,025 | ||||||
RailAmerica, Inc.* | 205 | 1,974 | ||||||
Excel Maritime Carriers Ltd. — Class A* | 350 | 1,967 | ||||||
Herley Industries, Inc.* | 119 | 1,964 | ||||||
Ducommun, Inc. | 90 | 1,960 | ||||||
Energy Conversion Devices, Inc.* | 389 | 1,953 | ||||||
Kadant, Inc.* | 103 | 1,948 | ||||||
Hawk Corp. — Class A* | 45 | 1,947 | ||||||
Saia, Inc.* | 130 | 1,941 | ||||||
Ener1, Inc.* | 520 | 1,914 | ||||||
Trimas Corp.* | 126 | 1,871 | ||||||
H&E Equipment Services, Inc.* | 228 | 1,817 | ||||||
Titan Machinery, Inc.* | 110 | 1,793 | ||||||
Advanced Battery Technologies, Inc.* | 499 | 1,791 | ||||||
Pacer International, Inc.* | 292 | 1,764 | ||||||
Tecumseh Products Co. — Class A* | 150 | 1,721 | ||||||
Dynamic Materials Corp. | 112 | 1,692 | ||||||
Schawk, Inc. — Class A | 90 | 1,661 | ||||||
Ampco-Pittsburgh Corp. | 66 | 1,638 | ||||||
Microvision, Inc.* | 746 | 1,634 | ||||||
CRA International, Inc.* | 90 | 1,625 | ||||||
On Assignment, Inc.* | 305 | 1,601 | ||||||
Sterling Construction Company, Inc.* | 129 | 1,597 | ||||||
Capstone Turbine Corp.* | 2,052 | 1,584 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Kimball International, Inc. — Class B | 270 | $ | 1,574 | |||||
Furmanite Corp.* | 320 | 1,562 | ||||||
Baltic Trading Ltd. | 140 | 1,541 | ||||||
APAC Customer Services, Inc.* | 270 | 1,528 | ||||||
International Shipholding Corp. | 54 | 1,525 | ||||||
DXP Enterprises, Inc.* | 80 | 1,518 | ||||||
Aceto Corp. | 220 | 1,494 | ||||||
Houston Wire & Cable Co. | 147 | 1,474 | ||||||
Broadwind Energy, Inc.* | 786 | 1,470 | ||||||
Northwest Pipe Co.* | 82 | 1,435 | ||||||
American Woodmark Corp. | 80 | 1,418 | ||||||
NCI Building Systems, Inc.* | 148 | 1,410 | ||||||
PowerSecure International, Inc.* | 150 | 1,389 | ||||||
Kratos Defense & Security Solutions, Inc.* | 130 | 1,384 | ||||||
Multi-Color Corp. | 88 | 1,355 | ||||||
Insteel Industries, Inc. | 150 | 1,347 | ||||||
Mistras Group, Inc.* | 116 | 1,343 | ||||||
Astronics Corp.* | 76 | 1,326 | ||||||
Innerworkings, Inc.* | 200 | 1,314 | ||||||
LaBarge, Inc.* | 103 | 1,286 | ||||||
Courier Corp. | 90 | 1,280 | ||||||
Energy Recovery, Inc.* | 355 | 1,274 | ||||||
American Railcar Industries, Inc.* | 80 | 1,254 | ||||||
Met-Pro Corp. | 124 | 1,251 | ||||||
Alamo Group, Inc. | 56 | 1,250 | ||||||
CAI International, Inc.* | 82 | 1,244 | ||||||
Graham Corp. | 80 | 1,242 | ||||||
CDI Corp. | 96 | 1,240 | ||||||
Metalico, Inc.* | 319 | 1,222 | ||||||
Ultrapetrol Bahamas Ltd.* | 190 | 1,220 | ||||||
Miller Industries, Inc. | 86 | 1,164 | ||||||
Dynamex, Inc.* | 76 | 1,159 | ||||||
VSE Corp. | 32 | 1,129 | ||||||
GP Strategies Corp.* | 123 | 1,118 | ||||||
LMI Aerospace, Inc.* | 70 | 1,114 | ||||||
Primoris Services Corp. | 170 | 1,112 | ||||||
Horizon Lines, Inc. — Class A | 260 | 1,092 | ||||||
Douglas Dynamics, Inc. | 88 | 1,087 | ||||||
Lydall, Inc.* | 146 | 1,075 | ||||||
Flow International Corp.* | 402 | 1,057 | ||||||
USA Truck, Inc.* | 70 | 1,049 | ||||||
LSI Industries, Inc. | 162 | 1,040 | ||||||
Pike Electric Corp.* | 140 | 1,019 | ||||||
Thermadyne Holdings Corp.* | 70 | 989 | ||||||
Hill International, Inc.* | 220 | 986 | ||||||
Hudson Highland Group, Inc.* | 282 | 970 | ||||||
Roadrunner Transportation Systems, Inc.* | 89 | 965 | ||||||
Volt Information Sciences, Inc.* | 132 | 950 | ||||||
Twin Disc, Inc. | 68 | 949 | ||||||
Fuel Tech, Inc.* | 150 | 941 | ||||||
Park-Ohio Holdings Corp.* | 70 | 931 | ||||||
FuelCell Energy, Inc.* | 746 | 918 | ||||||
Barrett Business Services, Inc. | 60 | 911 |
80 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Builders FirstSource, Inc.* | 387 | $ | 882 | |||||
Casella Waste Systems, Inc. — | ||||||||
Class A* | 210 | 882 | ||||||
Franklin Covey Co.* | 110 | 875 | ||||||
Pinnacle Airlines Corp.* | 156 | 847 | ||||||
Universal Truckload Services, Inc.* | 53 | 830 | ||||||
UQM Technologies, Inc.* | 310 | 794 | ||||||
Xerium Technologies, Inc.* | 60 | 791 | ||||||
Applied Energetics, Inc.* | 656 | 735 | ||||||
Patriot Transportation Holding, Inc.* | 10 | 701 | ||||||
Preformed Line Products Co. | 20 | 697 | ||||||
PAM Transportation Services, Inc.* | 50 | 629 | ||||||
Global Defense Technology & Systems, Inc.* | 40 | 548 | ||||||
Argan, Inc.* | 58 | 542 | ||||||
Quality Distribution, Inc.* | 82 | 522 | ||||||
Lawson Products, Inc. | 32 | 489 | ||||||
United Capital Corp.* | 20 | 487 | ||||||
Standard Register Co. | 147 | 429 | ||||||
Coleman Cable, Inc.* | 69 | 413 | ||||||
Hoku Corp.* | 146 | 399 | ||||||
PGT, Inc.* | 160 | 365 | ||||||
BlueLinx Holdings, Inc.* | 90 | 359 | ||||||
Omega Flex, Inc. | 22 | 314 | ||||||
LECG Corp.* | 220 | 242 | ||||||
Compx International, Inc. | 15 | 198 | ||||||
Total Industrials | 1,322,465 | |||||||
CONSUMER DISCRETIONARY - 5.9% | ||||||||
Sotheby’s | 582 | 21,429 | ||||||
Warnaco Group, Inc.* | 374 | 19,123 | ||||||
Polaris Industries, Inc. | 272 | 17,707 | ||||||
Deckers Outdoor Corp.* | 326 | 16,287 | ||||||
Tenneco, Inc.* | 510 | 14,775 | ||||||
Dana Holding Corp.* | 1,196 | 14,735 | ||||||
Jones Apparel Group, Inc. | 748 | 14,691 | ||||||
Life Time Fitness, Inc.* | 364 | 14,367 | ||||||
Valassis Communications, Inc.* | 420 | 14,234 | ||||||
Cheesecake Factory, Inc.* | 531 | 14,056 | ||||||
Under Armour, Inc. — Class A* | 298 | 13,422 | ||||||
Carter’s, Inc.* | 506 | 13,323 | ||||||
Rent-A-Center, Inc. — Class A | 562 | 12,578 | ||||||
ArvinMeritor, Inc.* | 796 | 12,370 | ||||||
Wolverine World Wide, Inc. | 420 | 12,184 | ||||||
Dress Barn, Inc.* | 505 | 11,994 | ||||||
Live Nation Entertainment, Inc.* | 1,200 | 11,856 | ||||||
Vail Resorts, Inc.* | 314 | 11,781 | ||||||
Coinstar, Inc.* | 267 | 11,478 | ||||||
Capella Education Co.* | 147 | 11,410 | ||||||
Brunswick Corp. | 746 | 11,354 | ||||||
Childrens Place Retail Stores, Inc.* | 232 | 11,315 | ||||||
Iconix Brand Group, Inc.* | 624 | 10,920 | ||||||
Men’s Wearhouse, Inc. | 450 | 10,705 | ||||||
Gymboree Corp.* | 251 | 10,427 | ||||||
Cooper Tire & Rubber Co. | 524 | 10,286 | ||||||
Jo-Ann Stores, Inc.* | 230 | 10,246 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Cracker Barrel Old Country Store, Inc. | 201 | $ | 10,203 | |||||
AnnTaylor Stores Corp.* | 490 | 9,918 | ||||||
HSN, Inc.* | 330 | 9,867 | ||||||
Saks, Inc.* | 1,147 | 9,864 | ||||||
Jack in the Box, Inc.* | 460 | 9,862 | ||||||
Jos A. Bank Clothiers, Inc.* | 227 | 9,672 | ||||||
Eastman Kodak Co.* | 2,300 | 9,660 | ||||||
CROCS, Inc.* | 732 | 9,523 | ||||||
OfficeMax, Inc.* | 725 | 9,490 | ||||||
Dillard’s, Inc. — Class A | 400 | 9,456 | ||||||
Regis Corp. | 492 | 9,412 | ||||||
PF Chang’s China Bistro, Inc. | 200 | 9,240 | ||||||
Matthews International Corp. — Class A | 260 | 9,194 | ||||||
Sally Beauty Holdings, Inc.* | 802 | 8,982 | ||||||
Collective Brands, Inc.* | 551 | 8,893 | ||||||
Gaylord Entertainment Co.* | 290 | 8,845 | ||||||
Orient-Express Hotels Ltd. — Class A* | 782 | 8,719 | ||||||
Steven Madden Ltd.* | 211 | 8,664 | ||||||
Pool Corp. | 419 | 8,409 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 270 | 7,884 | ||||||
Talbots, Inc.* | 596 | 7,808 | ||||||
Cinemark Holdings, Inc. | 481 | 7,744 | ||||||
Monro Muffler Brake, Inc. | 166 | 7,654 | ||||||
Bob Evans Farms, Inc. | 263 | 7,382 | ||||||
99 Cents Only Stores* | 390 | 7,363 | ||||||
Pier 1 Imports, Inc.* | 896 | 7,338 | ||||||
Scholastic Corp. | 258 | 7,178 | ||||||
Buffalo Wild Wings, Inc.* | 149 | 7,136 | ||||||
Timberland Co. — Class A* | 352 | 6,973 | ||||||
Skechers U.S.A., Inc. — Class A* | 293 | 6,883 | ||||||
Texas Roadhouse, Inc. — Class A* | 489 | 6,875 | ||||||
DineEquity, Inc.* | 149 | 6,702 | ||||||
Ryland Group, Inc. | 373 | 6,684 | ||||||
National CineMedia, Inc. | 371 | 6,641 | ||||||
Ruby Tuesday, Inc.* | 550 | 6,529 | ||||||
Helen of Troy Ltd.* | 256 | 6,474 | ||||||
Arbitron, Inc. | 230 | 6,433 | ||||||
K12, Inc.* | 220 | 6,387 | ||||||
Cabela’s, Inc.* | 336 | 6,377 | ||||||
American Greetings Corp. — | ||||||||
Class A | 342 | 6,358 | ||||||
Group 1 Automotive, Inc.* | 212 | 6,335 | ||||||
CEC Entertainment, Inc.* | 180 | 6,179 | ||||||
Cato Corp. — Class A | 230 | 6,155 | ||||||
Hibbett Sports, Inc.* | 246 | 6,138 | ||||||
Finish Line, Inc. — Class A | 430 | 5,981 | ||||||
Genesco, Inc.* | 200 | 5,976 | ||||||
Maidenform Brands, Inc.* | 205 | 5,914 | ||||||
Shutterfly, Inc.* | 226 | 5,874 | ||||||
Columbia Sportswear Co. | 100 | 5,844 | ||||||
Grand Canyon Education, Inc.* | 265 | 5,811 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 81 |
3
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Pinnacle Entertainment, Inc.* | 519 | $ | 5,787 | |||||
BJ’s Restaurants, Inc.* | 204 | 5,745 | ||||||
Buckle, Inc. | 216 | 5,733 | ||||||
Meritage Homes Corp.* | 283 | 5,552 | ||||||
NutriSystem, Inc. | 279 | 5,368 | ||||||
Scientific Games Corp. — Class A* | 550 | 5,335 | ||||||
Corinthian Colleges, Inc.* | 756 | 5,307 | ||||||
Dex One Corp.* | 426 | 5,231 | ||||||
Barnes & Noble, Inc. | 318 | 5,155 | ||||||
Modine Manufacturing Co.* | 390 | 5,058 | ||||||
American Public Education, Inc.* | 150 | 4,929 | ||||||
Penske Automotive Group, Inc.* | 372 | 4,910 | ||||||
Belo Corp. — Class A* | 785 | 4,867 | ||||||
Liz Claiborne, Inc.* | 800 | 4,864 | ||||||
Fuel Systems Solutions, Inc.* | 123 | 4,811 | ||||||
PEP Boys-Manny Moe & Jack | 450 | 4,761 | ||||||
Papa John’s International, Inc.* | 179 | 4,722 | ||||||
Blue Nile, Inc.* | 106 | 4,716 | ||||||
Interval Leisure Group, Inc.* | 350 | 4,714 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 512 | 4,618 | ||||||
True Religion Apparel, Inc.* | 216 | 4,609 | ||||||
Lumber Liquidators Holdings, Inc.* | 187 | 4,595 | ||||||
Steiner Leisure Ltd.* | 119 | 4,534 | ||||||
Brown Shoe Company, Inc. | 380 | 4,359 | ||||||
Quiksilver, Inc.* | 1,100 | 4,301 | ||||||
National Presto Industries, Inc. | 40 | 4,259 | ||||||
G-III Apparel Group Ltd.* | 135 | 4,236 | ||||||
Lions Gate Entertainment Corp.* | 576 | 4,234 | ||||||
Domino’s Pizza, Inc.* | 319 | 4,217 | ||||||
Sonic Corp.* | 519 | 4,194 | ||||||
Stage Stores, Inc. | 316 | 4,108 | ||||||
Ameristar Casinos, Inc. | 235 | 4,101 | ||||||
Jakks Pacific, Inc.* | 230 | 4,057 | ||||||
Pre-Paid Legal Services, Inc.* | 64 | 3,999 | ||||||
Fred’s, Inc. — Class A | 330 | 3,894 | ||||||
Harte-Hanks, Inc. | 330 | 3,851 | ||||||
Callaway Golf Co. | 546 | 3,822 | ||||||
Shuffle Master, Inc.* | 452 | 3,801 | ||||||
Stewart Enterprises, Inc. — Class A | 700 | 3,773 | ||||||
Churchill Downs, Inc. | 105 | 3,751 | ||||||
Zumiez, Inc.* | 177 | 3,745 | ||||||
RC2 Corp.* | 176 | 3,687 | ||||||
Ethan Allen Interiors, Inc. | 210 | 3,667 | ||||||
La-Z-Boy, Inc.* | 429 | 3,621 | ||||||
Biglari Holdings, Inc.* | 11 | 3,615 | ||||||
Standard Pacific Corporation* | 906 | 3,597 | ||||||
Vitamin Shoppe, Inc.* | 131 | 3,596 | ||||||
Knology, Inc.* | 263 | 3,532 | ||||||
Asbury Automotive Group, Inc.* | 250 | 3,517 | ||||||
PetMed Express, Inc. | 200 | 3,500 | ||||||
Universal Technical Institute, Inc. | 178 | 3,480 | ||||||
Charming Shoppes, Inc.* | 986 | 3,471 | ||||||
Superior Industries International, Inc. | 200 | 3,456 | ||||||
Sonic Automotive, Inc. — Class A* | 351 | 3,450 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Peet’s Coffee & Tea, Inc.* | 100 | $ | 3,423 | |||||
Drew Industries, Inc.* | 160 | 3,338 | ||||||
DSW, Inc. — Class A* | 116 | 3,329 | ||||||
iRobot Corp.* | 177 | 3,287 | ||||||
Boyd Gaming Corp.* | 452 | 3,277 | ||||||
Ascent Media Corp. — Class A* | 120 | 3,205 | ||||||
Select Comfort Corp.* | 460 | 3,119 | ||||||
Exide Technologies* | 651 | 3,118 | ||||||
Rue21, Inc.* | 119 | 3,071 | ||||||
Volcom, Inc.* | 160 | 3,059 | ||||||
Oxford Industries, Inc. | 126 | 2,996 | ||||||
Pacific Sunwear of California, Inc.* | 572 | 2,992 | ||||||
Wet Seal, Inc. — Class A* | 875 | 2,966 | ||||||
K-Swiss, Inc. — Class A* | 231 | 2,945 | ||||||
Citi Trends, Inc.* | 120 | 2,905 | ||||||
Coldwater Creek, Inc.* | 532 | 2,804 | ||||||
Core-Mark Holding Company, Inc.* | 90 | 2,786 | ||||||
World Wrestling Entertainment, Inc. — Class A | 200 | 2,782 | ||||||
Dorman Products, Inc.* | 90 | 2,774 | ||||||
California Pizza Kitchen, Inc.* | 160 | 2,730 | ||||||
Sinclair Broadcast Group, Inc. — Class A* | 385 | 2,703 | ||||||
AFC Enterprises, Inc.* | 215 | 2,666 | ||||||
Beazer Homes USA, Inc.* | 645 | 2,664 | ||||||
Bridgepoint Education, Inc.* | 171 | 2,644 | ||||||
Denny’s Corp.* | 846 | 2,631 | ||||||
hhgregg, Inc.* | 106 | 2,625 | ||||||
Red Robin Gourmet Burgers, Inc.* | 133 | 2,608 | ||||||
Winnebago Industries, Inc.* | 250 | 2,605 | ||||||
Universal Electronics, Inc.* | 122 | 2,544 | ||||||
Christopher & Banks Corp. | 308 | 2,436 | ||||||
Big 5 Sporting Goods Corp. | 180 | 2,416 | ||||||
Mediacom Communications Corp. — Class A* | 346 | 2,287 | ||||||
CKX, Inc.* | 466 | 2,283 | ||||||
Krispy Kreme Doughnuts, Inc.* | 492 | 2,253 | ||||||
HOT Topic, Inc. | 376 | 2,252 | ||||||
Sturm Ruger & Company, Inc. | 160 | 2,182 | ||||||
Retail Ventures, Inc.* | 200 | 2,152 | ||||||
EW Scripps Co. — Class A* | 270 | 2,128 | ||||||
Kirkland’s, Inc.* | 151 | 2,093 | ||||||
America’s Car-Mart, Inc.* | 83 | 2,090 | ||||||
Blyth, Inc. | 50 | 2,062 | ||||||
Stein Mart, Inc.* | 229 | 2,022 | ||||||
Rentrak Corp.* | 80 | 2,022 | ||||||
Lincoln Educational Services Corp.* | 139 | 2,003 | ||||||
Marcus Corp. | 169 | 2,003 | ||||||
Furniture Brands International, Inc.* | 371 | 1,996 | ||||||
Cavco Industries, Inc.* | 55 | 1,975 | ||||||
McClatchy Co. — Class A* | 502 | 1,973 | ||||||
Perry Ellis International, Inc.* | 90 | 1,966 | ||||||
Bebe Stores, Inc. | 270 | 1,947 | ||||||
Overstock.com, Inc.* | 123 | 1,934 | ||||||
Express, Inc.* | 126 | 1,916 | ||||||
Libbey, Inc.* | 139 | 1,831 |
82 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
4
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Amerigon, Inc.* | 177 | $ | 1,823 | |||||
Smith & Wesson Holding Corp.* | 510 | 1,816 | ||||||
Ambassadors Group, Inc. | 156 | 1,769 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 450 | 1,768 | ||||||
M/I Homes, Inc.* | 165 | 1,711 | ||||||
Warner Music Group Corp.* | 380 | 1,710 | ||||||
Media General, Inc. — Class A* | 190 | 1,702 | ||||||
Lithia Motors, Inc. — Class A | 177 | 1,697 | ||||||
Standard Motor Products, Inc. | 160 | 1,685 | ||||||
Leapfrog Enterprises, Inc. — Class A* | 300 | 1,644 | ||||||
Speedway Motorsports, Inc. | 103 | 1,615 | ||||||
Haverty Furniture Companies, Inc. | 148 | 1,615 | ||||||
Entercom Communications Corp. — Class A* | 205 | 1,611 | ||||||
Unifi, Inc.* | 350 | 1,578 | ||||||
Journal Communications, Inc. — Class A* | 347 | 1,565 | ||||||
Global Sources Ltd.* | 205 | 1,548 | ||||||
Shoe Carnival, Inc.* | 76 | 1,537 | ||||||
Drugstore.com, Inc.* | 782 | 1,501 | ||||||
Weyco Group, Inc. | 60 | 1,453 | ||||||
Casual Male Retail Group, Inc.* | 352 | 1,436 | ||||||
Destination Maternity Corp.* | 43 | 1,416 | ||||||
Movado Group, Inc.* | 127 | 1,382 | ||||||
Landry’s Restaurants, Inc.* | 56 | 1,371 | ||||||
CPI Corp. | 52 | 1,346 | ||||||
Stoneridge, Inc.* | 128 | 1,345 | ||||||
MarineMax, Inc.* | 190 | 1,338 | ||||||
Spartan Motors, Inc. | 280 | 1,299 | ||||||
Morgans Hotel Group Co.* | 177 | 1,296 | ||||||
Lifetime Brands, Inc.* | 82 | 1,238 | ||||||
West Marine, Inc.* | 120 | 1,219 | ||||||
Mac-Gray Corp. | 100 | 1,213 | ||||||
Tuesday Morning Corp.* | 250 | 1,192 | ||||||
Skyline Corp. | 57 | 1,155 | ||||||
SuperMedia, Inc.* | 108 | 1,142 | ||||||
LIN TV Corp. — Class A* | 251 | 1,114 | ||||||
Jamba, Inc.* | 506 | 1,108 | ||||||
Cherokee, Inc. | 60 | 1,094 | ||||||
Martha Stewart Living Omnimedia — Class A* | 229 | 1,085 | ||||||
Systemax, Inc. | 88 | 1,081 | ||||||
Orbitz Worldwide, Inc.* | 170 | 1,071 | ||||||
O’Charleys, Inc.* | 147 | 1,057 | ||||||
Arctic Cat, Inc.* | 103 | 1,056 | ||||||
Audiovox Corp. — Class A* | 154 | 1,053 | ||||||
AH Belo Corp. — Class A* | 148 | 1,046 | ||||||
Ruth’s Hospitality Group, Inc.* | 259 | 1,039 | ||||||
Ballantyne Strong, Inc.* | 120 | 1,038 | ||||||
CSS Industries, Inc. | 60 | 1,037 | ||||||
Lee Enterprises, Inc.* | 380 | 1,018 | ||||||
Bon-Ton Stores, Inc. | 100 | 1,017 | ||||||
Kenneth Cole Productions, Inc. — Class A* | 60 | 1,000 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Hooker Furniture Corp. | 86 | $ | 1,000 | |||||
Sealy Corp.* | 402 | 981 | ||||||
Fisher Communications, Inc.* | 56 | 976 | ||||||
Isle of Capri Casinos, Inc.* | 135 | 967 | ||||||
McCormick & Schmick’s Seafood Restaurants, Inc.* | 122 | 949 | ||||||
REX American Resources Corp.* | 64 | 927 | ||||||
Playboy Enterprises, Inc. — Class B* | 180 | 925 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 151 | 914 | ||||||
Midas, Inc.* | 120 | 913 | ||||||
Kid Brands, Inc.* | 106 | 912 | ||||||
US Auto Parts Network, Inc.* | 110 | 902 | ||||||
Gaiam, Inc. — Class A | 130 | 870 | ||||||
Steinway Musical Instruments, Inc.* | 50 | 861 | ||||||
Multimedia Games, Inc.* | 230 | 851 | ||||||
Entravision Communications Corp. — Class A* | 416 | 828 | ||||||
Gray Television, Inc.* | 410 | 824 | ||||||
Carmike Cinemas, Inc.* | 90 | 785 | ||||||
Monarch Casino & Resort, Inc.* | 70 | 785 | ||||||
Red Lion Hotels Corp.* | 105 | 781 | ||||||
Joe’s Jeans, Inc.* | 360 | 760 | ||||||
Delta Apparel, Inc.* | 50 | 750 | ||||||
Vitacost.com, Inc.* | 120 | 721 | ||||||
RG Barry Corp. | 70 | 720 | ||||||
Summer Infant, Inc.* | 90 | 704 | ||||||
Culp, Inc.* | 70 | 686 | ||||||
Winmark Corp. | 20 | 669 | ||||||
Caribou Coffee Company, Inc.* | 64 | 666 | ||||||
Brookfield Homes Corp.* | 80 | 655 | ||||||
LodgeNet Interactive Corp.* | 219 | 613 | ||||||
Einstein Noah Restaurant Group, Inc.* | 55 | 583 | ||||||
Outdoor Channel Holdings, Inc.* | 100 | 553 | ||||||
Lacrosse Footwear, Inc. | 40 | 552 | ||||||
ReachLocal, Inc.* | 40 | 551 | ||||||
Carrols Restaurant Group, Inc.* | 103 | 546 | ||||||
New York & Company, Inc.* | 210 | 540 | ||||||
PRIMEDIA, Inc. | 140 | 532 | ||||||
Johnson Outdoors, Inc. — Class A* | 40 | 513 | ||||||
Learning Tree International, Inc. | 50 | 506 | ||||||
Cumulus Media, Inc. — Class A* | 180 | 506 | ||||||
Borders Group, Inc.* | 420 | 500 | ||||||
Marine Products Corp.* | 80 | 491 | ||||||
Nexstar Broadcasting Group, Inc. — Class A* | 93 | 479 | ||||||
National American University Holdings, Inc. | 70 | 470 | ||||||
Cambium Learning Group, Inc.* | 140 | 448 | ||||||
Conn’s, Inc.* | 95 | 442 | ||||||
Westwood One, Inc.* | 50 | 424 | ||||||
1-800-Flowers.com, Inc. — Class A* | 222 | 420 | ||||||
Shiloh Industries, Inc.* | 43 | 416 | ||||||
American Apparel, Inc.* | 285 | 351 | ||||||
Books-A-Million, Inc. — Class A | 57 | 342 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 83 |
5
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Bluegreen Corp.* | 120 | $ | 335 | |||||
Princeton Review, Inc.* | 158 | 322 | ||||||
Crown Media Holdings, Inc. — Class A* | 112 | 268 | ||||||
Empire Resorts, Inc.* | 220 | 244 | ||||||
Radio One, Inc. — Class D* | 270 | 238 | ||||||
Beasley Broadcasting Group, Inc. — Class A* | 40 | 212 | ||||||
Value Line, Inc. | 10 | 139 | ||||||
Total Consumer Discretionary | 1,217,034 | |||||||
HEALTH CARE - 5.4% | ||||||||
Salix Pharmaceuticals Ltd.* | 476 | 18,907 | ||||||
AMERIGROUP Corp.* | 429 | 18,220 | ||||||
STERIS Corp. | 500 | 16,610 | ||||||
Psychiatric Solutions, Inc.* | 480 | 16,104 | ||||||
Medicis Pharmaceutical Corp. — Class A | 520 | 15,418 | ||||||
Healthsouth Corp.* | 796 | 15,283 | ||||||
Owens & Minor, Inc. | 530 | 15,084 | ||||||
Onyx Pharmaceuticals, Inc.* | 530 | 13,981 | ||||||
Dionex Corp.* | 160 | 13,830 | ||||||
HMS Holdings Corp.* | 228 | 13,438 | ||||||
Savient Pharmaceuticals, Inc.* | 580 | 13,265 | ||||||
Magellan Health Services, Inc.* | 279 | 13,180 | ||||||
Haemonetics Corp.* | 220 | 12,877 | ||||||
American Medical Systems Holdings, Inc.* | 646 | 12,649 | ||||||
Healthspring, Inc.* | 488 | 12,610 | ||||||
Incyte Corporation Ltd.* | 762 | 12,184 | ||||||
Masimo Corp. | 439 | 11,989 | ||||||
Immucor, Inc.* | 597 | 11,839 | ||||||
Nektar Therapeutics* | 796 | 11,757 | ||||||
Alkermes, Inc.* | 800 | 11,720 | ||||||
Catalyst Health Solutions, Inc.* | 329 | 11,584 | ||||||
NuVasive, Inc.* | 329 | 11,561 | ||||||
Cubist Pharmaceuticals, Inc.* | 492 | 11,508 | ||||||
Chemed Corp. | 200 | 11,394 | ||||||
Parexel International Corp.* | 492 | 11,380 | ||||||
Volcano Corp.* | 431 | 11,197 | ||||||
Seattle Genetics, Inc.* | 710 | 11,026 | ||||||
Quality Systems, Inc. | 162 | 10,742 | ||||||
Theravance, Inc.* | 530 | 10,653 | ||||||
Acorda Therapeutics, Inc.* | 322 | 10,632 | ||||||
WellCare Health Plans, Inc.* | 360 | 10,426 | ||||||
Impax Laboratories, Inc.* | 526 | 10,415 | ||||||
PSS World Medical, Inc.* | 480 | 10,262 | ||||||
Centene Corp.* | 430 | 10,144 | ||||||
Sirona Dental Systems, Inc.* | 277 | 9,983 | ||||||
Viropharma, Inc.* | 662 | 9,870 | ||||||
Align Technology, Inc.* | 500 | 9,790 | ||||||
West Pharmaceutical Services, Inc. | 279 | 9,572 | ||||||
Cepheid, Inc.* | 508 | 9,505 | ||||||
athenahealth, Inc.* | 283 | 9,345 | ||||||
Auxilium Pharmaceuticals, Inc.* | 355 | 8,797 | ||||||
Bruker Corp.* | 622 | 8,727 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Par Pharmaceutical Companies, Inc.* | 292 | $ | 8,491 | |||||
MedAssets, Inc.* | 363 | 7,638 | ||||||
Meridian Bioscience, Inc. | 341 | 7,461 | ||||||
Pharmasset, Inc.* | 246 | 7,257 | ||||||
Integra LifeSciences Holdings Corp.* | 177 | 6,984 | ||||||
Neogen Corp.* | 204 | 6,905 | ||||||
Isis Pharmaceuticals, Inc.* | 800 | 6,720 | ||||||
Invacare Corp. | 250 | 6,628 | ||||||
DexCom, Inc.* | 492 | 6,504 | ||||||
Medicines Co.* | 448 | 6,362 | ||||||
Martek Biosciences Corp.* | 279 | 6,314 | ||||||
Arthrocare Corp.* | 229 | 6,224 | ||||||
Cyberonics, Inc.* | 232 | 6,190 | ||||||
Amedisys, Inc.* | 250 | 5,950 | ||||||
Zoll Medical Corp.* | 180 | 5,809 | ||||||
MWI Veterinary Supply, Inc.* | 98 | 5,657 | ||||||
CONMED Corporation* | 246 | 5,513 | ||||||
Gentiva Health Services, Inc.* | 252 | 5,506 | ||||||
PDL BioPharma, Inc. | 1,014 | 5,334 | ||||||
InterMune, Inc.* | 386 | 5,257 | ||||||
HeartWare International, Inc.* | 76 | 5,226 | ||||||
Luminex Corp.* | 320 | 5,120 | ||||||
Momenta Pharmaceuticals, Inc.* | 336 | 5,057 | ||||||
Analogic Corp. | 108 | 4,847 | ||||||
Insulet Corp.* | 342 | 4,836 | ||||||
Landauer, Inc. | 76 | 4,760 | ||||||
Micromet, Inc.* | 705 | 4,738 | ||||||
Wright Medical Group, Inc.* | 328 | 4,726 | ||||||
Enzon Pharmaceuticals, Inc.* | 419 | 4,714 | ||||||
Celera Corp.* | 696 | 4,691 | ||||||
Orthofix International N.V.* | 149 | 4,682 | ||||||
Amsurg Corp. — Class A* | 267 | 4,667 | ||||||
Vivus, Inc.* | 696 | 4,656 | ||||||
Halozyme Therapeutics, Inc.* | 602 | 4,641 | ||||||
Greatbatch, Inc.* | 200 | 4,638 | ||||||
Geron Corp.* | 826 | 4,568 | ||||||
Questcor Pharmaceuticals, Inc.* | 460 | 4,563 | ||||||
Targacept, Inc.* | 203 | 4,535 | ||||||
Kindred Healthcare, Inc.* | 340 | 4,427 | ||||||
Sequenom, Inc.* | 628 | 4,402 | ||||||
Abaxis, Inc.* | 190 | 4,389 | ||||||
Zymogenetics, Inc.* | 449 | 4,378 | ||||||
RehabCare Group, Inc.* | 214 | 4,327 | ||||||
Bio-Reference Labs, Inc.* | 200 | 4,172 | ||||||
Universal American Corp. | 279 | 4,115 | ||||||
NxStage Medical, Inc.* | 211 | 4,030 | ||||||
Medivation, Inc.* | 300 | 3,900 | ||||||
SonoSite, Inc.* | 116 | 3,887 | ||||||
Sun Healthcare Group, Inc.* | 456 | 3,862 | ||||||
Merit Medical Systems, Inc.* | 242 | 3,845 | ||||||
Rigel Pharmaceuticals, Inc.* | 454 | 3,818 | ||||||
IPC The Hospitalist Company, Inc.* | 138 | 3,770 | ||||||
MannKind Corp.* | 557 | 3,765 | ||||||
Alnylam Pharmaceuticals, Inc.* | 305 | 3,745 |
84 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
6
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Conceptus, Inc.* | 272 | $ | 3,740 | |||||
ICU Medical, Inc.* | 100 | 3,729 | ||||||
Immunogen, Inc.* | 584 | 3,662 | ||||||
Exelixis, Inc.* | 930 | 3,646 | ||||||
Omnicell, Inc.* | 278 | 3,636 | ||||||
Ariad Pharmaceuticals, Inc.* | 950 | 3,629 | ||||||
Natus Medical, Inc.* | 249 | 3,628 | ||||||
Air Methods Corp.* | 86 | 3,576 | ||||||
Molina Healthcare, Inc.* | 130 | 3,509 | ||||||
Healthways, Inc.* | 299 | 3,480 | ||||||
Computer Programs & Systems, Inc. | 80 | 3,406 | ||||||
NPS Pharmaceuticals, Inc.* | 491 | 3,358 | ||||||
Select Medical Holdings Corp.* | 426 | 3,280 | ||||||
Accelrys, Inc.* | 465 | 3,236 | ||||||
Angiodynamics, Inc.* | 210 | 3,200 | ||||||
Hanger Orthopedic Group, Inc.* | 220 | 3,199 | ||||||
Allos Therapeutics, Inc.* | 677 | 3,195 | ||||||
National Healthcare Corp. | 85 | 3,151 | ||||||
Atrion Corp. | 20 | 3,150 | ||||||
AMAG Pharmaceuticals, Inc.* | 182 | 3,132 | ||||||
eResearchTechnology, Inc.* | 409 | 3,059 | ||||||
Medidata Solutions, Inc.* | 157 | 3,014 | ||||||
Inspire Pharmaceuticals, Inc.* | 506 | 3,011 | ||||||
Syneron Medical Ltd.* | 299 | 2,966 | ||||||
Symmetry Medical, Inc.* | 306 | 2,950 | ||||||
LHC Group, Inc.* | 126 | 2,922 | ||||||
Res-Care, Inc.* | 220 | 2,919 | ||||||
Emeritus Corp.* | 170 | 2,900 | ||||||
ABIOMED, Inc.* | 270 | 2,865 | ||||||
Triple-S Management Corp. — Class B* | 170 | 2,865 | ||||||
Ardea Biosciences, Inc.* | 122 | 2,806 | ||||||
Accuray, Inc.* | 445 | 2,768 | ||||||
Affymetrix, Inc.* | 606 | 2,763 | ||||||
Metabolix, Inc.* | 217 | 2,730 | ||||||
Lexicon Pharmaceuticals, Inc.* | 1,695 | 2,712 | ||||||
Emergent Biosolutions, Inc.* | 157 | 2,710 | ||||||
Delcath Systems, Inc.* | 375 | 2,708 | ||||||
Pharmacyclics, Inc.* | 330 | 2,660 | ||||||
Neurocrine Biosciences, Inc.* | 435 | 2,636 | ||||||
Optimer Pharmaceuticals, Inc.* | 279 | 2,558 | ||||||
PharMerica Corp.* | 260 | 2,478 | ||||||
Unilife Corp.* | 410 | 2,472 | ||||||
Corvel Corp.* | 57 | 2,420 | ||||||
Assisted Living Concepts, Inc. — Class A* | 78 | 2,374 | ||||||
Almost Family, Inc.* | 80 | 2,370 | ||||||
SIGA Technologies, Inc.* | 267 | 2,259 | ||||||
Genoptix, Inc.* | 155 | 2,201 | ||||||
Exact Sciences Corp.* | 300 | 2,172 | ||||||
Ensign Group, Inc. | 121 | 2,172 | ||||||
Kensey Nash Corp.* | 75 | 2,167 | ||||||
MAKO Surgical Corp.* | 221 | 2,117 | ||||||
Keryx Biopharmaceuticals, Inc.* | 440 | 2,116 | ||||||
Depomed, Inc.* | 450 | 2,016 |
MARKET | ||||||||
SHARES | VALUE | |||||||
MAP Pharmaceuticals, Inc.* | 131 | $ | 2,004 | |||||
Dyax Corp.* | 843 | 1,998 | ||||||
AVANIR Pharmaceuticals, Inc. — Class A* | 618 | 1,971 | ||||||
Quidel Corp.* | 177 | 1,945 | ||||||
Cross Country Healthcare, Inc.* | 265 | 1,905 | ||||||
Endologix, Inc.* | 416 | 1,897 | ||||||
Providence Service Corp.* | 114 | 1,868 | ||||||
Akorn, Inc.* | 462 | 1,866 | ||||||
Durect Corp.* | 730 | 1,854 | ||||||
Arqule, Inc.* | 358 | 1,844 | ||||||
Pain Therapeutics, Inc.* | 298 | 1,842 | ||||||
Nabi Biopharmaceuticals* | 380 | 1,824 | ||||||
Immunomedics, Inc.* | 562 | 1,810 | ||||||
Chindex International, Inc.* | 119 | 1,798 | ||||||
SurModics, Inc.* | 150 | 1,788 | ||||||
Cantel Medical Corp. | 110 | 1,782 | ||||||
Vascular Solutions, Inc.* | 155 | 1,779 | ||||||
Medcath Corp.* | 176 | 1,772 | ||||||
Health Grades, Inc.* | 216 | 1,769 | ||||||
BMP Sunstone Corp.* | 232 | 1,763 | ||||||
Spectrum Pharmaceuticals, Inc.* | 421 | 1,756 | ||||||
AVI BioPharma, Inc.* | 952 | 1,752 | ||||||
Cadence Pharmaceuticals, Inc.* | 206 | 1,720 | ||||||
BioMimetic Therapeutics, Inc.* | 150 | 1,710 | ||||||
BioScrip, Inc.* | 331 | 1,708 | ||||||
Clinical Data, Inc.* | 100 | 1,687 | ||||||
Hi-Tech Pharmacal Company, Inc.* | 83 | 1,680 | ||||||
Team Health Holdings, Inc.* | 130 | 1,678 | ||||||
Novavax, Inc.* | 764 | 1,673 | ||||||
Opko Health, Inc.* | 746 | 1,671 | ||||||
Genomic Health, Inc.* | 125 | 1,670 | ||||||
AGA Medical Holdings, Inc.* | 119 | 1,661 | ||||||
American Dental Partners, Inc.* | 137 | 1,652 | ||||||
Cytori Therapeutics, Inc.* | 336 | 1,643 | ||||||
Sunrise Senior Living, Inc.* | 478 | 1,640 | ||||||
XenoPort, Inc.* | 230 | 1,635 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 160 | 1,629 | ||||||
Pozen, Inc.* | 230 | 1,628 | ||||||
Palomar Medical Technologies, Inc.* | 157 | 1,622 | ||||||
Staar Surgical Co.* | 294 | 1,591 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 1,006 | 1,589 | ||||||
Vital Images, Inc.* | 120 | 1,588 | ||||||
OraSure Technologies, Inc.* | 390 | 1,580 | ||||||
Maxygen, Inc.* | 272 | 1,575 | ||||||
Clarient, Inc.* | 465 | 1,572 | ||||||
Orexigen Therapeutics, Inc.* | 265 | 1,571 | ||||||
ZIOPHARM Oncology, Inc.* | 416 | 1,560 | ||||||
Vanda Pharmaceuticals, Inc.* | 230 | 1,536 | ||||||
Obagi Medical Products, Inc.* | 146 | 1,533 | ||||||
CryoLife, Inc.* | 250 | 1,518 | ||||||
Caliper Life Sciences, Inc.* | 380 | 1,516 | ||||||
Spectranetics Corp.* | 278 | 1,507 | ||||||
US Physical Therapy, Inc.* | 90 | 1,505 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 85 |
7
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Arena Pharmaceuticals, Inc.* | 941 | $ | 1,477 | |||||
Eurand N.V.* | 150 | 1,476 | ||||||
TomoTherapy, Inc.* | 414 | 1,457 | ||||||
Array Biopharma, Inc.* | 446 | 1,441 | ||||||
AMN Healthcare Services, Inc.* | 270 | 1,388 | ||||||
Chelsea Therapeutics International, Ltd.* | 270 | 1,382 | ||||||
Young Innovations, Inc. | 48 | 1,373 | ||||||
MELA Sciences, Inc.* | 210 | 1,369 | ||||||
Five Star Quality Care, Inc.* | 270 | 1,364 | ||||||
Rural* | 160 | 1,362 | ||||||
Santarus, Inc.* | 450 | 1,355 | ||||||
Synovis Life Technologies, Inc.* | 90 | 1,346 | ||||||
IRIS International, Inc.* | 140 | 1,344 | ||||||
Jazz Pharmaceuticals, Inc.* | 123 | 1,320 | ||||||
Metropolitan Health Networks, Inc.* | 347 | 1,319 | ||||||
Sangamo Biosciences, Inc.* | 376 | 1,290 | ||||||
Albany Molecular Research, Inc.* | 202 | 1,289 | ||||||
Cerus Corp.* | 330 | 1,267 | ||||||
Orthovita, Inc.* | 558 | 1,267 | ||||||
America Service Group, Inc. | 85 | 1,265 | ||||||
Progenics Pharmaceuticals, Inc.* | 248 | 1,252 | ||||||
RTI Biologics, Inc.* | 474 | 1,247 | ||||||
Merge Healthcare, Inc.* | 429 | 1,244 | ||||||
Exactech, Inc.* | 76 | 1,240 | ||||||
Transcend Services, Inc.* | 80 | 1,220 | ||||||
Cypress Bioscience, Inc.* | 316 | 1,217 | ||||||
Capital Senior Living Corp.* | 227 | 1,210 | ||||||
Omeros Corp.* | 162 | 1,181 | ||||||
Alexza Pharmaceuticals, Inc.* | 370 | 1,173 | ||||||
BioCryst Pharmaceuticals, Inc.* | 237 | 1,171 | ||||||
Accretive Health, Inc.* | 105 | 1,137 | ||||||
Dynavax Technologies Corp.* | 610 | 1,116 | ||||||
Kendle International, Inc.* | 119 | 1,109 | ||||||
Osiris Therapeutics, Inc.* | 151 | 1,099 | ||||||
Celldex Therapeutics, Inc.* | 270 | 1,080 | ||||||
Vical, Inc.* | 477 | 1,064 | ||||||
Enzo Biochem, Inc.* | 279 | 1,060 | ||||||
Continucare Corp.* | 250 | 1,050 | ||||||
Medical Action Industries, Inc.* | 116 | 1,050 | ||||||
Alliance HealthCare Services, Inc.* | 229 | 1,049 | ||||||
Cambrex Corp.* | 246 | 1,046 | ||||||
Stereotaxis, Inc.* | 250 | 1,035 | ||||||
Cytokinetics, Inc.* | 390 | 1,030 | ||||||
Affymax, Inc.* | 172 | 1,023 | ||||||
SuperGen, Inc.* | 482 | 1,007 | ||||||
Biosante Pharmaceuticals, Inc.* | 595 | 1,000 | ||||||
Solta Medical, Inc.* | 496 | 992 | ||||||
Neuralstem, Inc.* | 390 | 983 | ||||||
Somaxon Pharmaceuticals, Inc.* | 252 | 980 | ||||||
Cutera, Inc.* | 120 | 972 | ||||||
Rochester Medical Corp.* | 88 | 960 | ||||||
Allied Healthcare International, Inc.* | 381 | 953 | ||||||
Idenix Pharmaceuticals, Inc.* | 306 | 949 | ||||||
Alphatec Holdings, Inc.* | 434 | 924 |
MARKET | ||||||||
SHARES | VALUE | |||||||
AVEO Pharmaceuticals, Inc.* | 82 | $ | 913 | |||||
CardioNet, Inc.* | 200 | 902 | ||||||
Curis, Inc.* | 655 | 897 | ||||||
LCA-Vision, Inc.* | 161 | 897 | ||||||
Corcept Therapeutics, Inc.* | 228 | 887 | ||||||
Antares Pharma, Inc.* | 600 | 870 | ||||||
Biotime, Inc.* | 180 | 855 | ||||||
StemCells, Inc.* | 1,024 | 850 | ||||||
Inovio Pharmaceuticals, Inc.* | 672 | 840 | ||||||
Sciclone Pharmaceuticals, Inc.* | 317 | 837 | ||||||
MedQuist, Inc.* | 95 | 832 | ||||||
Furiex Pharmaceuticals, Inc.* | 72 | 812 | ||||||
Biospecifics Technologies Corp.* | 30 | 808 | ||||||
Cynosure, Inc. — Class A* | 77 | 786 | ||||||
Inhibitex, Inc.* | 430 | 774 | ||||||
Synta Pharmaceuticals Corp.* | 191 | 762 | ||||||
Biodel, Inc.* | 139 | 737 | ||||||
Nanosphere, Inc.* | 145 | 729 | ||||||
Zalicus, Inc.* | 560 | 728 | ||||||
CytRx Corp.* | 926 | 694 | ||||||
Pure Bioscience* | 298 | 688 | ||||||
Prospect Medical Holdings, Inc.* | 80 | 680 | ||||||
Peregrine Pharmaceuticals, Inc.* | 461 | 668 | ||||||
Infinity Pharmaceuticals, Inc.* | 120 | 661 | ||||||
Skilled Healthcare Group, Inc. — Class A* | 166 | 652 | ||||||
DynaVox, Inc. — Class A* | 80 | 650 | ||||||
NeurogesX, Inc.* | 89 | 615 | ||||||
Aoxing Pharmaceutical Company, Inc.* | 200 | 612 | ||||||
PDI, Inc.* | 70 | 612 | ||||||
Cumberland Pharmaceuticals, Inc.* | 100 | 581 | ||||||
Nymox Pharmaceutical Corp.* | 147 | 525 | ||||||
National Research Corp. | 20 | 522 | ||||||
Cornerstone Therapeutics, Inc.* | 73 | 515 | ||||||
Hansen Medical, Inc.* | 356 | 509 | ||||||
Codexis, Inc.* | 50 | 480 | ||||||
Neostem, Inc.* | 228 | 463 | ||||||
Alimera Sciences, Inc.* | 46 | 440 | ||||||
Lannett Company, Inc.* | 95 | 435 | ||||||
Caraco Pharmaceutical | ||||||||
Laboratories Ltd.* | 66 | 355 | ||||||
Transcept Pharmaceuticals, Inc.* | 50 | 349 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 86 | 323 | ||||||
Anthera Pharmaceuticals, Inc.* | 50 | 210 | ||||||
Acura Pharmaceuticals, Inc.* | 79 | 197 | ||||||
AspenBio Pharma, Inc.* | 311 | 159 | ||||||
Total Health Care | 1,125,977 | |||||||
ENERGY - 2.3% | ||||||||
Dril-Quip, Inc.* | 305 | 18,944 | ||||||
Brigham Exploration Co.* | 988 | 18,525 | ||||||
Bill Barrett Corp.* | 390 | 14,040 | ||||||
Berry Petroleum Co. — Class A | 440 | 13,961 | ||||||
Complete Production Services, Inc.* | 665 | 13,599 |
86 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
World Fuel Services Corp. | 500 | $ | 13,005 | |||||
CARBO Ceramics, Inc. | 160 | 12,960 | ||||||
McMoRan Exploration Co.* | 702 | 12,081 | ||||||
Bristow Group, Inc.* | 310 | 11,185 | ||||||
Lufkin Industries, Inc. | 248 | 10,887 | ||||||
Nordic American Tanker Shipping | 402 | 10,758 | ||||||
Rosetta Resources, Inc.* | 452 | 10,617 | ||||||
Key Energy Services, Inc.* | 1,078 | 10,252 | ||||||
Helix Energy Solutions Group, Inc.* | 896 | 9,981 | ||||||
Energy XXI Bermuda Ltd.* | 426 | 9,845 | ||||||
Swift Energy Co.* | 321 | 9,014 | ||||||
Patriot Coal Corp.* | 670 | 7,645 | ||||||
Overseas Shipholding Group, Inc. | 218 | 7,482 | ||||||
Ship Finance International Ltd. | 380 | 7,383 | ||||||
Tetra Technologies, Inc.* | 646 | 6,589 | ||||||
Carrizo Oil & Gas, Inc.* | 268 | 6,416 | ||||||
Newpark Resources, Inc.* | 758 | 6,367 | ||||||
Northern Oil and Gas, Inc.* | 370 | 6,268 | ||||||
Penn Virginia Corp. | 386 | 6,191 | ||||||
International Coal Group, Inc.* | 1,110 | 5,905 | ||||||
Gulfmark Offshore, Inc. — Class A* | 186 | 5,714 | ||||||
ION Geophysical Corp.* | 1,086 | 5,582 | ||||||
Stone Energy Corp.* | 369 | 5,435 | ||||||
RPC, Inc. | 255 | 5,396 | ||||||
ATP Oil & Gas Corp.* | 383 | 5,228 | ||||||
USEC, Inc.* | 982 | 5,097 | ||||||
Contango Oil & Gas Co.* | 100 | 5,016 | ||||||
Cloud Peak Energy, Inc.* | 270 | 4,928 | ||||||
Clean Energy Fuels Corp.* | 344 | 4,888 | ||||||
Global Industries Ltd.* | 862 | 4,715 | ||||||
Petroleum Development Corp.* | 160 | 4,416 | ||||||
Cal Dive International, Inc.* | 793 | 4,338 | ||||||
Parker Drilling Co.* | 990 | 4,307 | ||||||
Kodiak Oil & Gas Corp.* | 1,240 | 4,204 | ||||||
James River Coal Co.* | 232 | 4,067 | ||||||
Hornbeck Offshore Services, Inc.* | 200 | 3,898 | ||||||
Golar LNG Ltd. | 300 | 3,756 | ||||||
TransAtlantic Petroleum Ltd.* | 1,256 | 3,718 | ||||||
Willbros Group, Inc.* | 399 | 3,659 | ||||||
Resolute Energy Corp.* | 330 | 3,650 | ||||||
Rex Energy Corp.* | 283 | 3,622 | ||||||
American Oil & Gas, Inc.* | 426 | 3,451 | ||||||
Venoco, Inc.* | 165 | 3,239 | ||||||
Gulfport Energy Corp.* | 234 | 3,239 | ||||||
BPZ Resources, Inc.* | 826 | 3,164 | ||||||
Tesco Corp.* | 260 | 3,128 | ||||||
Goodrich Petroleum Corp.* | 210 | 3,060 | ||||||
W&T Offshore, Inc. | 287 | 3,042 | ||||||
Teekay Tankers Ltd. — Class A | 230 | 2,992 | ||||||
Pioneer Drilling Co.* | 458 | 2,922 | ||||||
Harvest Natural Resources, Inc.* | 279 | 2,907 | ||||||
Energy Partners Ltd.* | 240 | 2,882 | ||||||
T-3 Energy Services, Inc.* | 110 | 2,877 | ||||||
Petroquest Energy, Inc.* | 461 | 2,807 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Apco Oil and Gas International, Inc. | 80 | $ | 2,769 | |||||
Knightsbridge Tankers Ltd. | 144 | 2,722 | ||||||
Crosstex Energy, Inc.* | 336 | 2,654 | ||||||
Hercules Offshore, Inc.* | 974 | 2,581 | ||||||
General Maritime Corp. | 518 | 2,543 | ||||||
Vaalco Energy, Inc.* | 429 | 2,462 | ||||||
Warren Resources, Inc.* | 606 | 2,406 | ||||||
Clayton Williams Energy, Inc.* | 46 | 2,327 | ||||||
Western Refining, Inc.* | 435 | 2,279 | ||||||
CVR Energy, Inc.* | 262 | 2,162 | ||||||
Gulf Island Fabrication, Inc. | 116 | 2,111 | ||||||
Vantage Drilling Co.* | 1,268 | 2,029 | ||||||
PHI, Inc.* | 123 | 1,990 | ||||||
Matrix Service Co.* | 226 | 1,978 | ||||||
OYO Geospace Corp.* | 34 | 1,968 | ||||||
Dawson Geophysical Co.* | 72 | 1,919 | ||||||
Georesources, Inc.* | 114 | 1,813 | ||||||
Rentech, Inc.* | 1,836 | 1,810 | ||||||
Magnum Hunter Resources Corp.* | 436 | 1,805 | ||||||
DHT Holdings, Inc. | 416 | 1,718 | ||||||
Uranium Energy Corp.* | 523 | 1,715 | ||||||
Basic Energy Services, Inc.* | 200 | 1,704 | ||||||
Abraxas Petroleum Corp.* | 580 | 1,647 | ||||||
Green Plains Renewable Energy, Inc.* | 131 | 1,586 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 64 | 1,580 | ||||||
Endeavour International Corp.* | 1,200 | 1,548 | ||||||
FX Energy, Inc.* | 366 | 1,515 | ||||||
Gastar Exploration Ltd.* | 376 | 1,512 | ||||||
Houston American Energy Corp. | 148 | 1,480 | ||||||
Natural Gas Services Group, Inc.* | 98 | 1,447 | ||||||
Allis-Chalmers Energy, Inc.* | 308 | 1,284 | ||||||
CAMAC Energy, Inc.* | 400 | 1,276 | ||||||
GMX Resources, Inc.* | 260 | 1,264 | ||||||
Delta Petroleum Corp.* | 1,585 | 1,247 | ||||||
Scorpio Tankers, Inc.* | 110 | 1,242 | ||||||
Callon Petroleum Co.* | 249 | 1,233 | ||||||
L&L Energy, Inc.* | 152 | 1,219 | ||||||
Cheniere Energy, Inc.* | 482 | 1,215 | ||||||
Approach Resources, Inc.* | 108 | 1,207 | ||||||
Syntroleum Corp.* | 605 | 1,131 | ||||||
Isramco, Inc.* | 15 | 903 | ||||||
Delek US Holdings, Inc. | 122 | 874 | ||||||
Miller Petroleum, Inc.* | 148 | 798 | ||||||
Seahawk Drilling, Inc.* | 93 | 787 | ||||||
Evolution Petroleum Corp.* | 122 | 733 | ||||||
RAM Energy Resources, Inc.* | 458 | 714 | ||||||
Union Drilling, Inc.* | 123 | 551 | ||||||
Global Geophysical Services, Inc.* | 60 | 437 | ||||||
Hallador Energy Co. | 32 | 372 | ||||||
Alon USA Energy, Inc. | 60 | 324 | ||||||
Golar LNG Energy, Ltd.* | 43 | 64 | ||||||
Total Energy | 473,899 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 87 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MATERIALS - 2.2% | ||||||||
WR Grace & Co.* | 622 | $ | 17,379 | |||||
Allied Nevada Gold Corp.* | 632 | 16,748 | ||||||
Solutia, Inc.* | 1,032 | 16,533 | ||||||
Rock-Tenn Co. — Class A | 330 | 16,437 | ||||||
Coeur d’Alene Mines Corp.* | 760 | 15,139 | ||||||
Silgan Holdings, Inc. | 452 | 14,328 | ||||||
Rockwood Holdings, Inc.* | 450 | 14,162 | ||||||
Olin Corp. | 682 | 13,749 | ||||||
Hecla Mining Co.* | 2,139 | 13,518 | ||||||
Thompson Creek Metals Company, Inc.* | 1,200 | 12,936 | ||||||
Sensient Technologies Corp. | 415 | 12,653 | ||||||
Golden Star Resources Ltd.* | 2,206 | 10,898 | ||||||
NewMarket Corp. | 91 | 10,345 | ||||||
Minerals Technologies, Inc. | 162 | 9,545 | ||||||
PolyOne Corp.* | 788 | 9,527 | ||||||
Ferro Corp.* | 732 | 9,435 | ||||||
Schweitzer-Mauduit International, Inc. | 155 | 9,038 | ||||||
HB Fuller Co. | 416 | 8,266 | ||||||
Louisiana-Pacific Corp.* | 1,082 | 8,191 | ||||||
Worthington Industries, Inc. | 531 | 7,981 | ||||||
RTI International Metals, Inc.* | 260 | 7,961 | ||||||
Clearwater Paper Corp.* | 104 | 7,912 | ||||||
OM Group, Inc.* | 261 | 7,861 | ||||||
Balchem Corp. | 249 | 7,684 | ||||||
Globe Specialty Metals, Inc. | 522 | 7,329 | ||||||
Century Aluminum Co.* | 552 | 7,270 | ||||||
Arch Chemicals, Inc. | 203 | 7,123 | ||||||
Calgon Carbon Corp.* | 483 | 7,004 | ||||||
Stillwater Mining Co.* | 378 | 6,366 | ||||||
Innophos Holdings, Inc. | 179 | 5,925 | ||||||
Kaiser Aluminum Corp. | 130 | 5,563 | ||||||
Texas Industries, Inc. | 176 | 5,548 | ||||||
A. Schulman, Inc. | 270 | 5,441 | ||||||
STR Holdings, Inc.* | 247 | 5,320 | ||||||
AMCOL International Corp. | 203 | 5,317 | ||||||
Buckeye Technologies, Inc. | 330 | 4,854 | ||||||
PH Glatfelter Co. | 389 | 4,730 | ||||||
Koppers Holdings, Inc. | 176 | 4,729 | ||||||
Westlake Chemical Corp. | 158 | 4,729 | ||||||
Brush Engineered Materials, Inc.* | 166 | 4,721 | ||||||
Jaguar Mining, Inc.* | 720 | 4,680 | ||||||
Georgia Gulf Corp.* | 280 | 4,575 | ||||||
Deltic Timber Corp. | 93 | 4,166 | ||||||
Stepan Co. | 70 | 4,138 | ||||||
KapStone Paper and Packaging Corp.* | 322 | 3,909 | ||||||
Boise, Inc.* | 594 | 3,855 | ||||||
US Gold Corp.* | 765 | 3,802 | ||||||
Horsehead Holding Corp.* | 376 | 3,711 | ||||||
Haynes International, Inc. | 103 | 3,597 | ||||||
Wausau Paper Corp.* | 430 | 3,565 | ||||||
Graphic Packaging Holding Co.* | 950 | 3,173 | ||||||
Zep, Inc. | 180 | 3,139 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Quaker Chemical Corp. | 87 | $ | 2,833 | |||||
Omnova Solutions, Inc.* | 378 | 2,718 | ||||||
LSB Industries, Inc.* | 146 | 2,711 | ||||||
Myers Industries, Inc. | 301 | 2,586 | ||||||
Hawkins, Inc. | 70 | 2,479 | ||||||
Capital Gold Corp.* | 510 | 2,463 | ||||||
Kraton Performance Polymers, Inc.* | 90 | 2,444 | ||||||
Zoltek Companies, Inc.* | 232 | 2,255 | ||||||
Spartech Corp.* | 267 | 2,192 | ||||||
General Moly, Inc.* | 550 | 2,013 | ||||||
Headwaters, Inc.* | 529 | 1,904 | ||||||
AM Castle & Co.* | 140 | 1,855 | ||||||
Neenah Paper, Inc. | 121 | 1,839 | ||||||
Olympic Steel, Inc. | 80 | 1,839 | ||||||
Graham Packaging Company, Inc.* | 146 | 1,726 | ||||||
TPC Group, Inc.* | 70 | 1,667 | ||||||
Landec Corp.* | 230 | 1,428 | ||||||
Universal Stainless & Alloy* | 56 | 1,375 | ||||||
Metals USA Holdings Corp.* | 104 | 1,350 | ||||||
Senomyx, Inc.* | 326 | 1,297 | ||||||
AEP Industries, Inc.* | 50 | 1,181 | ||||||
American Vanguard Corp. | 175 | 1,082 | ||||||
US Energy Corp.* | 232 | 1,053 | ||||||
United States Lime & Minerals, Inc.* | 22 | 851 | ||||||
Noranda Aluminum Holding Corp.* | 103 | 847 | ||||||
KMG Chemicals, Inc. | 50 | 705 | ||||||
NL Industries, Inc. | 60 | 545 | ||||||
Verso Paper Corp.* | 123 | 354 | ||||||
Total Materials | 464,097 | |||||||
UTILITIES - 1.4% | ||||||||
Nicor, Inc. | 384 | 17,595 | ||||||
Piedmont Natural Gas Co., Inc. | 600 | 17,400 | ||||||
WGL Holdings, Inc. | 426 | 16,094 | ||||||
Cleco Corp. | 519 | 15,373 | ||||||
IDACORP, Inc. | 410 | 14,727 | ||||||
New Jersey Resources Corp. | 350 | 13,727 | ||||||
Portland General Electric Co. | 644 | 13,060 | ||||||
Southwest Gas Corp. | 387 | 12,999 | ||||||
South Jersey Industries, Inc. | 248 | 12,269 | ||||||
Northwest Natural Gas Co. | 230 | 10,914 | ||||||
Unisource Energy Corp. | 310 | 10,363 | ||||||
Black Hills Corp. | 330 | 10,296 | ||||||
Allete, Inc. | 275 | 10,018 | ||||||
Avista Corp. | 466 | 9,730 | ||||||
NorthWestern Corp. | 310 | 8,835 | ||||||
El Paso Electric Co.* | 366 | 8,704 | ||||||
PNM Resources, Inc. | 732 | 8,338 | ||||||
MGE Energy, Inc. | 200 | 7,918 | ||||||
UIL Holdings Corp. | 258 | 7,265 | ||||||
Empire District Electric Co. | 337 | 6,791 | ||||||
Laclede Group, Inc. | 190 | 6,540 | ||||||
Otter Tail Corp. | 310 | 6,321 | ||||||
CH Energy Group, Inc. | 140 | 6,182 |
88 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
California Water Service Group | 160 | $ | 5,912 | |||||
American States Water Co. | 165 | 5,904 | ||||||
Dynegy, Inc. — Class A* | 876 | 4,266 | ||||||
Chesapeake Utilities Corp. | 77 | 2,789 | ||||||
SJW Corp. | 110 | 2,709 | ||||||
Middlesex Water Co. | 132 | 2,223 | ||||||
Central Vermont Public Service Corp. | 105 | 2,118 | ||||||
Unitil Corp. | 92 | 2,019 | ||||||
Connecticut Water Service, Inc. | 73 | �� | 1,748 | |||||
York Water Co. | 106 | 1,699 | ||||||
Consolidated Water Company Ltd. | 120 | 1,138 | ||||||
Cadiz, Inc.* | 103 | 1,057 | ||||||
Artesian Resources Corp. — Class A | 47 | 896 | ||||||
American DG Energy, Inc.* | 162 | 483 | ||||||
Total Utilities | 286,420 | |||||||
CONSUMER STAPLES - 1.3% | ||||||||
Casey’s General Stores, Inc. | 442 | 18,453 | ||||||
TreeHouse Foods, Inc.* | 298 | 13,738 | ||||||
Ruddick Corp. | 374 | 12,970 | ||||||
United Natural Foods, Inc.* | 373 | 12,361 | ||||||
Nu Skin Enterprises, Inc. — Class A | 425 | 12,240 | ||||||
Sanderson Farms, Inc. | 202 | 8,745 | ||||||
Hain Celestial Group, Inc.* | 346 | 8,297 | ||||||
Universal Corp. | 200 | 8,018 | ||||||
Lancaster Colony Corp. | 162 | 7,695 | ||||||
Fresh Del Monte Produce, Inc.* | 349 | 7,573 | ||||||
Diamond Foods, Inc. | 178 | 7,296 | ||||||
Vector Group Ltd. | 389 | 7,274 | ||||||
Darling International, Inc.* | 706 | 6,015 | ||||||
Andersons, Inc. | 147 | 5,571 | ||||||
WD-40 Co. | 140 | 5,323 | ||||||
Central Garden and Pet Co. — Class A* | 490 | 5,076 | ||||||
J&J Snack Foods Corp. | 120 | 5,032 | ||||||
Chiquita Brands International, Inc.* | 380 | 5,031 | ||||||
Tootsie Roll Industries, Inc. | 200 | 4,976 | ||||||
Pantry, Inc.* | 203 | 4,894 | ||||||
Nash Finch Co. | 114 | 4,850 | ||||||
Lance, Inc. | 220 | 4,686 | ||||||
Boston Beer Company, Inc. — Class A* | 68 | 4,547 | ||||||
Rite Aid Corp.* | 4,769 | 4,497 | ||||||
B&G Foods, Inc. — Class A | 400 | 4,368 | ||||||
Elizabeth Arden, Inc.* | 206 | 4,118 | ||||||
Pricesmart, Inc. | 140 | 4,078 | ||||||
Spectrum Brands Holdings, Inc.* | 150 | 4,077 | ||||||
Prestige Brands Holdings, Inc.* | 357 | 3,531 | ||||||
Weis Markets, Inc. | 90 | 3,522 | ||||||
Cal-Maine Foods, Inc. | 117 | 3,391 | ||||||
Winn-Dixie Stores, Inc.* | 460 | 3,280 | ||||||
Medifast, Inc.* | 120 | 3,256 | ||||||
Alliance One International, Inc.* | 760 | 3,154 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Heckmann Corp.* | 746 | $ | 2,909 | |||||
Spartan Stores, Inc. | 198 | 2,871 | ||||||
Dole Food Company, Inc.* | 306 | 2,800 | ||||||
Pilgrim’s Pride Corp.* | 412 | 2,315 | ||||||
Coca-Cola Bottling Company Consolidated | 41 | 2,170 | ||||||
Inter Parfums, Inc. | 117 | 2,058 | ||||||
Smart Balance, Inc.* | 530 | 2,056 | ||||||
USANA Health Sciences, Inc.* | 50 | 2,018 | ||||||
Calavo Growers, Inc. | 90 | 1,951 | ||||||
Seneca Foods Corp. — Class A* | 73 | 1,912 | ||||||
Synutra International, Inc.* | 163 | 1,883 | ||||||
Ingles Markets, Inc. — Class A | 106 | 1,761 | ||||||
Star Scientific, Inc.* | 821 | 1,724 | ||||||
Limoneira Co. | 80 | 1,611 | ||||||
Imperial Sugar Co. | 101 | 1,321 | ||||||
Village Super Market, Inc. — Class A | 47 | 1,313 | ||||||
Nutraceutical International Corp.* | 82 | 1,287 | ||||||
National Beverage Corp. | 90 | 1,260 | ||||||
Arden Group, Inc. — Class A | 15 | 1,237 | ||||||
Revlon, Inc. — Class A* | 93 | 1,174 | ||||||
Great Atlantic & Pacific Tea Co.* | 280 | 1,109 | ||||||
Farmer Bros Co. | 60 | 960 | ||||||
John B. Sanfilippo & Son, Inc.* | 70 | 924 | ||||||
Cellu Tissue Holdings, Inc.* | 76 | 907 | ||||||
Susser Holdings Corp.* | 60 | 840 | ||||||
Oil-Dri Corporation of America | 39 | 839 | ||||||
Female Health Co. | 155 | 798 | ||||||
Schiff Nutrition International, Inc. | 96 | 787 | ||||||
MGP Ingredients, Inc. | 90 | 707 | ||||||
Alico, Inc. | 29 | 674 | ||||||
Nature’s Sunshine Products, Inc.* | 60 | 536 | ||||||
Griffin Land & Nurseries, Inc. | 20 | 529 | ||||||
Harbinger Group, Inc.* | 80 | 444 | ||||||
Lifeway Foods, Inc.* | 38 | 400 | ||||||
Bridgford Foods Corp. | 20 | 257 | ||||||
Total Consumer Staples | 270,275 | |||||||
TELECOMMUNICATION SERVICES - 0.4% | ||||||||
Syniverse Holdings, Inc.* | 596 | 13,511 | ||||||
AboveNet, Inc.* | 199 | 10,366 | ||||||
Cincinnati Bell, Inc.* | 1,716 | 4,582 | ||||||
PAETEC Holding Corp.* | 1,068 | 4,389 | ||||||
NTELOS Holdings Corp. | 250 | 4,230 | ||||||
General Communication, Inc. — Class A* | 405 | 4,038 | ||||||
Atlantic Tele-Network, Inc. | 80 | 3,939 | ||||||
Alaska Communications Systems Group, Inc. | 380 | 3,857 | ||||||
Consolidated Communications Holdings, Inc. | 206 | 3,846 | ||||||
Shenandoah Telecommunications Co. | 200 | 3,634 | ||||||
Premiere Global Services, Inc.* | 512 | 3,625 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 89 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Cogent Communications Group, Inc.* | 380 | $ | 3,599 | |||||
Neutral Tandem, Inc.* | 283 | 3,382 | ||||||
Global Crossing Ltd.* | 261 | 3,356 | ||||||
USA Mobility, Inc. | 190 | 3,046 | ||||||
Cbeyond, Inc.* | 234 | 3,002 | ||||||
Iridium Communications, Inc.* | 300 | 2,562 | ||||||
Vonage Holdings Corp.* | 900 | 2,295 | ||||||
IDT Corp. — Class B* | 120 | 2,135 | ||||||
FiberTower Corp.* | 416 | 1,764 | ||||||
ICO Global Communications Holdings Ltd.* | 796 | 1,305 | ||||||
Globalstar, Inc.* | 600 | 1,044 | ||||||
Total Telecommunication Services | 87,507 | |||||||
Total Common Stocks (Cost $5,587,804) | 8,685,355 | |||||||
WARRANT†† - 0.0% | ||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12 | 250 | 12 | ||||||
Total Warrant (Cost $–) | 12 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 54.5% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 3,212,008 | 3,212,008 | |||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 3,208,892 | 3,208,892 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 3,208,433 | 3,208,433 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 1,325,799 | 1,325,799 |
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | $ | 331,450 | $ | 331,450 | ||||
Total Repurchase Agreements (Cost $11,286,582) | 11,286,582 | |||||||
Total Investments – 96.5% (Cost $16,874,386) | $ | 19,971,949 | ||||||
Cash & Other Assets, Less Liabilities – 3.5% | 716,783 | |||||||
Total Net Assets – 100.0% | $ | 20,688,732 | ||||||
Unrealized | ||||||||
CONTRACTS | Gain (Loss) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 Russell 2000 | ||||||||
Index Mini Futures Contracts (Aggregate Market Value of Contracts $605,430) | 9 | $ | 28,505 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | ||||||||
October 2010 Russell 2000 Index Swap, Terminating 10/27/103 | ||||||||
(Notional Market Value $13,649,118) | 20,187 | $ | 166,236 | |||||
Morgan Stanley Capital Services, Inc. | ||||||||
October 2010 Russell 2000 | ||||||||
Index Swap, Terminating 10/26/103 | ||||||||
(Notional Market Value $1,550,524) | 2,293 | 18,765 | ||||||
Credit Suisse Capital, LLC | ||||||||
October 2010 Russell 2000 | ||||||||
Index Swap, Terminating 10/29/103 | ||||||||
(Notional Market Value $6,518,678) | 9,641 | (13,161 | ) | |||||
(Total Notional Market Value $21,718,320) | $ | 171,840 | ||||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. plc — Public Limited Company |
90 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
RUSSELL 2000® 1.5x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 8,685,367 | ||
Repurchase agreement, at value | 11,286,582 | |||
Total investments | 19,971,949 | |||
Segregated cash with broker | 190,500 | |||
Unrealized appreciation on swap agreements | 185,001 | |||
Receivables: | ||||
Securities sold | 10,989 | |||
Fund shares sold | 408,274 | |||
Dividends | 9,931 | |||
Interest | 61 | |||
Total assets | 20,776,705 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 7 | |||
Unrealized depreciation on swap agreements | 13,161 | |||
Payable for: | ||||
Variation margin | 2,610 | |||
Fund shares redeemed | 47,082 | |||
Management fees | 10,813 | |||
Custodian fees | 396 | |||
Transfer agent/maintenance fees | 3,004 | |||
Distribution and service fees | 4,182 | |||
Portfolio accounting fees | 1,201 | |||
Other | 5,517 | |||
Total liabilities | 87,973 | |||
Net assets | $ | 20,688,732 | ||
Net assets consist of: | ||||
Paid in capital | 36,057,384 | |||
Accumulated net investment loss | (109,943 | ) | ||
Accumulated net realized loss on sale of investments | (18,556,617 | ) | ||
Net unrealized appreciation in value of investments | 3,297,908 | |||
Net assets | 20,688,732 | |||
A-Class: | ||||
Net assets | $ | 2,826,315 | ||
Capital shares outstanding | 114,260 | |||
Net asset value per share | $24.74 | |||
Maximum offering price per share* | $25.97 | |||
C-Class: | ||||
Net assets | $ | 2,017,794 | ||
Capital shares outstanding | 87,958 | |||
Net asset value per share | $22.94 | |||
H-Class: | ||||
Net assets | $ | 15,844,623 | ||
Capital shares outstanding | 641,692 | |||
Net asset value per share | $24.69 | |||
Investments, at cost | $ | 5,587,804 | ||
Repurchase agreement, at cost | 11,286,582 | |||
Total cost | $ | 16,874,386 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $6) | $ | 64,997 | ||
Interest | 8,306 | |||
Total investment income | 73,303 | |||
Expenses: | ||||
Management fees | 90,603 | |||
Transfer agent and administrative fees | 25,168 | |||
Distribution and Service Fees: | ||||
A-Class | 1,302 | |||
C-Class | 11,933 | |||
H-Class | 20,882 | |||
Portfolio accounting fees | 10,067 | |||
Trustees’ fees** | 876 | |||
Miscellaneous | 19,937 | |||
Total expenses | 180,768 | |||
Net investment loss | (107,465 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 44,675 | |||
Equity index swaps | (235,149 | ) | ||
Futures contracts | (1,660,767 | ) | ||
Net realized loss | (1,851,241 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (982,699 | ) | ||
Equity index swaps | (957,832 | ) | ||
Futures contracts | 31,340 | |||
Net unrealized depreciation | (1,909,191 | ) | ||
Net loss | (3,760,432 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,867,897 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 91 |
RUSSELL 2000® 1.5x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (107,465 | ) | $ | (208,472 | ) | ||
Net realized gain (loss) during the period on investments | (1,851,241 | ) | 4,024,925 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (1,909,191 | ) | 8,612,735 | |||||
Net increase (decrease) in net assets resulting from operations | (3,867,897 | ) | 12,429,188 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,622,603 | 2,404,655 | ||||||
C-Class | 748,857 | 6,961,907 | ||||||
H-Class | 76,853,267 | 157,669,541 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (2,249,757 | ) | (2,984,872 | ) | ||||
C-Class | (1,345,574 | ) | (10,371,550 | ) | ||||
H-Class | (80,759,861 | ) | (157,200,957 | ) | ||||
Net decrease from capital share transactions | (2,130,465 | ) | (3,521,276 | ) | ||||
Net increase (decrease) in net assets | (5,998,362 | ) | 8,907,912 | |||||
Net assets: | ||||||||
Beginning of period | 26,687,094 | 17,779,182 | ||||||
End of period | $ | 20,688,732 | $ | 26,687,094 | ||||
Accumulated net investment loss at end of period | $ | (109,943 | ) | $ | (2,478 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 193,921 | 129,902 | ||||||
C-Class | 32,511 | 408,232 | ||||||
H-Class | 3,188,943 | 7,830,985 | ||||||
Shares redeemed | ||||||||
A-Class | (102,841 | ) | (154,074 | ) | ||||
C-Class | (62,949 | ) | (578,420 | ) | ||||
H-Class | (3,472,365 | ) | (8,012,886 | ) | ||||
Total capital share activity | (222,780 | ) | (376,261 | ) | ||||
92 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
RUSSELL 2000® 1.5x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.24 | $12.49 | $28.62 | $37.24 | $37.33 | $27.54 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.11 | ) | (.02 | ) | .29 | .10 | .04 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.40 | ) | 12.86 | (16.11 | ) | (8.83 | ) | 1.24 | 9.75 | |||||||||||||||
Total from investment operations | (.50 | ) | 12.75 | (16.13 | ) | (8.54 | ) | 1.34 | 9.79 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.08 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | — | — | (1.43 | ) | — | |||||||||||||||||
Total distributions | — | — | — | (.08 | ) | (1.43 | ) | — | ||||||||||||||||
Net asset value, end of period | $24.74 | $25.24 | $12.49 | $28.62 | $37.24 | $37.33 | ||||||||||||||||||
Total Returnc | (1.98% | ) | 102.08% | (56.36% | ) | (22.98% | ) | 3.60% | 35.55% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,826 | $585 | $591 | $4,372 | $5,976 | $6,789 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.88% | ) | (0.59% | ) | (0.07% | ) | 0.81% | 0.28% | 0.13% | |||||||||||||||
Total expenses | 1.70% | 1.71% | 1.70% | 1.67% | 1.66% | 2.06% | ||||||||||||||||||
Net expenses | 1.70% | 1.71% | 1.70% | 1.67% | 1.66% | 1.65% | ||||||||||||||||||
Portfolio turnover rate | 128% | 109% | 288% | 227% | 179% | 441% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $23.50 | $11.71 | $27.10 | $35.51 | $35.93 | $26.69 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.19 | ) | (.24 | ) | (.18 | ) | .03 | (.16 | ) | (.21 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.37 | ) | 12.03 | (15.21 | ) | (8.36 | ) | 1.17 | 9.45 | |||||||||||||||
Total from investment operations | (.56 | ) | 11.79 | (15.39 | ) | (8.33 | ) | 1.01 | 9.24 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.08 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | — | — | (1.43 | ) | — | |||||||||||||||||
Total distributions | — | — | — | (.08 | ) | (1.43 | ) | — | ||||||||||||||||
Net asset value, end of period | $22.94 | $23.50 | $11.71 | $27.10 | $35.51 | $35.93 | ||||||||||||||||||
Total Returnc | (2.38% | ) | 100.68% | (56.79% | ) | (23.50% | ) | 2.81% | 34.62% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,018 | $2,782 | $3,381 | $10,873 | $19,942 | $31,956 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.68% | ) | (1.36% | ) | (0.83% | ) | 0.09% | (0.47% | ) | (0.70% | ) | |||||||||||||
Total expenses | 2.46% | 2.46% | 2.45% | 2.42% | 2.41% | 2.81% | ||||||||||||||||||
Net expenses | 2.46% | 2.46% | 2.45% | 2.42% | 2.41% | 2.40% | ||||||||||||||||||
Portfolio turnover rate | 128% | 109% | 288% | 227% | 179% | 441% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 93 |
RUSSELL 2000® 1.5x 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.21 | $12.47 | $28.62 | $37.22 | $37.32 | $27.51 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.19 | ) | (.02 | ) | .30 | .10 | .03 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.40 | ) | 12.93 | (16.13 | ) | (8.82 | ) | 1.23 | 9.78 | |||||||||||||||
Total from investment operations | (.52 | ) | 12.74 | (16.15 | ) | (8.52 | ) | 1.33 | 9.81 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.08 | ) | — | — | |||||||||||||||||
Distributions from realized gains | — | — | — | — | (1.43 | ) | — | |||||||||||||||||
Total distributions | — | — | — | (.08 | ) | (1.43 | ) | — | ||||||||||||||||
Net asset value, end of period | $24.69 | $25.21 | $12.47 | $28.62 | $37.22 | $37.32 | ||||||||||||||||||
Total Returnc | (2.06% | ) | 102.17% | (56.43% | ) | (22.93% | ) | 3.57% | 35.66% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $15,845 | $23,320 | $13,807 | $13,839 | $42,861 | $170,698 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.99% | ) | (0.94% | ) | (0.07% | ) | 0.83% | 0.27% | 0.10% | |||||||||||||||
Total expenses | 1.71% | 1.71% | 1.70% | 1.67% | 1.66% | 2.05% | ||||||||||||||||||
Net expenses | 1.71% | 1.71% | 1.70% | 1.67% | 1.66% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | 128% | 109% | 288% | 227% | 179% | 441% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
94 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
RUSSELL 2000® FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b4.gif)
“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) | ||||
TIBCO Software, Inc. | 0.2 | % | ||
Riverbed Technology, Inc. | 0.2 | % | ||
VeriFone Systems, Inc. | 0.1 | % | ||
Rackspace Hosting, Inc. | 0.1 | % | ||
Nordson Corp. | 0.1 | % | ||
Sotheby’s | 0.1 | % | ||
Highwoods Properties, Inc. | 0.1 | % | ||
Salix Pharmaceuticals Ltd. | 0.1 | % | ||
Warnaco Group, Inc. | 0.1 | % | ||
Parametric Technology Corp. | 0.1 | % | ||
Top Ten Total | 1.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 47.3% | ||||||||
FINANCIALS - 9.6% | ||||||||
Highwoods Properties, Inc. | 385 | $ | 12,501 | |||||
MFA Financial, Inc. | 1,496 | 11,414 | ||||||
National Retail Properties, Inc. | 454 | 11,400 | ||||||
Omega Healthcare Investors, Inc. | 501 | 11,247 | ||||||
BioMed Realty Trust, Inc. | 610 | 10,931 | ||||||
Apollo Investment Corp. | 1,045 | 10,690 | ||||||
Entertainment Properties Trust | 247 | 10,665 | ||||||
FirstMerit Corp. | 580 | 10,626 | ||||||
American Capital Ltd.* | 1,824 | 10,597 | ||||||
Home Properties, Inc. | 200 | 10,580 | ||||||
Washington Real Estate Investment Trust | 329 | 10,439 | ||||||
Tanger Factory Outlet Centers | 220 | 10,371 | ||||||
Alterra Capital Holdings Ltd. | 520 | 10,358 | ||||||
MGIC Investment Corp.* | 1,078 | 9,950 | ||||||
ProAssurance Corp.* | 170 | 9,790 | ||||||
CBL & Associates Properties, Inc. | 736 | 9,612 | ||||||
Platinum Underwriters Holdings Ltd. | 220 | 9,574 | ||||||
Kilroy Realty Corp. | 288 | 9,544 | ||||||
SVB Financial Group* | 217 | 9,183 | ||||||
Mid-America Apartment Communities, Inc. | 150 | 8,742 | ||||||
Westamerica Bancorporation | 160 | 8,718 | ||||||
LaSalle Hotel Properties | 367 | 8,584 | ||||||
Signature Bank * | 220 | 8,545 | ||||||
First American Financial Corp. | 560 | 8,366 | ||||||
Stifel Financial Corp.* | 180 | 8,332 | ||||||
Prosperity Bancshares, Inc. | 250 | 8,118 | ||||||
DiamondRock Hospitality Co.* | 827 | 7,848 | ||||||
Healthcare Realty Trust, Inc. | 328 | 7,672 | ||||||
Equity Lifestyle Properties, Inc. | 140 | 7,627 | ||||||
Extra Space Storage, Inc. | 470 | 7,539 | ||||||
Trustmark Corp. | 336 | 7,305 | ||||||
NewAlliance Bancshares, Inc. | 570 | 7,193 | ||||||
Post Properties, Inc. | 257 | 7,175 | ||||||
Potlatch Corp. | 207 | 7,038 | ||||||
Umpqua Holdings Corp. | 618 | 7,008 | ||||||
Iberiabank Corp. | 140 | 6,997 | ||||||
Northwest Bancshares, Inc. | 592 | 6,624 | ||||||
CNO Financial Group, Inc.* | 1,188 | 6,582 | ||||||
Montpelier Re Holdings Ltd. | 378 | 6,547 | ||||||
Delphi Financial Group, Inc. — Class A | 260 | 6,497 | ||||||
Knight Capital Group, Inc. — Class A* | 510 | 6,319 | ||||||
PHH Corp.* | 300 | 6,318 | ||||||
Astoria Financial Corp. | 460 | 6,270 | ||||||
Colonial Properties Trust | 384 | 6,217 | ||||||
Webster Financial Corp. | 350 | 6,146 | ||||||
Medical Properties Trust, Inc. | 600 | 6,084 | ||||||
Redwood Trust, Inc. | 420 | 6,073 |
MARKET | ||||||||
SHARES | VALUE | |||||||
UMB Financial Corp. | 170 | $ | 6,037 | |||||
Susquehanna Bancshares, Inc. | 700 | 5,908 | ||||||
Argo Group International Holdings Ltd. | 170 | 5,906 | ||||||
Portfolio Recovery Associates, Inc.* | 90 | 5,819 | ||||||
National Health Investors, Inc. | 130 | 5,728 | ||||||
Glacier Bancorp, Inc. | 390 | 5,694 | ||||||
Sovran Self Storage, Inc. | 150 | 5,685 | ||||||
Cash America International, Inc. | 160 | 5,600 | ||||||
Radian Group, Inc. | 708 | 5,537 | ||||||
DuPont Fabros Technology, Inc. | 220 | 5,533 | ||||||
Wintrust Financial Corp. | 170 | 5,510 | ||||||
DCT Industrial Trust, Inc. | 1,130 | 5,413 | ||||||
EastGroup Properties, Inc. | 140 | 5,233 | ||||||
FNB Corp. | 607 | 5,196 | ||||||
United Bankshares, Inc. | 208 | 5,177 | ||||||
First Financial Bancorp | 310 | 5,171 | ||||||
First Financial Bankshares, Inc. | 110 | 5,169 | ||||||
Starwood Property Trust, Inc. | 260 | 5,166 | ||||||
Tower Group, Inc. | 220 | 5,137 | ||||||
RLI Corp. | 90 | 5,096 | ||||||
Hatteras Financial Corp. | 177 | 5,039 | ||||||
Cathay General Bancorp | 418 | 4,970 | ||||||
Old National Bancorp | 470 | 4,935 | ||||||
KBW, Inc. | 190 | 4,864 | ||||||
American Capital Agency Corp. | 183 | 4,862 | ||||||
Hancock Holding Co. | 160 | 4,811 | ||||||
Ezcorp, Inc. — Class A* | 240 | 4,810 | ||||||
Sunstone Hotel Investors, Inc.* | 530 | 4,807 | ||||||
American Campus Communities, Inc. | 156 | 4,749 | ||||||
International Bancshares Corp. | 280 | 4,729 | ||||||
Selective Insurance Group, Inc. | 290 | 4,724 | ||||||
First Midwest Bancorp, Inc. | 400 | 4,612 | ||||||
Franklin Street Properties Corp. | 369 | 4,583 | ||||||
First Cash Financial Services, Inc.* | 165 | 4,579 | ||||||
Anworth Mortgage Asset Corp. | 640 | 4,563 | ||||||
MB Financial, Inc. | 280 | 4,542 | ||||||
PS Business Parks, Inc. | 80 | 4,526 | ||||||
Park National Corp. | 70 | 4,483 | ||||||
Whitney Holding Corp. | 520 | 4,248 | ||||||
National Penn Bancshares, Inc. | 678 | 4,237 | ||||||
NBT Bancorp, Inc. | 190 | 4,193 | ||||||
Acadia Realty Trust | 220 | 4,180 | ||||||
U-Store-It Trust | 500 | 4,175 | ||||||
Capstead Mortgage Corp. | 381 | 4,141 | ||||||
Columbia Banking System, Inc. | 210 | 4,126 | ||||||
Community Bank System, Inc. | 177 | 4,073 | ||||||
Ocwen Financial Corp.* | 400 | 4,056 | ||||||
Provident Financial Services, Inc. | 319 | 3,943 | ||||||
Lexington Realty Trust | 520 | 3,723 | ||||||
Greenlight Capital Re Ltd. — Class A* | 148 | 3,703 | ||||||
Horace Mann Educators Corp. | 207 | 3,680 |
96 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Employers Holdings, Inc. | 230 | $ | 3,627 | |||||
CVB Financial Corp. | 478 | 3,590 | ||||||
Pennsylvania Real Estate Investment Trust | 298 | 3,534 | ||||||
World Acceptance Corp.* | 80 | 3,533 | ||||||
optionsXpress Holdings, Inc.* | 230 | 3,533 | ||||||
Pico Holdings, Inc.* | 117 | 3,494 | ||||||
Cousins Properties, Inc. | 489 | 3,491 | ||||||
Infinity Property & Casualty Corp. | 70 | 3,414 | ||||||
Investors Real Estate Trust | 403 | 3,377 | ||||||
Inland Real Estate Corp. | 399 | 3,316 | ||||||
Nelnet, Inc. — Class A | 144 | 3,295 | ||||||
Investment Technology Group, Inc.* | 230 | 3,271 | ||||||
Texas Capital Bancshares, Inc.* | 188 | 3,247 | ||||||
Forestar Group, Inc.* | 190 | 3,239 | ||||||
Equity One, Inc. | 190 | 3,207 | ||||||
PrivateBancorp, Inc. — Class A | 280 | 3,189 | ||||||
Strategic Hotels & Resorts, Inc.* | 750 | 3,180 | ||||||
American Equity Investment Life Holding Co. | 310 | 3,174 | ||||||
Brookline Bancorp, Inc. | 310 | 3,094 | ||||||
Sun Communities, Inc. | 100 | 3,070 | ||||||
LTC Properties, Inc. | 120 | 3,062 | ||||||
Hersha Hospitality Trust | 590 | 3,056 | ||||||
Investors Bancorp, Inc.* | 258 | 3,055 | ||||||
PacWest Bancorp | 160 | 3,050 | ||||||
Invesco Mortgage Capital, Inc. | 140 | 3,013 | ||||||
Oritani Financial Corp. | 300 | 2,994 | ||||||
Prospect Capital Corp. | 308 | 2,991 | ||||||
Flagstone Reinsurance Holdings S.A. | 280 | 2,971 | ||||||
First Potomac Realty Trust | 197 | 2,955 | ||||||
Getty Realty Corp. | 110 | 2,951 | ||||||
National Financial Partners Corp.* | 230 | 2,914 | ||||||
Compass Diversified Holdings | 176 | 2,844 | ||||||
PMI Group, Inc.* | 768 | 2,819 | ||||||
Chemical Financial Corp. | 130 | 2,683 | ||||||
Navigators Group, Inc.* | 60 | 2,678 | ||||||
Dollar Financial Corp.* | 128 | 2,671 | ||||||
Primerica, Inc. | 130 | 2,644 | ||||||
Sterling Bancshares, Inc. | 490 | 2,631 | ||||||
Bank of the Ozarks, Inc. | 70 | 2,596 | ||||||
Meadowbrook Insurance Group, Inc. | 288 | 2,583 | ||||||
United Fire & Casualty Co. | 120 | 2,545 | ||||||
Simmons First National Corp. — Class A | 90 | 2,544 | ||||||
Safety Insurance Group, Inc. | 60 | 2,521 | ||||||
MarketAxess Holdings, Inc. | 148 | 2,513 | ||||||
Independent Bank Corp. | 110 | 2,477 | ||||||
City Holding Co. | 80 | 2,454 | ||||||
Walter Investment Management Corp. | 140 | 2,449 |
MARKET | ||||||||
SHARES | VALUE | |||||||
MCG Capital Corp. | 410 | $ | 2,394 | |||||
Associated Estates Realty Corp. | 170 | 2,377 | ||||||
Home Bancshares, Inc. | 116 | 2,357 | ||||||
Piper Jaffray Cos.* | 80 | 2,330 | ||||||
Evercore Partners, Inc. — Class A | 80 | 2,289 | ||||||
Trustco Bank Corp. | 408 | 2,268 | ||||||
Artio Global Investors, Inc. — Class A | 148 | 2,264 | ||||||
Education Realty Trust, Inc. | 310 | 2,216 | ||||||
S&T Bancorp, Inc. | 127 | 2,212 | ||||||
Enstar Group Ltd.* | 30 | 2,178 | ||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 150 | 2,167 | ||||||
BlackRock Kelso Capital Corp. | 188 | 2,162 | ||||||
Cardtronics, Inc.* | 140 | 2,160 | ||||||
Ramco-Gershenson Properties Trust | 200 | 2,142 | ||||||
Retail Opportunity Investments Corp. | 220 | 2,105 | ||||||
Universal Health Realty Income Trust | 60 | 2,065 | ||||||
Maiden Holdings Ltd. | 270 | 2,055 | ||||||
Duff & Phelps Corp. — Class A | 150 | 2,020 | ||||||
Sandy Spring Bancorp, Inc. | 130 | 2,015 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 110 | 1,989 | ||||||
Hilltop Holdings, Inc.* | 207 | 1,983 | ||||||
TowneBank | 132 | 1,975 | ||||||
Harleysville Group, Inc. | 60 | 1,967 | ||||||
Flushing Financial Corp. | 170 | 1,965 | ||||||
Ashford Hospitality Trust, Inc.* | 217 | 1,964 | ||||||
WesBanco, Inc. | 120 | 1,961 | ||||||
Boston Private Financial Holdings, Inc. | 299 | 1,955 | ||||||
Cohen & Steers, Inc. | 90 | 1,953 | ||||||
Dime Community Bancshares, Inc. | 140 | 1,939 | ||||||
Citizens Republic Bancorp, Inc.* | 2,124 | 1,914 | ||||||
Community Trust Bancorp, Inc. | 70 | 1,896 | ||||||
Hercules Technology Growth Capital, Inc. | 187 | 1,891 | ||||||
AMERISAFE, Inc.* | 100 | 1,878 | ||||||
SCBT Financial Corp. | 60 | 1,871 | ||||||
BGC Partners, Inc. — Class A | 310 | 1,851 | ||||||
FBL Financial Group, Inc. — Class A | 70 | 1,819 | ||||||
Credit Acceptance Corp.* | 30 | 1,817 | ||||||
First Financial Corp. | 60 | 1,770 | ||||||
Cedar Shopping Centers, Inc. | 290 | 1,763 | ||||||
Provident New York Bancorp | 210 | 1,762 | ||||||
FPIC Insurance Group, Inc.* | 50 | 1,754 | ||||||
eHealth, Inc.* | 135 | 1,744 | ||||||
Amtrust Financial Services, Inc. | 120 | 1,742 | ||||||
First Industrial Realty Trust, Inc.* | 342 | 1,734 | ||||||
CapLease, Inc. | 310 | 1,733 | ||||||
Parkway Properties, Inc. | 117 | 1,732 | ||||||
Western Alliance Bancorp* | 256 | 1,715 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 97 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Beneficial Mutual Bancorp, Inc.* | 190 | $ | 1,704 | |||||
MVC Capital, Inc. | 130 | 1,686 | ||||||
Lakeland Financial Corp. | 90 | 1,679 | ||||||
GFI Group, Inc. | 359 | 1,666 | ||||||
Pinnacle Financial Partners, Inc.* | 180 | 1,654 | ||||||
MF Global Holdings Ltd.* | 228 | 1,642 | ||||||
CNA Surety Corp.* | 90 | 1,613 | ||||||
Pennymac Mortgage Investment Trust | 90 | 1,610 | ||||||
Government Properties Income Trust | 60 | 1,602 | ||||||
First Commonwealth Financial Corp. | 290 | 1,580 | ||||||
Danvers Bancorp, Inc. | 100 | 1,533 | ||||||
iStar Financial, Inc.* | 500 | 1,530 | ||||||
StellarOne Corp. | 120 | 1,526 | ||||||
NorthStar Realty Finance Corp. | 407 | 1,522 | ||||||
Tejon Ranch Co.* | 70 | 1,517 | ||||||
Berkshire Hills Bancorp, Inc. | 80 | 1,517 | ||||||
Resource Capital Corp. | 238 | 1,511 | ||||||
Southside Bancshares, Inc. | 80 | 1,511 | ||||||
SY Bancorp, Inc. | 60 | 1,489 | ||||||
Cogdell Spencer, Inc. | 230 | 1,454 | ||||||
Cardinal Financial Corp. | 149 | 1,432 | ||||||
TradeStation Group, Inc.* | 217 | 1,428 | ||||||
TICC Capital Corp. | 137 | 1,418 | ||||||
Nara Bancorp, Inc.* | 198 | 1,398 | ||||||
Oppenheimer Holdings, Inc. — Class A | 50 | 1,398 | ||||||
Univest Corporation of Pennsylvania | 80 | 1,397 | ||||||
1st Source Corp. | 80 | 1,389 | ||||||
Camden National Corp. | 40 | 1,386 | ||||||
PennantPark Investment Corp. | 130 | 1,379 | ||||||
Safeguard Scientifics, Inc.* | 110 | 1,378 | ||||||
Citizens, Inc.* | 200 | 1,378 | ||||||
Glimcher Realty Trust | 219 | 1,347 | ||||||
Washington Trust Bancorp, Inc. | 70 | 1,338 | ||||||
Union First Market Bankshares Corp. | 100 | 1,306 | ||||||
Southwest Bancorp, Inc. | 100 | 1,297 | ||||||
Phoenix Companies, Inc.* | 617 | 1,296 | ||||||
Colony Financial, Inc. | 70 | 1,294 | ||||||
Kite Realty Group Trust | 290 | 1,288 | ||||||
PMA Capital Corp. — Class A* | 170 | 1,282 | ||||||
Arrow Financial Corp. | 51 | 1,279 | ||||||
Suffolk Bancorp | 50 | 1,266 | ||||||
First Busey Corp. | 278 | 1,265 | ||||||
Two Harbors Investment Corp. | 140 | 1,263 | ||||||
Agree Realty Corp. | 50 | 1,263 | ||||||
Encore Capital Group, Inc.* | 70 | 1,261 | ||||||
Saul Centers, Inc. | 30 | 1,259 | ||||||
Westfield Financial, Inc. | 160 | 1,248 | ||||||
Bank Mutual Corp. | 240 | 1,246 | ||||||
American Physicians Capital, Inc. | 30 | 1,244 | ||||||
Gladstone Capital Corp. | 110 | 1,240 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Winthrop Realty Trust | 100 | $ | 1,236 | |||||
Renasant Corp. | 80 | 1,217 | ||||||
Sterling Bancorp | 140 | 1,217 | ||||||
United Financial Bancorp, Inc. | 90 | 1,216 | ||||||
Ameris Bancorp | 130 | 1,216 | ||||||
Advance America Cash Advance Centers, Inc. | 300 | 1,209 | ||||||
Fifth Street Finance Corp. | 107 | 1,192 | ||||||
Tompkins Financial Corp. | 30 | 1,190 | ||||||
Territorial Bancorp, Inc. | 70 | 1,178 | ||||||
Hudson Valley Holding Corp. | 60 | 1,171 | ||||||
Kennedy-Wilson Holdings, Inc.* | 110 | 1,166 | ||||||
Abington Bancorp, Inc. | 110 | 1,159 | ||||||
GAMCO Investors, Inc. — Class A | 30 | 1,156 | ||||||
Calamos Asset Management, Inc. — Class A | 100 | 1,150 | ||||||
United Community Banks, Inc.* | 510 | 1,142 | ||||||
West Coast Bancorp* | 500 | 1,140 | ||||||
Global Indemnity plc — Class A* | 70 | 1,124 | ||||||
NewStar Financial, Inc.* | 150 | 1,112 | ||||||
Washington Banking Co. | 80 | 1,109 | ||||||
Monmouth Real Estate Investment Corp. — Class A | 141 | 1,103 | ||||||
Home Federal Bancorp, Inc. | 90 | 1,095 | ||||||
First Bancorp | 80 | 1,090 | ||||||
Great Southern Bancorp, Inc. | 50 | 1,088 | ||||||
NGP Capital Resources Co. | 120 | 1,087 | ||||||
International Assets Holding Corp.* | 60 | 1,086 | ||||||
Northfield Bancorp, Inc. | 100 | 1,082 | ||||||
Presidential Life Corp. | 110 | 1,078 | ||||||
Heartland Financial USA, Inc. | 70 | 1,077 | ||||||
Trico Bancshares | 70 | 1,076 | ||||||
SWS Group, Inc. | 150 | 1,076 | ||||||
First Merchants Corp. | 140 | 1,068 | ||||||
State Auto Financial Corp. | 70 | 1,065 | ||||||
First Community Bancshares, Inc. | 80 | 1,032 | ||||||
German American Bancorp, Inc. | 60 | 1,030 | ||||||
Oriental Financial Group, Inc. | 77 | 1,024 | ||||||
Newcastle Investment Corp.* | 330 | 1,023 | ||||||
Stewart Information Services Corp. | 90 | 1,019 | ||||||
Baldwin & Lyons, Inc. — Class B | 40 | 1,018 | ||||||
Westwood Holdings Group, Inc. | 30 | 1,015 | ||||||
SeaBright Holdings, Inc. | 120 | 967 | ||||||
Bank of Marin Bancorp | 30 | 967 | ||||||
Center Financial Corp.* | 190 | 967 | ||||||
Triangle Capital Corp. | 60 | 959 | ||||||
Avatar Holdings, Inc.* | 50 | 954 | ||||||
CoBiz Financial, Inc. | 170 | 945 | ||||||
First Interstate Bancsystem, Inc. — Class A | 70 | 942 | ||||||
Chatham Lodging Trust | 50 | 930 | ||||||
Financial Engines, Inc.* | 70 | 930 | ||||||
HFF, Inc. — Class A* | 100 | 928 | ||||||
Lakeland Bancorp, Inc. | 110 | 927 |
98 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Eagle Bancorp, Inc.* | 80 | $ | 918 | |||||
BankFinancial Corp. | 100 | 917 | ||||||
Terreno Realty Corp.* | 50 | 911 | ||||||
Virtus Investment Partners, Inc.* | 30 | 908 | ||||||
Alliance Financial Corp. | 30 | 907 | ||||||
Epoch Holding Corp. | 70 | 902 | ||||||
Excel Trust, Inc. | 80 | 902 | ||||||
First Financial Holdings, Inc. | 80 | 891 | ||||||
Financial Institutions, Inc. | 50 | 883 | ||||||
FBR Capital Markets Corp.* | 280 | 879 | ||||||
National Interstate Corp. | 40 | 871 | ||||||
Bryn Mawr Bank Corp. | 50 | 861 | ||||||
OceanFirst Financial Corp. | 70 | 859 | ||||||
Ambac Financial Group, Inc.* | 1,546 | 858 | ||||||
Gladstone Commercial Corp. | 50 | 858 | ||||||
Republic Bancorp, Inc. — Class A | 40 | 845 | ||||||
CreXus Investment Corp. | 70 | 842 | ||||||
MainSource Financial Group, Inc. | 110 | 840 | ||||||
ESSA Bancorp, Inc. | 70 | 829 | ||||||
American Safety Insurance Holdings Ltd.* | 50 | 817 | ||||||
Pacific Continental Corp. | 90 | 815 | ||||||
Bancfirst Corp. | 20 | 809 | ||||||
Gladstone Investment Corp. | 120 | 804 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 50 | 804 | ||||||
Bancorp, Inc.* | 120 | 803 | ||||||
Kayne Anderson Energy Development Co. | 50 | 803 | ||||||
Ames National Corp. | 40 | 798 | ||||||
One Liberty Properties, Inc. | 50 | 796 | ||||||
Donegal Group, Inc. — Class A | 60 | 784 | ||||||
Citizens & Northern Corp. | 60 | 780 | ||||||
LaBranche & Company, Inc.* | 200 | 780 | ||||||
1st United Bancorp, Inc.* | 120 | 772 | ||||||
NYMAGIC, Inc. | 30 | 770 | ||||||
Life Partners Holdings, Inc. | 40 | 761 | ||||||
WSFS Financial Corp. | 20 | 750 | ||||||
Bridge Bancorp, Inc. | 30 | 750 | ||||||
Merchants Bancshares, Inc. | 30 | 748 | ||||||
Harris & Harris Group, Inc.* | 175 | 747 | ||||||
Enterprise Financial Services Corp. | 80 | 744 | ||||||
Diamond Hill Investment Group, Inc. | 10 | 730 | ||||||
Capital City Bank Group, Inc. | 60 | 728 | ||||||
Metro Bancorp, Inc.* | 70 | 727 | ||||||
State Bancorp, Inc. | 80 | 718 | ||||||
Kearny Financial Corp. | 80 | 706 | ||||||
First Mercury Financial Corp. | 70 | 706 | ||||||
Hanmi Financial Corp.* | 550 | 704 | ||||||
Heritage Financial Corp.* | 50 | 700 | ||||||
Arlington Asset Investment Corp. — Class A | 30 | 699 | ||||||
ESB Financial Corp. | 50 | 696 | ||||||
First Marblehead Corp.* | 297 | 695 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Orrstown Financial Services, Inc. | 30 | $ | 695 | |||||
First Bancorp, Inc. | 50 | 691 | ||||||
Centerstate Banks, Inc. | 80 | 686 | ||||||
Thomas Properties Group, Inc. | 190 | 678 | ||||||
Mission West Properties, Inc. | 100 | 678 | ||||||
OmniAmerican Bancorp, Inc.* | 60 | 676 | ||||||
Gleacher & Company, Inc.* | 418 | 673 | ||||||
Penns Woods Bancorp, Inc. | 20 | 661 | ||||||
Chesapeake Lodging Trust | 40 | 654 | ||||||
Wilshire Bancorp, Inc. | 100 | 654 | ||||||
MPG Office Trust, Inc.* | 260 | 650 | ||||||
ViewPoint Financial Group | 70 | 648 | ||||||
American Physicians Service Group, Inc. | 20 | 647 | ||||||
Solar Capital Ltd. | 30 | 644 | ||||||
EMC Insurance Group, Inc. | 30 | 640 | ||||||
Main Street Capital Corp. | 40 | 636 | ||||||
Cowen Group, Inc. — Class A* | 190 | 625 | ||||||
Kansas City Life Insurance Co. | 20 | 624 | ||||||
Medallion Financial Corp. | 80 | 623 | ||||||
Sanders Morris Harris Group, Inc. | 110 | 623 | ||||||
Peoples Bancorp, Inc. | 50 | 619 | ||||||
Golub Capital BDC, Inc. | 40 | 612 | ||||||
Tower Bancorp, Inc. | 30 | 608 | ||||||
Marlin Business Services Corp.* | 50 | 600 | ||||||
Student Loan Corp. | 20 | 594 | ||||||
RAIT Financial Trust* | 357 | 589 | ||||||
Peapack Gladstone Financial Corp. | 50 | 589 | ||||||
Taylor Capital Group, Inc.* | 50 | 574 | ||||||
Midsouth Bancorp, Inc. | 40 | 566 | ||||||
Bancorp Rhode Island, Inc. | 20 | 559 | ||||||
Penson Worldwide, Inc.* | 110 | 547 | ||||||
FelCor Lodging Trust, Inc.* | 118 | 543 | ||||||
Farmer Mac — Class C | 50 | 541 | ||||||
Dynex Capital, Inc. | 50 | 539 | ||||||
UMH Properties, Inc. | 50 | 537 | ||||||
Home Bancorp, Inc.* | 40 | 535 | ||||||
Virginia Commerce Bancorp, Inc.* | 110 | 535 | ||||||
Meridian Interstate Bancorp, Inc.* | 50 | 527 | ||||||
Hallmark Financial Services* | 60 | 524 | ||||||
National Bankshares, Inc. | 20 | 516 | ||||||
West Bancorporation, Inc.* | 80 | 504 | ||||||
Ladenburg Thalmann Financial Services, Inc.* | 490 | 500 | ||||||
Sierra Bancorp | 40 | 494 | ||||||
JMP Group, Inc. | 80 | 488 | ||||||
Century Bancorp, Inc. — Class A | 20 | 478 | ||||||
THL Credit, Inc. | 40 | 471 | ||||||
Rockville Financial, Inc. | 40 | 460 | ||||||
Flagstar Bancorp, Inc.* | 250 | 455 | ||||||
MidWestOne Financial Group, Inc. | 30 | 440 | ||||||
American National Bankshares, Inc. | 20 | 439 | ||||||
Clifton Savings Bancorp, Inc. | 50 | 430 | ||||||
Asset Acceptance Capital Corp.* | 80 | 430 | ||||||
Roma Financial Corp. | 40 | 421 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 99 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Green Bankshares, Inc.* | 60 | $ | 407 | |||||
Universal Insurance Holdings, Inc. | 90 | 404 | ||||||
Cypress Sharpridge Investments, Inc. | 30 | 400 | ||||||
First South Bancorp, Inc. | 40 | 397 | ||||||
Asta Funding, Inc. | 50 | 382 | ||||||
Primus Guaranty Ltd.* | 80 | 365 | ||||||
BofI Holding, Inc.* | 30 | 356 | ||||||
NASB Financial, Inc. | 20 | 331 | ||||||
Pebblebrook Hotel Trust* | 18 | 324 | ||||||
Crawford & Co. — Class B* | 130 | 316 | ||||||
CompuCredit Holdings Corp. | 60 | 289 | ||||||
Encore Bancshares, Inc.* | 40 | 288 | ||||||
Consolidated-Tomoka Land Co. | 10 | 285 | ||||||
Fox Chase Bancorp, Inc.* | 30 | 284 | ||||||
Pzena Investment Management, Inc. — Class A | 40 | 275 | ||||||
First of Long Island Corp. | 10 | 250 | ||||||
Rodman & Renshaw Capital Group, Inc.* | 90 | 194 | ||||||
Doral Financial Corp.* | 100 | 166 | ||||||
Gerova Financial Group Ltd.* | 30 | 162 | ||||||
Waterstone Financial, Inc.* | 40 | 160 | ||||||
K-Fed Bancorp | 20 | 158 | ||||||
First BanCorp* | 503 | 141 | ||||||
CNB Financial Corp. | 10 | 137 | ||||||
California First National Bancorp | 10 | 127 | ||||||
Total Financials | 1,086,939 | |||||||
INFORMATION TECHNOLOGY - 8.9% | ||||||||
TIBCO Software, Inc.* | 888 | 15,753 | ||||||
Riverbed Technology, Inc.* | 339 | 15,452 | ||||||
VeriFone Systems, Inc.* | 462 | 14,354 | ||||||
Rackspace Hosting, Inc.* | 517 | 13,432 | ||||||
Parametric Technology Corp.* | 620 | 12,115 | ||||||
Jack Henry & Associates, Inc. | 464 | 11,832 | ||||||
ADTRAN, Inc. | 330 | 11,649 | ||||||
Concur Technologies, Inc.* | 220 | 10,877 | ||||||
Netlogic Microsystems, Inc.* | 342 | 9,432 | ||||||
Ariba, Inc.* | 480 | 9,072 | ||||||
RF Micro Devices, Inc.* | 1,444 | 8,866 | ||||||
Plantronics, Inc. | 260 | 8,783 | ||||||
Acme Packet, Inc.* | 230 | 8,726 | ||||||
SuccessFactors, Inc.* | 342 | 8,588 | ||||||
Aruba Networks, Inc.* | 394 | 8,408 | ||||||
Anixter International, Inc.* | 150 | 8,099 | ||||||
TriQuint Semiconductor, Inc.* | 830 | 7,968 | ||||||
Quest Software, Inc.* | 320 | 7,869 | ||||||
Microsemi Corp.* | 450 | 7,718 | ||||||
Veeco Instruments, Inc.* | 220 | 7,671 | ||||||
Progress Software Corp.* | 230 | 7,613 | ||||||
Finisar Corp.* | 400 | 7,516 | ||||||
Viasat, Inc.* | 180 | 7,400 | ||||||
Wright Express Corp.* | 207 | 7,392 | ||||||
Netezza Corp.* | 269 | 7,250 |
MARKET | ||||||||
SHARES | VALUE | |||||||
CACI International, | ||||||||
Inc. — Class A* | 160 | $ | 7,242 | |||||
GSI Commerce, Inc.* | 290 | 7,163 | ||||||
Digital River, Inc.* | 210 | 7,148 | ||||||
Hittite Microwave Corp.* | 150 | 7,147 | ||||||
InterDigital, Inc.* | 240 | 7,106 | ||||||
Cavium Networks, Inc.* | 239 | 6,874 | ||||||
Semtech Corp.* | 330 | 6,663 | ||||||
Arris Group, Inc.* | 680 | 6,644 | ||||||
ADC Telecommunications, Inc.* | 520 | 6,588 | ||||||
Sapient Corp. | 547 | 6,548 | ||||||
Blackboard, Inc.* | 180 | 6,487 | ||||||
Omnivision Technologies, Inc.* | 280 | 6,451 | ||||||
Lawson Software, Inc.* | 748 | 6,336 | ||||||
Unisys Corp.* | 227 | 6,333 | ||||||
Cirrus Logic, Inc.* | 347 | 6,190 | ||||||
Plexus Corp.* | 210 | 6,164 | ||||||
Taleo Corp. — Class A* | 210 | 6,088 | ||||||
Mentor Graphics Corp.* | 574 | 6,067 | ||||||
CommVault Systems, Inc.* | 230 | 5,987 | ||||||
Acxiom Corp.* | 375 | 5,948 | ||||||
Cymer, Inc.* | 160 | 5,933 | ||||||
Blackbaud, Inc. | 240 | 5,770 | ||||||
ValueClick, Inc.* | 438 | 5,729 | ||||||
j2 Global Communications, Inc.* | 240 | 5,710 | ||||||
TiVo, Inc.* | 619 | 5,608 | ||||||
Coherent, Inc.* | 140 | 5,601 | ||||||
JDA Software Group, Inc.* | 220 | 5,579 | ||||||
Cognex Corp. | 207 | 5,552 | ||||||
Benchmark Electronics, Inc.* | 338 | 5,543 | ||||||
MAXIMUS, Inc. | 90 | 5,542 | ||||||
ArcSight, Inc.* | 127 | 5,532 | ||||||
Infinera Corp.* | 469 | 5,473 | ||||||
OpenTable, Inc.* | 80 | 5,446 | ||||||
Fair Isaac Corp. | 220 | 5,425 | ||||||
Blue Coat Systems, Inc.* | 220 | 5,293 | ||||||
Earthlink, Inc. | 579 | 5,263 | ||||||
Littelfuse, Inc.* | 120 | 5,244 | ||||||
Sanmina-SCI Corp.* | 430 | 5,194 | ||||||
Integrated Device Technology, Inc.* | 870 | 5,090 | ||||||
Netgear, Inc.* | 188 | 5,078 | ||||||
Synaptics, Inc.* | 180 | 5,065 | ||||||
Ultimate Software Group, Inc.* | 130 | 5,023 | ||||||
Fortinet, Inc.* | 200 | 5,000 | ||||||
Tessera Technologies, Inc.* | 270 | 4,995 | ||||||
MKS Instruments, Inc.* | 270 | 4,855 | ||||||
Tekelec* | 368 | 4,769 | ||||||
L-1 Identity Solutions, Inc. —* | 406 | 4,762 | ||||||
Mantech International Corp. — | ||||||||
Class A* | 120 | 4,752 | ||||||
Euronet Worldwide, Inc.* | 260 | 4,677 | ||||||
Emulex Corp.* | 438 | 4,573 | ||||||
SRA International, Inc. — Class A* | 228 | 4,496 | ||||||
Sourcefire, Inc.* | 150 | 4,326 |
100 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Oclaro, Inc.* | 267 | $ | 4,275 | |||||
Checkpoint Systems, Inc.* | 210 | 4,273 | ||||||
SAVVIS, Inc.* | 200 | 4,216 | ||||||
TTM Technologies, Inc.* | 428 | 4,190 | ||||||
Cabot Microelectronics Corp.* | 130 | 4,183 | ||||||
Advent Software, Inc.* | 80 | 4,175 | ||||||
Power Integrations, Inc. | 130 | 4,133 | ||||||
Comtech Telecommunications Corp. | 150 | 4,103 | ||||||
ACI Worldwide, Inc.* | 180 | 4,030 | ||||||
Websense, Inc.* | 227 | 4,027 | ||||||
Sonus Networks, Inc.* | 1,120 | 3,954 | ||||||
FEI Co.* | 200 | 3,914 | ||||||
Insight Enterprises, Inc.* | 250 | 3,910 | ||||||
Universal Display Corp.* | 164 | 3,854 | ||||||
Take-Two Interactive Software, Inc.* | 380 | 3,853 | ||||||
Rofin-Sinar Technologies, Inc.* | 150 | 3,807 | ||||||
Scansource, Inc.* | 136 | 3,773 | ||||||
Amkor Technology, Inc.* | 558 | 3,666 | ||||||
DealerTrack Holdings, Inc.* | 210 | 3,587 | ||||||
Harmonic, Inc.* | 519 | 3,571 | ||||||
Tyler Technologies, Inc.* | 175 | 3,528 | ||||||
Manhattan Associates, Inc.* | 120 | 3,522 | ||||||
Applied Micro Circuits Corp.* | 347 | 3,470 | ||||||
MicroStrategy, Inc. — Class A* | 40 | 3,464 | ||||||
Art Technology Group, Inc.* | 836 | 3,453 | ||||||
DTS, Inc.* | 90 | 3,435 | ||||||
Aspen Technology, Inc.* | 330 | 3,422 | ||||||
SYNNEX Corp.* | 120 | 3,377 | ||||||
Entegris, Inc.* | 715 | 3,339 | ||||||
IPG Photonics Corp.* | 138 | 3,331 | ||||||
Netscout Systems, Inc.* | 160 | 3,282 | ||||||
CSG Systems International, Inc.* | 180 | 3,281 | ||||||
Sycamore Networks, Inc. | 100 | 3,241 | ||||||
Constant Contact, Inc.* | 150 | 3,215 | ||||||
Ebix, Inc.* | 137 | 3,213 | ||||||
Terremark Worldwide, Inc.* | 310 | 3,205 | ||||||
Intermec, Inc.* | 260 | 3,188 | ||||||
Isilon Systems, Inc.* | 140 | 3,119 | ||||||
Syntel, Inc. | 70 | 3,115 | ||||||
SolarWinds, Inc.* | 180 | 3,107 | ||||||
Diodes, Inc.* | 180 | 3,076 | ||||||
Stratasys, Inc.* | 110 | 3,049 | ||||||
Cogent, Inc.* | 277 | 2,947 | ||||||
Lattice Semiconductor Corp.* | 620 | 2,945 | ||||||
Electronics for Imaging, Inc.* | 240 | 2,909 | ||||||
OSI Systems, Inc.* | 80 | 2,906 | ||||||
Park Electrochemical Corp. | 110 | 2,897 | ||||||
Heartland Payment Systems, Inc. | 190 | 2,892 | ||||||
Black Box Corp. | 90 | 2,885 | ||||||
Entropic Communications, Inc.* | 300 | 2,880 | ||||||
LogMeIn, Inc.* | 80 | 2,878 | ||||||
DG FastChannel, Inc.* | 130 | 2,828 | ||||||
comScore, Inc.* | 120 | 2,822 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Volterra Semiconductor Corp.* | 130 | $ | 2,798 | |||||
Monolithic Power Systems, Inc.* | 170 | 2,776 | ||||||
Standard Microsystems Corp.* | 120 | 2,737 | ||||||
Radiant Systems, Inc.* | 160 | 2,736 | ||||||
STEC, Inc.* | 218 | 2,714 | ||||||
United Online, Inc. | 470 | 2,688 | ||||||
Brightpoint, Inc.* | 382 | 2,670 | ||||||
Micrel, Inc. | 270 | 2,662 | ||||||
Loral Space & Communications, Inc.* | 50 | 2,610 | ||||||
ATMI, Inc.* | 170 | 2,526 | ||||||
Rogers Corp.* | 80 | 2,518 | ||||||
NIC, Inc. | 300 | 2,487 | ||||||
Pegasystems, Inc. | 80 | 2,484 | ||||||
MTS Systems Corp. | 80 | 2,480 | ||||||
Quantum Corp.* | 1,152 | 2,442 | ||||||
Advanced Energy Industries, Inc.* | 187 | 2,442 | ||||||
MIPS Technologies, Inc. — Class A* | 250 | 2,433 | ||||||
iGate Corp. | 134 | 2,431 | ||||||
Compellent Technologies, Inc.* | 131 | 2,382 | ||||||
TeleTech Holdings, Inc.* | 160 | 2,374 | ||||||
Xyratex Ltd.* | 160 | 2,374 | ||||||
TNS, Inc.* | 140 | 2,373 | ||||||
Kulicke & Soffa Industries, Inc.* | 382 | 2,365 | ||||||
RightNow Technologies, Inc.* | 120 | 2,364 | ||||||
Brooks Automation, Inc.* | 350 | 2,349 | ||||||
Forrester Research, Inc.* | 70 | 2,316 | ||||||
Formfactor, Inc.* | 268 | 2,305 | ||||||
Ancestry.com, Inc.* | 100 | 2,276 | ||||||
Epicor Software Corp.* | 260 | 2,262 | ||||||
Newport Corp.* | 198 | 2,245 | ||||||
Ixia* | 181 | 2,244 | ||||||
Ultratech, Inc.* | 130 | 2,223 | ||||||
EPIQ Systems, Inc. | 180 | 2,207 | ||||||
Oplink Communications, Inc.* | 111 | 2,202 | ||||||
Zoran Corp.* | 280 | 2,139 | ||||||
NetSuite, Inc.* | 90 | 2,121 | ||||||
Anadigics, Inc.* | 347 | 2,113 | ||||||
Avid Technology, Inc.* | 160 | 2,098 | ||||||
VirnetX Holding Corp. | 140 | 2,055 | ||||||
Kenexa Corp.* | 117 | 2,050 | ||||||
Maxwell Technologies, Inc.* | 140 | 2,045 | ||||||
LivePerson, Inc.* | 240 | 2,016 | ||||||
Internet Brands, Inc. — Class A* | 150 | 1,992 | ||||||
Synchronoss Technologies, Inc.* | 110 | 1,959 | ||||||
Sigma Designs, Inc.* | 170 | 1,953 | ||||||
Internet Capital Group, Inc.* | 177 | 1,952 | ||||||
Silicon Image, Inc.* | 407 | 1,945 | ||||||
Actel Corp.* | 120 | 1,914 | ||||||
Unica Corp.* | 90 | 1,888 | ||||||
Move, Inc.* | 844 | 1,882 | ||||||
Methode Electronics, Inc. | 198 | 1,798 | ||||||
Power-One, Inc.* | 197 | 1,791 | ||||||
Daktronics, Inc. | 180 | 1,768 | ||||||
FARO Technologies, Inc.* | 80 | 1,745 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 101 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CTS Corp. | 180 | $ | 1,732 | |||||
Cass Information Systems, Inc. | 50 | 1,716 | ||||||
SMART Modular Technologies WWH, Inc.* | 280 | 1,688 | ||||||
DivX, Inc.* | 176 | 1,677 | ||||||
Cohu, Inc. | 133 | 1,674 | ||||||
Electro Scientific Industries, Inc.* | 150 | 1,667 | ||||||
Vocus, Inc.* | 90 | 1,663 | ||||||
LTX-Credence Corp.* | 790 | 1,651 | ||||||
Infospace, Inc.* | 188 | 1,628 | ||||||
Hypercom Corp.* | 250 | 1,625 | ||||||
Sonic Solutions, Inc.* | 140 | 1,593 | ||||||
Smith Micro Software, Inc.* | 160 | 1,590 | ||||||
Ceva, Inc.* | 110 | 1,573 | ||||||
ExlService Holdings, Inc.* | 80 | 1,556 | ||||||
Bottomline Technologies, Inc.* | 100 | 1,536 | ||||||
Photronics, Inc.* | 290 | 1,534 | ||||||
Echelon Corp.* | 177 | 1,513 | ||||||
ModusLink Global Solutions, Inc.* | 238 | 1,511 | ||||||
Nanometrics, Inc.* | 100 | 1,505 | ||||||
Diamond Management & Technology Consultants, Inc. — Class A | 120 | 1,500 | ||||||
Imation Corp.* | 160 | 1,493 | ||||||
EMS Technologies, Inc.* | 80 | 1,490 | ||||||
Extreme Networks* | 477 | 1,483 | ||||||
RealNetworks, Inc.* | 452 | 1,474 | ||||||
Knot, Inc.* | 160 | 1,461 | ||||||
S1 Corp.* | 280 | 1,459 | ||||||
THQ, Inc.* | 360 | 1,447 | ||||||
Mercury Computer Systems, Inc.* | 120 | 1,444 | ||||||
Rudolph Technologies, Inc.* | 167 | 1,388 | ||||||
Internap Network Services Corp.* | 280 | 1,375 | ||||||
Symmetricom, Inc.* | 240 | 1,373 | ||||||
UTStarcom, Inc.* | 632 | 1,371 | ||||||
Lionbridge Technologies, Inc.* | 317 | 1,363 | ||||||
Hughes Communications, Inc.* | 50 | 1,362 | ||||||
Rubicon Technology, Inc.* | 60 | 1,361 | ||||||
Novatel Wireless, Inc.* | 170 | 1,340 | ||||||
Super Micro Computer, Inc.* | 128 | 1,330 | ||||||
Aviat Networks, Inc.* | 324 | 1,325 | ||||||
KIT Digital, Inc.* | 110 | 1,319 | ||||||
Mindspeed Technologies, Inc.* | 167 | 1,298 | ||||||
Measurement Specialties, Inc.* | 70 | 1,294 | ||||||
NVE Corp.* | 30 | 1,291 | ||||||
Keithley Instruments, Inc. | 60 | 1,291 | ||||||
Powerwave Technologies, Inc.* | 708 | 1,289 | ||||||
Opnet Technologies, Inc. | 70 | 1,270 | ||||||
Kopin Corp.* | 357 | 1,267 | ||||||
Cray, Inc.* | 190 | 1,254 | ||||||
Silicon Graphics International Corp.* | 160 | 1,242 | ||||||
IXYS Corp.* | 130 | 1,242 | ||||||
Digi International, Inc.* | 130 | 1,234 | ||||||
Interactive Intelligence, Inc.* | 70 | 1,232 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Actuate Corp.* | 238 | $ | 1,226 | |||||
Radisys Corp.* | 130 | 1,225 | ||||||
Pericom Semiconductor Corp.* | 140 | 1,217 | ||||||
Integrated Silicon Solution, Inc.* | 140 | 1,205 | ||||||
Intevac, Inc.* | 120 | 1,201 | ||||||
ShoreTel, Inc.* | 240 | 1,190 | ||||||
LoopNet, Inc.* | 100 | 1,184 | ||||||
Anaren, Inc.* | 70 | 1,175 | ||||||
support.com, Inc.* | 250 | 1,145 | ||||||
AXT, Inc.* | 170 | 1,125 | ||||||
Liquidity Services, Inc.* | 70 | 1,121 | ||||||
Exar Corp.* | 187 | 1,120 | ||||||
Seachange International, Inc.* | 150 | 1,112 | ||||||
SS&C Technologies Holdings, Inc.* | 70 | 1,106 | ||||||
Supertex, Inc.* | 50 | 1,106 | ||||||
Global Cash Access Holdings, Inc.* | 270 | 1,102 | ||||||
Comverge, Inc.* | 140 | 1,100 | ||||||
Multi-Fineline Electronix, Inc.* | 50 | 1,100 | ||||||
Monotype Imaging Holdings, Inc.* | 120 | 1,098 | ||||||
Perficient, Inc.* | 120 | 1,097 | ||||||
Axcelis Technologies, Inc.* | 560 | 1,081 | ||||||
MoneyGram International, Inc.* | 437 | 1,066 | ||||||
Electro Rent Corp. | 80 | 1,062 | ||||||
Rosetta Stone, Inc.* | 50 | 1,062 | ||||||
KVH Industries, Inc.* | 70 | 1,051 | ||||||
Spansion, Inc. — Class A* | 70 | 1,048 | ||||||
Bel Fuse, Inc. — Class B | 50 | 1,041 | ||||||
Limelight Networks, Inc.* | 177 | 1,041 | ||||||
Ultra Clean Holdings* | 120 | 1,034 | ||||||
Magma Design Automation, Inc.* | 277 | 1,025 | ||||||
Globecomm Systems, Inc.* | 120 | 1,004 | ||||||
Ciber, Inc.* | 328 | 987 | ||||||
Technitrol, Inc. | 220 | 970 | ||||||
Wave Systems Corp. — Class A* | 430 | 963 | ||||||
DemandTec, Inc.* | 100 | 941 | ||||||
TeleCommunication Systems, Inc. — Class A* | 240 | 938 | ||||||
PROS Holdings, Inc.* | 100 | 928 | ||||||
VASCO Data Security International, Inc.* | 140 | 910 | ||||||
Immersion Corp.* | 150 | 886 | ||||||
Spectrum Control, Inc.* | 60 | 883 | ||||||
Zygo Corp.* | 90 | 882 | ||||||
Gerber Scientific, Inc.* | 140 | 864 | ||||||
Zix Corp.* | 300 | 852 | ||||||
Microtune, Inc.* | 290 | 841 | ||||||
DSP Group, Inc.* | 120 | 840 | ||||||
Rimage Corp.* | 50 | 822 | ||||||
Saba Software, Inc.* | 150 | 816 | ||||||
Advanced Analogic Technologies, Inc.* | 230 | 807 | ||||||
Deltek, Inc.* | 100 | 801 | ||||||
BigBand Networks, Inc.* | 270 | 767 |
102 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Dice Holdings, Inc.* | 90 | $ | 763 | |||||
Openwave Systems, Inc.* | 447 | 760 | ||||||
Evergreen Solar, Inc.* | 1,029 | 755 | ||||||
QuinStreet, Inc.* | 50 | 752 | ||||||
Mattson Technology, Inc.* | 270 | 742 | ||||||
Richardson Electronics, Ltd. | 70 | 735 | ||||||
MoSys, Inc.* | 150 | 732 | ||||||
Conexant Systems, Inc.* | 440 | 722 | ||||||
Archipelago Learning, Inc.* | 60 | 718 | ||||||
Renaissance Learning, Inc. | 70 | 713 | ||||||
PLX Technology, Inc.* | 197 | 713 | ||||||
American Software, Inc. — Class A | 120 | 708 | ||||||
Digimarc Corp.* | 30 | 704 | ||||||
Keynote Systems, Inc. | 60 | 697 | ||||||
Virtusa Corp.* | 70 | 678 | ||||||
CDC Corporation — Class A* | 160 | 677 | ||||||
X-Rite, Inc.* | 177 | 671 | ||||||
Integral Systems, Inc.* | 90 | 664 | ||||||
Trident Microsystems, Inc.* | 383 | 655 | ||||||
Stamps.com, Inc.* | 50 | 650 | ||||||
Agilysys, Inc.* | 100 | 650 | ||||||
DDi Corp. | 70 | 647 | ||||||
Echo Global Logistics, Inc.* | 50 | 639 | ||||||
Online Resources Corp.* | 140 | 622 | ||||||
Hackett Group, Inc.* | 150 | 620 | ||||||
PC-Telephone, Inc.* | 100 | 614 | ||||||
Computer Task Group, Inc.* | 80 | 611 | ||||||
Calix, Inc.* | 40 | 574 | ||||||
GSI Technology, Inc.* | 100 | 573 | ||||||
NCI, Inc. — Class A* | 30 | 568 | ||||||
SRS Labs, Inc.* | 60 | 560 | ||||||
CPI International, Inc.* | 40 | 560 | ||||||
Network Equipment Technologies, Inc.* | 160 | 552 | ||||||
Marchex, Inc. — Class A | 100 | 545 | ||||||
Meru Networks, Inc.* | 30 | 517 | ||||||
Travelzoo, Inc.* | 20 | 515 | ||||||
FalconStor Software, Inc.* | 160 | 490 | ||||||
Occam Networks, Inc.* | 60 | 470 | ||||||
ICx Technologies, Inc.* | 60 | 453 | ||||||
Tessco Technologies, Inc. | 30 | 452 | ||||||
Hutchinson Technology, Inc.* | 130 | 451 | ||||||
MaxLinear, Inc. — Class A* | 40 | 449 | ||||||
PDF Solutions, Inc.* | 117 | 433 | ||||||
ePlus, Inc.* | 20 | 429 | ||||||
TechTarget, Inc.* | 80 | 420 | ||||||
Guidance Software, Inc.* | 70 | 409 | ||||||
Local.com Corp.* | 90 | 398 | ||||||
Tier Technologies, Inc. — Class B* | 70 | 388 | ||||||
SPS Commerce, Inc.* | 30 | 385 | ||||||
Opnext, Inc.* | 230 | 361 | ||||||
PC Connection, Inc.* | 50 | 341 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Alpha & Omega Semiconductor Ltd.* | 30 | $ | 341 | |||||
Presstek, Inc.* | 150 | 329 | ||||||
Viasystems Group, Inc.* | 20 | 304 | ||||||
Network Engines, Inc.* | 190 | 277 | ||||||
Convio, Inc.* | 30 | 277 | ||||||
QAD, Inc.* | 60 | 250 | ||||||
FSI International, Inc.* | 87 | 231 | ||||||
TeleNav, Inc.* | 40 | 212 | ||||||
Ikanos Communications, Inc.* | 160 | 190 | ||||||
Stream Global Services, Inc.* | 20 | 81 | ||||||
Total Information Technology | 1,005,900 | |||||||
INDUSTRIALS - 7.3% | ||||||||
Nordson Corp. | 180 | 13,264 | ||||||
Woodward Governor Co. | 330 | 10,699 | ||||||
CLARCOR, Inc. | 270 | 10,430 | ||||||
Acuity Brands, Inc. | 230 | 10,175 | ||||||
GrafTech International Ltd.* | 650 | 10,160 | ||||||
Baldor Electric Co. | 248 | 10,019 | ||||||
Alaska Air Group, Inc.* | 188 | 9,594 | ||||||
Hexcel Corp.* | 520 | 9,251 | ||||||
Esterline Technologies Corp.* | 160 | 9,157 | ||||||
Genesee & Wyoming, Inc. — Class A* | 210 | 9,112 | ||||||
EMCOR Group, Inc.* | 358 | 8,803 | ||||||
JetBlue Airways Corp.* | 1,314 | 8,791 | ||||||
Moog, Inc. — Class A* | 240 | 8,522 | ||||||
Watsco, Inc. | 150 | 8,352 | ||||||
Actuant Corp. — Class A | 357 | 8,197 | ||||||
Clean Harbors, Inc.* | 120 | 8,130 | ||||||
US Airways Group, Inc.* | 866 | 8,011 | ||||||
Geo Group, Inc.* | 330 | 7,705 | ||||||
Brady Corp. — Class A | 260 | 7,584 | ||||||
Curtiss-Wright Corp. | 250 | 7,575 | ||||||
AO Smith Corp. | 130 | 7,526 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 150 | 7,521 | ||||||
American Superconductor Corp.* | 240 | 7,464 | ||||||
Teledyne Technologies, Inc.* | 187 | 7,446 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 140 | 7,042 | ||||||
Applied Industrial Technologies, Inc. | 230 | 7,038 | ||||||
United Stationers, Inc.* | 130 | 6,956 | ||||||
Tetra Tech, Inc.* | 328 | 6,878 | ||||||
HEICO Corp. | 150 | 6,846 | ||||||
HNI Corp. | 238 | 6,845 | ||||||
Triumph Group, Inc. | 90 | 6,713 | ||||||
Belden, Inc. | 248 | 6,542 | ||||||
EnerSys* | 260 | 6,492 | ||||||
Avis Budget Group, Inc.* | 546 | 6,361 | ||||||
Knight Transportation, Inc. | 324 | 6,263 | ||||||
Kaydon Corp. | 180 | 6,228 | ||||||
Herman Miller, Inc. | 307 | 6,042 | ||||||
ABM Industries, Inc. | 279 | 6,024 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 103 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Brink’s Co. | 260 | $ | 5,980 | |||||
HUB Group, Inc. — Class A* | 200 | 5,852 | ||||||
Corporate Executive Board Co. | 178 | 5,618 | ||||||
Old Dominion Freight Line, Inc.* | 220 | 5,592 | ||||||
Watts Water Technologies, Inc. — Class A | 160 | 5,448 | ||||||
Healthcare Services Group, Inc. | 239 | 5,447 | ||||||
Simpson Manufacturing Company, Inc. | 210 | 5,414 | ||||||
CoStar Group, Inc.* | 110 | 5,358 | ||||||
Deluxe Corp. | 280 | 5,356 | ||||||
AirTran Holdings, Inc.* | 726 | 5,336 | ||||||
Mueller Industries, Inc. | 199 | 5,272 | ||||||
Briggs & Stratton Corp. | 270 | 5,133 | ||||||
Insituform Technologies, Inc. — Class A* | 210 | 5,078 | ||||||
Middleby Corp.* | 80 | 5,071 | ||||||
Rollins, Inc. | 210 | 4,910 | ||||||
GeoEye, Inc.* | 121 | 4,898 | ||||||
II-VI, Inc.* | 130 | 4,853 | ||||||
United Rentals, Inc.* | 322 | 4,778 | ||||||
Orbital Sciences Corp.* | 310 | 4,743 | ||||||
Werner Enterprises, Inc. | 230 | 4,713 | ||||||
DigitalGlobe, Inc.* | 154 | 4,682 | ||||||
ESCO Technologies, Inc. | 140 | 4,656 | ||||||
Barnes Group, Inc. | 260 | 4,573 | ||||||
Granite Construction, Inc. | 190 | 4,321 | ||||||
Skywest, Inc. | 300 | 4,188 | ||||||
Forward Air Corp. | 160 | 4,160 | ||||||
Korn* | 250 | 4,135 | ||||||
RBC Bearings, Inc.* | 120 | 4,078 | ||||||
Heartland Express, Inc. | 270 | 4,015 | ||||||
Franklin Electric Company, Inc. | 120 | 3,979 | ||||||
Amerco, Inc.* | 50 | 3,974 | ||||||
AAR Corp.* | 208 | 3,881 | ||||||
Knoll, Inc. | 250 | 3,878 | ||||||
Interface, Inc. — Class A | 267 | 3,799 | ||||||
Mine Safety Appliances Co. | 140 | 3,794 | ||||||
Kaman Corp. | 140 | 3,669 | ||||||
Robbins & Myers, Inc. | 137 | 3,669 | ||||||
Polypore International, Inc.* | 120 | 3,619 | ||||||
Advisory Board Co.* | 80 | 3,532 | ||||||
A123 Systems, Inc.* | 390 | 3,498 | ||||||
Beacon Roofing Supply, Inc.* | 239 | 3,482 | ||||||
EnerNOC, Inc.* | 110 | 3,455 | ||||||
Quanex Building Products Corp. | 200 | 3,454 | ||||||
EnPro Industries, Inc.* | 110 | 3,441 | ||||||
Resources Connection, Inc. | 250 | 3,440 | ||||||
Ameron International Corp. | 50 | 3,398 | ||||||
Steelcase, Inc. — Class A | 407 | 3,390 | ||||||
Allegiant Travel Co. — Class A | 80 | 3,386 | ||||||
Arkansas Best Corp. | 139 | 3,368 | ||||||
Blount International, Inc.* | 260 | 3,310 | ||||||
Ceradyne, Inc.* | 140 | 3,269 | ||||||
Cubic Corp. | 80 | 3,264 | ||||||
Badger Meter, Inc. | 80 | 3,238 |
MARKET | ||||||||
SHARES | VALUE | |||||||
TrueBlue, Inc.* | 237 | $ | 3,235 | |||||
Administaff, Inc. | 120 | 3,232 | ||||||
Interline Brands, Inc.* | 177 | 3,193 | ||||||
Acacia Research - Acacia Technologies* | 180 | 3,168 | ||||||
McGrath Rentcorp | 130 | 3,114 | ||||||
Navigant Consulting, Inc.* | 267 | 3,105 | ||||||
Unifirst Corp. | 70 | 3,091 | ||||||
Tennant Co. | 100 | 3,090 | ||||||
Chart Industries, Inc.* | 150 | 3,054 | ||||||
Lindsay Corp. | 70 | 3,032 | ||||||
Raven Industries, Inc. | 80 | 3,031 | ||||||
AZZ, Inc. | 70 | 2,999 | ||||||
SYKES Enterprises, Inc.* | 220 | 2,988 | ||||||
American Science & Engineering, Inc. | 40 | 2,946 | ||||||
Griffon Corp.* | 240 | 2,926 | ||||||
Universal Forest Products, Inc. | 100 | 2,925 | ||||||
Mobile Mini, Inc.* | 190 | 2,915 | ||||||
MasTec, Inc.* | 280 | 2,890 | ||||||
GT Solar International, Inc.* | 342 | 2,863 | ||||||
Astec Industries, Inc.* | 100 | 2,853 | ||||||
Tutor Perini Corp.* | 142 | 2,853 | ||||||
Layne Christensen Co.* | 110 | 2,848 | ||||||
CIRCOR International, Inc. | 90 | 2,844 | ||||||
Albany International Corp. — Class A | 150 | 2,838 | ||||||
ATC Technology Corp.* | 110 | 2,721 | ||||||
Huron Consulting Group, Inc.* | 120 | 2,639 | ||||||
NACCO Industries, Inc. — Class A | 30 | 2,622 | ||||||
Rush Enterprises, Inc. — Class A* | 170 | 2,608 | ||||||
Wabash National Corp.* | 320 | 2,589 | ||||||
Titan International, Inc. | 190 | 2,578 | ||||||
Ennis, Inc. | 140 | 2,505 | ||||||
Mueller Water Products, Inc. — Class A | 828 | 2,501 | ||||||
Bowne & Company, Inc. | 220 | 2,493 | ||||||
John Bean Technologies Corp. | 154 | 2,481 | ||||||
EnergySolutions, Inc. | 480 | 2,414 | ||||||
Tredegar Corp. | 127 | 2,410 | ||||||
Exponent, Inc.* | 70 | 2,351 | ||||||
G&K Services, Inc. — Class A | 100 | 2,286 | ||||||
Aircastle, Ltd. | 267 | 2,264 | ||||||
ICF International, Inc.* | 90 | 2,256 | ||||||
Kforce, Inc.* | 160 | 2,195 | ||||||
TAL International Group, Inc. | 90 | 2,180 | ||||||
Ladish Company, Inc.* | 70 | 2,179 | ||||||
Comfort Systems USA, Inc. | 200 | 2,146 | ||||||
Altra Holdings, Inc.* | 145 | 2,136 | ||||||
Viad Corp. | 110 | 2,127 | ||||||
Dycom Industries, Inc.* | 210 | 2,098 | ||||||
Consolidated Graphics, Inc.* | 50 | 2,073 | ||||||
Sun Hydraulics Corp. | 70 | 1,973 | ||||||
Colfax Corp.* | 130 | 1,933 | ||||||
Gorman-Rupp Co. | 70 | 1,929 | ||||||
RSC Holdings, Inc.* | 257 | 1,917 |
104 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Force Protection, Inc.* | 380 | $ | 1,915 | |||||
Marten Transport Ltd. | 80 | 1,854 | ||||||
Dolan Co.* | 160 | 1,819 | ||||||
MYR Group, Inc.* | 110 | 1,803 | ||||||
Great Lakes Dredge & Dock Corp. | 310 | 1,801 | ||||||
Aerovironment, Inc.* | 80 | 1,780 | ||||||
Federal Signal Corp. | 328 | 1,768 | ||||||
Air Transport Services Group, Inc.* | 288 | 1,754 | ||||||
Genco Shipping & Trading Ltd.* | 110 | 1,753 | ||||||
Heidrick & Struggles International, Inc. | 90 | 1,753 | ||||||
Applied Signal Technology, Inc. | 70 | 1,742 | ||||||
Eagle Bulk Shipping, Inc.* | 330 | 1,723 | ||||||
Team, Inc.* | 100 | 1,721 | ||||||
Orion Marine Group, Inc.* | 137 | 1,700 | ||||||
Standex International Corp. | 70 | 1,693 | ||||||
Hawaiian Holdings, Inc.* | 280 | 1,677 | ||||||
ACCO Brands Corp.* | 290 | 1,668 | ||||||
SFN Group, Inc.* | 277 | 1,665 | ||||||
Columbus McKinnon Corp.* | 100 | 1,659 | ||||||
AAON, Inc. | 70 | 1,646 | ||||||
Kelly Services, Inc. — Class A* | 140 | 1,642 | ||||||
Encore Wire Corp. | 80 | 1,641 | ||||||
Cascade Corp. | 50 | 1,590 | ||||||
Greenbrier Companies, Inc.* | 100 | 1,559 | ||||||
Powell Industries, Inc.* | 50 | 1,556 | ||||||
American Reprographics Co.* | 197 | 1,546 | ||||||
GenCorp, Inc.* | 310 | 1,525 | ||||||
Cenveo, Inc.* | 300 | 1,509 | ||||||
FreightCar America, Inc. | 60 | 1,476 | ||||||
Republic Airways Holdings, Inc.* | 178 | 1,474 | ||||||
Vicor Corp. | 100 | 1,461 | ||||||
LB Foster Co. — Class A* | 50 | 1,447 | ||||||
US Ecology, Inc. | 90 | 1,440 | ||||||
Gibraltar Industries, Inc.* | 160 | 1,437 | ||||||
Satcon Technology Corp.* | 380 | 1,429 | ||||||
CBIZ, Inc.* | 240 | 1,423 | ||||||
3D Systems Corp.* | 90 | 1,414 | ||||||
Celadon Group, Inc.* | 100 | 1,381 | ||||||
Apogee Enterprises, Inc. | 150 | 1,373 | ||||||
Generac Holdings, Inc.* | 100 | 1,364 | ||||||
Saia, Inc.* | 90 | 1,344 | ||||||
Textainer Group Holdings Ltd. | 50 | 1,337 | ||||||
Trex Company, Inc.* | 70 | 1,335 | ||||||
Kadant, Inc.* | 70 | 1,324 | ||||||
Taser International, Inc.* | 336 | 1,304 | ||||||
School Specialty, Inc.* | 100 | 1,301 | ||||||
Hawk Corp. — Class A* | 30 | 1,298 | ||||||
Commercial Vehicle Group, Inc.* | 127 | 1,293 | ||||||
Sauer-Danfoss, Inc.* | 60 | 1,277 | ||||||
Energy Conversion Devices, Inc.* | 250 | 1,255 | ||||||
Ampco-Pittsburgh Corp. | 50 | 1,241 | ||||||
Ener1, Inc.* | 331 | 1,218 | ||||||
M&F Worldwide Corp.* | 50 | 1,217 | ||||||
Standard Parking Corp.* | 70 | 1,197 |
MARKET | ||||||||
SHARES | VALUE | |||||||
H&E Equipment Services, Inc.* | 150 | $ | 1,196 | |||||
PMFG, Inc.* | 70 | 1,194 | ||||||
Trimas Corp.* | 80 | 1,188 | ||||||
Excel Maritime Carriers Ltd. — Class A* | 210 | 1,180 | ||||||
RailAmerica, Inc.* | 120 | 1,156 | ||||||
Herley Industries, Inc.* | 70 | 1,155 | ||||||
Advanced Battery Technologies, Inc.* | 318 | 1,142 | ||||||
Titan Machinery, Inc.* | 70 | 1,141 | ||||||
American Commercial Lines, Inc.* | 40 | 1,115 | ||||||
Sterling Construction Company, Inc.* | 90 | 1,114 | ||||||
Schawk, Inc. — Class A | 60 | 1,108 | ||||||
Ducommun, Inc. | 50 | 1,089 | ||||||
Pacer International, Inc.* | 180 | 1,087 | ||||||
CRA International, Inc.* | 60 | 1,083 | ||||||
Microvision, Inc.* | 480 | 1,051 | ||||||
Tecumseh Products Co. — Class A* | 90 | 1,032 | ||||||
Houston Wire & Cable Co. | 100 | 1,003 | ||||||
Capstone Turbine Corp.* | 1,290 | 996 | ||||||
Kimball International, Inc. — Class B | 170 | 991 | ||||||
Michael Baker Corp.* | 30 | 989 | ||||||
On Assignment, Inc.* | 187 | 982 | ||||||
Furmanite Corp.* | 200 | 976 | ||||||
APAC Customer Services, Inc.* | 170 | 962 | ||||||
Kratos Defense & Security Solutions, Inc.* | 90 | 958 | ||||||
Aceto Corp. | 140 | 951 | ||||||
Broadwind Energy, Inc.* | 501 | 937 | ||||||
Dynamic Materials Corp. | 60 | 907 | ||||||
CDI Corp. | 70 | 904 | ||||||
American Woodmark Corp. | 50 | 886 | ||||||
Baltic Trading Ltd. | 80 | 881 | ||||||
Northwest Pipe Co.* | 50 | 875 | ||||||
LaBarge, Inc.* | 70 | 874 | ||||||
Astronics Corp.* | 50 | 873 | ||||||
NCI Building Systems, Inc.* | 90 | 858 | ||||||
Innerworkings, Inc.* | 130 | 854 | ||||||
International Shipholding Corp. | 30 | 847 | ||||||
PowerSecure International, Inc.* | 90 | 833 | ||||||
Mistras Group, Inc.* | 70 | 811 | ||||||
Insteel Industries, Inc. | 90 | 808 | ||||||
LMI Aerospace, Inc.* | 50 | 796 | ||||||
Energy Recovery, Inc.* | 220 | 790 | ||||||
American Railcar Industries, Inc.* | 50 | 784 | ||||||
Graham Corp. | 50 | 776 | ||||||
Ultrapetrol Bahamas Ltd.* | 120 | 770 | ||||||
Multi-Color Corp. | 50 | 770 | ||||||
Dynamex, Inc.* | 50 | 762 | ||||||
DXP Enterprises, Inc.* | 40 | 759 | ||||||
CAI International, Inc.* | 50 | 759 | ||||||
Metalico, Inc.* | 197 | 755 | ||||||
Primoris Services Corp. | 110 | 719 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 105 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Courier Corp. | 50 | $ | 711 | |||||
Thermadyne Holdings Corp.* | 50 | 706 | ||||||
Met-Pro Corp. | 70 | 706 | ||||||
VSE Corp. | 20 | 705 | ||||||
Patriot Transportation Holding, Inc.* | 10 | 701 | ||||||
Twin Disc, Inc. | 50 | 698 | ||||||
Miller Industries, Inc. | 50 | 676 | ||||||
Horizon Lines, Inc. — Class A | 160 | 672 | ||||||
Alamo Group, Inc. | 30 | 670 | ||||||
Lydall, Inc.* | 90 | 662 | ||||||
Flow International Corp.* | 250 | 657 | ||||||
LSI Industries, Inc. | 100 | 642 | ||||||
Hill International, Inc.* | 143 | 641 | ||||||
GP Strategies Corp.* | 70 | 636 | ||||||
Fuel Tech, Inc.* | 100 | 627 | ||||||
Douglas Dynamics, Inc. | 50 | 618 | ||||||
Barrett Business Services, Inc. | 40 | 608 | ||||||
Hudson Highland Group, Inc.* | 170 | 585 | ||||||
Pike Electric Corp.* | 80 | 582 | ||||||
Volt Information Sciences, Inc.* | 80 | 576 | ||||||
Franklin Covey Co.* | 70 | 556 | ||||||
Builders FirstSource, Inc.* | 240 | 547 | ||||||
Casella Waste Systems, Inc. — Class A* | 130 | 546 | ||||||
Pinnacle Airlines Corp.* | 100 | 543 | ||||||
Roadrunner Transportation Systems, Inc.* | 50 | 542 | ||||||
Xerium Technologies, Inc.* | 40 | 527 | ||||||
UQM Technologies, Inc.* | 190 | 486 | ||||||
Applied Energetics, Inc.* | 420 | 470 | ||||||
Universal Truckload Services, Inc.* | 30 | 470 | ||||||
USA Truck, Inc.* | 30 | 449 | ||||||
Global Defense Technology & Systems, Inc.* | 30 | 411 | ||||||
Park-Ohio Holdings Corp.* | 30 | 399 | ||||||
Argan, Inc.* | 40 | 374 | ||||||
Lawson Products, Inc. | 20 | 305 | ||||||
Standard Register Co. | 100 | 292 | ||||||
PAM Transportation Services, Inc.* | 20 | 252 | ||||||
Hoku Corp.* | 90 | 246 | ||||||
United Capital Corp.* | 10 | 243 | ||||||
Coleman Cable, Inc.* | 40 | 240 | ||||||
BlueLinx Holdings, Inc.* | 60 | 239 | ||||||
PGT, Inc.* | 100 | 228 | ||||||
FuelCell Energy, Inc.* | 172 | 212 | ||||||
Quality Distribution, Inc.* | 30 | 191 | ||||||
LECG Corp.* | 140 | 154 | ||||||
Omega Flex, Inc. | 10 | 143 | ||||||
Total Industrials | 823,333 | |||||||
CONSUMER DISCRETIONARY - 6.7% | ||||||||
Sotheby’s | 358 | 13,182 | ||||||
Warnaco Group, Inc.* | 238 | 12,169 | ||||||
Polaris Industries, Inc. | 170 | 11,067 | ||||||
Deckers Outdoor Corp.* | 210 | 10,492 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Dana Holding Corp.* | 753 | $ | 9,277 | |||||
Tenneco, Inc.* | 320 | 9,270 | ||||||
Jones Apparel Group, Inc. | 469 | 9,211 | ||||||
Valassis Communications, Inc.* | 270 | 9,150 | ||||||
Life Time Fitness, Inc.* | 220 | 8,683 | ||||||
Under Armour, Inc. — Class A* | 190 | 8,558 | ||||||
Cheesecake Factory, Inc.* | 322 | 8,523 | ||||||
Carter’s, Inc.* | 323 | 8,505 | ||||||
ArvinMeritor, Inc.* | 510 | 7,925 | ||||||
Wolverine World Wide, Inc. | 270 | 7,833 | ||||||
Rent-A-Center, Inc. — Class A | 348 | 7,788 | ||||||
Live Nation Entertainment, Inc.* | 762 | 7,529 | ||||||
Childrens Place Retail Stores, Inc.* | 150 | 7,315 | ||||||
Coinstar, Inc.* | 170 | 7,308 | ||||||
Brunswick Corp. | 480 | 7,306 | ||||||
Dress Barn, Inc.* | 307 | 7,291 | ||||||
Vail Resorts, Inc.* | 188 | 7,054 | ||||||
Capella Education Co.* | 90 | 6,986 | ||||||
Jo-Ann Stores, Inc.* | 154 | 6,861 | ||||||
Iconix Brand Group, Inc.* | 392 | 6,860 | ||||||
Gymboree Corp.* | 163 | 6,771 | ||||||
Men’s Wearhouse, Inc. | 280 | 6,661 | ||||||
Cracker Barrel Old Country Store, Inc. | 130 | 6,599 | ||||||
Cooper Tire & Rubber Co. | 334 | 6,556 | ||||||
AnnTaylor Stores Corp.* | 320 | 6,477 | ||||||
Jack in the Box, Inc.* | 300 | 6,432 | ||||||
Jos A. Bank Clothiers, Inc.* | 150 | 6,391 | ||||||
Saks, Inc.* | 732 | 6,295 | ||||||
HSN, Inc.* | 210 | 6,279 | ||||||
Eastman Kodak Co.* | 1,436 | 6,031 | ||||||
OfficeMax, Inc.* | 460 | 6,021 | ||||||
CROCS, Inc.* | 459 | 5,972 | ||||||
Regis Corp. | 308 | 5,892 | ||||||
Gaylord Entertainment Co.* | 190 | 5,795 | ||||||
Sally Beauty Holdings, Inc.* | 515 | 5,768 | ||||||
Collective Brands, Inc.* | 352 | 5,681 | ||||||
Matthews International Corp. — Class A | 160 | 5,658 | ||||||
PF Chang’s China Bistro, Inc. | 120 | 5,544 | ||||||
Orient-Express Hotels Ltd. — Class A* | 488 | 5,441 | ||||||
Dillard’s, Inc. — Class A | 230 | 5,437 | ||||||
Pool Corp. | 270 | 5,419 | ||||||
Steven Madden Ltd.* | 130 | 5,338 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 174 | 5,081 | ||||||
Monro Muffler Brake, Inc. | 110 | 5,072 | ||||||
Cinemark Holdings, Inc. | 310 | 4,991 | ||||||
Talbots, Inc.* | 380 | 4,978 | ||||||
99 Cents Only Stores* | 250 | 4,720 | ||||||
Pier 1 Imports, Inc.* | 560 | 4,586 | ||||||
DineEquity, Inc.* | 100 | 4,498 | ||||||
Bob Evans Farms, Inc. | 160 | 4,491 | ||||||
Skechers U.S.A., Inc. — Class A* | 187 | 4,393 |
106 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Scholastic Corp. | 157 | $ | 4,368 | |||||
Texas Roadhouse, Inc. — Class A* | 310 | 4,359 | ||||||
Timberland Co. — Class A* | 220 | 4,358 | ||||||
Buffalo Wild Wings, Inc.* | 90 | 4,310 | ||||||
Ryland Group, Inc. | 240 | 4,301 | ||||||
Cabela’s, Inc.* | 220 | 4,176 | ||||||
Ruby Tuesday, Inc.* | 350 | 4,155 | ||||||
CEC Entertainment, Inc.* | 120 | 4,120 | ||||||
National CineMedia, Inc. | 230 | 4,117 | ||||||
Cato Corp. — Class A | 150 | 4,014 | ||||||
Helen of Troy Ltd.* | 158 | 3,996 | ||||||
Arbitron, Inc. | 140 | 3,916 | ||||||
Group 1 Automotive, Inc.* | 130 | 3,884 | ||||||
Genesco, Inc.* | 130 | 3,884 | ||||||
American Greetings Corp. — Class A | 208 | 3,867 | ||||||
K12, Inc.* | 130 | 3,774 | ||||||
Buckle, Inc. | 142 | 3,769 | ||||||
Finish Line, Inc. — Class A | 270 | 3,756 | ||||||
Grand Canyon Education, Inc.* | 170 | 3,728 | ||||||
Hibbett Sports, Inc.* | 148 | 3,693 | ||||||
Pinnacle Entertainment, Inc.* | 327 | 3,646 | ||||||
Shutterfly, Inc.* | 140 | 3,639 | ||||||
Maidenform Brands, Inc.* | 120 | 3,462 | ||||||
Barnes & Noble, Inc. | 210 | 3,404 | ||||||
Scientific Games Corp. — Class A* | 350 | 3,395 | ||||||
BJ’s Restaurants, Inc.* | 120 | 3,379 | ||||||
Meritage Homes Corp.* | 170 | 3,335 | ||||||
Dex One Corp.* | 270 | 3,316 | ||||||
Corinthian Colleges, Inc.* | 470 | 3,299 | ||||||
Biglari Holdings, Inc.* | 10 | 3,286 | ||||||
Modine Manufacturing Co.* | 250 | 3,243 | ||||||
National Presto Industries, Inc. | 30 | 3,194 | ||||||
Liz Claiborne, Inc.* | 510 | 3,101 | ||||||
Belo Corp. — Class A* | 493 | 3,057 | ||||||
Penske Automotive Group, Inc.* | 230 | 3,036 | ||||||
Lumber Liquidators Holdings, Inc.* | 121 | 2,973 | ||||||
PEP Boys-Manny Moe & Jack | 280 | 2,962 | ||||||
American Public Education, Inc.* | 90 | 2,957 | ||||||
True Religion Apparel, Inc.* | 137 | 2,924 | ||||||
Columbia Sportswear Co. | 50 | 2,922 | ||||||
Papa John’s International, Inc.* | 110 | 2,902 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 320 | 2,886 | ||||||
Interval Leisure Group, Inc.* | 210 | 2,829 | ||||||
Quiksilver, Inc.* | 704 | 2,753 | ||||||
Fuel Systems Solutions, Inc.* | 70 | 2,738 | ||||||
Stage Stores, Inc. | 210 | 2,730 | ||||||
Sonic Corp.* | 335 | 2,707 | ||||||
NutriSystem, Inc. | 140 | 2,694 | ||||||
Blue Nile, Inc.* | 60 | 2,669 | ||||||
Steiner Leisure Ltd.* | 70 | 2,667 | ||||||
Lions Gate Entertainment Corp.* | 360 | 2,646 | ||||||
Jakks Pacific, Inc.* | 150 | 2,646 | ||||||
Brown Shoe Company, Inc. | 230 | 2,638 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Domino’s Pizza, Inc.* | 197 | $ | 2,604 | |||||
RC2 Corp.* | 120 | 2,514 | ||||||
G-III Apparel Group Ltd.* | 80 | 2,510 | ||||||
Pre-Paid Legal Services, Inc.* | 40 | 2,500 | ||||||
Fred’s, Inc. — Class A | 210 | 2,478 | ||||||
Vitamin Shoppe, Inc.* | 90 | 2,471 | ||||||
Harte-Hanks, Inc. | 210 | 2,451 | ||||||
Callaway Golf Co. | 350 | 2,450 | ||||||
Ameristar Casinos, Inc. | 140 | 2,443 | ||||||
Shuffle Master, Inc.* | 290 | 2,439 | ||||||
Stewart Enterprises, Inc. — Class A | 440 | 2,372 | ||||||
La-Z-Boy, Inc. * | 277 | 2,338 | ||||||
Zumiez, Inc.* | 110 | 2,328 | ||||||
Standard Pacific Corporation* | 568 | 2,255 | ||||||
Asbury Automotive Group, Inc.* | 160 | 2,251 | ||||||
Ethan Allen Interiors, Inc. | 128 | 2,235 | ||||||
Charming Shoppes, Inc.* | 619 | 2,179 | ||||||
Universal Technical Institute, Inc. | 111 | 2,170 | ||||||
Knology, Inc.* | 160 | 2,149 | ||||||
Boyd Gaming Corp.* | 290 | 2,102 | ||||||
PetMed Express, Inc. | 120 | 2,100 | ||||||
Drew Industries, Inc.* | 100 | 2,086 | ||||||
Superior Industries International, Inc. | 120 | 2,074 | ||||||
Sonic Automotive, Inc. — Class A* | 210 | 2,064 | ||||||
Peet’s Coffee & Tea, Inc.* | 60 | 2,054 | ||||||
iRobot Corp.* | 110 | 2,043 | ||||||
DSW, Inc. — Class A* | 70 | 2,009 | ||||||
Select Comfort Corp.* | 290 | 1,966 | ||||||
Exide Technologies* | 407 | 1,950 | ||||||
Citi Trends, Inc.* | 80 | 1,937 | ||||||
Volcom, Inc.* | 100 | 1,912 | ||||||
Pacific Sunwear of California, Inc.* | 365 | 1,909 | ||||||
Ascent Media Corp. — Class A* | 70 | 1,870 | ||||||
Wet Seal, Inc. — Class A* | 551 | 1,868 | ||||||
Dorman Products, Inc.* | 60 | 1,849 | ||||||
K-Swiss, Inc. — Class A* | 145 | 1,849 | ||||||
World Wrestling Entertainment, Inc. — Class A | 130 | 1,808 | ||||||
Rue21, Inc.* | 70 | 1,807 | ||||||
Churchill Downs, Inc. | 50 | 1,786 | ||||||
AFC Enterprises, Inc.* | 140 | 1,736 | ||||||
hhgregg, Inc.* | 70 | 1,733 | ||||||
California Pizza Kitchen, Inc.* | 100 | 1,706 | ||||||
Coldwater Creek, Inc.* | 322 | 1,697 | ||||||
Sinclair Broadcast Group, Inc. — Class A* | 240 | 1,685 | ||||||
Winnebago Industries, Inc.* | 160 | 1,667 | ||||||
Oxford Industries, Inc. | 70 | 1,665 | ||||||
Beazer Homes USA, Inc.* | 400 | 1,652 | ||||||
Denny’s Corp.* | 530 | 1,648 | ||||||
Big 5 Sporting Goods Corp. | 120 | 1,610 | ||||||
Core-Mark Holding Company, Inc.* | 50 | 1,548 | ||||||
Bridgepoint Education, Inc.* | 100 | 1,546 | ||||||
Christopher & Banks Corp. | 188 | 1,487 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 107 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CKX, Inc.* | 300 | $ | 1,470 | |||||
Universal Electronics, Inc.* | 70 | 1,459 | ||||||
HOT Topic, Inc. | 239 | 1,432 | ||||||
Krispy Kreme Doughnuts, Inc.* | 310 | 1,420 | ||||||
Mediacom Communications Corp. — Class A* | 209 | 1,381 | ||||||
Red Robin Gourmet Burgers, Inc.* | 70 | 1,373 | ||||||
Express, Inc.* | 90 | 1,369 | ||||||
Sturm Ruger & Company, Inc. | 100 | 1,364 | ||||||
EW Scripps Co. — Class A* | 170 | 1,340 | ||||||
Marcus Corp. | 110 | 1,303 | ||||||
Bebe Stores, Inc. | 180 | 1,298 | ||||||
Retail Ventures, Inc.* | 120 | 1,291 | ||||||
Rentrak Corp.* | 50 | 1,263 | ||||||
America’s Car-Mart, Inc.* | 50 | 1,259 | ||||||
McClatchy Co. — Class A* | 320 | 1,258 | ||||||
Kirkland’s, Inc.* | 90 | 1,247 | ||||||
Blyth, Inc. | 30 | 1,237 | ||||||
Amerigon, Inc.* | 120 | 1,236 | ||||||
Furniture Brands International, Inc.* | 227 | 1,221 | ||||||
Stein Mart, Inc.* | 137 | 1,210 | ||||||
Standard Motor Products, Inc. | 110 | 1,158 | ||||||
Lincoln Educational Services Corp.* | 80 | 1,153 | ||||||
Lithia Motors, Inc. — Class A | 120 | 1,151 | ||||||
Smith & Wesson Holding Corp.* | 320 | 1,139 | ||||||
Ambassadors Group, Inc. | 100 | 1,134 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 280 | 1,100 | ||||||
Overstock.com, Inc.* | 70 | 1,100 | ||||||
Speedway Motorsports, Inc. | 70 | 1,098 | ||||||
Perry Ellis International, Inc.* | 50 | 1,092 | ||||||
Warner Music Group Corp.* | 240 | 1,080 | ||||||
Cavco Industries, Inc.* | 30 | 1,077 | ||||||
Media General, Inc. — Class A* | 120 | 1,075 | ||||||
Entercom Communications Corp. — Class A* | 135 | 1,061 | ||||||
Libbey, Inc.* | 80 | 1,054 | ||||||
Journal Communications, Inc. — Class A* | 228 | 1,028 | ||||||
Shoe Carnival, Inc.* | 50 | 1,011 | ||||||
Unifi, Inc.* | 220 | 992 | ||||||
Destination Maternity Corp.* | 30 | 988 | ||||||
Leapfrog Enterprises, Inc. — Class A* | 180 | 986 | ||||||
Haverty Furniture Companies, Inc. | 90 | 982 | ||||||
Landry’s Restaurants, Inc.* | 40 | 980 | ||||||
Drugstore.com, Inc.* | 501 | 962 | ||||||
Global Sources Ltd.* | 120 | 906 | ||||||
Casual Male Retail Group, Inc.* | 220 | 898 | ||||||
Morgans Hotel Group Co.* | 120 | 878 | ||||||
Movado Group, Inc.* | 80 | 870 | ||||||
MarineMax, Inc.* | 120 | 845 | ||||||
Stoneridge, Inc.* | 80 | 841 | ||||||
Spartan Motors, Inc. | 180 | 835 | ||||||
M/I Homes, Inc.* | 80 | 830 |
MARKET | ||||||||
SHARES | VALUE | |||||||
CPI Corp. | 30 | $ | 776 | |||||
Tuesday Morning Corp.* | 160 | 763 | ||||||
Lifetime Brands, Inc.* | 50 | 755 | ||||||
Cherokee, Inc. | 40 | 730 | ||||||
Mac-Gray Corp. | 60 | 728 | ||||||
Weyco Group, Inc. | 30 | 727 | ||||||
O’Charleys, Inc.* | 100 | 719 | ||||||
West Marine, Inc.* | 70 | 711 | ||||||
AH Belo Corp. — Class A* | 100 | 707 | ||||||
Jamba, Inc.* | 320 | 701 | ||||||
CSS Industries, Inc. | 40 | 692 | ||||||
Kenneth Cole Productions, Inc. — Class A* | 40 | 667 | ||||||
Martha Stewart Living Omnimedia — Class A* | 140 | 664 | ||||||
LIN TV Corp. — Class A* | 147 | 653 | ||||||
Lee Enterprises, Inc.* | 240 | 643 | ||||||
Ruth’s Hospitality Group, Inc.* | 160 | 642 | ||||||
Sealy Corp.* | 260 | 634 | ||||||
SuperMedia, Inc.* | 60 | 634 | ||||||
Orbitz Worldwide, Inc.* | 100 | 630 | ||||||
McCormick & Schmick’s Seafood | ||||||||
Restaurants, Inc.* | 80 | 622 | ||||||
Playboy Enterprises, Inc. — | ||||||||
Class B* | 120 | 617 | ||||||
Audiovox Corp. — Class A* | 90 | 616 | ||||||
Arctic Cat, Inc.* | 60 | 615 | ||||||
Systemax, Inc. | 50 | 614 | ||||||
Bon-Ton Stores, Inc. | 60 | 610 | ||||||
Skyline Corp. | 30 | 608 | ||||||
Ballantyne Strong, Inc.* | 70 | 605 | ||||||
Gaiam, Inc. — Class A | 90 | 602 | ||||||
Hooker Furniture Corp. | 50 | 581 | ||||||
REX American Resources Corp.* | 40 | 580 | ||||||
US Auto Parts Network, Inc.* | 70 | 574 | ||||||
Monarch Casino & Resort, Inc.* | 50 | 560 | ||||||
Multimedia Games, Inc.* | 150 | 555 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 90 | 544 | ||||||
Midas, Inc.* | 70 | 533 | ||||||
Fisher Communications, Inc.* | 30 | 523 | ||||||
Gray Television, Inc.* | 260 | 523 | ||||||
Entravision Communications Corp. — Class A* | 260 | 517 | ||||||
Steinway Musical Instruments, Inc.* | 30 | 517 | ||||||
Kid Brands, Inc.* | 60 | 516 | ||||||
RG Barry Corp. | 50 | 514 | ||||||
Isle of Capri Casinos, Inc.* | 70 | 501 | ||||||
Culp, Inc.* | 50 | 490 | ||||||
Joe’s Jeans, Inc.* | 230 | 485 | ||||||
Delta Apparel, Inc.* | 30 | 450 | ||||||
Red Lion Hotels Corp.* | 60 | 446 | ||||||
Carmike Cinemas, Inc.* | 50 | 436 | ||||||
Vitacost.com, Inc.* | 70 | 421 | ||||||
Caribou Coffee Company, Inc.* | 40 | 416 |
108 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Lacrosse Footwear, Inc. | 30 | $ | 414 | |||||
ReachLocal, Inc.* | 30 | 413 | ||||||
Brookfield Homes Corp.* | 50 | 409 | ||||||
Summer Infant, Inc.* | 50 | 391 | ||||||
Carrols Restaurant Group, Inc.* | 70 | 371 | ||||||
LodgeNet Interactive Corp.* | 130 | 364 | ||||||
New York & Company, Inc.* | 140 | 360 | ||||||
PRIMEDIA, Inc. | 90 | 342 | ||||||
Cumulus Media, Inc. — Class A* | 120 | 337 | ||||||
Winmark Corp. | 10 | 334 | ||||||
Outdoor Channel Holdings, Inc.* | 60 | 332 | ||||||
Einstein Noah Restaurant Group, Inc.* | 30 | 318 | ||||||
Borders Group, Inc.* | 267 | 318 | ||||||
Marine Products Corp.* | 50 | 307 | ||||||
Shiloh Industries, Inc.* | 30 | 290 | ||||||
1-800-Flowers.com, Inc. — Class A* | 138 | 261 | ||||||
Nexstar Broadcasting Group, Inc. — Class A* | 50 | 257 | ||||||
Johnson Outdoors, Inc. — Class A* | 20 | 256 | ||||||
Cambium Learning Group, Inc.* | 80 | 256 | ||||||
Westwood One, Inc.* | 30 | 255 | ||||||
American Apparel, Inc.* | 180 | 221 | ||||||
Princeton Review, Inc.* | 100 | 204 | ||||||
Learning Tree International, Inc. | 20 | 202 | ||||||
National American University Holdings, Inc. | 30 | 202 | ||||||
Bluegreen Corp.* | 70 | 195 | ||||||
Conn’s, Inc.* | 40 | 186 | ||||||
Empire Resorts, Inc.* | 140 | 155 | ||||||
Radio One, Inc. — Class D* | 170 | 150 | ||||||
Books-A-Million, Inc. — Class A | 20 | 120 | ||||||
Beasley Broadcasting Group, Inc. — Class A* | 20 | 106 | ||||||
Crown Media Holdings, Inc. — Class A* | 10 | 24 | ||||||
Total Consumer Discretionary | 762,003 | |||||||
HEALTH CARE - 6.2% | ||||||||
Salix Pharmaceuticals Ltd.* | 310 | 12,313 | ||||||
AMERIGROUP Corp.* | 280 | 11,892 | ||||||
STERIS Corp. | 318 | 10,564 | ||||||
Psychiatric Solutions, Inc.* | 310 | 10,400 | ||||||
Owens & Minor, Inc. | 340 | 9,676 | ||||||
Healthsouth Corp.* | 500 | 9,600 | ||||||
Medicis Pharmaceutical Corp. — Class A | 320 | 9,488 | ||||||
Onyx Pharmaceuticals, Inc.* | 341 | 8,996 | ||||||
HMS Holdings Corp.* | 150 | 8,841 | ||||||
Magellan Health Services, Inc.* | 177 | 8,361 | ||||||
Savient Pharmaceuticals, Inc.* | 357 | 8,165 | ||||||
American Medical Systems Holdings, Inc.* | 400 | 7,832 | ||||||
Dionex Corp.* | 90 | 7,780 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Healthspring, Inc.* | 300 | $ | 7,752 | |||||
Masimo Corp. | 280 | 7,647 | ||||||
Immucor, Inc.* | 385 | 7,635 | ||||||
Haemonetics Corp.* | 130 | 7,609 | ||||||
Nektar Therapeutics* | 510 | 7,533 | ||||||
Incyte Corporation Ltd.* | 470 | 7,515 | ||||||
Alkermes, Inc.* | 508 | 7,442 | ||||||
NuVasive, Inc.* | 210 | 7,379 | ||||||
Cubist Pharmaceuticals, Inc.* | 310 | 7,251 | ||||||
Parexel International Corp.* | 308 | 7,124 | ||||||
Catalyst Health Solutions, Inc.* | 200 | 7,042 | ||||||
Seattle Genetics, Inc.* | 450 | 6,988 | ||||||
Volcano Corp.* | 267 | 6,937 | ||||||
Acorda Therapeutics, Inc.* | 210 | 6,934 | ||||||
Chemed Corp. | 120 | 6,836 | ||||||
Theravance, Inc.* | 340 | 6,834 | ||||||
Impax Laboratories, Inc.* | 344 | 6,811 | ||||||
WellCare Health Plans, Inc.* | 230 | 6,661 | ||||||
Quality Systems, Inc. | 100 | 6,631 | ||||||
PSS World Medical, Inc.* | 310 | 6,628 | ||||||
Sirona Dental Systems, Inc.* | 177 | 6,379 | ||||||
Viropharma, Inc.* | 418 | 6,232 | ||||||
Align Technology, Inc.* | 317 | 6,207 | ||||||
West Pharmaceutical Services, Inc. | 179 | 6,141 | ||||||
Centene Corp.* | 260 | 6,133 | ||||||
Cepheid, Inc.* | 325 | 6,081 | ||||||
athenahealth, Inc.* | 177 | 5,845 | ||||||
Bruker Corp.* | 395 | 5,542 | ||||||
Auxilium Pharmaceuticals, Inc.* | 217 | 5,377 | ||||||
Par Pharmaceutical Companies, Inc.* | 180 | 5,234 | ||||||
Pharmasset, Inc.* | 165 | 4,867 | ||||||
MedAssets, Inc.* | 230 | 4,839 | ||||||
Meridian Bioscience, Inc. | 217 | 4,748 | ||||||
Integra LifeSciences Holdings Corp.* | 115 | 4,538 | ||||||
Isis Pharmaceuticals, Inc.* | 509 | 4,276 | ||||||
Invacare Corp. | 160 | 4,242 | ||||||
Medicines Co.* | 290 | 4,118 | ||||||
DexCom, Inc.* | 309 | 4,085 | ||||||
Neogen Corp.* | 120 | 4,062 | ||||||
MWI Veterinary Supply, Inc.* | 70 | 4,040 | ||||||
Martek Biosciences Corp.* | 177 | 4,006 | ||||||
Cyberonics, Inc.* | 148 | 3,949 | ||||||
Zoll Medical Corp.* | 120 | 3,872 | ||||||
Arthrocare Corp.* | 137 | 3,724 | ||||||
CONMED Corporation* | 160 | 3,586 | ||||||
Amedisys, Inc.* | 150 | 3,570 | ||||||
HeartWare International, Inc.* | 50 | 3,438 | ||||||
PDL BioPharma, Inc. | 638 | 3,356 | ||||||
Momenta Pharmaceuticals, Inc.* | 219 | 3,296 | ||||||
InterMune, Inc.* | 238 | 3,242 | ||||||
Gentiva Health Services, Inc.* | 148 | 3,234 | ||||||
Luminex Corp.* | 200 | 3,200 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 109 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Analogic Corp. | 70 | $ | 3,142 | |||||
Landauer, Inc. | 50 | 3,131 | ||||||
Amsurg Corp. — Class A* | 175 | 3,059 | ||||||
Wright Medical Group, Inc.* | 210 | 3,026 | ||||||
Enzon Pharmaceuticals, Inc.* | 267 | 3,004 | ||||||
Halozyme Therapeutics, Inc.* | 386 | 2,976 | ||||||
Questcor Pharmaceuticals, Inc.* | 300 | 2,976 | ||||||
Celera Corp.* | 437 | 2,945 | ||||||
Geron Corp.* | 530 | 2,931 | ||||||
Micromet, Inc.* | 428 | 2,876 | ||||||
Vivus, Inc.* | 426 | 2,850 | ||||||
Orthofix International N.V.* | 90 | 2,828 | ||||||
Zymogenetics, Inc.* | 290 | 2,827 | ||||||
Abaxis, Inc.* | 120 | 2,772 | ||||||
Greatbatch, Inc.* | 118 | 2,736 | ||||||
Bio-Reference Labs, Inc.* | 130 | 2,712 | ||||||
Kindred Healthcare, Inc.* | 207 | 2,695 | ||||||
Targacept, Inc.* | 120 | 2,681 | ||||||
RehabCare Group, Inc.* | 130 | 2,629 | ||||||
Universal American Corp. | 171 | 2,522 | ||||||
Air Methods Corp.* | 60 | 2,495 | ||||||
NxStage Medical, Inc.* | 130 | 2,483 | ||||||
Insulet Corp.* | 170 | 2,404 | ||||||
Rigel Pharmaceuticals, Inc.* | 279 | 2,346 | ||||||
SonoSite, Inc.* | 70 | 2,346 | ||||||
Medivation, Inc.* | 180 | 2,340 | ||||||
Conceptus, Inc.* | 170 | 2,337 | ||||||
Alnylam Pharmaceuticals, Inc.* | 187 | 2,296 | ||||||
Exelixis, Inc.* | 580 | 2,274 | ||||||
Immunogen, Inc.* | 360 | 2,257 | ||||||
Ariad Pharmaceuticals, Inc.* | 590 | 2,254 | ||||||
ICU Medical, Inc.* | 60 | 2,237 | ||||||
Natus Medical, Inc.* | 152 | 2,215 | ||||||
NPS Pharmaceuticals, Inc.* | 320 | 2,189 | ||||||
IPC The Hospitalist Company, Inc.* | 80 | 2,186 | ||||||
Omnicell, Inc.* | 166 | 2,171 | ||||||
Merit Medical Systems, Inc.* | 136 | 2,161 | ||||||
Computer Programs & Systems, Inc. | 50 | 2,128 | ||||||
Healthways, Inc.* | 180 | 2,095 | ||||||
Accelrys, Inc.* | 299 | 2,081 | ||||||
Select Medical Holdings Corp.* | 270 | 2,079 | ||||||
Hanger Orthopedic Group, Inc.* | 140 | 2,036 | ||||||
Angiodynamics, Inc.* | 130 | 1,981 | ||||||
MannKind Corp.* | 292 | 1,974 | ||||||
Allos Therapeutics, Inc.* | 418 | 1,973 | ||||||
eResearchTechnology, Inc.* | 260 | 1,945 | ||||||
Medidata Solutions, Inc.* | 100 | 1,920 | ||||||
Inspire Pharmaceuticals, Inc.* | 320 | 1,904 | ||||||
AMAG Pharmaceuticals, Inc.* | 110 | 1,893 | ||||||
Emeritus Corp.* | 110 | 1,877 | ||||||
Res-Care, Inc.* | 140 | 1,858 | ||||||
Syneron Medical Ltd.* | 187 | 1,855 | ||||||
Triple-S Management Corp. — Class B* | 110 | 1,853 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Symmetry Medical, Inc.* | 190 | $ | 1,832 | |||||
ABIOMED, Inc.* | 170 | 1,804 | ||||||
Metabolix, Inc.* | 140 | 1,761 | ||||||
Affymetrix, Inc.* | 380 | 1,733 | ||||||
Emergent Biosolutions, Inc.* | 100 | 1,726 | ||||||
Lexicon Pharmaceuticals, Inc.* | 1,065 | 1,704 | ||||||
Accuray, Inc.* | 268 | 1,667 | ||||||
Optimer Pharmaceuticals, Inc.* | 178 | 1,632 | ||||||
LHC Group, Inc.* | 70 | 1,623 | ||||||
Pharmacyclics, Inc.* | 200 | 1,612 | ||||||
Ardea Biosciences, Inc.* | 70 | 1,610 | ||||||
Neurocrine Biosciences, Inc.* | 260 | 1,576 | ||||||
Atrion Corp. | 10 | 1,575 | ||||||
Unilife Corp.* | 260 | 1,568 | ||||||
PharMerica Corp.* | 160 | 1,525 | ||||||
Assisted Living Concepts, Inc. — Class A* | 50 | 1,522 | ||||||
National Healthcare Corp. | 40 | 1,483 | ||||||
SIGA Technologies, Inc.* | 170 | 1,438 | ||||||
Sequenom, Inc.* | 205 | 1,437 | ||||||
MAKO Surgical Corp.* | 144 | 1,380 | ||||||
Exact Sciences Corp.* | 190 | 1,376 | ||||||
Quidel Corp.* | 120 | 1,319 | ||||||
Keryx Biopharmaceuticals, Inc.* | 270 | 1,299 | ||||||
Genoptix, Inc.* | 90 | 1,278 | ||||||
Corvel Corp.* | 30 | 1,273 | ||||||
Ensign Group, Inc. | 70 | 1,256 | ||||||
Depomed, Inc.* | 280 | 1,254 | ||||||
Cross Country Healthcare, Inc.* | 173 | 1,244 | ||||||
AVANIR Pharmaceuticals, Inc. — Class A* | 388 | 1,238 | ||||||
Dyax Corp.* | 521 | 1,235 | ||||||
Akorn, Inc.* | 298 | 1,204 | ||||||
Durect Corp.* | 468 | 1,189 | ||||||
Almost Family, Inc.* | 40 | 1,185 | ||||||
Pain Therapeutics, Inc.* | 190 | 1,174 | ||||||
Endologix, Inc.* | 257 | 1,172 | ||||||
Kensey Nash Corp.* | 40 | 1,156 | ||||||
Nabi Biopharmaceuticals* | 240 | 1,152 | ||||||
Providence Service Corp.* | 70 | 1,147 | ||||||
Health Grades, Inc.* | 140 | 1,147 | ||||||
Cantel Medical Corp. | 70 | 1,134 | ||||||
Spectrum Pharmaceuticals, Inc.* | 270 | 1,126 | ||||||
BMP Sunstone Corp.* | 148 | 1,125 | ||||||
Arqule, Inc.* | 218 | 1,123 | ||||||
Immunomedics, Inc.* | 348 | 1,121 | ||||||
Medcath Corp.* | 110 | 1,108 | ||||||
Cadence Pharmaceuticals, Inc.* | 130 | 1,085 | ||||||
AVI BioPharma, Inc.* | 589 | 1,084 | ||||||
BioScrip, Inc.* | 210 | 1,084 | ||||||
Molina Healthcare, Inc.* | 40 | 1,080 | ||||||
Cytori Therapeutics, Inc.* | 220 | 1,076 | ||||||
SurModics, Inc.* | 90 | 1,073 | ||||||
MAP Pharmaceuticals, Inc.* | 70 | 1,071 | ||||||
Opko Health, Inc.* | 478 | 1,071 |
110 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Genomic Health, Inc.* | 80 | $ | 1,069 | |||||
XenoPort, Inc.* | 150 | 1,066 | ||||||
Chindex International, Inc.* | 70 | 1,058 | ||||||
Vascular Solutions, Inc.* | 90 | 1,033 | ||||||
Team Health Holdings, Inc.* | 80 | 1,033 | ||||||
Sunrise Senior Living, Inc.* | 300 | 1,029 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 100 | 1,018 | ||||||
Clarient, Inc.* | 300 | 1,014 | ||||||
Maxygen, Inc.* | 175 | 1,013 | ||||||
OraSure Technologies, Inc.* | 250 | 1,012 | ||||||
Vanda Pharmaceuticals, Inc.* | 150 | 1,002 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 633 | 1,000 | ||||||
Pozen, Inc.* | 140 | 991 | ||||||
AGA Medical Holdings, Inc.* | 70 | 977 | ||||||
Spectranetics Corp.* | 180 | 976 | ||||||
ZIOPHARM Oncology, Inc.* | 260 | 975 | ||||||
American Dental Partners, Inc.* | 80 | 965 | ||||||
Staar Surgical Co.* | 178 | 963 | ||||||
Caliper Life Sciences, Inc.* | 240 | 958 | ||||||
Orexigen Therapeutics, Inc.* | 160 | 949 | ||||||
Obagi Medical Products, Inc.* | 90 | 945 | ||||||
Array Biopharma, Inc.* | 290 | 937 | ||||||
Vital Images, Inc.* | 70 | 926 | ||||||
AMN Healthcare Services, Inc.* | 180 | 925 | ||||||
Delcath Systems, Inc.* | 128 | 924 | ||||||
TomoTherapy, Inc.* | 260 | 915 | ||||||
CryoLife, Inc.* | 150 | 910 | ||||||
Synovis Life Technologies, Inc.* | 60 | 897 | ||||||
Eurand N.V.* | 90 | 886 | ||||||
Chelsea Therapeutics International, Ltd.* | 170 | 870 | ||||||
Five Star Quality Care, Inc.* | 170 | 859 | ||||||
Jazz Pharmaceuticals, Inc.* | 80 | 858 | ||||||
Young Innovations, Inc. | 30 | 858 | ||||||
Rural* | 100 | 851 | ||||||
Novavax, Inc.* | 388 | 850 | ||||||
Santarus, Inc.* | 280 | 843 | ||||||
US Physical Therapy, Inc.* | 50 | 836 | ||||||
Palomar Medical Technologies, Inc.* | 80 | 826 | ||||||
Sangamo Biosciences, Inc.* | 240 | 823 | ||||||
Orthovita, Inc.* | 357 | 810 | ||||||
Hi-Tech Pharmacal Company, Inc.* | 40 | 810 | ||||||
Cypress Bioscience, Inc.* | 210 | 808 | ||||||
Cerus Corp.* | 210 | 806 | ||||||
Merge Healthcare, Inc.* | 277 | 803 | ||||||
Metropolitan Health Networks, Inc.* | 209 | 794 | ||||||
BioCryst Pharmaceuticals, Inc.* | 160 | 790 | ||||||
IRIS International, Inc.* | 80 | 768 | ||||||
Albany Molecular Research, Inc.* | 120 | 766 | ||||||
RTI Biologics, Inc.* | 290 | 763 | ||||||
Transcend Services, Inc.* | 50 | 762 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Progenics Pharmaceuticals, Inc.* | 150 | $ | 757 | |||||
Capital Senior Living Corp.* | 140 | 746 | ||||||
Kendle International, Inc.* | 80 | 746 | ||||||
Omeros Corp.* | 100 | 729 | ||||||
MELA Sciences, Inc.* | 110 | 717 | ||||||
Dynavax Technologies Corp.* | 380 | 695 | ||||||
Alliance HealthCare Services, Inc.* | 150 | 687 | ||||||
Enzo Biochem, Inc.* | 180 | 684 | ||||||
Celldex Therapeutics, Inc.* | 170 | 680 | ||||||
Cambrex Corp.* | 160 | 680 | ||||||
Sun Healthcare Group, Inc.* | 80 | 678 | ||||||
Clinical Data, Inc.* | 40 | 675 | ||||||
Continucare Corp.* | 160 | 672 | ||||||
Vical, Inc.* | 300 | 669 | ||||||
Cytokinetics, Inc.* | 250 | 660 | ||||||
Osiris Therapeutics, Inc.* | 90 | 655 | ||||||
Affymax, Inc.* | 110 | 654 | ||||||
Exactech, Inc.* | 40 | 653 | ||||||
Accretive Health, Inc.* | 60 | 650 | ||||||
Solta Medical, Inc.* | 320 | 640 | ||||||
Medical Action Industries, Inc.* | 70 | 633 | ||||||
SuperGen, Inc.* | 300 | 627 | ||||||
Arena Pharmaceuticals, Inc.* | 396 | 622 | ||||||
Stereotaxis, Inc.* | 150 | 621 | ||||||
Allied Healthcare International, Inc.* | 240 | 600 | ||||||
America Service Group, Inc. | 40 | 595 | ||||||
Idenix Pharmaceuticals, Inc.* | 190 | 589 | ||||||
CardioNet, Inc.* | 130 | 586 | ||||||
Somaxon Pharmaceuticals, Inc.* | 148 | 576 | ||||||
Alphatec Holdings, Inc.* | 270 | 575 | ||||||
Curis, Inc.* | 414 | 567 | ||||||
Cutera, Inc.* | 70 | 567 | ||||||
Furiex Pharmaceuticals, Inc.* | 50 | 564 | ||||||
LCA-Vision, Inc.* | 100 | 557 | ||||||
AVEO Pharmaceuticals, Inc.* | 50 | 557 | ||||||
Antares Pharma, Inc.* | 380 | 551 | ||||||
Rochester Medical Corp.* | 50 | 545 | ||||||
Biospecifics Technologies Corp.* | 20 | 538 | ||||||
Inovio Pharmaceuticals, Inc.* | 430 | 537 | ||||||
StemCells, Inc.* | 639 | 530 | ||||||
Sciclone Pharmaceuticals, Inc.* | 200 | 528 | ||||||
MedQuist, Inc.* | 60 | 526 | ||||||
Biotime, Inc.* | 110 | 522 | ||||||
Cynosure, Inc. — Class A* | 50 | 510 | ||||||
Alexza Pharmaceuticals, Inc.* | 160 | 507 | ||||||
Synta Pharmaceuticals Corp.* | 121 | 483 | ||||||
Biodel, Inc.* | 90 | 477 | ||||||
Inhibitex, Inc.* | 260 | 468 | ||||||
Corcept Therapeutics, Inc.* | 120 | 467 | ||||||
Zalicus, Inc.* | 350 | 455 | ||||||
Neuralstem, Inc.* | 180 | 454 | ||||||
Nanosphere, Inc.* | 90 | 453 | ||||||
CytRx Corp.* | 590 | 442 | ||||||
PDI, Inc.* | 50 | 437 | ||||||
Pure Bioscience* | 188 | 434 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 111 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Skilled Healthcare Group, Inc. — Class A* | 110 | $ | 432 | |||||
Prospect Medical Holdings, Inc.* | 50 | 425 | ||||||
NeurogesX, Inc.* | 60 | 415 | ||||||
Cumberland Pharmaceuticals, Inc.* | 70 | 407 | ||||||
DynaVox, Inc. — Class A* | 50 | 406 | ||||||
Biosante Pharmaceuticals, Inc.* | 240 | 403 | ||||||
Aoxing Pharmaceutical Company, Inc.* | 130 | 398 | ||||||
Infinity Pharmaceuticals, Inc.* | 70 | 386 | ||||||
Alimera Sciences, Inc.* | 40 | 383 | ||||||
Nymox Pharmaceutical Corp.* | 100 | 357 | ||||||
BioMimetic Therapeutics, Inc.* | 30 | 342 | ||||||
Hansen Medical, Inc.* | 227 | 325 | ||||||
Peregrine Pharmaceuticals, Inc.* | 220 | 319 | ||||||
Caraco Pharmaceutical Laboratories Ltd.* | 50 | 269 | ||||||
National Research Corp. | 10 | 261 | ||||||
Neostem, Inc.* | 120 | 244 | ||||||
Lannett Company, Inc.* | 50 | 229 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 60 | 225 | ||||||
Cornerstone Therapeutics, Inc.* | 30 | 212 | ||||||
Transcept Pharmaceuticals, Inc.* | 30 | 209 | ||||||
Codexis, Inc.* | 20 | 192 | ||||||
Anthera Pharmaceuticals, Inc.* | 30 | 126 | ||||||
Acura Pharmaceuticals, Inc.* | 50 | 124 | ||||||
AspenBio Pharma, Inc.* | 190 | 97 | ||||||
Total Health Care | 696,317 | |||||||
ENERGY - 2.6% | ||||||||
Brigham Exploration Co.* | 628 | 11,775 | ||||||
Dril-Quip, Inc.* | 180 | 11,180 | ||||||
Bill Barrett Corp.* | 249 | 8,964 | ||||||
Complete Production Services, Inc.* | 424 | 8,671 | ||||||
Berry Petroleum Co. — Class A | 267 | 8,472 | ||||||
World Fuel Services Corp. | 318 | 8,271 | ||||||
CARBO Ceramics, Inc. | 100 | 8,100 | ||||||
McMoRan Exploration Co.* | 447 | 7,693 | ||||||
Lufkin Industries, Inc. | 160 | 7,024 | ||||||
Bristow Group, Inc.* | 190 | 6,855 | ||||||
Nordic American Tanker Shipping | 248 | 6,636 | ||||||
Rosetta Resources, Inc.* | 280 | 6,577 | ||||||
Key Energy Services, Inc.* | 672 | 6,391 | ||||||
Energy XXI Bermuda Ltd.* | 270 | 6,240 | ||||||
Helix Energy Solutions Group, Inc.* | 560 | 6,238 | ||||||
Swift Energy Co.* | 200 | 5,616 | ||||||
Overseas Shipholding Group, Inc. | 140 | 4,805 | ||||||
Patriot Coal Corp.* | 420 | 4,792 | ||||||
Ship Finance International Ltd. | 240 | 4,663 | ||||||
Tetra Technologies, Inc.* | 407 | 4,151 | ||||||
Carrizo Oil & Gas, Inc.* | 171 | 4,094 | ||||||
Northern Oil and Gas, Inc.* | 240 | 4,066 | ||||||
Newpark Resources, Inc.* | 478 | 4,015 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Gulfmark Offshore, Inc. — Class A* | 130 | $ | 3,994 | |||||
Penn Virginia Corp. | 239 | 3,834 | ||||||
International Coal Group, Inc.* | 699 | 3,719 | ||||||
ION Geophysical Corp.* | 680 | 3,495 | ||||||
Stone Energy Corp.* | 230 | 3,388 | ||||||
ATP Oil & Gas Corp.* | 240 | 3,276 | ||||||
USEC, Inc.* | 614 | 3,187 | ||||||
RPC, Inc. | 150 | 3,174 | ||||||
Cloud Peak Energy, Inc.* | 170 | 3,102 | ||||||
Contango Oil & Gas Co.* | 60 | 3,010 | ||||||
Clean Energy Fuels Corp.* | 208 | 2,956 | ||||||
Global Industries Ltd.* | 537 | 2,937 | ||||||
Cal Dive International, Inc.* | 515 | 2,817 | ||||||
Petroleum Development Corp.* | 100 | 2,760 | ||||||
Parker Drilling Co.* | 620 | 2,697 | ||||||
James River Coal Co.* | 148 | 2,594 | ||||||
Golar LNG Ltd. | 197 | 2,466 | ||||||
Hornbeck Offshore Services, Inc.* | 120 | 2,339 | ||||||
TransAtlantic Petroleum Ltd.* | 790 | 2,338 | ||||||
Resolute Energy Corp.* | 200 | 2,212 | ||||||
American Oil & Gas, Inc.* | 270 | 2,187 | ||||||
Rex Energy Corp.* | 170 | 2,176 | ||||||
Venoco, Inc.* | 110 | 2,159 | ||||||
W&T Offshore, Inc. | 190 | 2,014 | ||||||
BPZ Resources, Inc.* | 520 | 1,992 | ||||||
Gulfport Energy Corp.* | 140 | 1,938 | ||||||
Tesco Corp.* | 160 | 1,925 | ||||||
Energy Partners Ltd.* | 160 | 1,922 | ||||||
Goodrich Petroleum Corp.* | 130 | 1,894 | ||||||
Pioneer Drilling Co.* | 290 | 1,850 | ||||||
Harvest Natural Resources, Inc.* | 177 | 1,844 | ||||||
T-3 Energy Services, Inc.* | 70 | 1,830 | ||||||
Teekay Tankers Ltd. — Class A | 140 | 1,821 | ||||||
Petroquest Energy, Inc.* | 298 | 1,815 | ||||||
Crosstex Energy, Inc.* | 220 | 1,738 | ||||||
Apco Oil and Gas International, Inc. | 50 | 1,730 | ||||||
Hercules Offshore, Inc.* | 618 | 1,638 | ||||||
Vaalco Energy, Inc.* | 267 | 1,533 | ||||||
Clayton Williams Energy, Inc.* | 30 | 1,518 | ||||||
Knightsbridge Tankers Ltd. | 80 | 1,512 | ||||||
Warren Resources, Inc.* | 380 | 1,509 | ||||||
Western Refining, Inc.* | 277 | 1,451 | ||||||
CVR Energy, Inc.* | 160 | 1,320 | ||||||
Gulf Island Fabrication, Inc. | 70 | 1,274 | ||||||
Willbros Group, Inc.* | 137 | 1,256 | ||||||
Matrix Service Co.* | 140 | 1,225 | ||||||
Kodiak Oil & Gas Corp.* | 360 | 1,220 | ||||||
OYO Geospace Corp.* | 20 | 1,158 | ||||||
Rentech, Inc.* | 1,160 | 1,144 | ||||||
PHI, Inc.* | 70 | 1,133 | ||||||
Georesources, Inc.* | 70 | 1,113 | ||||||
Green Plains Renewable Energy, Inc.* | 90 | 1,090 |
112 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Uranium Energy Corp.* | 331 | $ | 1,086 | |||||
DHT Holdings, Inc. | 260 | 1,074 | ||||||
Natural Gas Services Group, Inc.* | 70 | 1,034 | ||||||
Abraxas Petroleum Corp.* | 360 | 1,022 | ||||||
Basic Energy Services, Inc.* | 120 | 1,022 | ||||||
Houston American Energy Corp. | 100 | 1,000 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 40 | 988 | ||||||
Endeavour International Corp.* | 760 | 980 | ||||||
FX Energy, Inc.* | 228 | 944 | ||||||
Gastar Exploration Ltd.* | 230 | 925 | ||||||
Magnum Hunter Resources Corp.* | 220 | 911 | ||||||
CAMAC Energy, Inc.* | 260 | 829 | ||||||
Dawson Geophysical Co.* | 30 | 799 | ||||||
Scorpio Tankers, Inc.* | 70 | 790 | ||||||
Allis-Chalmers Energy, Inc.* | 188 | 784 | ||||||
Approach Resources, Inc.* | 70 | 783 | ||||||
GMX Resources, Inc.* | 160 | 778 | ||||||
Cheniere Energy, Inc.* | 308 | 776 | ||||||
Delta Petroleum Corp.* | 986 | 776 | ||||||
Callon Petroleum Co.* | 147 | 728 | ||||||
Syntroleum Corp.* | 368 | 688 | ||||||
Vantage Drilling Co.* | 412 | 659 | ||||||
L&L Energy, Inc.* | 70 | 561 | ||||||
Miller Petroleum, Inc.* | 100 | 539 | ||||||
Delek US Holdings, Inc. | 70 | 501 | ||||||
Evolution Petroleum Corp.* | 80 | 481 | ||||||
RAM Energy Resources, Inc.* | 300 | 468 | ||||||
Seahawk Drilling, Inc.* | 50 | 423 | ||||||
General Maritime Corp. | 85 | 417 | ||||||
Union Drilling, Inc.* | 80 | 358 | ||||||
Global Geophysical Services, Inc.* | 40 | 292 | ||||||
Hallador Energy Co. | 20 | 233 | ||||||
Alon USA Energy, Inc. | 40 | 216 | ||||||
Golar LNG Energy, Ltd.* | 28 | 42 | ||||||
Total Energy | 291,420 | |||||||
MATERIALS - 2.5% | ||||||||
WR Grace & Co.* | 388 | 10,841 | ||||||
Rock-Tenn Co. — Class A | 210 | 10,460 | ||||||
Solutia, Inc.* | 647 | 10,365 | ||||||
Coeur d’Alene Mines Corp.* | 470 | 9,362 | ||||||
Silgan Holdings, Inc. | 290 | 9,193 | ||||||
Rockwood Holdings, Inc.* | 279 | 8,780 | ||||||
Olin Corp. | 418 | 8,427 | ||||||
Sensient Technologies Corp. | 270 | 8,232 | ||||||
Thompson Creek Metals Company, Inc.* | 750 | 8,085 | ||||||
Hecla Mining Co.* | 1,198 | 7,571 | ||||||
Golden Star Resources Ltd.* | 1,380 | 6,817 | ||||||
PolyOne Corp.* | 500 | 6,045 | ||||||
Ferro Corp.* | 460 | 5,929 | ||||||
Minerals Technologies, Inc. | 100 | 5,892 | ||||||
NewMarket Corp. | 50 | 5,684 | ||||||
Schweitzer-Mauduit International, Inc. | 90 | 5,248 |
MARKET | ||||||||
SHARES | VALUE | |||||||
OM Group, Inc.* | 174 | $ | 5,241 | |||||
Louisiana-Pacific Corp.* | 680 | 5,148 | ||||||
HB Fuller Co. | 257 | 5,107 | ||||||
RTI International Metals, Inc.* | 160 | 4,899 | ||||||
Worthington Industries, Inc. | 325 | 4,885 | ||||||
Allied Nevada Gold Corp.* | 177 | 4,691 | ||||||
Globe Specialty Metals, Inc. | 330 | 4,633 | ||||||
Balchem Corp. | 150 | 4,629 | ||||||
Century Aluminum Co.* | 338 | 4,451 | ||||||
Calgon Carbon Corp.* | 300 | 4,350 | ||||||
Arch Chemicals, Inc. | 117 | 4,106 | ||||||
Innophos Holdings, Inc. | 121 | 4,005 | ||||||
Stillwater Mining Co.* | 237 | 3,991 | ||||||
Clearwater Paper Corp.* | 50 | 3,804 | ||||||
Texas Industries, Inc. | 110 | 3,467 | ||||||
A. Schulman, Inc. | 170 | 3,426 | ||||||
Kaiser Aluminum Corp. | 80 | 3,423 | ||||||
Westlake Chemical Corp. | 110 | 3,292 | ||||||
STR Holdings, Inc.* | 150 | 3,231 | ||||||
AMCOL International Corp. | 120 | 3,143 | ||||||
Buckeye Technologies, Inc. | 210 | 3,089 | ||||||
Brush Engineered Materials, Inc.* | 107 | 3,043 | ||||||
PH Glatfelter Co. | 247 | 3,004 | ||||||
Koppers Holdings, Inc. | 110 | 2,956 | ||||||
Georgia Gulf Corp.* | 180 | 2,941 | ||||||
Jaguar Mining, Inc.* | 450 | 2,925 | ||||||
KapStone Paper and Packaging Corp.* | 210 | 2,549 | ||||||
Boise, Inc.* | 377 | 2,447 | ||||||
US Gold Corp.* | 481 | 2,391 | ||||||
Horsehead Holding Corp.* | 230 | 2,270 | ||||||
Deltic Timber Corp. | 50 | 2,240 | ||||||
Wausau Paper Corp.* | 260 | 2,155 | ||||||
Haynes International, Inc. | 60 | 2,095 | ||||||
Zep, Inc. | 118 | 2,058 | ||||||
Graphic Packaging Holding Co.* | 598 | 1,997 | ||||||
Quaker Chemical Corp. | 60 | 1,954 | ||||||
Stepan Co. | 30 | 1,773 | ||||||
Hawkins, Inc. | 50 | 1,771 | ||||||
Omnova Solutions, Inc.* | 240 | 1,726 | ||||||
LSB Industries, Inc.* | 90 | 1,671 | ||||||
Myers Industries, Inc. | 190 | 1,632 | ||||||
Kraton Performance Polymers, Inc.* | 60 | 1,629 | ||||||
Zoltek Companies, Inc.* | 150 | 1,458 | ||||||
Spartech Corp.* | 172 | 1,412 | ||||||
General Moly, Inc.* | 346 | 1,266 | ||||||
AM Castle & Co.* | 90 | 1,193 | ||||||
Headwaters, Inc.* | 324 | 1,166 | ||||||
Olympic Steel, Inc. | 50 | 1,149 | ||||||
Neenah Paper, Inc. | 70 | 1,064 | ||||||
Graham Packaging Company, Inc.* | 90 | 1,064 | ||||||
Landec Corp.* | 140 | 869 | ||||||
Senomyx, Inc.* | 210 | 836 | ||||||
Universal Stainless & Alloy* | 30 | 737 | ||||||
Capital Gold Corp.* | 150 | 725 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 113 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
TPC Group, Inc.* | 30 | $ | 715 | |||||
American Vanguard Corp. | 106 | 655 | ||||||
Metals USA Holdings Corp.* | 50 | 649 | ||||||
US Energy Corp.* | 140 | 636 | ||||||
AEP Industries, Inc.* | 20 | 472 | ||||||
Noranda Aluminum Holding Corp.* | 50 | 411 | ||||||
United States Lime & Minerals, Inc.* | 10 | 387 | ||||||
KMG Chemicals, Inc. | 20 | 282 | ||||||
NL Industries, Inc. | 30 | 272 | ||||||
Verso Paper Corp.* | 70 | 202 | ||||||
Total Materials | 278,789 | |||||||
UTILITIES - 1.6% | ||||||||
Piedmont Natural Gas Co., Inc. | 390 | 11,310 | ||||||
Nicor, Inc. | 238 | 10,905 | ||||||
WGL Holdings, Inc. | 270 | 10,201 | ||||||
Cleco Corp. | 327 | 9,686 | ||||||
IDACORP, Inc. | 260 | 9,339 | ||||||
New Jersey Resources Corp. | 220 | 8,628 | ||||||
Portland General Electric Co. | 398 | 8,071 | ||||||
Southwest Gas Corp. | 240 | 8,062 | ||||||
South Jersey Industries, Inc. | 160 | 7,915 | ||||||
Northwest Natural Gas Co. | 140 | 6,643 | ||||||
Black Hills Corp. | 210 | 6,552 | ||||||
Unisource Energy Corp. | 190 | 6,352 | ||||||
Allete, Inc. | 170 | 6,193 | ||||||
Avista Corp. | 290 | 6,055 | ||||||
El Paso Electric Co.* | 240 | 5,707 | ||||||
NorthWestern Corp. | 190 | 5,415 | ||||||
PNM Resources, Inc. | 468 | 5,331 | ||||||
MGE Energy, Inc. | 118 | 4,672 | ||||||
UIL Holdings Corp. | 160 | 4,506 | ||||||
Empire District Electric Co. | 210 | 4,231 | ||||||
Laclede Group, Inc. | 120 | 4,130 | ||||||
California Water Service Group | 110 | 4,064 | ||||||
Otter Tail Corp. | 190 | 3,874 | ||||||
CH Energy Group, Inc. | 80 | 3,533 | ||||||
American States Water Co. | 90 | 3,220 | ||||||
Dynegy, Inc. — Class A* | 550 | 2,679 | ||||||
Chesapeake Utilities Corp. | 50 | 1,811 | ||||||
SJW Corp. | 70 | 1,724 | ||||||
Connecticut Water Service, Inc. | 50 | 1,197 | ||||||
Unitil Corp. | 50 | 1,098 | ||||||
Central Vermont Public Service Corp. | 50 | 1,008 | ||||||
York Water Co. | 60 | 962 | ||||||
Middlesex Water Co. | 50 | 842 | ||||||
Consolidated Water Company Ltd. | 70 | 664 | ||||||
Cadiz, Inc.* | 60 | 616 | ||||||
Artesian Resources Corp. — | ||||||||
Class A | 30 | 572 | ||||||
American DG Energy, Inc.* | 100 | 298 | ||||||
Total Utilities | 178,066 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER STAPLES - 1.4% | ||||||||
Casey’s General Stores, Inc. | 270 | $ | 11,272 | |||||
TreeHouse Foods, Inc.* | 190 | 8,759 | ||||||
Ruddick Corp. | 230 | 7,976 | ||||||
United Natural Foods, Inc.* | 230 | 7,622 | ||||||
Nu Skin Enterprises, Inc. — Class A | 257 | 7,402 | ||||||
Hain Celestial Group, Inc.* | 220 | 5,276 | ||||||
Universal Corp. | 130 | 5,212 | ||||||
Sanderson Farms, Inc. | 120 | 5,195 | ||||||
Diamond Foods, Inc. | 120 | 4,919 | ||||||
Lancaster Colony Corp. | 100 | 4,750 | ||||||
Fresh Del Monte Produce, Inc.* | 207 | 4,492 | ||||||
Vector Group Ltd. | 239 | 4,469 | ||||||
Darling International, Inc.* | 440 | 3,749 | ||||||
Andersons, Inc. | 90 | 3,411 | ||||||
Boston Beer Company, Inc. — | ||||||||
Class A* | 50 | 3,344 | ||||||
Tootsie Roll Industries, Inc. | 130 | 3,234 | ||||||
Chiquita Brands International, Inc.* | 240 | 3,178 | ||||||
Central Garden and Pet Co. — | ||||||||
Class A* | 300 | 3,108 | ||||||
WD-40 Co. | 80 | 3,042 | ||||||
Lance, Inc. | 140 | 2,982 | ||||||
Pantry, Inc.* | 123 | 2,966 | ||||||
J&J Snack Foods Corp. | 70 | 2,935 | ||||||
B&G Foods, Inc. — Class A | 260 | 2,839 | ||||||
Rite Aid Corp.* | 2,990 | 2,820 | ||||||
Nash Finch Co. | 60 | 2,552 | ||||||
Elizabeth Arden, Inc.* | 126 | 2,519 | ||||||
Spectrum Brands Holdings, Inc.* | 90 | 2,446 | ||||||
Weis Markets, Inc. | 60 | 2,348 | ||||||
Pricesmart, Inc. | 80 | 2,330 | ||||||
Prestige Brands Holdings, Inc.* | 220 | 2,176 | ||||||
Winn-Dixie Stores, Inc.* | 297 | 2,118 | ||||||
Cal-Maine Foods, Inc. | 70 | 2,029 | ||||||
Alliance One International, Inc.* | 476 | 1,975 | ||||||
Medifast, Inc.* | 70 | 1,899 | ||||||
Heckmann Corp.* | 480 | 1,872 | ||||||
Spartan Stores, Inc. | 120 | 1,740 | ||||||
Dole Food Company, Inc.* | 190 | 1,738 | ||||||
Pilgrim’s Pride Corp.* | 260 | 1,461 | ||||||
Smart Balance, Inc.* | 340 | 1,319 | ||||||
Calavo Growers, Inc. | 60 | 1,301 | ||||||
Inter Parfums, Inc. | 70 | 1,231 | ||||||
Star Scientific, Inc.* | 520 | 1,092 | ||||||
Seneca Foods Corp. — Class A* | 40 | 1,048 | ||||||
Ingles Markets, Inc. — Class A | 60 | 997 | ||||||
National Beverage Corp. | 60 | 840 | ||||||
Village Super Market, Inc. — | ||||||||
Class A | 30 | 838 | ||||||
Synutra International, Inc.* | 70 | 808 | ||||||
USANA Health Sciences, Inc.* | 20 | 807 | ||||||
Limoneira Co. | 40 | 806 | ||||||
Nutraceutical International Corp.* | 50 | 784 | ||||||
Great Atlantic & Pacific Tea Co.* | 170 | 673 |
114 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
RUSSELL 2000® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Imperial Sugar Co. | 50 | $ | 654 | |||||
Oil-Dri Corporation of America | 30 | 645 | ||||||
Revlon, Inc. — Class A* | 50 | 631 | ||||||
Susser Holdings Corp.* | 40 | 560 | ||||||
Coca-Cola Bottling Company Consolidated | 10 | 529 | ||||||
Schiff Nutrition International, Inc. | 60 | 492 | ||||||
Farmer Bros Co. | 30 | 480 | ||||||
Cellu Tissue Holdings, Inc.* | 40 | 477 | ||||||
MGP Ingredients, Inc. | 60 | 471 | ||||||
Alico, Inc. | 20 | 465 | ||||||
Female Health Co. | 90 | 463 | ||||||
John B. Sanfilippo & Son, Inc.* | 30 | 396 | ||||||
Nature’s Sunshine Products, Inc.* | 40 | 358 | ||||||
Lifeway Foods, Inc.* | 30 | 316 | ||||||
Harbinger Group, Inc.* | 50 | 278 | ||||||
Griffin Land & Nurseries, Inc. | 10 | 264 | ||||||
Bridgford Foods Corp. | 10 | 128 | ||||||
Total Consumer Staples | 164,306 | |||||||
TELECOMMUNICATION SERVICES - 0.5% | ||||||||
Syniverse Holdings, Inc.* | 375 | 8,501 | ||||||
AboveNet, Inc.* | 120 | 6,251 | ||||||
Cincinnati Bell, Inc.* | 1,080 | 2,884 | ||||||
PAETEC Holding Corp.* | 679 | 2,791 | ||||||
NTELOS Holdings Corp. | 160 | 2,707 | ||||||
General Communication, Inc. — Class A* | 260 | 2,592 | ||||||
Atlantic Tele-Network, Inc. | 50 | 2,462 | ||||||
Alaska Communications Systems Group, Inc. | 240 | 2,436 | ||||||
Consolidated Communications Holdings, Inc. | 130 | 2,427 | ||||||
Shenandoah Telecommunications Co. | 130 | 2,362 | ||||||
Cogent Communications Group, Inc.* | 240 | 2,273 | ||||||
Premiere Global Services, Inc.* | 318 | 2,251 | ||||||
Neutral Tandem, Inc.* | 177 | 2,115 | ||||||
Global Crossing Ltd.* | 160 | 2,058 | ||||||
USA Mobility, Inc. | 120 | 1,924 | ||||||
Cbeyond, Inc.* | 140 | 1,796 | ||||||
Iridium Communications, Inc.* | 180 | 1,537 | ||||||
Vonage Holdings Corp.* | 570 | 1,454 | ||||||
IDT Corp. — Class B* | 70 | 1,245 | ||||||
FiberTower Corp.* | 210 | 890 | ||||||
ICO Global Communications Holdings Ltd.* | 510 | 836 | ||||||
Globalstar, Inc.* | 370 | 644 | ||||||
Total Telecommunication Services | 54,436 | |||||||
Total Common Stocks (Cost $4,918,178) | 5,341,509 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 120.3% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 4,673,239 | $ | 4,673,239 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 4,668,036 | 4,668,036 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 1,928,940 | 1,928,940 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 1,815,329 | 1,815,329 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 482,235 | 482,235 | ||||||
Total Repurchase Agreements (Cost $13,567,779) | 13,567,779 | |||||||
Total Investments – 167.6% (Cost $18,485,957) | $ | 18,909,288 | ||||||
Liabilities, Less Cash & Other Assets – (67.6)% | (7,629,762 | ) | ||||||
Net Assets – 100.0% | $ | 11,279,526 | ||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 115 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
RUSSELL 2000® FUND
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $1,278,130) | 19 | $ | 43,926 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International October 2010 Russell 2000 Index Swap, Terminating 10/27/103 (Notional Market Value | ||||||||
$2,469,164) | 3,652 | $ | 33,489 | |||||
Morgan Stanley Capital Services, Inc. October 2010 Russell 2000 Index Swap, Terminating 10/26/103 (Notional Market Value | ||||||||
$501,786 | 742 | 6,073 | ||||||
Credit Suisse Capital, LLC October 2010 Russell 2000 Index Swap, Terminating 10/29/103 (Notional Market Value | ||||||||
$1,696,976) | 2,510 | (3,739 | ) | |||||
(Total Notional Market Value $4,667,926) | $ | 35,823 | ||||||
| |
* | Non-Income Producing Security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. plc—Public Limited Company |
116 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
RUSSELL 2000® FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 5,341,509 | ||
Repurchase agreement, at value | 13,567,779 | |||
Total investments | 18,909,288 | |||
Segregated cash with broker | 328,136 | |||
Cash | 28 | |||
Unrealized appreciation on swap agreements | 39,562 | |||
Receivable for swap settlement | 67,808 | |||
Receivables: | ||||
Securities sold | 6,600 | |||
Fund shares sold | 1,001,873 | |||
Dividends | 5,943 | |||
Interest | 74 | |||
Total assets | 20,359,312 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 3,739 | |||
Payable for: | ||||
Variation margin | 22,234 | |||
Fund shares redeemed | 9,004,179 | |||
Management fees | 8,118 | |||
Custodian fees | 357 | |||
Transfer agent/maintenance fees | 2,706 | |||
Distribution and service fees | 5,432 | |||
Portfolio accounting fees | 1,082 | |||
Other | 31,939 | |||
Total liabilities | 9,079,786 | |||
Net assets | $ | 11,279,526 | ||
Net assets consist of: | ||||
Paid in capital | 24,654,944 | |||
Accumulated net investment loss | (119,593 | ) | ||
Accumulated net realized loss on sale of investments | (13,758,905 | ) | ||
Net unrealized appreciation in value of investments | 503,080 | |||
Net assets | 11,279,526 | |||
A-Class: | ||||
Net assets | $ | 1,191,553 | ||
Capital shares outstanding | 52,060 | |||
Net asset value per share | $22.89 | |||
Maximum offering price per share* | $24.03 | |||
C-Class: | ||||
Net assets | $ | 4,307,870 | ||
Capital shares outstanding | 194,828 | |||
Net asset value per share | $22.11 | |||
H-Class: | ||||
Net assets | $ | 5,780,103 | ||
Capital shares outstanding | 252,730 | |||
Net asset value per share | $22.87 | |||
Investments, at cost | $ | 4,918,178 | ||
Repurchase agreement, at cost | 13,567,779 | |||
Total cost | $ | 18,485,957 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $5) | $ | 59,165 | ||
Interest | 10,726 | |||
Total investment income | 69,891 | |||
Expenses: | ||||
Management fees | 83,604 | |||
Transfer agent and administrative fees | 27,868 | |||
Distribution and Service Fees: | ||||
A-Class | 1,442 | |||
C-Class | 18,966 | |||
H-Class | 21,685 | |||
Portfolio accounting fees | 11,147 | |||
Trustees’ fees** | 1,053 | |||
Registration | 30,746 | |||
Miscellaneous | (8,435 | ) | ||
Total expenses | 188,076 | |||
Net investment loss | (118,185 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 488,022 | |||
Equity index swaps | 326,397 | |||
Futures contracts | (1,114,686 | ) | ||
Net realized loss | (300,267 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,862,723 | ) | ||
Equity index swaps | (274,387 | ) | ||
Futures contracts | 68,013 | |||
Net unrealized depreciation | (2,069,097 | ) | ||
Net loss | (2,369,364 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,487,549 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 117 |
RUSSELL 2000® FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (118,185 | ) | $ | (131,477 | ) | ||
Net realized gain (loss) during the period on investments | (300,267 | ) | 3,504,542 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (2,069,097 | ) | 2,761,372 | |||||
Net increase (decrease) in net assets resulting from operations | (2,487,549 | ) | 6,134,437 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 2,860,327 | 11,787,474 | ||||||
C-Class | 40,637,486 | 92,157,139 | ||||||
H-Class | 172,460,238 | 189,633,766 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (2,963,695 | ) | (13,816,879 | ) | ||||
C-Class | (39,097,778 | ) | (92,420,348 | ) | ||||
H-Class | (197,092,100 | ) | (180,791,186 | ) | ||||
Net increase (decrease) from capital share transactions | (23,195,522 | ) | 6,549,966 | |||||
Net increase (decrease) in net assets | (25,683,071 | ) | 12,684,403 | |||||
Net assets: | ||||||||
Beginning of period | 36,962,597 | 24,278,194 | ||||||
End of period | $ | 11,279,526 | $ | 36,962,597 | ||||
Accumulated net investment loss at end of period | $ | (119,593 | ) | $ | (1,408 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 129,220 | 614,405 | ||||||
C-Class | 1,869,842 | 4,881,947 | ||||||
H-Class | 7,752,691 | 9,547,973 | ||||||
Shares redeemed | ||||||||
A-Class | (134,360 | ) | (718,503 | ) | ||||
C-Class | (1,803,333 | ) | (4,905,249 | ) | ||||
H-Class | (8,929,710 | ) | (9,505,283 | ) | ||||
Total capital share activity | (1,115,650 | ) | (84,710 | ) | ||||
118 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
RUSSELL 2000® FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $22.96 | $14.31 | $23.57 | $27.64 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.10 | ) | (.15 | ) | (.02 | ) | .34 | .35 | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .03 | 8.80 | (9.24 | ) | (4.21 | ) | 2.43 | |||||||||||||
Total from investment operations | (.07 | ) | 8.65 | (9.26 | ) | (3.87 | ) | 2.78 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Total distributions | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Net asset value, end of period | $22.89 | $22.96 | $14.31 | $23.57 | $27.64 | |||||||||||||||
Total Returnd | (0.30% | ) | 60.45% | (39.29% | ) | (14.08% | ) | 11.13% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $1,192 | $1,313 | $2,309 | $909 | $275 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.88% | ) | (0.81% | ) | (0.13% | ) | 1.26% | 1.54% | e | |||||||||||
Total expenses | 1.55% | 1.57% | 1.56% | 1.51% | 1.51% | e | ||||||||||||||
Portfolio turnover rate | 224% | 370% | 485% | 535% | 335% |
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $22.29 | $14.00 | $23.28 | $27.48 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.19 | ) | (.34 | ) | (.15 | ) | .23 | .17 | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .01 | 8.63 | (9.13 | ) | (4.23 | ) | 2.45 | |||||||||||||
Total from investment operations | (.18 | ) | 8.29 | (9.28 | ) | (4.00 | ) | 2.62 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Total distributions | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Net asset value, end of period | $22.11 | $22.29 | $14.00 | $23.28 | $27.48 | |||||||||||||||
Total Returnd | (0.76% | ) | 59.21% | (39.86% | ) | (14.63% | ) | 10.49% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $4,308 | $2,860 | $2,123 | $678 | $739 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (1.66% | ) | (1.56% | ) | (0.82% | ) | 0.85% | 0.76% | e | |||||||||||
Total expenses | 2.30% | 2.30% | 2.29% | 2.27% | 2.28% | e | ||||||||||||||
Portfolio turnover rate | 224% | 370% | 485% | 535% | 335% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 119 |
RUSSELL 2000® 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.
Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | ||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | b | |||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $22.93 | $14.31 | $23.57 | $27.64 | $25.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.11 | ) | (.16 | ) | (.02 | ) | .51 | .34 | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .05 | 8.78 | (9.24 | ) | (4.38 | ) | 2.44 | |||||||||||||
Total from investment operations | (.06 | ) | 8.62 | (9.26 | ) | (3.87 | ) | 2.78 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Total distributions | — | — | — | (.20 | ) | (.14 | ) | |||||||||||||
Net asset value, end of period | $22.87 | $22.93 | $14.31 | $23.57 | $27.64 | |||||||||||||||
Total Returnd | (0.26% | ) | 60.24% | (39.29% | ) | (14.08% | ) | (11.13% | ) | |||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $5,780 | $32,790 | $19,847 | $4,327 | $13,248 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.94% | ) | (0.83% | ) | (0.09% | ) | 1.86% | 1.55% | e | |||||||||||
Total expenses | 1.56% | 1.56% | 1.55% | 1.52% | 1.52% | e | ||||||||||||||
Portfolio turnover rate | 224% | 370% | 485% | 535% | 335% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations May 31, 2006. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Annualized |
120 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b5.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | February 20, 2004 | |||
H-Class | February 20, 2004 | |||
The Fund invests principally in derivative investments such as equity index swap agreements and futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 121 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE RUSSELL 2000® STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 96.9% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 9,597,604 | $ | 9,597,604 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 9,586,919 | 9,586,919 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 7,595,072 | 7,595,072 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 3,961,537 | 3,961,537 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 990,384 | 990,384 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $31,731,516) | 31,731,516 | |||||||
Total Investments – 96.9% | ||||||||
(Cost $31,731,516) | $ | 31,731,516 | ||||||
Cash & Other Assets, | ||||||||
Less Liabilities – 3.1% | 999,024 | |||||||
Total Net Assets – 100.0% | $ | 32,730,540 | ||||||
UNREALIZED | ||||||||||||||||
CONTRACTS | GAIN (LOSS) | |||||||||||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||||||||||
December 2010 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||||||||||
Contracts $134,540) | 2 | $ | (983 | ) | ||||||||||||
UNITS | ||||||||||||||||
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||||||||||
Credit Suisee Capital, LLC October 2010 Russell 2000 Index Swap, Terminating 10/29/103 (Notional Market Value | ||||||||||||||||
$24,895,825) | 36,821 | $ | 54,240 | |||||||||||||
Goldman Sachs International October 2010 Russell 2000 Index Swap, Terminating 10/27/103 (Notional Market Value | ||||||||||||||||
$1,810,434) | 2,678 | (21,924 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. October 2010 Russell 2000 Index Swap, Terminating 10/26/103 (Notional Market Value | ||||||||||||||||
$5,846,201) | 8,646 | (71,355 | ) | |||||||||||||
(Total Notional Market Value | ||||||||||||||||
$32,552,460) | $ | (39,039 | ) | |||||||||||||
| |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2010. |
3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. |
122 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE RUSSELL 2000® STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 31,731,516 | ||
Total investments | 31,731,516 | |||
Segregated cash with broker | 940,397 | |||
Unrealized appreciation on swap agreements | 54,240 | |||
Receivables: | ||||
Variation margin | 580 | |||
Fund shares sold | 177,571 | |||
Interest | 171 | |||
Total assets | 32,904,475 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 93,279 | |||
Payable for: | ||||
Fund shares redeemed | 12,025 | |||
Management fees | 31,376 | |||
Custodian fees | 1,151 | |||
Transfer agent/maintenance fees | 8,715 | |||
Distribution and service fees | 9,998 | |||
Portfolio accounting fees | 3,486 | |||
Other | 13,905 | |||
Total liabilities | 173,935 | |||
Net assets | $ | 32,730,540 | ||
Net assets consist of: | ||||
Paid in capital | 78,914,464 | |||
Accumulated net investment loss | (265,284 | ) | ||
Accumulated net realized loss on sale of investments | (45,878,618 | ) | ||
Net unrealized depreciation in value of investments | (40,022 | ) | ||
Net assets | 32,730,540 | |||
A-Class: | ||||
Net assets | $ | 1,853,998 | ||
Capital shares outstanding | 72,759 | |||
Net asset value per share | $25.48 | |||
Maximum offering price per share* | $26.75 | |||
C-Class: | ||||
Net assets | $ | 1,920,540 | ||
Capital shares outstanding | 79,328 | |||
Net asset value per share | $24.21 | |||
H-Class: | ||||
Net assets | $ | 28,956,002 | ||
Capital shares outstanding | 1,135,705 | |||
Net asset value per share | $25.50 | |||
Repurchase agreement, at cost | $ | 31,731,516 | ||
Total cost | $ | 31,731,516 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 28,942 | ||
Total investment income | 28,942 | |||
Expenses: | ||||
Management fees | 150,527 | |||
Transfer agent and administrative fees | 41,813 | |||
Distribution and Service Fees: | ||||
A-Class | 2,568 | |||
C-Class | 12,379 | |||
H-Class | 36,150 | |||
Portfolio accounting fees | 16,725 | |||
Trustees’ fees** | 952 | |||
Miscellaneous | 33,112 | |||
Total expenses | 294,226 | |||
Net investment loss | (265,284 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Equity index swaps | (2,958,206 | ) | ||
Futures contracts | (1,172,400 | ) | ||
Net realized loss | (4,130,606 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Equity index swaps | 241,585 | |||
Futures contracts | (16,731 | ) | ||
Net unrealized appreciation | 224,854 | |||
Net loss | (3,905,752 | ) | ||
Net decrease in net assets resulting | ||||
from operations | $ | (4,171,036 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 123 |
INVERSE RUSSELL 2000® STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (265,284 | ) | $ | (436,855 | ) | ||
Net realized loss during the period on investments | (4,130,606 | ) | (17,785,252 | ) | ||||
Net unrealized appreciation (depreciation) during the period on investments | 224,854 | (427,116 | ) | |||||
Net decrease in net assets resulting from operations | (4,171,036 | ) | (18,649,223 | ) | ||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 6,248,380 | 12,458,139 | ||||||
C-Class | 13,947,855 | 12,315,911 | ||||||
H-Class | 255,388,517 | 190,565,372 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (5,810,908 | ) | (11,468,508 | ) | ||||
C-Class | (13,801,565 | ) | (11,307,586 | ) | ||||
H-Class | (248,763,348 | ) | (178,850,918 | ) | ||||
Net increase from capital share transactions | 7,208,931 | 13,712,410 | ||||||
Net increase (decrease) in net assets | 3,037,895 | (4,936,813 | ) | |||||
Net assets: | ||||||||
Beginning of period | 29,692,645 | 34,629,458 | ||||||
End of period | $ | 32,730,540 | $ | 29,692,645 | ||||
Accumulated net investment loss at end of period | $ | (265,284 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 230,994 | 362,535 | ||||||
C-Class | 516,412 | 364,847 | ||||||
H-Class | 9,285,220 | 5,855,590 | ||||||
Shares redeemed | ||||||||
A-Class | (223,589 | ) | (345,066 | ) | ||||
C-Class | (514,881 | ) | (334,695 | ) | ||||
H-Class | (9,109,289 | ) | (5,522,935 | ) | ||||
Total capital share activity | 184,867 | 380,276 | ||||||
124 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
INVERSE RUSSELL 2000® STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.00 | $48.02 | $39.05 | $35.00 | $36.96 | $46.09 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.54 | ) | (.21 | ) | 1.06 | 1.38 | .85 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.31 | ) | (20.48 | ) | 9.57 | 4.40 | (1.65 | ) | (9.26 | ) | ||||||||||||||
Total from investment operations | (1.52 | ) | (21.02 | ) | 9.36 | 5.46 | (.27 | ) | (8.41 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Total distributions | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Net asset value, end of period | $25.48 | $27.00 | $48.02 | $39.05 | $35.00 | $36.96 | ||||||||||||||||||
Total Returnc | (5.63% | ) | (43.77% | ) | 23.91% | 16.11% | (0.67% | ) | (18.40% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,854 | $1,765 | $2,299 | $6,816 | $9,905 | $1,067 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.54% | ) | (1.58% | ) | (0.50% | ) | 2.96% | 3.64% | 1.97% | |||||||||||||||
Total expenses | 1.71% | 1.71% | 1.96% | 1.89% | 1.65% | 1.63% | ||||||||||||||||||
Operating expensesd | 1.71% | 1.71% | 1.71% | 1.89% | 1.65% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | — | — | 214% | — | — | — |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.75 | $46.15 | $37.80 | $34.18 | $36.40 | $45.71 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.30 | ) | (.76 | ) | (.40 | ) | .76 | 1.07 | .56 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.24 | ) | (19.64 | ) | 9.14 | 4.27 | (1.60 | ) | (9.15 | ) | ||||||||||||||
Total from investment operations | (1.54 | ) | (20.40 | ) | 8.74 | 5.03 | (.53 | ) | (8.59 | ) | ||||||||||||||
Less distributions: | �� | |||||||||||||||||||||||
Distributions from net investment income | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Total distributions | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Net asset value, end of period | $24.21 | $25.75 | $46.15 | $37.80 | $34.18 | $36.40 | ||||||||||||||||||
Total Returnc | (5.98% | ) | (44.20% | ) | 23.06% | 15.22% | (1.40% | ) | (18.95% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,921 | $2,003 | $2,199 | $6,136 | $8,455 | $3,164 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.28% | ) | (2.43% | ) | (1.03% | ) | 2.17% | 2.87% | 1.33% | |||||||||||||||
Total expenses | 2.45% | 2.46% | 2.76% | 2.67% | 2.40% | 2.40% | ||||||||||||||||||
Operating expensesd | 2.45% | 2.46% | 2.45% | 2.67% | 2.40% | 2.40% | ||||||||||||||||||
Portfolio turnover rate | — | — | 214% | — | — | — |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 125 |
2
INVERSE RUSSELL 2000® 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.01 | $48.05 | $39.07 | $35.02 | $36.98 | $46.09 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.53 | ) | (.19 | ) | 1.05 | 1.36 | .91 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.30 | ) | (20.51 | ) | 9.56 | 4.41 | (1.63 | ) | (9.30 | ) | ||||||||||||||
Total from investment operations | (1.51 | ) | (21.04 | ) | 9.37 | 5.46 | (.27 | ) | (8.39 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Total distributions | — | — | (.39 | ) | (1.41 | ) | (1.69 | ) | (.72 | ) | ||||||||||||||
Net asset value, end of period | $25.50 | $27.01 | $48.05 | $39.07 | $35.02 | $36.98 | ||||||||||||||||||
Total Returnc | (5.59% | ) | (43.79% | ) | 23.93% | 16.10% | (0.67% | ) | (18.36% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $28,956 | $25,924 | $30,131 | $42,554 | $48,718 | $52,201 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.53% | ) | (1.58% | ) | (0.45% | ) | 2.93% | 3.56% | 2.14% | |||||||||||||||
Total expenses | 1.70% | 1.71% | 1.97% | 1.89% | 1.65% | 1.65% | ||||||||||||||||||
Operating expensesd | 1.70% | 1.71% | 1.70% | 1.89% | 1.65% | 1.65% | ||||||||||||||||||
Portfolio turnover rate | — | — | 214% | — | — | — |
| |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Operating expenses exclude interest and dividend expense from securities sold short. |
126 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
FUND PROFILE (Unaudited)
September 30, 2010
S&P 500 PURE GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for large-cap growth securities. The Fund’s current benchmark is the S&P 500 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b6.gif)
“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) | ||||
Priceline.com, Inc. | 2.5 | % | ||
Red Hat, Inc. | 2.5 | % | ||
Salesforce.com, Inc. | 2.5 | % | ||
Akamai Technologies, Inc. | 2.3 | % | ||
Cognizant Technology Solutions Corp. — Class A | 2.2 | % | ||
NetApp, Inc. | 2.1 | % | ||
Amazon.com, Inc. | 2.0 | % | ||
Apple, Inc. | 1.7 | % | ||
Cliffs Natural Resources, Inc. | 1.5 | % | ||
Wynn Resorts Ltd. | 1.5 | % | ||
Top Ten Total | 20.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P 500 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
INFORMATION TECHNOLOGY - 29.1% | ||||||||
Red Hat, Inc.* | 41,824 | $ | 1,714,784 | |||||
Salesforce.com, Inc.* | 15,230 | 1,702,714 | ||||||
Akamai Technologies, Inc.* | 31,394 | 1,575,351 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 23,545 | 1,517,946 | ||||||
NetApp, Inc.* | 28,157 | 1,401,937 | ||||||
Apple, Inc.* | 4,110 | 1,166,212 | ||||||
eBay, Inc.* | 35,895 | 875,838 | ||||||
Google, Inc. — Class A* | 1,549 | 814,449 | ||||||
Amphenol Corp. — Class A | 14,968 | 733,133 | ||||||
Broadcom Corp. — Class A | 20,319 | 719,089 | ||||||
EMC Corp.* | 32,555 | 661,192 | ||||||
Western Digital Corp.* | 22,569 | 640,734 | ||||||
Visa, Inc. — Class A | 8,427 | 625,789 | ||||||
Citrix Systems, Inc.* | 9,013 | 615,047 | ||||||
Juniper Networks, Inc.* | 18,883 | 573,099 | ||||||
Teradata Corp.* | 13,864 | 534,596 | ||||||
QLogic Corp.* | 29,073 | 512,848 | ||||||
Oracle Corp. | 16,369 | 439,508 | ||||||
McAfee, Inc.* | 8,561 | 404,593 | ||||||
Corning, Inc. | 19,908 | 363,918 | ||||||
Altera Corp. | 11,939 | 360,080 | ||||||
FLIR Systems, Inc.* | 13,361 | 343,378 | ||||||
Autodesk, Inc.* | 10,085 | 322,417 | ||||||
BMC Software, Inc.* | 7,582 | 306,919 | ||||||
Microsoft Corp. | 10,240 | 250,778 | ||||||
Adobe Systems, Inc.* | 9,313 | 243,535 | ||||||
International Business Machines Corp. | 1,735 | 232,733 | ||||||
NVIDIA Corp.* | 14,942 | 174,523 | ||||||
Total Information Technology | 19,827,140 | |||||||
CONSUMER DISCRETIONARY - 22.4% | ||||||||
Priceline.com, Inc.* | 4,951 | 1,724,631 | ||||||
Amazon.com, Inc.* | 8,622 | 1,354,171 | ||||||
Wynn Resorts Ltd. | 11,867 | 1,029,700 | ||||||
Viacom, Inc. — Class B | 25,814 | 934,209 | ||||||
Coach, Inc. | 20,821 | 894,470 | ||||||
Nordstrom, Inc. | 19,371 | 720,601 | ||||||
Starbucks Corp. | 27,820 | 711,636 | ||||||
DIRECTV — Class A* | 17,032 | 709,042 | ||||||
Best Buy Company, Inc. | 17,023 | 695,049 | ||||||
CarMax, Inc.* | 22,759 | 634,066 | ||||||
Tiffany & Co. | 12,582 | 591,228 | ||||||
Urban Outfitters, Inc.* | 17,228 | 541,648 | ||||||
Expedia, Inc. | 17,653 | 497,991 | ||||||
O’Reilly Automotive, Inc.* | 8,591 | 457,041 | ||||||
Ross Stores, Inc. | 8,323 | 454,602 | ||||||
Bed Bath & Beyond, Inc.* | 9,995 | 433,883 | ||||||
AutoZone, Inc.* | 1,878 | 429,893 | ||||||
Abercrombie & Fitch Co. — Class A | 10,748 | 422,612 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Polo Ralph Lauren Corp. — | ||||||||
Class A | 4,625 | $ | 415,603 | |||||
Starwood Hotels & Resorts Worldwide, Inc. | 6,921 | 363,699 | ||||||
Hasbro, Inc. | 7,732 | 344,151 | ||||||
Wyndham Worldwide Corp. | 12,205 | 335,271 | ||||||
TJX Companies, Inc. | 6,983 | 311,651 | ||||||
Kohl’s Corp.* | 4,925 | 259,449 | ||||||
Total Consumer Discretionary | 15,266,297 | |||||||
ENERGY - 15.0% | ||||||||
Cameron International Corp.* | 22,971 | 986,834 | ||||||
Rowan Companies, Inc.* | 29,503 | 895,711 | ||||||
Denbury Resources, Inc.* | 51,685 | 821,275 | ||||||
National Oilwell Varco, Inc. | 18,195 | 809,132 | ||||||
FMC Technologies, Inc.* | 10,694 | 730,293 | ||||||
Anadarko Petroleum Corp. | 11,306 | 645,007 | ||||||
Massey Energy Co. | 17,595 | 545,797 | ||||||
Peabody Energy Corp. | 10,381 | 508,773 | ||||||
Pioneer Natural Resources Co. | 7,635 | 496,504 | ||||||
Schlumberger Ltd. | 7,915 | 487,643 | ||||||
Baker Hughes, Inc. | 11,198 | 477,035 | ||||||
Southwestern Energy Co.* | 14,029 | 469,130 | ||||||
Diamond Offshore Drilling, Inc. | 6,715 | 455,075 | ||||||
Range Resources Corp. | 11,311 | 431,288 | ||||||
EOG Resources, Inc. | 4,377 | 406,930 | ||||||
Occidental Petroleum Corp. | 4,610 | 360,963 | ||||||
Helmerich & Payne, Inc. | 8,690 | 351,597 | ||||||
Noble Energy, Inc. | 4,275 | 321,010 | ||||||
Total Energy | 10,199,997 | |||||||
HEALTH CARE - 11.9% | ||||||||
Intuitive Surgical, Inc.* | 3,300 | 936,342 | ||||||
CIGNA Corp. | 23,146 | 828,164 | ||||||
Mylan, Inc.* | 39,920 | 750,895 | ||||||
Cerner Corp.* | 6,540 | 549,295 | ||||||
Biogen Idec, Inc.* | 9,544 | 535,609 | ||||||
DaVita, Inc.* | 6,597 | 455,391 | ||||||
Allergan, Inc. | 6,778 | 450,940 | ||||||
Watson Pharmaceuticals, Inc.* | 10,375 | 438,966 | ||||||
Express Scripts, Inc. — Class A* | 8,562 | 416,969 | ||||||
Waters Corp.* | 5,398 | 382,071 | ||||||
Celgene Corp.* | 6,629 | 381,897 | ||||||
Life Technologies Corp.* | 8,000 | 373,520 | ||||||
Gilead Sciences, Inc.* | 9,631 | 342,960 | ||||||
Hospira, Inc.* | 5,040 | 287,330 | ||||||
St. Jude Medical, Inc.* | 6,923 | 272,351 | ||||||
Medco Health Solutions, Inc.* | 5,045 | 262,643 | ||||||
Laboratory Corporation of America Holdings* | 3,304 | 259,133 | ||||||
Zimmer Holdings, Inc.* | 4,101 | 214,605 | ||||||
Total Health Care | 8,139,081 | |||||||
FINANCIALS - 7.0% | ||||||||
Ventas, Inc. | 16,928 | 872,977 | ||||||
ProLogis | 70,322 | 828,393 |
128 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P 500 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CB Richard Ellis Group, Inc. — Class A* | 38,116 | $ | 696,761 | |||||
IntercontinentalExchange, Inc.* | 6,159 | 644,971 | ||||||
Invesco Ltd. | 23,115 | 490,731 | ||||||
Janus Capital Group, Inc. | 29,411 | 322,050 | ||||||
American Express Co. | 7,660 | 321,950 | ||||||
Hudson City Bancorp, Inc. | 26,104 | 320,035 | ||||||
CME Group, Inc. — Class A | 1,098 | 285,974 | ||||||
Total Financials | 4,783,842 | |||||||
INDUSTRIALS - 6.6% | ||||||||
Flowserve Corp. | 7,046 | 770,973 | ||||||
Precision Castparts Corp. | 5,890 | 750,091 | ||||||
First Solar, Inc.* | 3,156 | 465,037 | ||||||
Caterpillar, Inc. | 5,740 | 451,623 | ||||||
Goodrich Corp. | 5,225 | 385,239 | ||||||
Stericycle, Inc.* | 4,714 | 327,529 | ||||||
Honeywell International, Inc. | 7,340 | 322,519 | ||||||
WW Grainger, Inc. | 2,251 | 268,117 | ||||||
ITT Corp. | 5,636 | 263,934 | ||||||
Danaher Corp. | 6,106 | 247,965 | ||||||
United Technologies Corp. | 3,308 | 235,629 | ||||||
Total Industrials | 4,488,656 | |||||||
MATERIALS - 5.7% | ||||||||
Cliffs Natural Resources, Inc. | 16,366 | 1,046,115 | ||||||
CF Industries Holdings, Inc. | 9,290 | 887,195 | ||||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 8,353 | 713,263 | ||||||
MeadWestvaco Corp. | 16,590 | 404,464 | ||||||
Newmont Mining Co. | 5,063 | 318,007 | ||||||
FMC Corp. | 3,966 | 271,314 | ||||||
Praxair, Inc. | 2,777 | 250,652 | ||||||
Total Materials | 3,891,010 | |||||||
CONSUMER STAPLES - 1.8% | ||||||||
Whole Foods Market, Inc.* | 25,145 | 933,131 | ||||||
Avon Products, Inc. | 9,228 | 296,311 | ||||||
Total Consumer Staples | 1,229,442 | |||||||
Total Common Stocks | ||||||||
(Cost $59,360,314) | 67,825,465 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 0.9% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $239,159 | $ | 239,159 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 238,893 | 238,893 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 98,716 | 98,716 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 25,221 | 25,221 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 24,679 | 24,679 | ||||||
Total Repurchase Agreements (Cost $626,668) | 626,668 | |||||||
Total Investments – 100.4% (Cost $59,986,982) | $ | 68,452,133 | ||||||
Liabilities, Less Cash & Other Assets – (0.4)% | (294,183 | ) | ||||||
Total Net Assets – 100.0% | $ | 68,157,950 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 129 |
S&P 500 PURE GROWTH FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 67,825,465 | ||
Repurchase agreement, at value | 626,668 | |||
Total investments | 68,452,133 | |||
Receivables: | ||||
Fund shares sold | 145,574 | |||
Dividends | 14,801 | |||
Total assets | 68,612,508 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 334,912 | |||
Fund shares redeemed | 40,967 | |||
Management fees | 31,496 | |||
Custodian fees | 1,399 | |||
Transfer agent/maintenance fees | 10,499 | |||
Distribution and service fees | 14,515 | |||
Portfolio accounting fees | 4,200 | |||
Other | 16,570 | |||
Total liabilities | 454,558 | |||
Net assets | $ | 68,157,950 | ||
Net assets consist of: | ||||
Paid in capital | 71,042,731 | |||
Accumulated net investment loss | (163,455 | ) | ||
Accumulated net realized loss on sale of investments | (11,186,477 | ) | ||
Net unrealized appreciation in value of investments | 8,465,151 | |||
Net assets | 68,157,950 | |||
A-Class: | ||||
Net assets | $ | 11,454,721 | ||
Capital shares outstanding | 419,062 | |||
Net asset value per share | $27.33 | |||
Maximum offering price per share* | $28.69 | |||
C-Class: | ||||
Net assets | $ | 7,095,515 | ||
Capital shares outstanding | 272,811 | |||
Net asset value per share | $26.01 | |||
H-Class: | ||||
Net assets | $ | 49,607,714 | ||
Capital shares outstanding | 1,815,485 | |||
Net asset value per share | $27.32 | |||
Investments, at cost | $ | 59,360,314 | ||
Repurchase agreement, at cost | 626,668 | |||
Total cost | $ | 59,986,982 | ||
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 98,949 | ||
Interest | 194 | |||
Total investment income | 99,143 | |||
Expenses: | ||||
Management fees | 118,303 | |||
Transfer agent and administrative fees | 39,434 | |||
Distribution and Service Fees: | ||||
A-Class | 3,815 | |||
C-Class | 29,853 | |||
H-Class | 28,156 | |||
Portfolio accounting fees | 15,774 | |||
Trustees’ fees** | 923 | |||
Miscellaneous | 26,340 | |||
Total expenses | 262,598 | |||
Net investment loss | (163,455 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (367,198 | ) | ||
Net realized loss | (367,198 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 3,261,796 | |||
Net unrealized appreciation | 3,261,796 | |||
Net realized and unrealized gain | 2,894,598 | |||
Net increase in net assets resulting from operations | $ | 2,731,143 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
130 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 PURE GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (163,455 | ) | $ | (183,531 | ) | ||
Net realized gain (loss) during the period on investments | (367,198 | ) | 4,108,617 | |||||
Net unrealized appreciation during the period on investments | 3,261,796 | 3,489,396 | ||||||
Net increase in net assets resulting from operations | 2,731,143 | 7,414,482 | ||||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 17,817,779 | 14,713,642 | ||||||
C-Class | 3,838,909 | 9,209,791 | ||||||
H-Class | 205,012,795 | 176,531,236 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (8,379,704 | ) | (16,142,989 | ) | ||||
C-Class | (3,515,069 | ) | (6,496,395 | ) | ||||
H-Class | (173,489,859 | ) | (178,056,915 | ) | ||||
Net increase (decrease) from capital share transactions | 41,284,851 | (241,630 | ) | |||||
Net increase in net assets | 44,015,994 | 7,172,852 | ||||||
Net assets: | ||||||||
Beginning of period | 24,141,956 | 16,969,104 | ||||||
End of period | $ | 68,157,950 | $ | 24,141,956 | ||||
Accumulated net investment loss at end of period | $ | (163,455 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 661,815 | 581,564 | ||||||
C-Class | 159,943 | 423,295 | ||||||
H-Class | 8,169,872 | 7,640,587 | ||||||
Shares redeemed | ||||||||
A-Class | (309,661 | ) | (662,990 | ) | ||||
C-Class | (143,616 | ) | (305,413 | ) | ||||
H-Class | (6,953,430 | ) | (7,832,745 | ) | ||||
Total capital share activity | 1,584,923 | (155,702 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 131 |
2
S&P 500 PURE GROWTH FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.51 | $15.82 | $25.11 | $27.17 | $26.11 | $24.48 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.12 | ) | (.18 | ) | (.11 | ) | (.15 | ) | (.13 | ) | (.07 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .94 | 10.87 | (9.18 | ) | (1.52 | ) | 1.19 | 1.72 | ||||||||||||||||
Total from investment operations | .82 | 10.69 | (9.29 | ) | �� | (1.67 | ) | 1.06 | 1.65 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Total distributions | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Net asset value, end of period | $27.33 | $26.51 | $15.82 | $25.11 | $27.17 | $26.11 | ||||||||||||||||||
Total Returnc | 3.09% | 67.57% | (37.00% | ) | (6.28% | ) | 4.06% | 6.76% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $11,455 | $1,774 | $2,346 | $5,443 | $2,675 | $914 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.98% | ) | (0.81% | ) | (0.46% | ) | (0.53% | ) | (0.51% | ) | (0.29% | ) | ||||||||||||
Total expenses | 1.53% | 1.52% | 1.53% | 1.51% | 1.52% | 1.48% | ||||||||||||||||||
Portfolio turnover rate | 398% | 699% | 573% | 450% | 1,029% | 1,276% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.32 | $15.23 | $24.35 | $26.57 | $25.74 | $24.30 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.19 | ) | (.30 | ) | (.23 | ) | (.32 | ) | (.37 | ) | (.26 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .88 | 10.39 | (8.89 | ) | (1.51 | ) | 1.20 | 1.72 | ||||||||||||||||
Total from investment operations | .69 | 10.09 | (9.12 | ) | (1.83 | ) | .83 | 1.46 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Total distributions | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Net asset value, end of period | $26.01 | $25.32 | $15.23 | $24.35 | $26.57 | $25.74 | ||||||||||||||||||
Total Returnc | 2.73% | 66.25% | (37.45% | ) | (7.02% | ) | 3.22% | 6.03% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $7,096 | $6,494 | $2,111 | $4,453 | $3,743 | $5,249 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.57% | ) | (1.40% | ) | (1.13% | ) | (1.21% | ) | (1.44% | ) | (1.04% | ) | ||||||||||||
Total expenses | 2.27% | 2.28% | 2.29% | 2.27% | 2.28% | 2.23% | ||||||||||||||||||
Portfolio turnover rate | 398% | 699% | 573% | 450% | 1,029% | 1,276% |
132 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
S&P 500 PURE GROWTH 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.50 | $15.81 | $25.10 | $27.16 | $26.11 | $24.49 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.11 | ) | (.14 | ) | (.09 | ) | (.17 | ) | (.14 | ) | (.05 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .93 | 10.83 | (9.20 | ) | (1.50 | ) | 1.19 | 1.69 | ||||||||||||||||
Total from investment operations | .82 | 10.69 | (9.29 | ) | (1.67 | ) | 1.05 | 1.64 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Total distributions | — | — | — | (.39 | ) | — | (.02 | ) | ||||||||||||||||
Net asset value, end of period | $27.32 | $26.50 | $15.81 | $25.10 | $27.16 | $26.11 | ||||||||||||||||||
Total Returnc | 3.09% | 67.62% | (37.01% | ) | (6.28% | ) | 4.02% | 6.71% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $49,608 | $15,874 | $12,512 | $11,937 | $49,087 | $32,258 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.90% | ) | (0.60% | ) | (0.41% | ) | (0.62% | ) | (0.53% | ) | (0.19% | ) | ||||||||||||
Total expenses | 1.52% | 1.53% | 1.53% | 1.53% | 1.52% | 1.49% | ||||||||||||||||||
Portfolio turnover rate | 398% | 699% | 573% | 450% | 1,029% | 1,276% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment loss was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 133 |
4
FUND PROFILE (Unaudited)
September 30, 2010
S&P 500 PURE VALUE FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for large-cap value securities. The Fund’s current benchmark is the S&P 500 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b7.gif)
“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) | ||||
Tesoro Corp. | 3.0 | % | ||
Sunoco, Inc. | 2.8 | % | ||
Valero Energy Corp. | 2.5 | % | ||
Huntington Bancshares, Inc. | 2.5 | % | ||
Integrys Energy Group, Inc. | 2.4 | % | ||
Zions Bancorporation | 2.1 | % | ||
SunTrust Banks, Inc. | 2.0 | % | ||
Tyson Foods, Inc. — Class A | 2.0 | % | ||
Sears Holdings Corp. | 1.9 | % | ||
Cardinal Health, Inc. | 1.8 | % | ||
Top Ten Total | 23.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
134 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P 500 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
FINANCIALS - 26.8% Huntington Bancshares, Inc. | 79,845 | $ | 452,721 | |||||
Zions Bancorporation | 17,891 | 382,152 | ||||||
SunTrust Banks, Inc. | 13,757 | 355,343 | ||||||
Assurant, Inc. | 7,125 | 289,987 | ||||||
Genworth Financial, Inc. — Class A* | 23,595 | 288,331 | ||||||
Citigroup, Inc.* | 58,520 | 228,228 | ||||||
American International Group, Inc.* | 5,502 | 215,128 | ||||||
Bank of America Corp. | 16,003 | 209,799 | ||||||
Lincoln National Corp. | 8,111 | 194,015 | ||||||
KeyCorp | 23,934 | 190,515 | ||||||
Capital One Financial Corp. | 4,799 | 189,800 | ||||||
Unum Group | 7,760 | 171,884 | ||||||
MetLife, Inc. | 4,440 | 170,718 | ||||||
Comerica, Inc. | 4,169 | 154,878 | ||||||
E*Trade Financial Corp.* | 10,302 | 149,791 | ||||||
Host Hotels & Resorts, Inc. | 9,638 | 139,558 | ||||||
NASDAQ OMX Group, Inc.* | 6,735 | 130,861 | ||||||
Cincinnati Financial Corp. | 4,375 | 126,219 | ||||||
Morgan Stanley | 4,598 | 113,479 | ||||||
Kimco Realty Corp. | 7,155 | 112,691 | ||||||
Marshall & Ilsley Corp. | 15,614 | 109,923 | ||||||
Regions Financial Corp. | 13,058 | 94,932 | ||||||
BB&T Corp. | 3,497 | 84,208 | ||||||
Allstate Corp. | 2,650 | 83,608 | ||||||
Discover Financial Services | 4,745 | 79,147 | ||||||
Travelers Companies, Inc. | 1,405 | 73,200 | ||||||
Total Financials | 4,791,116 | |||||||
UTILITIES - 16.7% Integrys Energy Group, Inc. | 8,120 | 422,727 | ||||||
Pepco Holdings, Inc. | 16,494 | 306,788 | ||||||
NiSource, Inc. | 14,907 | 259,382 | ||||||
Oneok, Inc. | 4,688 | 211,148 | ||||||
Ameren Corp. | 6,904 | 196,074 | ||||||
CMS Energy Corp. | 9,555 | 172,181 | ||||||
CenterPoint Energy, Inc. | 8,712 | 136,953 | ||||||
DTE Energy Co. | 2,843 | 130,579 | ||||||
Northeast Utilities | 4,334 | 128,156 | ||||||
Nicor, Inc. | 2,435 | 111,572 | ||||||
Edison International | 3,161 | 108,707 | ||||||
Pinnacle West Capital Corp. | 2,538 | 104,743 | ||||||
American Electric Power Company, Inc. | 2,712 | 98,256 | ||||||
Consolidated Edison, Inc. | 2,018 | 97,308 | ||||||
SCANA Corp. | 2,315 | 93,341 | ||||||
Xcel Energy, Inc. | 3,917 | 89,973 | ||||||
Allegheny Energy, Inc. | 3,299 | 80,891 | ||||||
Progress Energy, Inc. | 1,809 | 80,356 | ||||||
Duke Energy Corp. | 4,348 | 77,003 | ||||||
Constellation Energy Group, Inc. | 2,370 | 76,409 | ||||||
Total Utilities | 2,982,547 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
ENERGY - 12.5% | ||||||||
Tesoro Corp. | 39,580 | $ | 528,789 | |||||
Sunoco, Inc. | 13,711 | 500,451 | ||||||
Valero Energy Corp. | 25,878 | 453,124 | ||||||
Marathon Oil Corp. | 7,596 | 251,428 | ||||||
Hess Corp. | 2,496 | 147,563 | ||||||
Chesapeake Energy Corp. | 4,666 | 105,685 | ||||||
ConocoPhillips | 1,585 | 91,027 | ||||||
Chevron Corp. | 1,076 | 87,210 | ||||||
Williams Companies, Inc. | 4,040 | 77,204 | ||||||
Total Energy | 2,242,481 | |||||||
HEALTH CARE - 11.0% Cardinal Health, Inc. | 9,950 | 328,748 | ||||||
AmerisourceBergen Corp. — Class A | 10,105 | 309,819 | ||||||
Humana, Inc.* | 6,139 | 308,423 | ||||||
Coventry Health Care, Inc.* | 12,421 | 267,424 | ||||||
McKesson Corp. | 3,915 | 241,869 | ||||||
WellPoint, Inc.* | 2,708 | 153,381 | ||||||
Tenet Healthcare Corp.* | 29,506 | 139,268 | ||||||
Aetna, Inc. | 4,254 | 134,469 | ||||||
CareFusion Corp.* | 3,721 | 92,430 | ||||||
Total Health Care | 1,975,831 | |||||||
CONSUMER DISCRETIONARY - 9.0% | ||||||||
Sears Holdings Corp.* | 4,735 | 341,583 | ||||||
Interpublic Group of Companies, Inc.* | 20,258 | 203,188 | ||||||
Whirlpool Corp. | 2,432 | 196,895 | ||||||
JC Penney Company, Inc. | 6,293 | 171,044 | ||||||
Goodyear Tire & Rubber Co.* | 14,512 | 156,004 | ||||||
AutoNation, Inc.* | 6,699 | 155,752 | ||||||
Big Lots, Inc.* | 3,770 | 125,352 | ||||||
Fortune Brands, Inc. | 1,860 | 91,568 | ||||||
Eastman Kodak Co.* | 21,079 | 88,532 | ||||||
Comcast Corp. — Class A | 4,609 | 83,330 | ||||||
Total Consumer Discretionary | 1,613,248 | |||||||
CONSUMER STAPLES - 8.4% Tyson Foods, Inc. — Class A | 22,073 | 353,609 | ||||||
Safeway, Inc. | 13,471 | 285,046 | ||||||
Kroger Co. | 12,361 | 267,739 | ||||||
Archer-Daniels-Midland Co. | 7,010 | 223,759 | ||||||
Dean Foods Co.* | 13,180 | 134,568 | ||||||
CVS Caremark Corp. | 4,170 | 131,230 | ||||||
Costco Wholesale Corp. | 1,797 | 115,889 | ||||||
Total Consumer Staples | 1,511,840 | |||||||
INDUSTRIALS - 6.5% | ||||||||
Jacobs Engineering Group, Inc.* | 4,403 | 170,396 | ||||||
Fluor Corp. | 3,206 | 158,793 | ||||||
Ryder System, Inc. | 3,668 | 156,880 | ||||||
Textron, Inc. | 7,130 | 146,593 | ||||||
Southwest Airlines Co. | 8,322 | 108,769 | ||||||
Eaton Corp. | 1,286 | 106,082 | ||||||
Snap-On, Inc. | 1,914 | 89,020 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 135 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P 500 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
L-3 Communications Holdings, Inc. | 1,104 | $ | 79,786 | |||||
RR Donnelley & Sons Co. | 4,576 | 77,609 | ||||||
Avery Dennison Corp. | 1,898 | 70,454 | ||||||
Total Industrials | 1,164,382 | |||||||
MATERIALS - 3.3% United States Steel Co. | 7,001 | 306,924 | ||||||
Alcoa, Inc. | 16,585 | 200,844 | ||||||
Dow Chemical Co. | 3,249 | 89,218 | ||||||
Total Materials | 596,986 | |||||||
TELECOMMUNICATION SERVICES - 3.1% | ||||||||
Sprint Nextel Corp.* | 66,427 | 307,557 | ||||||
MetroPCS Communications, Inc.* | 15,871 | 166,011 | ||||||
CenturyLink, Inc. | 2,181 | 86,062 | ||||||
Total Telecommunication Services | 559,630 | |||||||
INFORMATION TECHNOLOGY - 2.2% | ||||||||
Xerox Corp. | 22,791 | 235,887 | ||||||
Lexmark International, Inc. — Class A* | 3,445 | 153,716 | ||||||
Total Information Technology | 389,603 | |||||||
Total Common Stocks (Cost $13,767,752) | 17,827,664 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 0.7% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 45,669 | $ | 45,669 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 45,618 | 45,618 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 18,850 | 18,850 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 4,816 | 4,816 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 4,713 | 4,713 | ||||||
Total Repurchase Agreements (Cost $119,666) | $ | 119,666 | ||||||
Total Investments - 100.2% (Cost $13,887,418) | $ | 17,947,330 | ||||||
Liabilities, Less Cash & Other Assets - (0.2)% | (33,685 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,913,645 | ||||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
136 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 PURE VALUE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 17,827,664 | ||
Repurchase agreement, at value | 119,666 | |||
Total investments | 17,947,330 | |||
Receivables: | ||||
Fund shares sold | 405,877 | |||
Dividends | 22,863 | |||
Total assets | 18,376,070 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 387,540 | |||
Fund shares redeemed | 2,289 | |||
Management fees | 19,022 | |||
Custodian fees | 960 | |||
Transfer agent/maintenance fees | 6,340 | |||
Distribution and service fees | 7,982 | |||
Portfolio accounting fees | 2,536 | |||
Other | 35,756 | |||
Total liabilities | 462,425 | |||
Net assets | $ | 17,913,645 | ||
Net assets consist of: | ||||
Paid in capital | 21,782,045 | |||
Undistributed net investment income | 147,336 | |||
Accumulated net realized loss on sale of investments | (8,075,648 | ) | ||
Net unrealized appreciation in value of investments | 4,059,912 | |||
Net assets | 17,913,645 | |||
A-Class: | ||||
Net assets | $ | 1,840,959 | ||
Capital shares outstanding | 24,141 | |||
Net asset value per share | $76.26 | |||
Maximum offering price per share* | $80.06 | |||
C-Class: | ||||
Net assets | $ | 2,778,095 | ||
Capital shares outstanding | 38,941 | |||
Net asset value per share | $71.34 | |||
H-Class: | ||||
Net assets | $ | 13,294,591 | ||
Capital shares outstanding | 173,811 | |||
Net asset value per share | $76.49 | |||
Investments, at cost | $ | 13,767,752 | ||
Repurchase agreement, at cost | 119,666 | |||
Total cost | $ | 13,887,418 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 421,704 | ||
Interest | 346 | |||
Total investment income | 422,050 | |||
Expenses: | ||||
Management fees | 238,244 | |||
Transfer agent and administrative fees | 79,415 | |||
Distribution and Service Fees: | ||||
A-Class | 5,272 | |||
C-Class | 14,050 | |||
H-Class | 70,630 | |||
Portfolio accounting fees | 31,766 | |||
Trustees’ fees** | 4,576 | |||
Miscellaneous | 54,062 | |||
Total expenses | 498,015 | |||
Net investment loss | (75,965 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 6,564,021 | |||
Net realized gain | 6,564,021 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (10,292,562 | ) | ||
Net unrealized depreciation | (10,292,562 | ) | ||
Net loss | (3,728,541 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,804,506 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 137 |
S&P 500 PURE VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (75,965 | ) | $ | 223,302 | |||
Net realized gain during the period on investments | 6,564,021 | 11,207,510 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (10,292,562 | ) | 14,716,760 | |||||
Net increase (decrease) in net assets resulting from operations | (3,804,506 | ) | 26,147,572 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (5,911 | ) | |||||
C-Class | — | (37,725 | ) | |||||
H-Class | — | (465,758 | ) | |||||
Total distributions to shareholders | — | (509,394 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 14,829,622 | 15,145,213 | ||||||
C-Class | 4,943,340 | 12,436,778 | ||||||
H-Class | 192,749,539 | 455,762,213 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 3,807 | ||||||
C-Class | — | 37,392 | ||||||
H-Class | — | 465,190 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (20,453,619 | ) | (7,194,675 | ) | ||||
C-Class | (6,793,844 | ) | (9,899,329 | ) | ||||
H-Class | (325,166,148 | ) | (336,675,504 | ) | ||||
Net increase (decrease) from capital share transactions | (139,891,110 | ) | 130,081,085 | |||||
Net increase (decrease) in net assets | (143,695,616 | ) | 155,719,263 | |||||
Net assets: | ||||||||
Beginning of period | 161,609,261 | 5,889,998 | ||||||
End of period | $ | 17,913,645 | $ | 161,609,261 | ||||
Undistributed net investment income at end of period | $ | 147,336 | $ | 223,301 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 183,442 | 198,985 | † | |||||
C-Class | 68,159 | 206,943 | † | |||||
H-Class | 2,541,603 | 6,745,739 | † | |||||
Shares reinvested | ||||||||
A-Class | — | 54 | † | |||||
C-Class | — | 561 | † | |||||
H-Class | — | 6,550 | † | |||||
Shares redeemed | ||||||||
A-Class | (261,690 | ) | (102,355 | )† | ||||
C-Class | (94,393 | ) | (175,865 | )† | ||||
H-Class | (4,227,099 | ) | (5,020,789 | )† | ||||
Total capital share activity | (1,789,978 | ) | 1,859,823 | † | ||||
† | Share amounts for the period April 1, 2009 through April 19, 2009 have been restated to reflect a 1:5 reverse share split effective April 20, 2009. |
138 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 PURE VALUE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $79.66 | $35.58 | $100.00 | $167.30 | $145.60 | $132.80 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | .26 | 1.95 | 2.45 | 1.85 | .95 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.37 | ) | 44.60 | (57.52 | ) | (30.50 | ) | 21.65 | 13.87 | |||||||||||||||
Total from investment operations | (3.40 | ) | 44.86 | (55.57 | ) | (28.05 | ) | 23.50 | 14.82 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.78 | ) | (1.05 | ) | (9.95 | ) | (1.05 | ) | — | ||||||||||||||
Distributions from realized gains | — | — | (7.80 | ) | (29.30 | ) | (.75 | ) | (2.02 | ) | ||||||||||||||
Total distributions | — | (.78 | ) | (8.85 | ) | (39.25 | ) | (1.80 | ) | (2.02 | ) | |||||||||||||
Net asset value, end of period | $76.26 | $79.66 | $35.58 | $100.00 | $167.30 | $145.60 | ||||||||||||||||||
Total Returnc | (4.27% | ) | 126.37% | (57.28% | ) | (19.98% | ) | 16.21% | 11.20% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,841 | $8,156 | $203 | $4,269 | $5,348 | $713 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.08% | ) | 0.39% | 2.16% | 1.67% | 1.17% | 0.70% | |||||||||||||||||
Total expenses | 1.53% | 1.52% | 1.53% | 1.52% | 1.50% | 1.47% | ||||||||||||||||||
Portfolio turnover rate | 230% | 673% | 1,448% | 289% | 389% | 1,054% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $74.81 | $33.66 | $96.00 | $163.40 | $143.35 | $131.90 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.27 | ) | (.02 | ) | 1.40 | .70 | .45 | .20 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.20 | ) | 41.95 | (54.89 | ) | (28.85 | ) | 21.40 | 13.27 | |||||||||||||||
Total from investment operations | (3.47 | ) | 41.93 | (53.49 | ) | (28.15 | ) | 21.85 | 13.47 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.78 | ) | (1.05 | ) | (9.95 | ) | (1.05 | ) | — | ||||||||||||||
Distributions from realized gains | — | — | (7.80 | ) | (29.30 | ) | (.75 | ) | (2.02 | ) | ||||||||||||||
Total distributions | — | (.78 | ) | (8.85 | ) | (39.25 | ) | (1.80 | ) | (2.02 | ) | |||||||||||||
Net asset value, end of period | $71.34 | $74.81 | $33.66 | $96.00 | $163.40 | $143.35 | ||||||||||||||||||
Total Returnc | (4.64% | ) | 124.86% | (57.55% | ) | (20.57% | ) | 15.31% | 10.25% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,778 | $4,876 | $1,129 | $1,838 | $21,075 | $4,344 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.76% | ) | (0.03% | ) | 2.44% | 0.48% | 0.29% | 0.14% | ||||||||||||||||
Total expenses | 2.28% | 2.27% | 2.29% | 2.29% | 2.27% | 2.26% | ||||||||||||||||||
Portfolio turnover rate | 230% | 673% | 1,448% | 289% | 389% | 1,054% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 139 |
S&P 500 PURE VALUE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $79.91 | $35.67 | $100.00 | $167.30 | $145.60 | $132.80 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | .32 | 1.40 | 1.80 | 1.75 | 1.15 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.33 | ) | 44.70 | (56.88 | ) | (29.85 | ) | 21.75 | 13.67 | |||||||||||||||
Total from investment operations | (3.42 | ) | 45.02 | (55.48 | ) | (28.05 | ) | 23.50 | 14.82 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.78 | ) | (1.05 | ) | (9.95 | ) | (1.05 | ) | — | ||||||||||||||
Distributions from realized gains | ��� | — | (7.80 | ) | (29.30 | ) | (.75 | ) | (2.02 | ) | ||||||||||||||
Total distributions | — | (.78 | ) | (8.85 | ) | (39.25 | ) | (1.80 | ) | (2.02 | ) | |||||||||||||
Net asset value, end of period | $76.49 | $79.91 | $ 35.67 | $100.00 | $167.30 | $145.60 | ||||||||||||||||||
Total Returnc | (4.28% | ) | 126.50% | (57.23% | ) | (19.98% | ) | 16.21% | 11.20% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $13,295 | $148,578 | $4,558 | $18,459 | $184,082 | $56,005 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.23% | ) | 0.47% | 2.36% | 1.11% | 1.12% | 0.82% | |||||||||||||||||
Total expenses | 1.54% | 1.54% | 1.53% | 1.53% | 1.51% | 1.49% | ||||||||||||||||||
Portfolio turnover rate | 230% | 673% | 1,448% | 289% | 389% | 1,054% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Reverse share split – Per share amounts for the period March 31, 2006 through April 19, 2009 have been restated to reflect a 1:5 reverse share split effective April 20, 2009. |
140 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
S&P MIDCAP 400 PURE GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for mid-cap growth securities. The Fund’s current benchmark is the S&P MidCap 400 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b8.gif)
“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) | ||||
NetFlix, Inc. | 4.3 | % | ||
Green Mountain Coffee Roasters, Inc. | 2.7 | % | ||
Bucyrus International, Inc. — Class A | 2.5 | % | ||
Jones Lang LaSalle, Inc. | 2.0 | % | ||
F5 Networks, Inc. | 1.9 | % | ||
NewMarket Corp. | 1.8 | % | ||
Cheesecake Factory, Inc. | 1.8 | % | ||
Guess?, Inc. | 1.7 | % | ||
Fossil, Inc. | 1.7 | % | ||
Community Health Systems, Inc. | 1.7 | % | ||
Top Ten Total | 22.1 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 141 |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P MIDCAP 400 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
CONSUMER DISCRETIONARY - 29.4% | ||||||||
NetFlix, Inc.* | 14,319 | $ | 2,321,969 | |||||
Cheesecake Factory, Inc.* | 37,000 | 979,390 | ||||||
Guess?, Inc. | 22,820 | 927,177 | ||||||
Fossil, Inc.* | 16,940 | 911,203 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 5,153 | 886,316 | ||||||
Aeropostale, Inc.* | 35,974 | 836,396 | ||||||
Life Time Fitness, Inc.* | 18,107 | 714,683 | ||||||
Panera Bread Co. — Class A* | 8,020 | 710,652 | ||||||
LKQ Corp.* | 33,735 | 701,688 | ||||||
Under Armour, Inc. — Class A* | 14,738 | 663,800 | ||||||
Tupperware Brands Corp. | 14,287 | 653,773 | ||||||
Bally Technologies, Inc.* | 17,711 | 618,999 | ||||||
Warnaco Group, Inc.* | 11,556 | 590,858 | ||||||
Dress Barn, Inc.* | 20,807 | 494,166 | ||||||
Williams-Sonoma, Inc. | 14,698 | 465,927 | ||||||
Sotheby’s | 12,334 | 454,138 | ||||||
J Crew Group, Inc.* | 12,620 | 424,284 | ||||||
Collective Brands, Inc.* | 21,084 | 340,296 | ||||||
Lamar Advertising Co. — Class A* | 10,655 | 339,042 | ||||||
Dollar Tree, Inc.* | 6,621 | 322,840 | ||||||
WMS Industries, Inc.* | 7,807 | 297,212 | ||||||
Gentex Corp. | 14,536 | 283,597 | ||||||
Chico’s FAS, Inc. | 26,916 | 283,156 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 8,248 | 263,194 | ||||||
ITT Educational Services, Inc.* | 2,569 | 180,524 | ||||||
Strayer Education, Inc. | 953 | 166,299 | ||||||
Total Consumer Discretionary | 15,831,579 | |||||||
INFORMATION TECHNOLOGY - 22.0% | ||||||||
F5 Networks, Inc.* | 9,776 | 1,014,847 | ||||||
Rackspace Hosting, Inc.* | 34,300 | 891,114 | ||||||
Solera Holdings, Inc. | 18,862 | 832,946 | ||||||
Equinix, Inc.* | 8,025 | 821,359 | ||||||
Advent Software, Inc.* | 12,985 | 677,687 | ||||||
Informatica Corp.* | 17,293 | 664,224 | ||||||
TIBCO Software, Inc.* | 35,335 | 626,843 | ||||||
CommScope, Inc.* | 25,605 | 607,863 | ||||||
Rovi Corp.* | 10,925 | 550,729 | ||||||
Factset Research Systems, Inc. | 6,430 | 521,666 | ||||||
ANSYS, Inc.* | 12,131 | 512,535 | ||||||
Polycom, Inc.* | 18,664 | 509,154 | ||||||
Skyworks Solutions, Inc.* | 22,550 | 466,334 | ||||||
Cree, Inc.* | 8,478 | 460,271 | ||||||
Itron, Inc.* | 6,979 | 427,324 | ||||||
Gartner, Inc.* | 11,246 | 331,082 | ||||||
ValueClick, Inc.* | 25,304 | 330,976 | ||||||
MICROS Systems, Inc.* | 7,115 | 301,178 | ||||||
Global Payments, Inc. | 6,584 | 282,388 | ||||||
Alliance Data Systems Corp.* | 3,797 | 247,792 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Semtech Corp.* | 12,102 | $ | 244,339 | |||||
NeuStar, Inc. — Class A* | 8,062 | 200,421 | ||||||
Broadridge Financial Solutions, Inc. | 8,365 | 191,308 | ||||||
Silicon Laboratories, Inc.* | 4,462 | 163,532 | ||||||
Total Information Technology | 11,877,912 | |||||||
HEALTH CARE - 11.7% | ||||||||
Community Health Systems, Inc.* | 29,076 | 900,484 | ||||||
WellCare Health Plans, Inc.* | 24,754 | 716,876 | ||||||
United Therapeutics Corp.* | 12,165 | 681,362 | ||||||
IDEXX Laboratories, Inc.* | 8,616 | 531,779 | ||||||
Mednax, Inc.* | 9,780 | 521,274 | ||||||
Lincare Holdings, Inc. | 18,139 | 455,107 | ||||||
Allscripts Healthcare Solutions, Inc.* | 24,370 | 450,114 | ||||||
Edwards Lifesciences Corp.* | 5,185 | 347,654 | ||||||
Medicis Pharmaceutical Corp. — Class A | 11,591 | 343,673 | ||||||
Masimo Corp. | 11,970 | 326,901 | ||||||
Mettler-Toledo International, Inc.* | 2,513 | 312,718 | ||||||
Kinetic Concepts, Inc.* | 8,402 | 307,345 | ||||||
ResMed, Inc.* | 7,132 | 234,001 | ||||||
Covance, Inc.* | 3,594 | 168,163 | ||||||
Total Health Care | 6,297,451 | |||||||
INDUSTRIALS - 11.3% | ||||||||
Bucyrus International, Inc. — Class A | 19,138 | 1,327,220 | ||||||
Joy Global, Inc. | 11,912 | 837,652 | ||||||
Baldor Electric Co. | 17,900 | 723,160 | ||||||
BE Aerospace, Inc.* | 22,481 | 681,399 | ||||||
Thomas & Betts Corp.* | 14,066 | 576,987 | ||||||
Gardner Denver, Inc. | 7,661 | 411,243 | ||||||
Kirby Corp.* | 8,374 | 335,462 | ||||||
AMETEK, Inc. | 5,967 | 285,044 | ||||||
Valmont Industries, Inc. | 3,901 | 282,432 | ||||||
Nordson Corp. | 3,119 | 229,839 | ||||||
FTI Consulting, Inc.* | 6,621 | 229,683 | ||||||
Oshkosh Corp.* | 5,421 | 149,078 | ||||||
Total Industrials | 6,069,199 | |||||||
ENERGY - 6.7% | ||||||||
Oceaneering International, Inc.* | 13,968 | 752,317 | ||||||
Atwood Oceanics, Inc.* | 23,903 | 727,846 | ||||||
Superior Energy Services, Inc.* | 26,218 | 699,758 | ||||||
Bill Barrett Corp.* | 18,646 | 671,256 | ||||||
Quicksilver Resources, Inc.* | 46,592 | 587,059 | ||||||
Plains Exploration & Production Co.* | 6,953 | 185,437 | ||||||
Total Energy | 3,623,673 | |||||||
FINANCIALS - 5.8% | ||||||||
Jones Lang LaSalle, Inc. | 12,724 | 1,097,699 | ||||||
SL Green Realty Corp. | 13,163 | 833,613 | ||||||
Waddell & Reed Financial, Inc. — Class A | 17,025 | 465,804 |
142 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P MIDCAP 400 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Affiliated Managers Group, Inc.* | 4,771 | $ | 372,186 | |||||
MSCI, Inc. — Class A* | 10,899 | 361,956 | ||||||
Total Financials | 3,131,258 | |||||||
MATERIALS - 5.8% | ||||||||
NewMarket Corp. | 8,681 | 986,856 | ||||||
Reliance Steel & Aluminum Co. | 19,201 | 797,418 | ||||||
Steel Dynamics, Inc. | 44,221 | 623,958 | ||||||
Lubrizol Corp. | 3,796 | 402,262 | ||||||
Greif, Inc. — Class A | 5,317 | 312,852 | ||||||
Total Materials | 3,123,346 | |||||||
CONSUMER STAPLES - 5.3% | ||||||||
Green Mountain Coffee Roasters, Inc.* | 46,064 | 1,436,736 | ||||||
NBTY, Inc.* | 15,137 | 832,232 | ||||||
Hansen Natural Corp.* | 12,030 | 560,839 | ||||||
Total Consumer Staples | 2,829,807 | |||||||
TELECOMMUNICATION SERVICES - 1.5% | ||||||||
tw telecom inc — Class-A* | 24,685 | 458,400 | ||||||
Syniverse Holdings, Inc.* | 16,624 | 376,866 | ||||||
Total Telecommunication Services | 835,266 | |||||||
Total Common Stocks | ||||||||
(Cost $42,173,805) | 53,619,491 | |||||||
WARRANT†† - 0.0% | ||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12 | 18 | 1 | ||||||
Total Warrant | ||||||||
(Cost $—) | 1 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 1.4% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 291,928 | $ | 291,928 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 291,603 | 291,603 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 120,497 | 120,497 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 30,786 | 30,786 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 30,124 | 30,124 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $764,938) | 764,938 | |||||||
Total Investments – 100.9% | ||||||||
(Cost $42,938,743) | $ | 54,384,430 | ||||||
Liabilities, Less Cash & | ||||||||
Other Assets – (0.9)% | $ | (481,361 | ) | |||||
Total Net Assets – 100.0% | $ | 53,903,069 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 143 |
3
S&P MIDCAP 400 PURE GROWTH FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 53,619,492 | ||
Repurchase agreement, at value | 764,938 | |||
Total investments | 54,384,430 | |||
Receivables: | ||||
Securities sold | 462,262 | |||
Fund shares sold | 813,702 | |||
Dividends | 16,562 | |||
Total assets | 55,676,956 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 1,594,330 | |||
Fund shares redeemed | 110,105 | |||
Management fees | 24,702 | |||
Custodian fees | 1,129 | |||
Transfer agent/maintenance fees | 8,234 | |||
Distribution and service fees | 10,463 | |||
Portfolio accounting fees | 3,294 | |||
Other | 21,630 | |||
Total liabilities | 1,773,887 | |||
Net assets | $ | 53,903,069 | ||
Net assets consist of: | ||||
Paid in capital | 63,371,008 | |||
Accumulated net investment loss | (287,626 | ) | ||
Accumulated net realized loss on sale of investments | (20,626,000 | ) | ||
Net unrealized appreciation in value of investments | 11,445,687 | |||
Net assets | 53,903,069 | |||
A-Class: | ||||
Net assets | $ | 3,591,887 | ||
Capital shares outstanding | 107,024 | |||
Net asset value per share | $33.56 | |||
Maximum offering price per share* | $35.23 | |||
C-Class: | ||||
Net assets | $ | 4,925,048 | ||
Capital shares outstanding | 154,456 | |||
Net asset value per share | $31.89 | |||
H-Class: | ||||
Net assets | $ | 45,386,134 | ||
Capital shares outstanding | 1,350,746 | |||
Net asset value per share | $33.60 | |||
Investments, at cost | $ | 42,173,805 | ||
Repurchase agreement, at cost | 764,938 | |||
Total cost | $ | 42,938,743 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 74,181 | ||
Interest | 350 | |||
Total investment income | 74,531 | |||
Expenses: | ||||
Management fees | 171,125 | |||
Transfer agent and administrative fees | 57,042 | |||
Distribution and Service Fees: | ||||
A-Class | 3,887 | |||
C-Class | 17,192 | |||
H-Class | 48,856 | |||
Portfolio accounting fees | 22,816 | |||
Trustees’ fees** | 2,087 | |||
Miscellaneous | 39,152 | |||
Total expenses | 362,157 | |||
Net investment loss | (287,626 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 782,687 | |||
Net realized gain | 782,687 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,081,961 | ) | ||
Net unrealized depreciation | (1,081,961 | ) | ||
Net loss | (299,274 | ) | ||
Net decrease in net assets resulting from operations | $ | (586,900 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
144 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
S&P MIDCAP 400 PURE GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (287,626 | ) | $ | (518,991 | ) | ||
Net realized gain during the period on investments | 782,687 | 4,143,406 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (1,081,961 | ) | 10,192,157 | |||||
Net increase (decrease) in net assets resulting from operations | (586,900 | ) | 13,816,572 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 10,887,912 | 9,118,126 | ||||||
C-Class | 4,268,661 | 12,063,875 | ||||||
H-Class | 176,484,351 | 359,244,845 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (9,274,095 | ) | (8,227,201 | ) | ||||
C-Class | (3,143,876 | ) | (13,253,534 | ) | ||||
H-Class | (195,203,686 | ) | (322,082,822 | ) | ||||
Net increase (decrease) from capital share transactions | (15,980,733 | ) | 36,863,289 | |||||
Net increase (decrease) in net assets | (16,567,633 | ) | 50,679,861 | |||||
Net assets: | ||||||||
Beginning of period | 70,470,702 | 19,790,841 | ||||||
End of period | $ | 53,903,069 | $ | 70,470,702 | ||||
Accumulated net investment loss at end of period | $ | (287,626 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 343,113 | 300,377 | ||||||
C-Class | 138,200 | 502,964 | ||||||
H-Class | 5,617,668 | 14,089,972 | ||||||
Shares redeemed | ||||||||
A-Class | (305,694 | ) | (270,498 | ) | ||||
C-Class | (106,817 | ) | (578,802 | ) | ||||
H-Class | (6,265,414 | ) | (12,947,561 | ) | ||||
Total capital share activity | (578,944 | ) | 1,096,452 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 145 |
2
S&P MIDCAP 400 PURE GROWTH FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $32.21 | $18.19 | $26.65 | $30.72 | $31.94 | $26.85 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.18 | ) | (.28 | ) | (.24 | ) | (.27 | ) | (.08 | ) | (.17 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.53 | 14.30 | (8.22 | ) | (1.42 | ) | .48 | 5.39 | ||||||||||||||||
Total from investment operations | 1.35 | 14.02 | (8.46 | ) | (1.69 | ) | .40 | 5.22 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Total distributions | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Net asset value, end of period | $33.56 | $32.21 | $18.19 | $26.65 | $30.72 | $31.94 | ||||||||||||||||||
Total Returnc | 4.19% | 77.08% | (31.74% | ) | (6.26% | ) | 1.36% | 19.47% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,592 | $2,242 | $723 | $3,863 | $2,777 | $1,530 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.20% | ) | (1.03% | ) | (0.93% | ) | (0.88% | ) | (0.25% | ) | (0.60% | ) | ||||||||||||
Total expenses | 1.53% | 1.53% | 1.58% | 1.52% | 1.51% | 1.48% | ||||||||||||||||||
Portfolio turnover rate | 326% | 626% | 1,281% | 736% | 537% | 681% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $30.71 | $17.48 | $25.79 | $30.01 | $31.47 | $26.66 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.29 | ) | (.44 | ) | (.42 | ) | (.50 | ) | (.42 | ) | (.42 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.47 | 13.67 | (7.89 | ) | (1.34 | ) | .58 | 5.36 | ||||||||||||||||
Total from investment operations | 1.18 | 13.23 | (8.31 | ) | (1.84 | ) | .16 | 4.94 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Total distributions | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Net asset value, end of period | $31.89 | $30.71 | $17.48 | $25.79 | $30.01 | $31.47 | ||||||||||||||||||
Total Returnc | 3.84% | 75.69% | (32.22% | ) | (6.92% | ) | 0.60% | 18.55% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $4,925 | $3,780 | $3,477 | $1,426 | $5,316 | $3,305 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.94% | ) | (1.77% | ) | (1.72% | ) | (1.69% | ) | (1.40% | ) | (1.43% | ) | ||||||||||||
Total expenses | 2.28% | 2.28% | 2.32% | 2.28% | 2.27% | 2.26% | ||||||||||||||||||
Portfolio turnover rate | 326% | 626% | 1,281% | 736% | 537% | 681% |
146 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
S&P MIDCAP 400 PURE GROWTH 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $32.25 | $18.21 | $26.68 | $30.75 | $31.95 | $26.86 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.19 | ) | (.26 | ) | (.22 | ) | (.28 | ) | (.24 | ) | (.19 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.54 | 14.30 | (8.25 | ) | (1.41 | ) | .66 | 5.41 | ||||||||||||||||
Total from investment operations | 1.35 | 14.04 | (8.47 | ) | (1.69 | ) | .42 | 5.22 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Total distributions | — | — | — | (2.38 | ) | (1.62 | ) | (.13 | ) | |||||||||||||||
Net asset value, end of period | $33.60 | $32.25 | $18.21 | $26.68 | $30.75 | $31.95 | ||||||||||||||||||
Total Returnc | 4.19% | 77.10% | (31.75% | ) | (6.25% | ) | �� | 1.42% | 19.46% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $45,386 | $64,449 | $15,591 | $14,158 | $7,715 | $48,888 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.21% | ) | (0.99% | ) | (0.95% | ) | (0.92% | ) | (0.80% | ) | (0.63% | ) | ||||||||||||
Total expenses | 1.53% | 1.54% | 1.55% | 1.51% | 1.52% | 1.50% | ||||||||||||||||||
Portfolio turnover rate | 326% | 626% | 1,281% | 736% | 537% | 681% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment loss was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 147 |
4
FUND PROFILE (Unaudited)
September 30, 2010
S&P MIDCAP 400 PURE VALUE FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for mid-cap value securities. The Fund’s current benchmark is the S&P MidCap 400 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664d3.gif)
“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) | ||||
Cathay General Bancorp | 3.3 | % | ||
Foot Locker, Inc. | 2.7 | % | ||
Terex Corp. | 2.7 | % | ||
Kindred Healthcare, Inc. | 2.6 | % | ||
Frontier Oil Corp. | 2.5 | % | ||
Health Net, Inc. | 2.4 | % | ||
Ashland, Inc. | 2.3 | % | ||
BJ’s Wholesale Club, Inc. | 2.2 | % | ||
Regis Corp. | 2.2 | % | ||
KBR, Inc. | 2.1 | % | ||
Top Ten Total | 25.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
148 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P MIDCAP 400 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.1% | ||||||||
INDUSTRIALS - 20.7% Terex Corp.* | 61,815 | $ | 1,416,800 | |||||
KBR, Inc. | 44,607 | 1,099,116 | ||||||
Trinity Industries, Inc. | 48,944 | 1,089,983 | ||||||
Manpower, Inc. | 17,806 | 929,473 | ||||||
AGCO Corp.* | 21,462 | 837,233 | ||||||
Timken Co. | 20,699 | 794,014 | ||||||
URS Corp.* | 18,836 | 715,391 | ||||||
Alaska Air Group, Inc.* | 12,074 | 616,136 | ||||||
Shaw Group, Inc.* | 16,964 | 569,312 | ||||||
JetBlue Airways Corp.* | 81,836 | 547,483 | ||||||
Con-way, Inc. | 15,861 | 491,532 | ||||||
Alexander & Baldwin, Inc. | 11,312 | 394,110 | ||||||
Aecom Technology Corp.* | 15,496 | 375,933 | ||||||
Brink’s Co. | 15,987 | 367,701 | ||||||
Granite Construction, Inc. | 15,865 | 360,770 | ||||||
GATX Corp. | 8,709 | 255,348 | ||||||
Total Industrials | 10,860,335 | |||||||
CONSUMER DISCRETIONARY - 14.6% | ||||||||
Foot Locker, Inc. | 98,230 | 1,427,282 | ||||||
Regis Corp. | 60,719 | 1,161,554 | ||||||
Saks, Inc.* | 117,533 | 1,010,784 | ||||||
Rent-A-Center, Inc. — Class A | 36,446 | 815,662 | ||||||
Barnes & Noble, Inc. | 42,096 | 682,376 | ||||||
Brinker International, Inc. | 25,980 | 489,983 | ||||||
Boyd Gaming Corp.* | 65,509 | 474,940 | ||||||
Coldwater Creek, Inc.* | 86,198 | 454,263 | ||||||
Scholastic Corp. | 14,770 | 410,901 | ||||||
Bob Evans Farms, Inc. | 14,500 | 407,015 | ||||||
Harte-Hanks, Inc. | 28,886 | 337,100 | ||||||
Total Consumer Discretionary | 7,671,860 | |||||||
FINANCIALS - 14.6% Cathay General Bancorp | 145,126 | 1,725,548 | ||||||
Associated Banc-Corp | 70,376 | 928,259 | ||||||
Astoria Financial Corp. | 46,668 | 636,085 | ||||||
Unitrin, Inc. | 24,557 | 598,945 | ||||||
Synovus Financial Corp. | 214,849 | 528,529 | ||||||
American Financial Group, Inc. | 16,581 | 507,047 | ||||||
Reinsurance Group of America, Inc. — Class A | 8,584 | 414,521 | ||||||
Old Republic International Corp. | 29,655 | 410,722 | ||||||
Hospitality Properties Trust | 17,720 | 395,688 | ||||||
Protective Life Corp. | 15,984 | 347,812 | ||||||
Hanover Insurance Group, Inc. | 6,737 | 316,639 | ||||||
StanCorp Financial Group, Inc. | 8,201 | 311,638 | ||||||
Wilmington Trust Corp. | 29,306 | 263,168 | ||||||
HCC Insurance Holdings, Inc. | 9,590 | 250,203 | ||||||
Total Financials | 7,634,804 | |||||||
INFORMATION TECHNOLOGY - 9.9% | ||||||||
Tech Data Corp.* | 24,536 | 988,801 | ||||||
Ingram Micro, Inc. — Class A* | 54,321 | 915,852 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Arrow Electronics, Inc.* | 29,148 | $ | 779,126 | |||||
NCR Corp.* | 55,113 | 751,190 | ||||||
CoreLogic, Inc. | 23,811 | 456,219 | ||||||
Avnet, Inc.* | 13,700 | 370,037 | ||||||
Diebold, Inc. | 10,815 | 336,239 | ||||||
SRA International, Inc. — Class- * | 15,081 | 297,397 | ||||||
Convergys Corp.* | 27,102 | 283,216 | ||||||
Total Information Technology | 5,178,077 | |||||||
UTILITIES - 9.6% Dynegy, Inc. — Class A* | 125,624 | 611,789 | ||||||
N.V. Energy, Inc. | 41,146 | 541,070 | ||||||
UGI Corp. | 18,188 | 520,359 | ||||||
Atmos Energy Corp. | 17,008 | 497,484 | ||||||
PNM Resources, Inc. | 42,939 | 489,075 | ||||||
Alliant Energy Corp. | 12,420 | 451,467 | ||||||
Hawaiian Electric Industries, Inc. | 19,308 | 435,202 | ||||||
Great Plains Energy, Inc. | 22,929 | 433,358 | ||||||
WGL Holdings, Inc. | 9,939 | 375,495 | ||||||
Black Hills Corp. | 11,484 | 358,301 | ||||||
Westar Energy, Inc. | 14,238 | 344,987 | ||||||
Total Utilities | 5,058,587 | |||||||
HEALTH CARE - 9.4% Kindred Healthcare, Inc.* | 103,319 | 1,345,213 | ||||||
Health Net, Inc.* | 46,240 | 1,257,266 | ||||||
Owens & Minor, Inc. | 30,762 | 875,487 | ||||||
Omnicare, Inc. | 33,023 | 788,589 | ||||||
LifePoint Hospitals, Inc.* | 18,588 | 651,695 | ||||||
Total Health Care | 4,918,250 | |||||||
CONSUMER STAPLES - 8.3% BJ’s Wholesale Club, Inc.* | 28,405 | 1,178,808 | ||||||
Smithfield Foods, Inc.* | 63,575 | 1,069,967 | ||||||
Ruddick Corp. | 22,678 | 786,473 | ||||||
Corn Products International, Inc. | 14,705 | 551,437 | ||||||
Universal Corp. | 11,563 | 463,561 | ||||||
Ralcorp Holdings, Inc.* | 5,107 | 298,657 | ||||||
Total Consumer Staples | 4,348,903 | |||||||
ENERGY - 5.6% Frontier Oil Corp. | 98,770 | 1,323,518 | ||||||
Overseas Shipholding Group, Inc. | 22,297 | 765,233 | ||||||
Patriot Coal Corp.* | 43,577 | 497,213 | ||||||
Patterson-UTI Energy, Inc. | 21,045 | 359,449 | ||||||
Total Energy | 2,945,413 | |||||||
MATERIALS - 5.5% Ashland, Inc. | 25,029 | 1,220,664 | ||||||
Commercial Metals Co. | 47,341 | 685,971 | ||||||
Cytec Industries, Inc. | 9,154 | 516,103 | ||||||
Worthington Industries, Inc. | 32,478 | 488,144 | ||||||
Total Materials | 2,910,882 | |||||||
TELECOMMUNICATION SERVICES - 0.9% | ||||||||
Telephone & Data Systems, Inc. | 13,660 | 448,048 | ||||||
Total Common Stocks (Cost $44,537,311) | 51,975,159 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 149 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P MIDCAP 400 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
WARRANT†† - 0.0% | ||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12 | 176 | $ | 9 | |||||
Total Warrant (Cost $—) | 9 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.7% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $141,454 | 141,454 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 141,296 | 141,296 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 58,387 | 58,387 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 14,917 | 14,917 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 14,597 | 14,597 | ||||||
Total Repurchase Agreements (Cost $370,651) | 370,651 | |||||||
Total Investments – 99.8% (Cost $44,907,962) | $ | 52,345,819 | ||||||
Cash & Other Assets, Less Liabilities – 0.2% | 118,806 | |||||||
Total Net Assets – 100.0% | $ | 52,464,625 |
* | Non-Income Producing Security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
150 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P MIDCAP 400 PURE VALUE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 51,975,168 | ||
Repurchase agreement, at value | 370,651 | |||
Total investments | 52,345,819 | |||
Receivables: | ||||
Fund shares sold | 199,028 | |||
Dividends | 23,209 | |||
Total assets | 52,568,056 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 14,993 | |||
Management fees | 25,804 | |||
Custodian fees | 1,139 | |||
Transfer agent/maintenance fees | 8,601 | |||
Distribution and service fees | 9,527 | |||
Portfolio accounting fees | 3,440 | |||
Other | 39,927 | |||
Total liabilities | 103,431 | |||
Net assets | $ | 52,464,625 | ||
Net assets consist of: | ||||
Paid in capital | 52,028,516 | |||
Undistributed net investment income | 123,227 | |||
Accumulated net realized loss on sale of investments | (7,124,975 | ) | ||
Net unrealized appreciation in value of investments | 7,437,857 | |||
Net assets | 52,464,625 | |||
A-Class: | ||||
Net assets | $ | 781,782 | ||
Capital shares outstanding | 27,445 | |||
Net asset value per share | $28.49 | |||
Maximum offering price per share* | $29.91 | |||
C-Class: | ||||
Net assets | $ | 1,535,229 | ||
Capital shares outstanding | 56,852 | |||
Net asset value per share | $27.00 | |||
H-Class: | ||||
Net assets | $ | 50,147,614 | ||
Capital shares outstanding | 1,761,022 | |||
Net asset value per share | $28.48 | |||
Investments, at cost | $ | 44,537,311 | ||
Repurchase agreement, at cost | 370,651 | |||
Total cost | $ | 44,907,962 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 643,692 | ||
Interest | 570 | |||
Total investment income | 644,262 | |||
Expenses: | ||||
Management fees | 365,179 | |||
Transfer agent and administrative fees | 121,727 | |||
Distribution and Service Fees: | ||||
A-Class | 11,316 | |||
C-Class | 8,466 | |||
H-Class | 108,294 | |||
Portfolio accounting fees | 48,682 | |||
Trustees’ fees** | 6,718 | |||
Miscellaneous | 82,602 | |||
Total expenses | 752,984 | |||
Net investment loss | (108,722 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (5,908,112 | ) | ||
Net realized loss | (5,908,112 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (14,581,512 | ) | ||
Net unrealized depreciation | (14,581,512 | ) | ||
Net loss | (20,489,624 | ) | ||
Net decrease in net assets resulting from operations | $ | (20,598,346 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 151 |
S&P MIDCAP 400 PURE VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (108,722 | ) | $ | 231,950 | |||
Net realized gain (loss) during the period on investments | (5,908,112 | ) | 9,616,321 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (14,581,512 | ) | 21,691,091 | |||||
Net increase (decrease) in net assets resulting from operations | (20,598,346 | ) | 31,539,362 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (2,076 | ) | |||||
C-Class | — | (6,922 | ) | |||||
H-Class | — | (134,553 | ) | |||||
Total distributions to shareholders | — | (143,551 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 47,244,259 | 16,949,502 | ||||||
C-Class | 948,236 | 15,195,168 | ||||||
H-Class | 140,018,288 | 529,643,072 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 2,017 | ||||||
C-Class | — | 6,784 | ||||||
H-Class | — | 133,192 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (53,758,958 | ) | (7,103,408 | ) | ||||
C-Class | (1,773,839 | ) | (14,178,507 | ) | ||||
H-Class | (272,438,990 | ) | (363,931,663 | ) | ||||
Net increase (decrease) from capital share transactions | (139,761,004 | ) | 176,716,157 | |||||
Net increase (decrease) in net assets | (160,359,350 | ) | 208,111,968 | |||||
Net assets: | ||||||||
Beginning of period | 212,823,975 | 4,712,007 | ||||||
End of period | $ | 52,464,625 | $ | 212,823,975 | ||||
Undistributed net investment income at end of period | $ | 123,227 | $ | 231,949 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,698,572 | 593,908 | ||||||
C-Class | 34,624 | 623,530 | ||||||
H-Class | 4,779,674 | 20,524,706 | ||||||
Shares reinvested | ||||||||
A-Class | — | 75 | ||||||
C-Class | — | 266 | ||||||
H-Class | — | 4,985 | ||||||
Shares redeemed | ||||||||
A-Class | (2,028,701 | ) | (243,737 | ) | ||||
C-Class | (63,334 | ) | (585,996 | ) | ||||
H-Class | (9,573,321 | ) | (14,266,469 | ) | ||||
Total capital share activity | (5,152,486 | ) | 6,651,268 | |||||
152 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P MIDCAP 400 PURE VALUE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $30.45 | $13.68 | $29.72 | $36.58 | $31.83 | $27.49 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .01 | .12 | .47 | .44 | .34 | .06 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.97 | ) | 16.75 | (16.51 | ) | (6.37 | ) | 4.57 | 4.47 | |||||||||||||||
Total from investment operations | (1.96 | ) | 16.87 | (16.04 | ) | (5.93 | ) | 4.91 | 4.53 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | — | (.93 | ) | — | (— | )d | |||||||||||||||
Distributions from realized gains | — | — | — | — | (.16 | ) | (.19 | ) | ||||||||||||||||
Total distributions | — | (.10 | ) | — | (.93 | ) | (.16 | ) | (.19 | ) | ||||||||||||||
Net asset value, end of period | $28.49 | $30.45 | $13.68 | $29.72 | $36.58 | $31.83 | ||||||||||||||||||
Total Returnc | (6.44% | ) | 123.41% | (53.97% | ) | (16.45% | ) | 15.45% | 16.51% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $782 | $10,888 | $100 | $2,797 | $4,744 | $1,480 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.10% | 0.43% | 1.66% | 1.25% | 1.00% | 0.21% | ||||||||||||||||||
Total expenses | 1.52% | 1.52% | 1.54% | 1.53% | 1.53% | 1.48% | ||||||||||||||||||
Portfolio turnover rate | 143% | 443% | 977% | 297% | 625% | 558% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $28.96 | $13.12 | $28.78 | $35.75 | $31.34 | $27.29 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.06 | ) | .39 | .30 | .11 | (.10 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.84 | ) | 16.00 | (16.05 | ) | (6.34 | ) | 4.46 | 4.34 | |||||||||||||||
Total from investment operations | (1.96 | ) | 15.94 | (15.66 | ) | (6.04 | ) | 4.57 | 4.24 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | — | (.93 | ) | — | (— | )d | |||||||||||||||
Distributions from realized gains | — | — | — | — | (.16 | ) | (.19 | ) | ||||||||||||||||
Total distributions | — | (.10 | ) | — | (.93 | ) | (.16 | ) | (.19 | ) | ||||||||||||||
Net asset value, end of period | $27.00 | $28.96 | $13.12 | $28.78 | $35.75 | $31.34 | ||||||||||||||||||
Total Returnc | (6.77% | ) | 121.59% | (54.41% | ) | (17.15% | ) | 14.61% | 15.57% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,535 | $2,478 | $627 | $1,082 | $8,326 | $7,270 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.87% | ) | (0.24% | ) | 1.58% | 0.88% | 0.33% | (0.35% | ) | |||||||||||||||
Total expenses | 2.28% | 2.29% | 2.29% | 2.28% | 2.28% | 2.25% | ||||||||||||||||||
Portfolio turnover rate | 143% | 443% | 977% | 297% | 625% | 558% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 153 |
S&P MIDCAP 400 PURE VALUE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $30.43 | $13.67 | $29.71 | $36.58 | $31.82 | $27.49 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | .10 | .47 | .35 | .46 | .07 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.91 | ) | 16.76 | (16.51 | ) | (6.29 | ) | 4.46 | 4.45 | |||||||||||||||
Total from investment operations | (1.95 | ) | 16.86 | (16.04 | ) | (5.94 | ) | 4.92 | 4.52 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | — | (.93 | ) | — | (— | )d | |||||||||||||||
Distributions from realized gains | — | — | — | — | (.16 | ) | (.19 | ) | ||||||||||||||||
Total distributions | — | (.10 | ) | — | (.93 | ) | (.16 | ) | (.19 | ) | ||||||||||||||
Net asset value, end of period | $28.48 | $30.43 | $13.67 | $29.71 | $36.58 | $31.82 | ||||||||||||||||||
Total Returnc | (6.41% | ) | 123.43% | (53.99% | ) | (16.48% | ) | 15.49% | 16.47% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $50,148 | $199,458 | $3,985 | $6,512 | $76,513 | $31,340 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.24% | ) | 0.37% | 2.01% | 0.96% | 1.39% | 0.25% | |||||||||||||||||
Total expenses | 1.53% | 1.53% | 1.54% | 1.54% | 1.52% | 1.48% | ||||||||||||||||||
Portfolio turnover rate | 143% | 443% | 977% | 297% | 625% | 558% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return, and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Less than $.01 per share. |
154 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
S&P SMALLCAP 600 PURE GROWTH FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap growth securities. The Fund’s current benchmark is the S&P SmallCap 600 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664b9.gif)
“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) | ||||
Sourcefire, Inc. | 1.7 | % | ||
Dolan Co. | 1.5 | % | ||
CROCS, Inc. | 1.5 | % | ||
TriQuint Semiconductor, Inc. | 1.4 | % | ||
Ebix, Inc. | 1.4 | % | ||
Andersons, Inc. | 1.3 | % | ||
Wright Express Corp. | 1.3 | % | ||
comScore, Inc. | 1.2 | % | ||
Medifast, Inc. | 1.2 | % | ||
Netscout Systems, Inc. | 1.2 | % | ||
Top Ten Total | 13.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 155 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P SMALLCAP 600 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.6% | ||||||||
INFORMATION TECHNOLOGY - 32.7% | ||||||||
Sourcefire, Inc.* | 7,030 | $ | 202,745 | |||||
TriQuint Semiconductor, Inc.* | 17,619 | 169,142 | ||||||
Ebix, Inc.* | 6,985 | 163,798 | ||||||
Wright Express Corp.* | 4,225 | 150,875 | ||||||
comScore, Inc.* | 6,391 | 150,316 | ||||||
Netscout Systems, Inc.* | 7,126 | 146,154 | ||||||
Volterra Semiconductor Corp.* | 6,230 | 134,070 | ||||||
Radiant Systems, Inc.* | 7,831 | 133,910 | ||||||
Perficient, Inc.* | 14,592 | 133,371 | ||||||
MicroStrategy, Inc. — Class A* | 1,478 | 128,010 | ||||||
Blue Coat Systems, Inc.* | 5,159 | 124,126 | ||||||
CommVault Systems, Inc.* | 4,206 | 109,482 | ||||||
Interactive Intelligence, Inc.* | 5,855 | 103,048 | ||||||
Diodes, Inc.* | 5,910 | 101,002 | ||||||
Novatel Wireless, Inc.* | 12,661 | 99,769 | ||||||
Compellent Technologies, Inc.* | 5,114 | 92,973 | ||||||
Hittite Microwave Corp.* | 1,900 | 90,535 | ||||||
Blackbaud, Inc. | 3,654 | 87,842 | ||||||
Smith Micro Software, Inc.* | 8,611 | 85,593 | ||||||
TTM Technologies, Inc.* | 8,597 | 84,165 | ||||||
Sigma Designs, Inc.* | 7,201 | 82,739 | ||||||
Monolithic Power Systems, Inc.* | 4,993 | 81,536 | ||||||
Synaptics, Inc.* | 2,790 | 78,511 | ||||||
Concur Technologies, Inc.* | 1,553 | 76,780 | ||||||
Taleo Corp. — Class A* | 2,626 | 76,128 | ||||||
Tessera Technologies, Inc.* | 3,789 | 70,097 | ||||||
Manhattan Associates, Inc.* | 2,318 | 68,033 | ||||||
Stratasys, Inc.* | 2,287 | 63,396 | ||||||
JDA Software Group, Inc.* | 2,445 | 62,005 | ||||||
Tyler Technologies, Inc.* | 3,007 | 60,621 | ||||||
Netgear, Inc.* | 2,222 | 60,016 | ||||||
Epicor Software Corp.* | 6,813 | 59,273 | ||||||
TeleTech Holdings, Inc.* | 3,785 | 56,169 | ||||||
Mercury Computer Systems, Inc.* | 4,502 | 54,159 | ||||||
CSG Systems International, Inc.* | 2,934 | 53,487 | ||||||
Veeco Instruments, Inc.* | 1,525 | 53,177 | ||||||
j2 Global Communications, Inc.* | 2,217 | 52,742 | ||||||
DealerTrack Holdings, Inc.* | 2,852 | 48,712 | ||||||
Websense, Inc.* | 2,402 | 42,611 | ||||||
Kopin Corp.* | 11,860 | 42,103 | ||||||
Stamps.com, Inc.* | 2,898 | 37,674 | ||||||
MAXIMUS, Inc. | 589 | 36,271 | ||||||
Pericom Semiconductor Corp.* | 4,073 | 35,394 | ||||||
Cymer, Inc.* | 868 | 32,185 | ||||||
FARO Technologies, Inc.* | 1,349 | 29,422 | ||||||
Knot, Inc.* | 2,450 | 22,369 | ||||||
Total Information Technology | 3,926,536 | |||||||
CONSUMER DISCRETIONARY - 23.8% | ||||||||
CROCS, Inc.* | 13,679 | 177,964 | ||||||
Deckers Outdoor Corp.* | 2,747 | 137,240 | ||||||
Lumber Liquidators Holdings, Inc.* | 5,403 | 132,752 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Iconix Brand Group, Inc.* | 7,136 | $ | 124,880 | |||||
BJ’s Restaurants, Inc.* | 4,339 | 122,186 | ||||||
Texas Roadhouse, Inc. — Class A* | 8,276 | 116,361 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,261 | 114,768 | ||||||
Coinstar, Inc.* | 2,656 | 114,181 | ||||||
Jos A. Bank Clothiers, Inc.* | 2,656 | 113,172 | ||||||
Buffalo Wild Wings, Inc.* | 2,291 | 109,716 | ||||||
True Religion Apparel, Inc.* | 5,001 | 106,721 | ||||||
HSN, Inc.* | 3,178 | 95,022 | ||||||
National Presto Industries, Inc. | 875 | 93,161 | ||||||
Zumiez, Inc.* | 4,360 | 92,258 | ||||||
Sturm Ruger & Company, Inc. | 6,731 | 91,811 | ||||||
PF Chang’s China Bistro, Inc. | 1,863 | 86,071 | ||||||
Volcom, Inc.* | 4,408 | 84,281 | ||||||
Blue Nile, Inc.* | 1,837 | 81,728 | ||||||
CEC Entertainment, Inc.* | 2,295 | 78,787 | ||||||
California Pizza Kitchen, Inc.* | 4,393 | 74,945 | ||||||
Steven Madden Ltd.* | 1,810 | 74,319 | ||||||
Gymboree Corp.* | 1,662 | 69,039 | ||||||
NutriSystem, Inc. | 3,541 | 68,129 | ||||||
Peet’s Coffee & Tea, Inc.* | 1,572 | 53,810 | ||||||
Monro Muffler Brake, Inc. | 1,114 | 51,367 | ||||||
Polaris Industries, Inc. | 784 | 51,038 | ||||||
Big 5 Sporting Goods Corp. | 3,763 | 50,499 | ||||||
Kirkland’s, Inc.* | 3,590 | 49,757 | ||||||
Buckle, Inc. | 1,738 | 46,127 | ||||||
Hibbett Sports, Inc.* | 1,691 | 42,190 | ||||||
Capella Education Co.* | 536 | 41,604 | ||||||
Interval Leisure Group, Inc.* | 3,070 | 41,353 | ||||||
Arbitron, Inc. | 1,303 | 36,445 | ||||||
Universal Electronics, Inc.* | 1,540 | 32,109 | ||||||
Total Consumer Discretionary | 2,855,791 | |||||||
HEALTH CARE - 15.6% | ||||||||
Quality Systems, Inc. | 1,787 | 118,496 | ||||||
HMS Holdings Corp.* | 1,855 | 109,334 | ||||||
American Medical Systems Holdings, Inc.* | 5,269 | 103,167 | ||||||
Regeneron Pharmaceuticals, Inc.* | 3,696 | 101,270 | ||||||
Hi-Tech Pharmacal Company, Inc.* | 4,796 | 97,071 | ||||||
Salix Pharmaceuticals Ltd.* | 2,415 | 95,924 | ||||||
Align Technology, Inc.* | 4,834 | 94,650 | ||||||
Cooper Companies, Inc. | 2,037 | 94,150 | ||||||
IPC The Hospitalist Company, Inc.* | 3,229 | 88,216 | ||||||
Catalyst Health Solutions, Inc.* | 2,477 | 87,215 | ||||||
Air Methods Corp.* | 2,030 | 84,407 | ||||||
Healthways, Inc.* | 5,886 | 68,513 | ||||||
Integra LifeSciences Holdings Corp.* | 1,699 | 67,043 | ||||||
Cubist Pharmaceuticals, Inc.* | 2,770 | 64,790 | ||||||
Natus Medical, Inc.* | 4,445 | 64,764 | ||||||
Par Pharmaceutical Companies, Inc.* | 2,074 | 60,312 | ||||||
RehabCare Group, Inc.* | 2,837 | 57,364 | ||||||
Bio-Reference Labs, Inc.* | 2,400 | 50,064 |
156 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P SMALLCAP 600 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Neogen Corp.* | 1,379 | $ | 46,679 | |||||
Abaxis, Inc.* | 1,936 | 44,722 | ||||||
Cantel Medical Corp. | 2,561 | 41,488 | ||||||
Dionex Corp.* | 475 | 41,059 | ||||||
LHC Group, Inc.* | 1,531 | 35,504 | ||||||
Zoll Medical Corp.* | 1,062 | 34,271 | ||||||
Amedisys, Inc.* | 1,431 | 34,058 | ||||||
Enzo Biochem, Inc.* | 8,387 | 31,871 | ||||||
Genoptix, Inc.* | 1,987 | 28,215 | ||||||
Almost Family, Inc.* | 862 | 25,541 | ||||||
Total Health Care | 1,870,158 | |||||||
FINANCIALS - 7.3% | ||||||||
World Acceptance Corp.* | 2,384 | 105,277 | ||||||
Portfolio Recovery Associates, Inc.* | 1,318 | 85,209 | ||||||
DiamondRock Hospitality Co.* | 8,655 | 82,136 | ||||||
Medical Properties Trust, Inc. | 6,822 | 69,175 | ||||||
optionsXpress Holdings, Inc.* | 4,497 | 69,074 | ||||||
First Cash Financial Services, Inc.* | 2,307 | 64,019 | ||||||
eHealth, Inc.* | 4,881 | 63,063 | ||||||
Signature Bank * | 1,603 | 62,261 | ||||||
Stifel Financial Corp.* | 1,322 | 61,195 | ||||||
Tower Group, Inc. | 2,326 | 54,312 | ||||||
Cash America International, Inc. | 1,488 | 52,080 | ||||||
Forestar Group, Inc.* | 2,761 | 47,075 | ||||||
Acadia Realty Trust | 2,170 | 41,230 | ||||||
TradeStation Group, Inc.* | 4,055 | 26,682 | ||||||
Total Financials | 882,788 | |||||||
CONSUMER STAPLES - 6.6% | ||||||||
Andersons, Inc. | 4,274 | 161,985 | ||||||
Medifast, Inc.* | 5,514 | 149,595 | ||||||
TreeHouse Foods, Inc.* | 2,416 | 111,377 | ||||||
Darling International, Inc.* | 12,258 | 104,438 | ||||||
Boston Beer Company, Inc. — Class A* | 1,176 | 78,639 | ||||||
Cal-Maine Foods, Inc. | 2,304 | 66,770 | ||||||
Calavo Growers, Inc. | 2,931 | 63,544 | ||||||
Sanderson Farms, Inc. | 1,330 | 57,576 | ||||||
Total Consumer Staples | 793,924 | |||||||
ENERGY - 5.1% | ||||||||
Oil States International, Inc.* | 2,630 | 122,427 | ||||||
Dril-Quip, Inc.* | 1,802 | 111,922 | ||||||
Tetra Technologies, Inc.* | 9,937 | 101,358 | ||||||
Hornbeck Offshore Services, Inc.* | 3,970 | 77,375 | ||||||
Gulf Island Fabrication, Inc. | 3,829 | 69,688 | ||||||
SM Energy Co. | 1,453 | 54,429 | ||||||
CARBO Ceramics, Inc. | 503 | 40,743 | ||||||
Lufkin Industries, Inc. | 928 | 40,739 | ||||||
Total Energy | 618,681 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
INDUSTRIALS - 5.0% | ||||||||
Dolan Co.* | 16,006 | $ | 181,988 | |||||
Orion Marine Group, Inc.* | 8,720 | 108,215 | ||||||
AZZ, Inc. | 2,497 | 106,972 | ||||||
Allegiant Travel Co. — Class A | 1,197 | 50,657 | ||||||
GenCorp, Inc.* | 9,731 | 47,877 | ||||||
AAON, Inc. | 1,488 | 34,998 | ||||||
Heidrick & Struggles International, Inc. | 1,653 | 32,200 | ||||||
SYKES Enterprises, Inc.* | 1,738 | 23,602 | ||||||
Tetra Tech, Inc.* | 963 | 20,194 | ||||||
Total Industrials | 606,703 | |||||||
MATERIALS - 2.7% | ||||||||
Kaiser Aluminum Corp. | 3,010 | 128,798 | ||||||
Balchem Corp. | 3,199 | 98,721 | ||||||
Schweitzer-Mauduit International, Inc. | 982 | 57,261 | ||||||
AMCOL International Corp. | 1,439 | 37,687 | ||||||
Total Materials | 322,467 | |||||||
TELECOMMUNICATION SERVICES - 0.8% | ||||||||
NTELOS Holdings Corp. | 3,044 | 51,504 | ||||||
Cbeyond, Inc.* | 3,270 | 41,954 | ||||||
Total Telecommunication Services | 93,458 | |||||||
Total Common Stocks | ||||||||
(Cost $8,636,210) | 11,970,506 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 1.2% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 55,388 | 55,388 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 55,327 | 55,327 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 22,862 | 22,862 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 5,841 | 5,841 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 5,716 | 5,716 | ||||||
Total Repurchase Agreements (Cost $145,134) | 145,134 | |||||||
Total Investments – 100.8% (Cost $8,781,344) | $ | 12,115,640 | ||||||
Liabilities, Less Cash & Other Assets – (0.8)% | (91,600 | ) | ||||||
Total Net Assets – 100.0% | $ | 12,024,040 |
* | Non-Income Producing Security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 157 |
S&P SMALLCAP 600 PURE GROWTH FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 11,970,506 | ||
Repurchase agreement, at value | 145,134 | |||
Total investments | 12,115,640 | |||
Receivables: | ||||
Fund shares sold | 74,536 | |||
Dividends | 4,381 | |||
Total assets | 12,194,557 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 149,747 | |||
Fund shares redeemed | 33 | |||
Management fees | 6,901 | |||
Custodian fees | 309 | |||
Transfer agent/maintenance fees | 2,300 | |||
Distribution and service fees | 2,735 | |||
Portfolio accounting fees | 920 | |||
Other | 7,572 | |||
Total liabilities | 170,517 | |||
Net assets | $ | 12,024,040 | ||
Net assets consist of: | ||||
Paid in capital | 19,940,035 | |||
Accumulated net investment loss | (106,268 | ) | ||
Accumulated net realized loss on sale of investments | (11,144,023 | ) | ||
Net unrealized appreciation in value of investments | 3,334,296 | |||
Net assets | 12,024,040 | |||
A-Class: | ||||
Net assets | $ | 742,671 | ||
Capital shares outstanding | 25,777 | |||
Net asset value per share | $28.81 | |||
Maximum offering price per share* | $30.25 | |||
C-Class: | ||||
Net assets | $ | 938,244 | ||
Capital shares outstanding | 34,143 | |||
Net asset value per share | $27.48 | |||
H-Class: | ||||
Net assets | $ | 10,343,125 | ||
Capital shares outstanding | 358,709 | |||
Net asset value per share | $28.83 | |||
Investments, at cost | $ | 8,636,210 | ||
Repurchase agreement, at cost | 145,134 | |||
Total cost | $ | 8,781,344 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 29,028 | ||
Interest | 126 | |||
Total investment income | 29,154 | |||
Expenses: | ||||
Management fees | 64,450 | |||
Transfer agent and administrative fees | 21,483 | |||
Distribution and Service Fees: | ||||
A-Class | 2,548 | |||
C-Class | 5,302 | |||
H-Class | 17,610 | |||
Portfolio accounting fees | 8,593 | |||
Trustees’ fees** | 675 | |||
Miscellaneous | 14,761 | |||
Total expenses | 135,422 | |||
Net investment loss | (106,268 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (3,029,029 | ) | ||
Net realized loss | (3,029,029 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 121,577 | |||
Net unrealized appreciation | 121,577 | |||
Net loss | (2,907,452 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,013,720 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
158 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P SMALLCAP 600 PURE GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (106,268 | ) | $ | (199,998 | ) | ||
Net realized gain (loss) during the period on investments | (3,029,029 | ) | 153,042 | |||||
Net unrealized appreciation during the period on investments | 121,577 | 3,107,538 | ||||||
Net increase (decrease) in net assets resulting from operations | (3,013,720 | ) | 3,060,582 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 16,699,961 | 3,568,200 | ||||||
C-Class | 1,249,010 | 8,283,398 | ||||||
H-Class | 127,894,762 | 253,545,313 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (16,531,276 | ) | (3,442,305 | ) | ||||
C-Class | (1,915,276 | ) | (7,191,912 | ) | ||||
H-Class | (124,839,081 | ) | (255,624,703 | ) | ||||
Net increase (decrease) from capital share transactions | 2,558,100 | (862,009 | ) | |||||
Net increase (decrease) in net assets | (455,620 | ) | 2,198,573 | |||||
Net assets: | ||||||||
Beginning of period | 12,479,660 | 10,281,087 | ||||||
End of period | $ | 12,024,040 | $ | 12,479,660 | ||||
Accumulated net investment loss at end of period | $ | (106,268 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 598,617 | 155,596 | ||||||
C-Class | 44,580 | 363,530 | ||||||
H-Class | 4,571,736 | 10,382,727 | ||||||
Shares redeemed | ||||||||
A-Class | (599,166 | ) | (136,174 | ) | ||||
C-Class | (71,261 | ) | (325,346 | ) | ||||
H-Class | (4,566,680 | ) | (10,607,235 | ) | ||||
Total capital share activity | (22,174 | ) | (166,902 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 159 |
S&P SMALLCAP 600 PURE GROWTH FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $28.49 | $16.93 | $27.43 | $32.61 | $32.25 | $27.96 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.16 | ) | (.28 | ) | (.19 | ) | (.13 | ) | (.29 | ) | (.18 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .48 | 11.84 | (10.31 | ) | (3.72 | ) | .65 | 5.27 | ||||||||||||||||
Total from investment operations | .32 | 11.56 | (10.50 | ) | (3.85 | ) | .36 | 5.09 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Total distributions | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Net asset value, end of period | $28.81 | $28.49 | $16.93 | $27.43 | $32.61 | $32.25 | ||||||||||||||||||
Total Returnc | 1.12% | 68.28% | (38.28% | ) | (12.27% | ) | 1.12% | 18.41% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $743 | $750 | $117 | $1,938 | $1,408 | $943 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.22% | ) | (1.15% | ) | (0.73% | ) | (0.40% | ) | (0.93% | ) | (0.61% | ) | ||||||||||||
Total expenses | 1.52% | 1.54% | 1.54% | 1.52% | 1.56% | 1.47% | ||||||||||||||||||
Portfolio turnover rate | 663% | 1,476% | 1,066% | 834% | 623% | 1,003% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.25 | $16.32 | $26.65 | $31.94 | $31.82 | $27.78 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.26 | ) | (.42 | ) | (.32 | ) | (.51 | ) | (.58 | ) | (.47 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .49 | 11.35 | (10.01 | ) | (3.45 | ) | .70 | 5.31 | ||||||||||||||||
Total from investment operations | .23 | 10.93 | (10.33 | ) | (3.96 | ) | .12 | 4.84 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Total distributions | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Net asset value, end of period | $27.48 | $27.25 | $16.32 | $26.65 | $31.94 | $31.82 | ||||||||||||||||||
Total Returnc | 0.84% | 66.97% | (38.76% | ) | (12.88% | ) | 0.38% | 17.63% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $938 | $1,658 | $369 | $1,980 | $7,570 | $5,972 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.91% | ) | (1.82% | ) | (1.28% | ) | (1.57% | ) | (1.83% | ) | (1.57% | ) | ||||||||||||
Total expenses | 2.28% | 2.28% | 2.29% | 2.29% | 2.32% | 2.27% | ||||||||||||||||||
Portfolio turnover rate | 663% | 1,476% | 1,066% | 834% | 623% | 1,003% |
160 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
S&P SMALLCAP 600 PURE GROWTH 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $28.48 | $16.94 | $27.45 | $32.62 | $32.27 | $27.97 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.17 | ) | (.25 | ) | (.13 | ) | (.26 | ) | (.33 | ) | (.22 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .52 | 11.79 | (10.38 | ) | (3.58 | ) | .68 | 5.32 | ||||||||||||||||
Total from investment operations | .35 | 11.54 | (10.51 | ) | (3.84 | ) | .35 | 5.10 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Total distributions | — | — | — | (1.33 | ) | — | (.80 | ) | ||||||||||||||||
Net asset value, end of period | $28.83 | $28.48 | $16.94 | $27.45 | $32.62 | $32.27 | ||||||||||||||||||
Total Returnc | 1.23% | 68.12% | (38.29% | ) | (12.23% | ) | 1.08% | 18.44% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $10,343 | $10,072 | $9,795 | $6,259 | $18,171 | $73,489 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.19% | ) | (1.05% | ) | (0.55% | ) | (0.79% | ) | (1.05% | ) | (0.73% | ) | ||||||||||||
Total expenses | 1.53% | 1.53% | 1.56% | 1.53% | 1.53% | 1.50% | ||||||||||||||||||
Portfolio turnover rate | 663% | 1,476% | 1,066% | 834% | 623% | 1,003% |
| |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment loss was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 161 |
FUND PROFILE (Unaudited)
September 30, 2010
S&P SMALLCAP 600 PURE VALUE FUND
OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap value securities. The Fund’s current benchmark is the S&P SmallCap 600 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c1.gif)
“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) | ||||
Quiksilver, Inc. | 3.5 | % | ||
Tuesday Morning Corp. | 2.7 | % | ||
Osteotech, Inc. | 1.8 | % | ||
National Financial Partners Corp. | 1.8 | % | ||
Jakks Pacific, Inc. | 1.7 | % | ||
NCI Building Systems, Inc. | 1.7 | % | ||
Petroleum Development Corp. | 1.6 | % | ||
Basic Energy Services, Inc. | 1.5 | % | ||
Ciber, Inc. | 1.5 | % | ||
Arctic Cat, Inc. | 1.4 | % | ||
Top Ten Total | 19.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
162 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
S&P SMALLCAP 600 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.7% | ||||||||
CONSUMER DISCRETIONARY - 27.3% | ||||||||
Quiksilver, Inc.* | 171,392 | $ | 670,143 | |||||
Tuesday Morning Corp.* | 106,098 | 506,087 | ||||||
Jakks Pacific, Inc.* | 18,504 | 326,411 | ||||||
Arctic Cat, Inc.* | 24,950 | 255,738 | ||||||
Perry Ellis International, Inc.* | 11,638 | 254,290 | ||||||
Ruby Tuesday, Inc.* | 21,015 | 249,448 | ||||||
Fred’s, Inc. — Class A | 18,258 | 215,444 | ||||||
Cabela’s, Inc.* | 11,085 | 210,393 | ||||||
Red Robin Gourmet Burgers, Inc.* | 9,447 | 185,256 | ||||||
PEP Boys-Manny Moe & Jack | 17,023 | 180,103 | ||||||
Group 1 Automotive, Inc.* | 6,012 | 179,639 | ||||||
Standard Motor Products, Inc. | 13,771 | 145,009 | ||||||
Landry’s Restaurants, Inc.* | 5,310 | 130,042 | ||||||
Audiovox Corp. — Class A* | 18,687 | 127,819 | ||||||
Movado Group, Inc.* | 11,604 | 126,252 | ||||||
Blyth, Inc. | 3,034 | 125,122 | ||||||
Callaway Golf Co. | 17,513 | 122,591 | ||||||
HOT Topic, Inc. | 20,156 | 120,734 | ||||||
Finish Line, Inc. — Class A | 8,185 | 113,853 | ||||||
Brown Shoe Company, Inc. | 9,032 | 103,597 | ||||||
Lithia Motors, Inc. — Class A | 10,239 | 98,192 | ||||||
Christopher & Banks Corp. | 11,638 | 92,057 | ||||||
Stage Stores, Inc. | 6,297 | 81,861 | ||||||
Live Nation Entertainment, Inc.* | 7,775 | 76,817 | ||||||
O’Charleys, Inc.* | 10,313 | 74,150 | ||||||
Superior Industries International, Inc. | 4,216 | 72,853 | ||||||
Zale Corp.* | 32,948 | 69,191 | ||||||
Haverty Furniture Companies, Inc. | 5,775 | 63,005 | ||||||
MarineMax, Inc.* | 8,851 | 62,311 | ||||||
K-Swiss, Inc. — Class A* | 4,867 | 62,054 | ||||||
Nautilus, Inc.* | 41,564 | 55,280 | ||||||
Total Consumer Discretionary | 5,155,742 | |||||||
INDUSTRIALS - 21.1% | ||||||||
NCI Building Systems, Inc.* | 33,295 | 317,301 | ||||||
Bowne & Company, Inc. | 20,684 | 234,350 | ||||||
Lydall, Inc.* | 30,240 | 222,566 | ||||||
Kelly Services, Inc. — Class A* | 17,497 | 205,240 | ||||||
CDI Corp. | 15,764 | 203,671 | ||||||
Volt Information Sciences, Inc.* | 25,629 | 184,529 | ||||||
Skywest, Inc. | 12,964 | 180,977 | ||||||
Federal Signal Corp. | 29,070 | 156,687 | ||||||
Viad Corp. | 7,386 | 142,845 | ||||||
EMCOR Group, Inc.* | 5,588 | 137,409 | ||||||
Dycom Industries, Inc.* | 13,574 | 135,604 | ||||||
Ceradyne, Inc.* | 5,791 | 135,220 | ||||||
ABM Industries, Inc. | 5,622 | 121,379 | ||||||
EnPro Industries, Inc.* | 3,767 | 117,832 | ||||||
SFN Group, Inc.* | 18,717 | 112,489 | ||||||
United Stationers, Inc.* | 1,927 | 103,114 | ||||||
Mueller Industries, Inc. | 3,822 | 101,245 | ||||||
Lawson Products, Inc. | 6,015 | 91,849 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Arkansas Best Corp. | 3,742 | $ | 90,669 | |||||
Cascade Corp. | 2,396 | 76,193 | ||||||
Standex International Corp. | 3,080 | 74,505 | ||||||
Griffon Corp.* | 6,105 | 74,420 | ||||||
Comfort Systems USA, Inc. | 6,926 | 74,316 | ||||||
Encore Wire Corp. | 3,614 | 74,123 | ||||||
Gibraltar Industries, Inc.* | 7,968 | 71,553 | ||||||
Moog, Inc. — Class A* | 2,008 | 71,304 | ||||||
AAR Corp.* | 3,568 | 66,579 | ||||||
Universal Forest Products, Inc. | 2,225 | 65,081 | ||||||
Standard Register Co. | 21,572 | 62,990 | ||||||
Tredegar Corp. | 3,229 | 61,286 | ||||||
School Specialty, Inc.* | 4,494 | 58,467 | ||||||
Astec Industries, Inc.* | 1,973 | 56,290 | ||||||
Apogee Enterprises, Inc. | 5,697 | 52,128 | ||||||
Briggs & Stratton Corp. | 2,550 | 48,475 | ||||||
Total Industrials | 3,982,686 | |||||||
FINANCIALS - 18.5% | ||||||||
National Financial Partners Corp.* | 26,221 | 332,220 | ||||||
Susquehanna Bancshares, Inc. | 30,108 | 254,112 | ||||||
Pennsylvania Real Estate Investment Trust | 17,672 | 209,590 | ||||||
Kite Realty Group Trust | 46,209 | 205,168 | ||||||
Lexington Realty Trust | 23,588 | 168,890 | ||||||
National Penn Bancshares, Inc. | 26,121 | 163,256 | ||||||
First Commonwealth Financial Corp. | 29,005 | 158,077 | ||||||
Whitney Holding Corp. | 18,625 | 152,166 | ||||||
Hanmi Financial Corp.* | 116,780 | 149,478 | ||||||
LaBranche & Company, Inc.* | 37,608 | 146,671 | ||||||
Stewart Information Services Corp. | 10,203 | 115,498 | ||||||
Interactive Brokers Group, Inc. — Class A* | 6,177 | 106,306 | ||||||
Horace Mann Educators Corp. | 5,627 | 100,048 | ||||||
Umpqua Holdings Corp. | 8,380 | 95,029 | ||||||
Pinnacle Financial Partners, Inc.* | 10,300 | 94,657 | ||||||
Rewards Network, Inc. | 6,422 | 92,156 | ||||||
Sterling Bancshares, Inc. | 16,870 | 90,592 | ||||||
Selective Insurance Group, Inc. | 5,089 | 82,900 | ||||||
Cedar Shopping Centers, Inc. | 13,626 | 82,846 | ||||||
Colonial Properties Trust | 4,962 | 80,335 | ||||||
First Midwest Bancorp, Inc. | 6,834 | 78,796 | ||||||
United Fire & Casualty Co. | 3,502 | 74,277 | ||||||
Presidential Life Corp. | 7,145 | 70,021 | ||||||
United Community Banks, Inc.* | 30,191 | 67,628 | ||||||
East West Bancorp, Inc. | 4,152 | 67,595 | ||||||
Sterling Bancorp — Class N | 7,455 | 64,784 | ||||||
Wintrust Financial Corp. | 1,962 | 63,588 | ||||||
Safety Insurance Group, Inc. | 1,372 | 57,652 | ||||||
First BanCorp* | 119,408 | 33,434 | ||||||
SWS Group, Inc. | 4,628 | 33,183 | ||||||
Total Financials | 3,490,953 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 163 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
S&P SMALLCAP 600 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
HEALTH CARE - 9.4% | ||||||||
Osteotech, Inc.* | 53,497 | $ | 345,591 | |||||
Molina Healthcare, Inc.* | 8,881 | 239,698 | ||||||
Medcath Corp.* | 22,577 | 227,350 | ||||||
Res-Care, Inc.* | 14,548 | 193,052 | ||||||
Centene Corp.* | 6,499 | 153,312 | ||||||
AMERIGROUP Corp.* | 3,305 | 140,363 | ||||||
AMN Healthcare Services, Inc.* | 22,566 | 115,989 | ||||||
Healthspring, Inc.* | 4,417 | 114,135 | ||||||
PharMerica Corp.* | 8,032 | 76,545 | ||||||
Kendle International, Inc.* | 6,788 | 63,264 | ||||||
Symmetry Medical, Inc.* | 5,743 | 55,363 | ||||||
Gentiva Health Services, Inc.* | 2,075 | 45,339 | ||||||
Total Health Care | 1,770,001 | |||||||
INFORMATION TECHNOLOGY - 7.2% | ||||||||
Ciber, Inc.* | 93,086 | 280,189 | ||||||
Gerber Scientific, Inc.* | 36,975 | 228,136 | ||||||
SYNNEX Corp.* | 5,723 | 161,045 | ||||||
EMS Technologies, Inc.* | 7,414 | 138,123 | ||||||
Heartland Payment Systems, Inc. | 8,239 | 125,398 | ||||||
Black Box Corp. | 3,710 | 118,943 | ||||||
Scansource, Inc.* | 3,449 | 95,675 | ||||||
Insight Enterprises, Inc.* | 5,416 | 84,706 | ||||||
CTS Corp. | 7,949 | 76,469 | ||||||
Digi International, Inc.* | 5,506 | 52,252 | ||||||
Total Information Technology | 1,360,936 | |||||||
ENERGY - 5.7% | ||||||||
Petroleum Development Corp.* | 10,681 | 294,796 | ||||||
Basic Energy Services, Inc.* | 33,960 | 289,339 | ||||||
World Fuel Services Corp. | 4,705 | 122,377 | ||||||
Matrix Service Co.* | 10,901 | 95,384 | ||||||
Seahawk Drilling, Inc.* | 10,703 | 90,547 | ||||||
Penn Virginia Corp. | 5,393 | 86,504 | ||||||
Pioneer Drilling Co.* | 7,898 | 50,389 | ||||||
Bristow Group, Inc.* | 1,335 | 48,167 | ||||||
Total Energy | 1,077,503 | |||||||
CONSUMER STAPLES - 4.8% | ||||||||
Nash Finch Co. | 4,930 | 209,722 | ||||||
Spartan Stores, Inc. | 12,057 | 174,826 | ||||||
Alliance One International, Inc.* | 36,732 | 152,438 | ||||||
Central Garden and Pet Co. — Class A* | 11,035 | 114,322 | ||||||
Mannatech, Inc.* | 42,313 | 86,742 | ||||||
United Natural Foods, Inc.* | 2,440 | 80,862 | ||||||
Casey’s General Stores, Inc. | 1,458 | 60,871 | ||||||
Great Atlantic & Pacific Tea Co.* | 7,208 | 28,544 | ||||||
Total Consumer Staples | 908,327 | |||||||
�� | ||||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
MATERIALS - 4.1% | ||||||||
AM Castle & Co.* | 12,596 | $ | 166,897 | |||||
Olympic Steel, Inc. | 5,389 | 123,893 | ||||||
Century Aluminum Co.* | 8,700 | 114,579 | ||||||
A. Schulman, Inc. | 5,041 | 101,576 | ||||||
Quaker Chemical Corp. | 3,023 | 98,429 | ||||||
OM Group, Inc.* | 3,054 | 91,986 | ||||||
Myers Industries, Inc. | 5,372 | 46,146 | ||||||
Penford Corp.* | 6,935 | 31,970 | ||||||
Total Materials | 775,476 | |||||||
UTILITIES - 1.6% | ||||||||
Laclede Group, Inc. | 2,421 | 83,331 | ||||||
Southwest Gas Corp. | 1,903 | 63,922 | ||||||
Central Vermont Public Service Corp. | 2,902 | 58,533 | ||||||
CH Energy Group, Inc. | 1,303 | 57,541 | ||||||
New Jersey Resources Corp. | 1,228 | 48,162 | ||||||
Total Utilities | 311,489 | |||||||
Total Common Stocks (Cost $13,395,214) | 18,833,113 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.8% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $62,757 | 62,757 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 62,687 | 62,687 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 25,904 | 25,904 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 6,618 | 6,618 | ||||||
Deutsche Bank | ||||||||
issued 09/30/10 at 0.20% due 10/01/10 | 6,476 | 6,476 | ||||||
Total Repurchase Agreements (Cost $164,442) | 164,442 | |||||||
Total Investments – 100.5% (Cost $13,559,656) | $ | 18,997,555 | ||||||
Liabilities, Less Cash & Other Assets – (0.5)% | (103,300 | ) | ||||||
Total Net Assets – 100.0% | $ | 18,894,255 |
* | Non-Income Producing Security |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
164 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
S&P SMALLCAP 600 PURE VALUE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 18,833,113 | ||
Repurchase agreement, at value | 164,442 | |||
Total investments | 18,997,555 | |||
Receivables: | ||||
Securities sold | 453,575 | |||
Fund shares sold | 5,677 | |||
Dividends | 12,631 | |||
Total assets | 19,469,438 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 493,715 | |||
Management fees | 11,616 | |||
Custodian fees | 512 | |||
Transfer agent/maintenance fees | 3,872 | |||
Distribution and service fees | 6,103 | |||
Portfolio accounting fees | 1,549 | |||
Other | 57,816 | |||
Total liabilities | 575,183 | |||
Net assets | $ | 18,894,255 | ||
Net assets consist of: | ||||
Paid in Capital | 51,239,619 | |||
Accumulated net investment loss | (270,819 | ) | ||
Accumulated net realized loss on sale of investments | (37,512,444 | ) | ||
Net unrealized appreciation in value of investments | 5,437,899 | |||
Net assets | 18,894,255 | |||
A-Class: | ||||
Net assets | $ | 1,108,413 | ||
Capital shares outstanding | 65,676 | |||
Net asset value per share | $16.88 | |||
Maximum offering price per share* | $17.72 | |||
C-Class: | ||||
Net assets | $ | 3,300,871 | ||
Capital shares outstanding | 210,565 | |||
Net asset value per share | $15.68 | |||
H-Class: | ||||
Net assets | $ | 14,484,971 | ||
Capital shares outstanding | 859,597 | |||
Net asset value per share | $16.85 | |||
Investments, at cost | $ | 13,395,214 | ||
Repurchase agreement, at cost | 164,442 | |||
Total cost | $ | 13,559,656 |
STATEMENT OF
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 641,723 | ||
Interest | 609 | |||
Total investment income | 642,332 | |||
Expenses: | ||||
Management fees | 434,116 | |||
Transfer agent and administrative fees | 144,705 | |||
Distribution and Service Fees: | ||||
A-Class | 12,781 | |||
C-Class | 32,274 | |||
H-Class | 123,856 | |||
Portfolio accounting fees | 56,812 | |||
Trustees’ fees** | 8,122 | |||
Miscellaneous | 100,485 | |||
Total expenses | 913,151 | |||
Net investment loss | (270,819 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (37,253,217 | ) | ||
Net realized loss | (37,253,217 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (22,901,503 | ) | ||
Net unrealized depreciation | (22,901,503 | ) | ||
Net loss | (60,154,720 | ) | ||
Net decrease in net assets resulting from operations | $ | (60,425,539 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 165 |
S&P SMALLCAP 600 PURE VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (270,819 | ) | $ | (710,501 | ) | ||
Net realized gain (loss) during the period on investments | (37,253,217 | ) | 54,985,784 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (22,901,503 | ) | 28,055,856 | |||||
Net increase (decrease) in net assets resulting from operations | (60,425,539 | ) | 82,331,139 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (2,176 | ) | |||||
C-Class | — | (6,861 | ) | |||||
H-Class | — | (24,519 | ) | |||||
Net realized gain | ||||||||
A-Class | — | (405,806 | ) | |||||
C-Class | — | (1,279,703 | ) | |||||
H-Class | — | (4,573,281 | ) | |||||
Total distributions to shareholders | — | (6,292,346 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 70,795,022 | 17,811,935 | ||||||
C-Class | 8,107,326 | 17,970,003 | ||||||
H-Class | 297,310,513 | 675,923,538 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 378,723 | ||||||
C-Class | — | 1,265,910 | ||||||
H-Class | — | 4,505,083 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (66,295,441 | ) | (13,385,823 | ) | ||||
C-Class | (12,101,244 | ) | (10,602,354 | ) | ||||
H-Class | (449,524,796 | ) | (561,136,010 | ) | ||||
Net increase (decrease) from capital share transactions | (151,708,620 | ) | 132,731,005 | |||||
Net increase (decrease) in net assets | (212,134,159 | ) | 208,769,798 | |||||
Net assets: | ||||||||
Beginning of period | 231,028,414 | 22,258,616 | ||||||
End of period | $ | 18,894,255 | $ | 231,028,414 | ||||
Accumulated net investment loss at end of period | $ | (270,819 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 3,906,730 | 908,146 | ||||||
C-Class | 443,935 | 931,519 | ||||||
H-Class | 14,846,364 | 37,195,475 | ||||||
Shares reinvested | ||||||||
A-Class | — | 23,065 | ||||||
C-Class | — | 82,523 | ||||||
H-Class | — | 274,868 | ||||||
Shares redeemed | ||||||||
A-Class | (4,123,094 | ) | (656,235 | ) | ||||
C-Class | (725,957 | ) | (586,486 | ) | ||||
H-Class | (25,049,196 | ) | (28,348,540 | ) | ||||
Total capital share activity | (10,701,218 | ) | 9,824,335 | |||||
166 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
S&P SMALLCAP 600 PURE VALUE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $19.60 | $11.08 | $26.56 | $35.54 | $33.40 | $28.22 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.13 | ) | .50 | .26 | .23 | (.03 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.66 | ) | 15.44 | (15.61 | ) | (8.97 | ) | 1.94 | 5.71 | |||||||||||||||
Total from investment operations | (2.72 | ) | 15.31 | (15.11 | ) | (8.71 | ) | 2.17 | 5.68 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.37 | ) | (.27 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | (6.76 | ) | — | — | (.03 | ) | (.50 | ) | |||||||||||||||
Total distributions | — | (6.79 | ) | (.37 | ) | (.27 | ) | (.03 | ) | (.50 | ) | |||||||||||||
Net asset value, end of period | $16.88 | $19.60 | $11.08 | $26.56 | $35.54 | $33.40 | ||||||||||||||||||
Total Returnc | (13.88% | ) | 150.09% | (57.21% | ) | (24.54% | ) | 6.49% | 20.35% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,108 | $5,529 | $78 | $2,945 | $3,929 | $335 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.68% | ) | (0.62% | ) | 2.04% | 0.82% | 0.66% | (0.11% | ) | |||||||||||||||
Total expenses | 1.52% | 1.53% | 1.54% | 1.53% | 1.51% | 1.46% | ||||||||||||||||||
Portfolio turnover rate | 258% | 443% | 878% | 566% | 728% | 806% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $18.27 | $10.62 | $25.71 | $34.68 | $32.85 | $28.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.27 | ) | .04 | .28 | (.05 | ) | (.18 | ) | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.48 | ) | 14.71 | (14.76 | ) | (8.98 | ) | 1.91 | 5.52 | |||||||||||||||
Total from investment operations | (2.59 | ) | 14.44 | (14.72 | ) | (8.70 | ) | 1.86 | 5.34 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.37 | ) | (.27 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | (6.76 | ) | — | — | (.03 | ) | (.50 | ) | |||||||||||||||
Total distributions | — | (6.79 | ) | (.37 | ) | (.27 | ) | (.03 | ) | (.50 | ) | |||||||||||||
Net asset value, end of period | $15.68 | $18.27 | $10.62 | $25.71 | $34.68 | $32.85 | ||||||||||||||||||
Total Returnc | (14.18% | ) | 148.23% | (57.59% | ) | (25.12% | ) | 5.65% | 19.29% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,301 | $8,999 | $691 | $14,040 | $2,268 | $18,779 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.29% | ) | (1.39% | ) | 0.21% | 0.99% | (0.16% | ) | (0.60% | ) | ||||||||||||||
Total expenses | 2.28% | 2.28% | 2.32% | 2.26% | 2.26% | 2.27% | ||||||||||||||||||
Portfolio turnover rate | 258% | 443% | 878% | 566% | 728% | 806% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 167 |
3
S&P SMALLCAP 600 PURE VALUE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $19.57 | $11.07 | $26.53 | $35.51 | $33.38 | $28.24 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.12 | ) | .27 | .33 | .15 | .06 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.68 | ) | 15.41 | (15.36 | ) | (9.04 | ) | 2.01 | 5.58 | |||||||||||||||
Total from investment operations | (2.72 | ) | 15.29 | (15.09 | ) | (8.71 | ) | 2.16 | 5.64 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.37 | ) | (.27 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | (6.76 | ) | — | — | (.03 | ) | (.50 | ) | |||||||||||||||
Total distributions | — | (6.79 | ) | (.37 | ) | (.27 | ) | (.03 | ) | (.50 | ) | |||||||||||||
Net asset value, end of period | $16.85 | $19.57 | $11.07 | $26.53 | $35.51 | $33.38 | ||||||||||||||||||
Total Returnc | (13.90% | ) | 150.07% | (57.20% | ) | (24.56% | ) | 6.46% | 20.20% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $14,485 | $216,500 | $21,489 | $51,563 | $10,478 | $102,448 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.39% | ) | 0.62% | 1.40% | 1.04% | 0.46% | 0.19% | |||||||||||||||||
Total expenses | 1.54% | 1.54% | 1.55% | 1.48% | 1.52% | 1.50% | ||||||||||||||||||
Portfolio turnover rate | 258% | 443% | 878% | 566% | 728% | 806% |
a | Unaudited figures for the six months ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
168 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
4
FUND PROFILE (Unaudited)
September 30, 2010
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX 50® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c2.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | May 10, 2001 | |||
H-Class | May 8, 2000 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Novartis AG ADR | 5.7 | % | ||
Total S.A. ADR | 4.7 | % | ||
HSBC Holdings plc ADR | 3.9 | % | ||
France Telecom S.A. ADR | 3.3 | % | ||
ENI SpA ADR | 3.0 | % | ||
Royal Dutch Shell plc ADR | 2.9 | % | ||
Vodafone Group plc ADR | 2.9 | % | ||
Siemens AG ADR | 2.8 | % | ||
BP plc ADR | 2.8 | % | ||
Banco Santander S.A. ADR | 2.8 | % | ||
Top Ten Total | 34.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 169 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
EUROPE 1.25x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 68.0% | ||||||||
FINANCIALS - 15.4% | ||||||||
HSBC Holdings plc ADR | 17,800 | $ | 900,502 | |||||
Banco Santander S.A. ADR | 51,560 | 652,750 | ||||||
Deutsche Bank AG | 7,260 | 398,792 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. ADR | 28,850 | 388,898 | ||||||
UBS AG | 21,730 | 370,062 | ||||||
Credit Suisse Group AG ADR | 8,010 | 340,906 | ||||||
Barclays plc ADR | 16,410 | 309,328 | ||||||
ING Groep N.V. ADR | 20,700 | 213,003 | ||||||
Total Financials | 3,574,241 | |||||||
ENERGY - 13.4% | ||||||||
Total S.A. ADR | 20,820 | 1,074,312 | ||||||
ENI SpA ADR | 16,180 | 698,652 | ||||||
Royal Dutch Shell plc ADR | 11,160 | 672,948 | ||||||
BP plc ADR | 15,940 | 656,250 | ||||||
Total Energy | 3,102,162 | |||||||
HEALTH CARE - 12.1% | ||||||||
Novartis AG ADR | 23,000 | 1,326,410 | ||||||
GlaxoSmithKline plc ADR | 13,980 | 552,490 | ||||||
AstraZeneca plc ADR | 9,920 | 502,944 | ||||||
Sanofi-Aventis S.A. ADR | 9,110 | 302,907 | ||||||
Alcon, Inc. | 690 | 115,085 | ||||||
Total Health Care | 2,799,836 | |||||||
TELECOMMUNICATION SERVICES - 9.9% | ||||||||
France Telecom S.A. ADR | 35,940 | 773,788 | ||||||
Vodafone Group plc ADR | 26,800 | 664,908 | ||||||
Telefonica S.A. ADR | 8,630 | 639,914 | ||||||
Deutsche Telekom AG ADR | 16,020 | 218,353 | ||||||
Total Telecommunication Services | 2,296,963 | |||||||
MATERIALS - 5.0% | ||||||||
Rio Tinto plc ADR | 9,080 | 533,268 | ||||||
BHP Billiton Ltd. ADR | 5,790 | 441,893 | ||||||
ArcelorMittal | 5,810 | 191,614 | ||||||
Total Materials | 1,166,775 | |||||||
CONSUMER STAPLES - 4.0% | ||||||||
Unilever N.V. | 11,750 | 351,090 | ||||||
Diageo plc ADR | 4,970 | 342,980 | ||||||
British American Tobacco plc ADR | 3,310 | 247,290 | ||||||
Total Consumer Staples | 941,360 | |||||||
INDUSTRIALS - 2.8% | ||||||||
Siemens AG ADR | 6,250 | 658,750 | ||||||
INFORMATION TECHNOLOGY - 2.8% | ||||||||
SAP AG ADR | 5,540 | 273,177 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 17,610 | 193,182 | ||||||
Nokia Oyj ADR | 17,320 | 173,720 | ||||||
Total Information Technology | 640,079 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY - 1.9% | ||||||||
Daimler AG | 6,830 | $ | 432,339 | |||||
UTILITIES - 0.7% | ||||||||
Veolia Environnement ADR | 6,470 | 170,549 | ||||||
Total Common Stocks (Cost $14,198,605) | 15,783,054 | |||||||
RIGHTS†† - 0.1% | ||||||||
FINANCIALS - 0.1% | ||||||||
Deutsche Bank AG Expires, 10/05/10 | 5,510 | 22,701 | ||||||
Total Rights (Cost $28,594) | 22,701 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,1 - 26.0% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 2,306,409 | 2,306,409 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 2,303,841 | 2,303,841 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 952,000 | 952,000 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 243,228 | 243,228 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 238,000 | 238,000 | ||||||
Total Repurchase Agreements (Cost $6,043,478) | 6,043,478 | |||||||
Total Investments – 94.1% (Cost $20,270,677) | $ | 21,849,233 | ||||||
Cash & Other Assets, Less Liabilities – 5.9% | 1,375,087 | |||||||
Total Net Assets – 100.0% | $ | 23,224,320 | ||||||
170 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
EUROPE 1.25x STRATEGY FUND
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 EURO Currency Futures Contracts | ||||||||
(Aggregate Market Value of Contracts $13,795,312) | 81 | $ | 392,073 | |||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 EURO STOXX 50 Index Futures Contracts | ||||||||
(Aggregate Market Value of Contracts $6,371,845) | 171 | $ | (72,651 | ) | ||||
December 2010 STOXX 50 Index Futures Contracts (Aggregate Market Value of Contracts $3,398,569) | 101 | (132,257 | ) | |||||
(Total Aggregate Market Value of Contracts $9,770,414) | $ | (204,908 | ) | |||||
Country Diversification
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c3.gif)
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c3.gif)
The pie chart above reflects percentages of
the market value of Common Stocks.
the market value of Common Stocks.
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
ADR — American Depositary Receipt | |
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 171 |
EUROPE 1.25x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 15,805,755 | ||
Repurchase agreement, at value | 6,043,478 | |||
Total investments | 21,849,233 | |||
Segregated cash with broker | 839,302 | |||
Cash | 177,259 | |||
Receivables: | ||||
Fund shares sold | 3,248,628 | |||
Dividends | 38,784 | |||
Interest | 33 | |||
Total assets | 26,153,239 | |||
Liabilities: | ||||
Foreign currency, at value | 161,413 | |||
Payable for: | ||||
Variation margin | 51,307 | |||
Securities purchased | 2,498,591 | |||
Fund shares redeemed | 179,574 | |||
Management fees | 14,305 | |||
Custodian fees | 525 | |||
Transfer agent/maintenance fees | 3,973 | |||
Distribution and service fees | 4,419 | |||
Portfolio accounting fees | 1,589 | |||
Licensing fees | 1,485 | |||
Other | 11,738 | |||
Total liabilities | 2,928,919 | |||
Net assets | $ | 23,224,320 | ||
Net assets consist of: | ||||
Paid in capital | 40,966,544 | |||
Accumulated net investment loss | (148,526 | ) | ||
Accumulated net realized loss on sale of investments | (19,359,049 | ) | ||
Net unrealized appreciation in value of investments | 1,765,351 | |||
Net assets | 23,224,320 | |||
A-Class: | ||||
Net assets | $ | 691,640 | ||
Capital shares outstanding | 54,074 | |||
Net asset value per share | $12.79 | |||
Maximum offering price per share* | $13.43 | |||
C-Class: | ||||
Net assets | $ | 993,658 | ||
Capital shares outstanding | 83,886 | |||
Net asset value per share | $11.85 | |||
H-Class: | ||||
Net assets | $ | 21,539,022 | ||
Capital shares outstanding | 1,681,631 | |||
Net asset value per share | $12.81 | |||
Investments, at cost | $ | 14,227,199 | ||
Repurchase agreement, at cost | 6,043,478 | |||
Total cost | $ | 20,270,677 | ||
Foreign currency sold short, proceeds | 161,043 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $3,648) | $ | 195,774 | ||
Interest | 5,558 | |||
Total investment income | 201,332 | |||
Expenses: | ||||
Management fees | 78,007 | |||
Transfer agent and administrative fees | 21,669 | |||
Distribution and Service Fees: | ||||
A-Class | 1,896 | |||
C-Class | 5,531 | |||
H-Class | 18,390 | |||
Portfolio accounting fees | 8,667 | |||
Trustees’ fees** | 397 | |||
Miscellaneous | 14,952 | |||
Total expenses | 149,509 | |||
Net investment income | 51,823 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,504,293 | ) | ||
Futures contracts | (2,952,988 | ) | ||
Foreign currency | (154,927 | ) | ||
Net realized loss | (4,612,208 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 1,174,086 | |||
Futures contracts | 7,335 | |||
Foreign currency | 23,234 | |||
Net unrealized appreciation | 1,204,655 | |||
Net loss | (3,407,553 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,355,730 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
172 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
EUROPE 1.25x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 51,823 | $ | 22,164 | ||||
Net realized gain (loss) during the period on investments | (4,612,208 | ) | 4,336,353 | |||||
Net unrealized appreciation during the period on investments | 1,204,655 | 289,473 | ||||||
Net increase (decrease) in net assets resulting from operations | (3,355,730 | ) | 4,647,990 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 14,652,014 | 326,905 | ||||||
C-Class | 26,397,951 | 74,914,337 | ||||||
H-Class | 136,340,116 | 404,179,856 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (13,442,852 | ) | (389,582 | ) | ||||
C-Class | (27,368,974 | ) | (74,481,425 | ) | ||||
H-Class | (119,560,815 | ) | (405,444,660 | ) | ||||
Net increase (decrease) from capital share transactions | 17,017,440 | (894,569 | ) | |||||
Net increase in net assets | 13,661,710 | 3,753,421 | ||||||
Net assets: | ||||||||
Beginning of period | 9,562,610 | 5,809,189 | ||||||
End of period | $ | 23,224,320 | $ | 9,562,610 | ||||
Accumulated net investment loss at end of period | $ | (148,526 | ) | $ | (200,349 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,227,839 | 24,458 | ||||||
C-Class | 2,349,861 | 6,263,532 | ||||||
H-Class | 11,108,114 | 28,884,036 | ||||||
Shares redeemed | ||||||||
A-Class | (1,206,447 | ) | (29,545 | ) | ||||
C-Class | (2,426,262 | ) | (6,199,574 | ) | ||||
H-Class | (9,918,710 | ) | (28,958,394 | ) | ||||
Total capital share activity | 1,134,395 | (15,487 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 173 |
EUROPE 1.25x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.18 | $8.36 | $22.25 | $24.13 | $20.06 | $17.14 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (– | )c | .04 | .18 | .62 | .54 | .18 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.39 | ) | 5.78 | (14.07 | ) | (1.57 | ) | 3.65 | 3.06 | |||||||||||||||
Total from investment operations | (1.39 | ) | 5.82 | (13.89 | ) | (.95 | ) | 4.19 | 3.24 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.23 | ) | (.12 | ) | — | ||||||||||||||||
Distributions from realized gains | — | — | — | (.70 | ) | — | (.32 | ) | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.12 | ) | (.32 | ) | |||||||||||||||
Net asset value, end of period | $12.79 | $14.18 | $8.36 | $22.25 | $24.13 | $20.06 | ||||||||||||||||||
Total Returnd | (9.80% | ) | 69.62% | (62.43% | ) | (4.60% | ) | 20.90% | 19.10% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $692 | $463 | $316 | $1,750 | $10,892 | $1,378 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.08% | ) | 0.33% | 1.05% | 2.42% | 2.33% | 1.02% | |||||||||||||||||
Total expenses | 1.68% | 1.66% | 1.68% | 1.69% | 1.54% | 1.67% | ||||||||||||||||||
Net expensese | 1.68% | 1.66% | 1.68% | 1.69% | 1.54% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | 399% | 1,353% | 384% | 320% | 373% | 454% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $13.17 | $7.83 | $21.00 | $22.98 | $19.25 | $16.57 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | (.04 | ) | .07 | .31 | .39 | .10 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.35 | ) | 5.38 | (13.24 | ) | (1.36 | ) | 3.46 | 2.90 | |||||||||||||||
Total from investment operations | (1.32 | ) | 5.34 | (13.17 | ) | (1.05 | ) | 3.85 | 3.00 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.23 | ) | (.12 | ) | — | ||||||||||||||||
Distributions from realized gains | — | — | — | (.70 | ) | — | (.32 | ) | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.12 | ) | (.32 | ) | |||||||||||||||
Net asset value, end of period | $11.85 | $13.17 | $7.83 | $21.00 | $22.98 | $19.25 | ||||||||||||||||||
Total Returnd | (10.02% | ) | 68.20% | (62.71% | ) | (5.28% | ) | 20.01% | 18.30% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $994 | $2,111 | $754 | $6,149 | $9,539 | $8,703 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.46% | (0.36% | ) | 0.42% | 1.27% | 1.85% | 0.59% | |||||||||||||||||
Total expenses | 2.40% | 2.42% | 2.43% | 2.40% | 2.40% | 2.42% | ||||||||||||||||||
Net expensese | 2.40% | 2.42% | 2.43% | 2.40% | 2.40% | 2.41% | ||||||||||||||||||
Portfolio turnover rate | 399% | 1,353% | 384% | 320% | 373% | 454% |
174 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
EUROPE 1.25x 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.20 | $8.36 | $22.26 | $24.14 | $20.06 | $17.13 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .04 | .03 | .21 | .57 | .59 | .22 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.43 | ) | 5.81 | (14.11 | ) | (1.52 | ) | 3.61 | 3.03 | |||||||||||||||
Total from investment operations | (1.39 | ) | 5.84 | (13.90 | ) | (.95 | ) | 4.20 | 3.25 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.23 | ) | (.12 | ) | — | ||||||||||||||||
Distributions from realized gains | — | — | — | (.70 | ) | — | (.32 | ) | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.12 | ) | (.32 | ) | |||||||||||||||
Net asset value, end of period | $12.81 | $14.20 | $8.36 | $22.26 | $22.14 | $20.06 | ||||||||||||||||||
Total Returnd | (9.79% | ) | 69.86% | (62.44% | ) | (4.60% | ) | 20.95% | 19.17% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $21,539 | $6,989 | $4,739 | $21,670 | $57,887 | $46,066 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.68% | 0.21% | 1.22% | 2.20% | 2.63% | 1.21% | ||||||||||||||||||
Total expenses | 1.68% | 1.70% | 1.71% | 1.67% | 1.66% | 1.64% | ||||||||||||||||||
Net expensese | 1.68% | 1.70% | 1.71% | 1.67% | 1.66% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 399% | 1,353% | 384% | 320% | 373% | 454% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 175 |
FUND PROFILE (Unaudited)
September 30, 2010
JAPAN 2x STRATEGY FUND
OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c4.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | February 22, 2008 | |||
C-Class | February 22, 2008 | |||
H-Class | February 22, 2008 | |||
The Fund invests principally in derivative investments such as futures contracts. |
176 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
JAPAN 2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 51.6% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $776,783 | $ | 776,783 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 775,918 | 775,918 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 320,627 | 320,627 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 81,918 | 81,918 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 80,157 | 80,157 | ||||||
Total Repurchase Agreements (Cost $2,035,403) | 2,035,403 | |||||||
Total Investments – 51.6% (Cost $2,035,403) | $ | 2,035,403 | ||||||
Cash & Other Assets, Less Liabilities – 48.4% | 1,908,546 | |||||||
Total Net Assets – 100.0% | $ | 3,943,949 | ||||||
CONTRACTS | UNREALIZED GAIN | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 Nikkei-225 Stock Average Index Futures Contracts | ||||||||
(Aggregate Market Value of Contracts $7,894,925) | 167 | $ | 104,448 | |||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 Japanese Yen Currency Futures Contracts (Aggregate Market Value of Contracts $7,942,050) | 53 | $ | 92,169 | |||||
| |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 177 |
JAPAN 2x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 2,035,403 | ||
Total investments | 2,035,403 | |||
Segregated cash with broker | 714,000 | |||
Receivables: | ||||
Fund shares sold | 1,252,241 | |||
Interest | 11 | |||
Total assets | 4,001,655 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 49,819 | |||
Fund shares redeemed | 3,351 | |||
Management fees | 1,319 | |||
Custodian fees | 58 | |||
Transfer agent/maintenance fees | 439 | |||
Distribution and service fees | 503 | |||
Portfolio accounting fees | 176 | |||
Other | 2,041 | |||
Total liabilities | 57,706 | |||
Net assets | $ | 3,943,949 | ||
Net assets consist of: | ||||
Paid in capital | 5,983,567 | |||
Accumulated net investment loss | (25,283 | ) | ||
Accumulated net realized loss on sale of investments | (2,210,952 | ) | ||
Net unrealized appreciation in value of investments | 196,617 | |||
Net assets | 3,943,949 | |||
A-Class: | ||||
Net assets | $ | 73,590 | ||
Capital shares outstanding | 5,097 | |||
Net asset value per share | $14.44 | |||
Maximum offering price per share* | $15.16 | |||
C-Class: | ||||
Net assets | $ | 92,814 | ||
Capital shares outstanding | 6,540 | |||
Net asset value per share | $14.19 | |||
H-Class: | ||||
Net assets | $ | 3,777,545 | ||
Capital shares outstanding | 261,024 | |||
Net asset value per share | $14.47 | |||
Repurchase agreement, at cost | $ | 2,035,403 | ||
Total cost | $ | 2,035,403 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 2,224 | ||
Total investment income | 2,224 | |||
Expenses: | ||||
Management fees | 12,909 | |||
Transfer agent and administrative fees | 4,303 | |||
Distribution and Service Fees: | ||||
A-Class | 582 | |||
C-Class | 1,571 | |||
H-Class | 3,328 | |||
Portfolio accounting fees | 1,721 | |||
Trustees’ fees** | 207 | |||
Registration | 1,697 | |||
Miscellaneous | 1,189 | |||
Total expenses | 27,507 | |||
Net investment loss | (25,283 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Futures contracts | (1,066,400 | ) | ||
Net realized loss | (1,066,400 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Futures contracts | 33,125 | |||
Net unrealized appreciation | 33,125 | |||
Net loss | (1,033,275 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,058,558 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
178 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
JAPAN 2x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (25,283 | ) | $ | (95,137 | ) | ||
Net realized gain (loss) during the period on investments | (1,066,400 | ) | 3,918,319 | |||||
Net unrealized appreciation (depreciation) during the period on investments | 33,125 | (790,035 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (1,058,558 | ) | 3,033,147 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 3,061,244 | 4,861,965 | ||||||
C-Class | 15,104,626 | 40,920,332 | ||||||
H-Class | 22,166,302 | 56,612,995 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (5,056,063 | ) | (3,222,607 | ) | ||||
C-Class | (15,323,250 | ) | (41,845,825 | ) | ||||
H-Class | (23,030,126 | ) | (59,989,549 | ) | ||||
Net decrease from capital share transactions | (3,077,267 | ) | (2,662,689 | ) | ||||
Net increase (decrease) in net assets | (4,135,825 | ) | 370,458 | |||||
Net assets: | ||||||||
Beginning of period | 8,079,774 | 7,709,316 | ||||||
End of period | $ | 3,943,949 | $ | 8,079,774 | ||||
Accumulated net investment loss at end of period | $ | (25,283 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 228,886 | 346,886 | ||||||
C-Class | 1,045,330 | 2,896,454 | ||||||
H-Class | 1,545,854 | 3,970,060 | ||||||
Shares redeemed | ||||||||
A-Class | (359,226 | ) | (244,676 | ) | ||||
C-Class | (1,065,385 | ) | (2,968,231 | ) | ||||
H-Class | (1,613,335 | ) | (4,366,545 | ) | ||||
Total capital share activity | (217,876 | ) | (366,052 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 179 |
JAPAN 2x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $16.49 | $9.01 | $25.12 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment lossc | (.12 | ) | (.19 | ) | (.06 | ) | (— | )d | ||||||||
Net gain (loss) on securities (realized and unrealized) | (1.93 | ) | 7.67 | (16.24 | ) | .12 | ||||||||||
Total from investment operations | (2.05 | ) | 7.48 | (16.30 | ) | .12 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.01 | ) | — | |||||||||||
Total distributions | — | — | (.01 | ) | — | |||||||||||
Payments by affiliates | — | — | .20 | e | — | |||||||||||
Net asset value, end of period | $14.44 | $16.49 | $9.01 | $25.12 | ||||||||||||
Total Returnf | (12.43% | ) | 83.02% | (64.10% | )e | 0.48% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $74 | $2,234 | $299 | $636 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment loss | (1.40% | ) | (1.42% | ) | (0.42% | ) | (0.12% | )g | ||||||||
Total expenses | 1.53% | 1.53% | 1.53% | 1.25% | g | |||||||||||
Portfolio turnover rate | — | — | — | — | ||||||||||||
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $16.23 | $8.94 | $25.10 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment lossc | (.15 | ) | (.31 | ) | (.17 | ) | (.02 | ) | ||||||||
Net gain (loss) on securities (realized and unrealized) | (1.89 | ) | 7.60 | (16.18 | ) | .12 | ||||||||||
Total from investment operations | (2.04 | ) | 7.29 | (16.35 | ) | .10 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.01 | ) | — | |||||||||||
Total distributions | — | — | (.01 | ) | — | |||||||||||
Payments by affiliates | — | — | .20 | e | — | |||||||||||
Net asset value, end of period | $14.19 | $16.23 | $8.94 | $25.10 | ||||||||||||
Total Returnf | (12.57% | ) | 81.54% | (64.35% | )e | 0.40% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $93 | $432 | $879 | $240 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment loss | (2.16% | ) | (2.20% | ) | (0.98% | ) | (0.74% | )g | ||||||||
Total expenses | 2.29% | 2.28% | 2.26% | 2.21% | g | |||||||||||
Portfolio turnover rate | — | — | — | — |
180 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
JAPAN 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.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $16.48 | $9.01 | $25.12 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment lossc | (.10 | ) | (.21 | ) | (.08 | ) | — | d | ||||||||
Net gain (loss) on securities (realized and unrealized) | (1.91 | ) | 7.68 | (16.22 | ) | .12 | ||||||||||
Total from investment operations | (2.01 | ) | 7.47 | (16.30 | ) | .12 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.01 | ) | — | |||||||||||
Total distributions | — | — | (.01 | ) | — | |||||||||||
Payments by affiliates | — | — | .20 | e | — | |||||||||||
Net asset value, end of period | $14.47 | $16.48 | $9.01 | $25.12 | ||||||||||||
Total Returnf | (12.20% | ) | 82.91% | (64.10% | )e | 0.48% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $3,778 | $5,414 | $6,531 | $5,243 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.40% | ) | (1.44% | ) | (0.55% | ) | 0.17% | g | ||||||||
Total expenses | 1.53% | 1.53% | 1.52% | 1.44% | g | |||||||||||
Portfolio turnover rate | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: February 22, 2008. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Less than $0.01 per share. |
e | Excluding the reimbursement, the Fund’s total return would have been - -64.90%, -65.15% and -64.90% for the A-Class, C-Class and H-Class, respectively. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
g | Annualized |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 181 |
FUND PROFILE (Unaudited)
September 30, 2010
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). 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)
![(PERFORMANCE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c5.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | May 25, 2005 | |||
C-Class | May 25, 2005 | |||
H-Class | May 25, 2005 | |||
The Fund invests principally in derivative investments such as currency index swap agreements and futures contracts. |
182 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
STRENGTHENING DOLLAR 2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 96.4% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 10,631,454 | $ | 10,631,454 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 10,619,618 | 10,619,618 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 4,388,272 | 4,388,272 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 3,044,793 | 3,044,793 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 1,097,068 | 1,097,068 | ||||||
Total Repurchase Agreements (Cost $29,781,205) | 29,781,205 | |||||||
Total Investments – 96.4% (Cost $29,781,205) | $ | 29,781,205 | ||||||
Cash & Other Assets, Less Liabilities – 3.6% | 1,110,135 | |||||||
Total Net Assets – 100.0% | $ | 30,891,340 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 U.S. Dollar Index Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $43,515,225) | 551 | $ | (1,788,415 | ) | ||||
UNITS | ||||||||
CURRENCY INDEX SWAP AGREEMENT†† | ||||||||
Goldman Sachs International November 2010 U.S. Dollar Index Swap, Terminating 11/26/103 (Notional Market Value $18,306,261) | 231,821 | $ | (471,039 | ) | ||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2010. |
3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 183 |
2
STRENGTHENING DOLLAR 2x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 29,781,205 | ||
Total investments | 29,781,205 | |||
Segregated cash with broker | 661,200 | |||
Receivables: | ||||
Variation margin | 38,570 | |||
Fund shares sold | 1,381,491 | |||
Interest | 162 | |||
Total assets | 31,862,628 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 471,039 | |||
Payable for: | ||||
Swap settlement | 345,211 | |||
Fund shares redeemed | 78,069 | |||
Management fees | 26,476 | |||
Custodian fees | 971 | |||
Transfer agent/maintenance fees | 7,354 | |||
Distribution and service fees | 11,130 | |||
Portfolio accounting fees | 2,942 | |||
Licensing fees | 7,615 | |||
Other | 20,481 | |||
Total liabilities | 971,288 | |||
Net assets | $ | 30,891,340 | ||
Net assets consist of: | ||||
Paid in capital | 50,153,201 | |||
Accumulated net investment loss | (426,667 | ) | ||
Accumulated net realized loss on sale of investments | (16,575,740 | ) | ||
Net unrealized depreciation in value of investments | (2,259,454 | ) | ||
Net assets | 30,891,340 | |||
A-Class: | ||||
Net assets | $ | 6,445,732 | ||
Capital shares outstanding | 431,752 | |||
Net asset value per share | $14.93 | |||
Maximum offering price per share* | $15.67 | |||
C-Class: | ||||
Net assets | $ | 5,629,636 | ||
Capital shares outstanding | 394,218 | |||
Net asset value per share | $14.28 | |||
H-Class: | ||||
Net assets | $ | 18,815,972 | ||
Capital shares outstanding | 1,266,499 | |||
Net asset value per share | $14.86 | |||
Repurchase agreement, at cost | $ | 29,781,205 | ||
Total cost | $ | 29,781,205 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment income: | ||||
Interest | $ | 39,705 | ||
Total investment income | 39,705 | |||
Expenses: | ||||
Management fees | 230,132 | |||
Transfer agent and administrative fees | 63,925 | |||
Distribution and Service Fees: | ||||
A-Class | 12,761 | |||
C-Class | 39,259 | |||
H-Class | 41,350 | |||
Portfolio accounting fees | 25,570 | |||
Trustees’ fees** | 2,544 | |||
Miscellaneous | 50,831 | |||
Total expenses | 466,372 | |||
Net investment loss | (426,667 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Currency index swaps | (383,803 | ) | ||
Futures contracts | 729,067 | |||
Net realized gain | 345,264 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Currency index swaps | (549,036 | ) | ||
Futures contracts | (2,521,875 | ) | ||
Net unrealized depreciation | (3,070,911 | ) | ||
Net loss | (2,725,647 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,152,314 | ) | |
* | Net asset value adjusted for the maximum sales charge of |
4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustee not deemed “interested persons” within the |
meaning of Section 2(a)(19) of the 1940 Act. |
184 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
STRENGTHENING DOLLAR 2x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (426,667 | ) | $ | (780,540 | ) | ||
Net realized gain (loss) during the period on investments | 345,264 | (4,420,826 | ) | |||||
Net unrealized appreciation (depreciation) during the period on investments | (3,070,911 | ) | 718,422 | |||||
Net decrease in net assets resulting from operations | (3,152,314 | ) | (4,482,944 | ) | ||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 13,091,838 | 26,981,177 | ||||||
C-Class | 59,607,560 | 166,010,494 | ||||||
H-Class | 160,572,870 | 430,502,636 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (23,102,946 | ) | (17,004,512 | ) | ||||
C-Class | (63,884,854 | ) | (160,038,197 | ) | ||||
H-Class | (200,612,460 | ) | (388,785,531 | ) | ||||
Net increase (decrease) from capital share transactions | (54,327,992 | ) | 57,666,067 | |||||
Net increase (decrease) in net assets | (57,480,306 | ) | 53,183,123 | |||||
Net assets: | ||||||||
Beginning of period | 88,371,646 | 35,188,523 | ||||||
End of period | $ | 30,891,340 | $ | 88,371,646 | ||||
Accumulated net investment loss at end of period | $ | (426,667 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 743,965 | 1,701,391 | ||||||
C-Class | 3,635,381 | 10,697,848 | ||||||
H-Class | 9,377,779 | 26,303,063 | ||||||
Shares redeemed | ||||||||
A-Class | (1,339,673 | ) | (1,046,283 | ) | ||||
C-Class | (3,914,423 | ) | (10,325,916 | ) | ||||
H-Class | (11,848,773 | ) | (23,698,004 | ) | ||||
Total capital share activity | (3,345,744 | ) | 3,632,099 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 185 |
1
STRENGTHENING DOLLAR 2x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $16.38 | $19.64 | $19.85 | $25.35 | $27.74 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.13 | ) | (.25 | ) | .02 | .39 | .91 | .50 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.32 | ) | (3.01 | ) | 6.50 | (5.89 | ) | (3.30 | ) | 2.37 | ||||||||||||||
Total from investment operations | (1.45 | ) | (3.26 | ) | 6.52 | (5.50 | ) | (2.39 | ) | 2.87 | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.13 | ) | |||||||||||||||||
Distributions from realized gains | — | — | (6.73 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (6.73 | ) | — | — | (.13 | ) | ||||||||||||||||
Net asset value, end of period | $14.93 | $16.38 | $19.64 | $19.85 | $25.35 | $27.74 | ||||||||||||||||||
Total Returnd | (8.85% | ) | (16.60% | ) | 30.59% | (21.70% | ) | (8.62% | ) | 11.47% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $6,446 | $16,833 | $7,314 | $2,795 | $108 | $91 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.55% | ) | (1.57% | ) | 0.07% | 1.73% | 3.53% | 2.17% | e | |||||||||||||||
Total expenses | 1.71% | 1.67% | 1.69% | 1.66% | 1.66% | 1.68% | e | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $15.74 | $19.01 | $19.42 | $24.99 | $27.56 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.19 | ) | (.36 | ) | (.14 | ) | .42 | .70 | .36 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.27 | ) | (2.91 | ) | 6.46 | (5.99 | ) | (3.27 | ) | 2.33 | ||||||||||||||
Total from investment operations | (1.46 | ) | (3.27 | ) | 6.32 | (5.57 | ) | (2.57 | ) | 2.69 | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.13 | ) | |||||||||||||||||
Distributions from realized gains | — | — | (6.73 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (6.73 | ) | — | — | (.13 | ) | ||||||||||||||||
Net asset value, end of period | $14.28 | $15.74 | $19.01 | $19.42 | $24.99 | $27.56 | ||||||||||||||||||
Total Returnd | (9.28% | ) | (17.20% | ) | 30.36% | (22.29% | ) | (9.33% | ) | 10.75% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,630 | $10,594 | $5,728 | $6,131 | $2,630 | $769 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.30% | ) | (2.31% | ) | (0.66% | ) | 1.84% | 2.75% | 1.51% | e | ||||||||||||||
Total expenses | 2.46% | 2.42% | 2.44% | 2.40% | 2.40% | 2.41% | e | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
186 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
2
STRENGTHENING DOLLAR 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $16.31 | $19.56 | $19.83 | $25.33 | $27.71 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.14 | ) | (.25 | ) | .02 | .57 | .90 | .51 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.31 | ) | (3.00 | ) | 6.44 | (6.07 | ) | (3.28 | ) | 2.33 | ||||||||||||||
Total from investment operations | (1.45 | ) | (3.25 | ) | 6.46 | (5.50 | ) | (2.38 | ) | 2.84 | ||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.13 | ) | |||||||||||||||||
Distributions from realized gains | — | — | (6.73 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (6.73 | ) | — | — | (.13 | ) | ||||||||||||||||
Net asset value, end of period | $14.86 | $16.31 | $19.56 | $19.83 | $25.33 | $27.71 | ||||||||||||||||||
Total Returnd | (8.89% | ) | (16.62% | ) | 30.25% | (21.71% | ) | (8.59% | ) | 11.35% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $18,816 | $60,944 | $22,147 | $29,011 | $11,946 | $7,270 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.56% | ) | (1.57% | ) | 0.08% | 2.44% | 3.47% | 2.19% | e | |||||||||||||||
Total expenses | 1.71% | 1.67% | 1.69% | 1.66% | 1.66% | 1.66% | e | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
| |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations May 25, 2005. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Annualized |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 187 |
3
FUND PROFILE (Unaudited)
September 30, 2010
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664d4.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | May 25, 2005 | |||
C-Class | May 25, 2005 | |||
H-Class | May 25, 2005 | |||
The Fund invests principally in derivative investments such as currency index swap agreements and futures contracts. |
188 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
WEAKENING DOLLAR 2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 94.9% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 17,251,083 | $ | 17,251,083 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 17,231,878 | 17,231,878 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 7,120,611 | 7,120,611 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 3,071,432 | 3,071,432 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 1,780,153 | 1,780,153 | ||||||
Total Repurchase Agreements (Cost $46,455,157) | 46,455,157 | |||||||
Total Investments – 94.9% (Cost $46,455,157) | $ | 46,455,157 | ||||||
Cash & Other Assets, Less Liabilities – 5.1% | 2,479,665 | |||||||
Total Net Assets – 100.0% | $ | 48,934,822 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $68,629,275) | 869 | $ | 2,524,290 | |||||
UNITS | ||||||||
CURRENCY INDEX SWAP AGREEMENT SOLD SHORT†† | ||||||||
Goldman Sachs International November 2010 U.S. Dollar Index Swap, Terminating 11/26/103 (Notional Market Value $30,072,933) | 380,829 | $ | 800,754 | |||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2010. |
3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 189 |
WEAKENING DOLLAR 2x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 46,455,157 | ||
Total investments | 46,455,157 | |||
Segregated cash with broker | 1,042,800 | |||
Unrealized appreciation on swap agreements | 800,754 | |||
Receivable for swap settlement | 6,099 | |||
Receivables: | ||||
Fund shares sold | 1,591,370 | |||
Interest | 254 | |||
Total assets | 49,896,434 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 60,830 | |||
Fund shares redeemed | 809,399 | |||
Management fees | 27,593 | |||
Custodian fees | 1,011 | |||
Transfer agent/maintenance fees | 7,665 | |||
Distribution and service fees | 10,639 | |||
Portfolio accounting fees | 3,066 | |||
Licensing fees | 5,411 | |||
Other | 35,998 | |||
Total liabilities | 961,612 | |||
Net assets | $ | 48,934,822 | ||
Net assets consist of: | ||||
Paid in capital | 62,031,817 | |||
Accumulated net investment loss | (295,965 | ) | ||
Accumulated net realized loss on sale of investments | (16,126,074 | ) | ||
Net unrealized appreciation in value of investments | 3,325,044 | |||
Net assets | 48,934,822 | |||
A-Class: | ||||
Net assets | $ | 5,671,278 | ||
Capital shares outstanding | 299,031 | |||
Net asset value per share | $18.97 | |||
Maximum offering price per share* | $19.92 | |||
C-CLASS: | ||||
Net assets | $ | 6,113,572 | ||
Capital shares outstanding | 339,652 | |||
Net asset value per share | $18.00 | |||
H-Class: | ||||
Net assets | $ | 37,149,972 | ||
Capital shares outstanding | 1,960,826 | |||
Net asset value per share | $18.95 | |||
Repurchase agreement, at cost | $ | 46,455,157 | ||
Total cost | $ | 46,455,157 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 30,976 | ||
Total investment income | 30,976 | |||
Expenses: | ||||
Management fees | 163,275 | |||
Transfer agent and administrative fees | 45,354 | |||
Distribution and Service Fees: | ||||
A-Class | 6,755 | |||
C-Class | 23,560 | |||
H-Class | 32,709 | |||
Portfolio accounting fees | 18,142 | |||
Trustees’ fees** | 1,464 | |||
Registration | 25,968 | |||
Miscellaneous | 9,714 | |||
Total expenses | 326,941 | |||
Net investment loss | (295,965 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Currency index swaps | (506,778 | ) | ||
Futures contracts | (1,949,695 | ) | ||
Net realized loss | (2,456,473 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Currency index swaps | 832,611 | |||
Futures contracts | 3,004,428 | |||
Net unrealized appreciation | 3,837,039 | |||
Net realized and unrealized gain | 1,380,566 | |||
Net increase in net assets resulting from operations | $ | 1,084,601 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
190 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
WEAKENING DOLLAR 2x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (295,965 | ) | $ | (1,655,237 | ) | ||
Net realized gain (loss) during the period on investments | (2,456,473 | ) | 23,650,520 | |||||
Net unrealized appreciation (depreciation) during the period on investments | 3,837,039 | (5,860,381 | ) | |||||
Net increase in net assets resulting from operations | 1,084,601 | 16,134,902 | ||||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,808,401 | 29,337,819 | ||||||
C-Class | 4,506,098 | 71,736,946 | ||||||
H-Class | 69,257,666 | 292,106,948 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (3,030,187 | ) | (43,837,092 | ) | ||||
C-Class | (3,867,624 | ) | (76,123,193 | ) | ||||
H-Class | (62,926,259 | ) | (333,831,802 | ) | ||||
Net increase (decrease) from capital share transactions | 5,748,095 | (60,610,374 | ) | |||||
Net increase (decrease) in net assets | 6,832,696 | (44,475,472 | ) | |||||
Net assets: | ||||||||
Beginning of period | 42,102,126 | 86,577,598 | ||||||
End of period | $ | 48,934,822 | $ | 42,102,126 | ||||
Accumulated net investment loss at end of period | $ | (295,965 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 106,581 | 1,547,781 | ||||||
C-Class | 266,658 | 3,852,060 | ||||||
H-Class | 3,984,660 | 15,923,652 | ||||||
Shares redeemed | ||||||||
A-Class | (183,207 | ) | (2,249,051 | ) | ||||
C-Class | (237,405 | ) | (4,093,956 | ) | ||||
H-Class | (3,696,407 | ) | (17,931,721 | ) | ||||
Total capital share activity | 240,880 | (2,951,235 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 191 |
WEAKENING DOLLAR 2x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $17.98 | $16.38 | $29.27 | $26.18 | $22.70 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.13 | ) | (.30 | ) | (.07 | ) | .70 | .91 | .51 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.12 | 1.90 | (8.77 | ) | 7.17 | 2.57 | (2.67 | ) | ||||||||||||||||
Total from investment operations | .99 | 1.60 | (8.84 | ) | 7.87 | 3.48 | (2.16 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (1.28 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Distributions from realized gains | — | — | (2.77 | ) | (— | )e | — | — | ||||||||||||||||
Total distributions | — | — | (4.05 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Net asset value, end of period | $18.97 | $17.98 | $16.38 | $29.27 | $26.18 | $22.70 | ||||||||||||||||||
Total Returnd | 5.51% | 9.77% | (29.87% | ) | 32.49% | 15.33% | (8.65% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,671 | $6,753 | $17,642 | $22,148 | $21,502 | $2,989 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.54% | ) | (1.57% | ) | (0.30% | ) | 2.51% | 3.63% | 2.66% | f | ||||||||||||||
Total expenses | 1.71% | 1.68% | 1.69% | 1.67% | 1.65% | 1.70% | f | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $17.12 | $15.73 | $28.53 | $25.81 | $22.55 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.19 | ) | (.43 | ) | (.21 | ) | .43 | .71 | .34 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.07 | 1.82 | (8.54 | ) | 7.07 | 2.55 | (2.65 | ) | ||||||||||||||||
Total from investment operations | .88 | 1.39 | (8.75 | ) | 7.50 | 3.26 | (2.31 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (1.28 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Distributions from realized gains | — | — | (2.77 | ) | (— | )e | — | — | ||||||||||||||||
Total distributions | — | — | (4.05 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Net asset value, end of period | $18.00 | $17.12 | $15.73 | $28.53 | $25.81 | $22.55 | ||||||||||||||||||
Total Returnd | 5.14% | 8.84% | (30.37% | ) | 31.47% | 14.46% | (9.25% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $6,114 | $5,314 | $8,687 | $21,604 | $14,160 | $3,916 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.28% | ) | (2.32% | ) | (0.93% | ) | 1.57% | 2.87% | 1.79% | f | ||||||||||||||
Total expenses | 2.46% | 2.43% | 2.45% | 2.41% | 2.40% | 2.46% | f | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
192 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
WEAKENING DOLLAR 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | b | ||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $17.96 | $16.37 | $29.25 | $26.18 | $22.69 | $25.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.13 | ) | (.30 | ) | (.03 | ) | .68 | .90 | .49 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.12 | 1.89 | (8.80 | ) | 7.17 | 2.59 | (2.66 | ) | ||||||||||||||||
Total from investment operations | .99 | 1.59 | (8.83 | ) | 7.85 | 3.49 | (2.17 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (1.28 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Distributions from realized gains | — | — | (2.77 | ) | (— | )e | — | — | ||||||||||||||||
Total distributions | — | — | (4.05 | ) | (4.78 | ) | — | (.14 | ) | |||||||||||||||
Net asset value, end of period | $18.95 | $17.96 | $16.37 | $29.25 | $26.18 | $22.69 | ||||||||||||||||||
Total Returnd | 5.51% | 9.71% | (29.86% | ) | 32.41% | 15.38% | (8.69% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $37,150 | $30,036 | $60,249 | $103,867 | $110,480 | $51,710 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.53% | ) | (1.57% | ) | (0.13% | ) | 2.45% | 3.60% | 2.53% | f | ||||||||||||||
Total expenses | 1.70% | 1.68% | 1.70% | 1.67% | 1.65% | 1.68% | f | |||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations May 25, 2005. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Less than $.01 per share. |
f | Annualized |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 193 |
FUND PROFILE (Unaudited)
September 30, 2010
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry including real estate investment trusts (“REIT”) (collectively, “Real Estate Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PREFORMACE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c6.gif)
“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) | ||||
Simon Property Group, Inc. | 3.4 | % | ||
Public Storage | 2.7 | % | ||
Vornado Realty Trust | 2.6 | % | ||
Equity Residential | 2.4 | % | ||
Boston Properties, Inc. | 2.2 | % | ||
HCP, Inc. | 2.1 | % | ||
Annaly Capital Management, Inc. | 2.0 | % | ||
Host Hotels & Resorts, Inc. | 1.9 | % | ||
AvalonBay Communities, Inc. | 1.8 | % | ||
Ventas, Inc. | 1.8 | % | ||
Top Ten Total | 22.9 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
194 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
REAL ESTATE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.4% | ||||||||
REAL ESTATE INVESTMENT TRUSTS (REITS) - 91.3% SPECIALIZED REIT’S - 25.7% | ||||||||
Public Storage | 16,166 | $ | 1,568,749 | |||||
HCP, Inc. | 34,163 | 1,229,185 | ||||||
Host Hotels & Resorts, Inc. | 76,470 | 1,107,286 | ||||||
Ventas, Inc. | 20,780 | 1,071,625 | ||||||
Health Care REIT, Inc. | 19,519 | 924,029 | ||||||
Plum Creek Timber Company, Inc. | 24,297 | 857,684 | ||||||
Nationwide Health Properties, Inc. | 21,011 | 812,495 | ||||||
Rayonier, Inc. | 15,266 | 765,132 | ||||||
Senior Housing Properties Trust | 28,395 | 667,282 | ||||||
Hospitality Properties Trust | 27,038 | 603,759 | ||||||
Omega Healthcare Investors, Inc. | 24,652 | 553,437 | ||||||
Entertainment Properties Trust | 12,395 | 535,216 | ||||||
LaSalle Hotel Properties | 20,068 | 469,391 | ||||||
DiamondRock Hospitality Co.* | 48,399 | 459,307 | ||||||
Extra Space Storage, Inc. | 28,375 | 455,135 | ||||||
Healthcare Realty Trust, Inc. | 19,309 | 451,637 | ||||||
Medical Properties Trust, Inc. | 39,601 | 401,554 | ||||||
Potlatch Corp. | 11,687 | 397,358 | ||||||
Sovran Self Storage, Inc. | 9,218 | 349,362 | ||||||
U-Store-It Trust | 39,740 | 331,829 | ||||||
Hersha Hospitality Trust | 61,639 | 319,290 | ||||||
Sunstone Hotel Investors, Inc.* | 34,091 | 309,205 | ||||||
National Health Investors, Inc. | 5,229 | 230,390 | ||||||
Total Specialized Reit’s | 14,870,337 | |||||||
RETAIL REIT’S - 19.3% | ||||||||
Simon Property Group, Inc. | 21,308 | 1,976,104 | ||||||
Kimco Realty Corp. | 61,073 | 961,900 | ||||||
Macerich Co. | 20,558 | 882,966 | ||||||
Federal Realty Investment Trust | 10,515 | 858,655 | ||||||
General Growth Properties, Inc. | 54,070 | 843,492 | ||||||
Realty Income Corp. | 20,930 | 705,760 | ||||||
Regency Centers Corp. | 17,187 | 678,371 | ||||||
Developers Diversified Realty Corp. | 54,133 | 607,372 | ||||||
Weingarten Realty Investors | 27,705 | 604,523 | ||||||
Taubman Centers, Inc. | 13,211 | 589,343 | ||||||
National Retail Properties, Inc. | 22,447 | 563,644 | ||||||
Tanger Factory Outlet Centers | 11,514 | 542,770 | ||||||
CBL & Associates Properties, Inc. | 36,640 | 478,518 | ||||||
Equity One, Inc. | 19,496 | 329,092 | ||||||
Acadia Realty Trust | 15,512 | 294,728 | ||||||
Pennsylvania Real Estate Investment Trust | 22,809 | 270,515 | ||||||
Total Retail Reit’s | 11,187,753 | |||||||
OFFICE REIT’S - 15.1% | ||||||||
Boston Properties, Inc. | 15,496 | 1,288,027 | ||||||
Digital Realty Trust, Inc. | 13,751 | 848,437 | ||||||
SL Green Realty Corp. | 12,886 | 816,070 | ||||||
Alexandria Real Estate Equities, Inc. | 9,004 | 630,280 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Mack-Cali Realty Corp. | 18,129 | $ | 593,000 | |||||
Duke Realty Corp. | 50,591 | 586,350 | ||||||
Douglas Emmett, Inc. | 32,579 | 570,458 | ||||||
Highwoods Properties, Inc. | 17,529 | 569,167 | ||||||
Corporate Office Properties Trust | 14,386 | 536,742 | ||||||
BioMed Realty Trust, Inc. | 29,489 | 528,443 | ||||||
Kilroy Realty Corp. | 14,483 | 479,967 | ||||||
Brandywine Realty Trust | 38,864 | 476,084 | ||||||
CommonWealth REIT | 17,987 | 460,467 | ||||||
Lexington Realty Trust | 54,397 | 389,482 | ||||||
Total Office Reit’s | 8,772,974 | |||||||
RESIDENTIAL REIT’S - 13.9% | ||||||||
Equity Residential | 28,827 | 1,371,300 | ||||||
AvalonBay Communities, Inc. | 10,350 | 1,075,676 | ||||||
UDR, Inc. | 32,693 | 690,476 | ||||||
Essex Property Trust, Inc. | 6,145 | 672,509 | ||||||
Camden Property Trust | 13,798 | 661,890 | ||||||
BRE Properties, Inc. | 14,298 | 593,367 | ||||||
Apartment Investment & Management Co. — Class A | 26,677 | 570,354 | ||||||
Home Properties, Inc. | 9,936 | 525,614 | ||||||
Mid-America Apartment Communities, Inc. | 8,774 | 511,349 | ||||||
Equity Lifestyle Properties, Inc. | 8,920 | 485,962 | ||||||
American Campus Communities, Inc. | 15,745 | 479,278 | ||||||
Post Properties, Inc. | 15,903 | 444,012 | ||||||
Total Residential Reit’s | 8,081,787 | |||||||
DIVERSIFIED REIT’S - 6.5% | ||||||||
Vornado Realty Trust | 17,650 | 1,509,604 | ||||||
Liberty Property Trust | 22,177 | 707,446 | ||||||
Washington Real Estate Investment Trust | 16,840 | 534,333 | ||||||
Colonial Properties Trust | 24,779 | 401,172 | ||||||
Cousins Properties, Inc. | 44,876 | 320,415 | ||||||
PS Business Parks, Inc. | 4,852 | 274,478 | ||||||
Total Diversified Reit’s | 3,747,448 | |||||||
MORTGAGE REIT’S - 6.0% | ||||||||
Annaly Capital Management, Inc. | 66,448 | 1,169,485 | ||||||
MFA Financial, Inc. | 71,602 | 546,323 | ||||||
Redwood Trust, Inc. | 26,180 | 378,563 | ||||||
Hatteras Financial Corp. | 12,971 | 369,284 | ||||||
Anworth Mortgage Asset Corp. | 48,745 | 347,552 | ||||||
American Capital Agency Corp. | 12,551 | 333,480 | ||||||
Capstead Mortgage Corp. | 29,260 | 318,056 | ||||||
Total Mortgage Reit’s | 3,462,743 | |||||||
INDUSTRIAL REIT’S - 4.8% | ||||||||
ProLogis | 75,939 | 894,561 | ||||||
AMB Property Corp. | 29,327 | 776,286 | ||||||
DuPont Fabros Technology, Inc. | 17,815 | 448,047 | ||||||
DCT Industrial Trust, Inc. | 75,465 | 361,477 | ||||||
EastGroup Properties, Inc. | 8,354 | 312,273 | ||||||
Total Industrial Reit’s | 2,792,644 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 195 |
2
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
REAL ESTATE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Total Real Estate Investment | ||||||||
Trusts (REITs) | $ | 52,915,686 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT - 8.1% | ||||||||
REAL ESTATE SERVICES - 3.9% | ||||||||
CB Richard Ellis Group, Inc. — Class A* | 52,803 | 965,239 | ||||||
Jones Lang LaSalle, Inc. | 8,869 | 765,129 | ||||||
E-House China Holdings Ltd. ADR | 28,073 | 529,737 | ||||||
Total Real Estate Services | 2,260,105 | |||||||
DIVERSIFIED REAL ESTATE ACTIVITIES – 2.4% | ||||||||
Brookfield Asset Management, Inc. — Class A | 28,228 | 800,829 | ||||||
St. Joe Co.* | 22,438 | 558,033 | ||||||
Total Diversified Real Estate Activities | 1,358,862 | |||||||
REAL ESTATE OPERATING COMPANIES – 1.8% | ||||||||
Brookfield Properties Corp. | 34,204 | 530,846 | ||||||
Forest City Enterprises, Inc. — Class A* | 40,882 | 524,516 | ||||||
Total Real Estate Operating Companies | 1,055,362 | |||||||
Total Real Estate Management & Development | 4,674,329 | |||||||
Total Common Stocks (Cost $44,924,619) | 57,590,015 | |||||||
Total Investments – 99.4% (Cost $44,924,619) | $ | 57,590,015 | ||||||
Cash & Other Assets, Less Liabilities – 0.6% | 345,627 | |||||||
Total Net Assets – 100.0% | $ | 57,935,642 | ||||||
* | Non-Income Producing Security |
† | Value determined based on Level 1 inputs — See Note 8. ADR — American Depositary Receipt |
REIT — Real Estate Investment Trust |
196 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
REAL ESTATE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 57,590,015 | ||
Total investments | 57,590,015 | |||
Receivables: | ||||
Fund shares sold | 1,842,221 | |||
Dividends | 224,141 | |||
Total assets | 59,656,377 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 494,402 | |||
Payable for: | ||||
Securities purchased | 1,078,949 | |||
Fund shares redeemed | 52,252 | |||
Management fees | 40,097 | |||
Custodian fees | 1,557 | |||
Transfer agent/maintenance fees | 11,793 | |||
Distribution and service fees | 13,109 | |||
Portfolio accounting fees | 4,717 | |||
Other | 23,859 | |||
Total liabilities | 1,720,735 | |||
Net assets | $ | 57,935,642 | ||
Net assets consist of: | ||||
Paid in capital | 65,598,102 | |||
Undistributed net investment income | 805,935 | |||
Accumulated net realized loss on sale of investments | (21,133,791 | ) | ||
Net unrealized appreciation in value of investments | 12,665,396 | |||
Net assets | 57,935,642 | |||
A-Class: | ||||
Net assets | $ | 7,659,090 | ||
Capital shares outstanding | 295,882 | |||
Net asset value per share | $25.89 | |||
Maximum offering price per share* | $27.18 | |||
C-Class: | ||||
Net assets | $ | 1,762,814 | ||
Capital shares outstanding | 71,771 | |||
Net asset value per share | $24.56 | |||
H-Class: | ||||
Net assets | $ | 48,513,738 | ||
Capital shares outstanding | 1,876,070 | |||
Net asset value per share | $25.86 | |||
Investments, at cost | $ | 44,924,619 | ||
Total cost | $ | 44,924,619 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,528) | $ | 810,666 | ||
Interest | 241 | |||
Total investment income | 810,907 | |||
Expenses: | ||||
Management fees | 210,944 | |||
Transfer agent and administrative fees | 62,042 | |||
Distribution and Service Fees: | ||||
A-Class | 7,341 | |||
C-Class | 9,542 | |||
H-Class | 52,316 | |||
Portfolio accounting fees | 24,816 | |||
Trustees’ fees** | 1,757 | |||
Miscellaneous | 41,997 | |||
Total expenses | 410,755 | |||
Net investment income | 400,152 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (3,121,294 | ) | ||
Net realized loss | (3,121,294 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 3,358,888 | |||
Net unrealized appreciation | 3,358,888 | |||
Net realized and unrealized gain | 237,594 | |||
Net increase in net assets resulting from operations | $ | 637,746 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 197 |
4
REAL ESTATE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 400,152 | $ | 553,798 | ||||
Net realized loss during the period on investments | (3,121,294 | ) | (511,338 | ) | ||||
Net unrealized appreciation during the period on investments | 3,358,888 | 8,932,170 | ||||||
Net increase in net assets resulting from operations | 637,746 | 8,974,630 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (41,671 | ) | |||||
C-Class | — | (21,574 | ) | |||||
H-Class | — | (266,325 | ) | |||||
Total distributions to shareholders | — | (329,570 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 11,926,031 | 17,825,648 | ||||||
C-Class | 33,354,979 | 65,977,573 | ||||||
H-Class | 129,102,368 | 353,762,266 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 41,288 | ||||||
C-Class | — | 21,361 | ||||||
H-Class | — | 255,420 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (8,894,244 | ) | (16,882,349 | ) | ||||
C-Class | (34,179,229 | ) | (65,957,944 | ) | ||||
H-Class | (115,384,618 | ) | (326,701,549 | ) | ||||
Net increase from capital share transactions | 15,925,287 | 28,341,714 | ||||||
Net increase in net assets | 16,563,033 | 36,986,774 | ||||||
Net assets: | ||||||||
Beginning of period | 41,372,609 | 4,385,835 | ||||||
End of period | $ | 57,935,642 | $ | 41,372,609 | ||||
Undistributed net investment income at end of period | $ | 805,935 | $ | 405,783 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 488,247 | 883,574 | ||||||
C-Class | 1,398,609 | 3,517,526 | ||||||
H-Class | 5,180,466 | 17,097,247 | ||||||
Shares reinvested | ||||||||
A-Class | — | 1,881 | ||||||
C-Class | — | 1,018 | ||||||
H-Class | — | 11,647 | ||||||
Shares redeemed | ||||||||
A-Class | (369,901 | ) | (829,057 | ) | ||||
C-Class | (1,419,597 | ) | (3,512,985 | ) | ||||
H-Class | (4,746,698 | ) | (15,803,603 | ) | ||||
Total capital share activity | 531,126 | 1,367,248 | ||||||
198 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
REAL ESTATE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $24.24 | $12.83 | $32.42 | $42.16 | $36.46 | $27.84 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .19 | .44 | .74 | .54 | .46 | .64 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.46 | 11.11 | (19.43 | ) | (10.05 | ) | 5.53 | 8.18 | ||||||||||||||||
Total from investment operations | 1.65 | 11.55 | (18.69 | ) | (9.51 | ) | 5.99 | 8.82 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (.90 | ) | (.23 | ) | (.17 | ) | — | ||||||||||||||
Distributions from realized gains | — | — | — | — | (.12 | ) | (.20 | ) | ||||||||||||||||
Total distributions | — | (.14 | ) | (.90 | ) | (.23 | ) | (.29 | ) | (.20 | ) | |||||||||||||
Net asset value, end of period | $25.89 | $24.24 | $12.83 | $32.42 | $42.16 | $36.46 | ||||||||||||||||||
Total Returnc | 6.81% | 90.16% | (58.00% | ) | (22.59% | ) | 16.43% | 31.75% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $7,659 | $4,303 | $1,554 | $2,866 | $9,061 | $375 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.56% | 2.15% | 2.81% | 1.45% | 1.10% | 2.02% | ||||||||||||||||||
Total expenses | 1.63% | 1.65% | 1.68% | 1.64% | 1.61% | 1.57% | ||||||||||||||||||
Portfolio turnover rate | 205% | 1,520% | 780% | 832% | 762% | 1,304% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $23.11 | $12.33 | $31.44 | $41.22 | $35.93 | $27.64 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .08 | .40 | .66 | .29 | .19 | .43 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.37 | 10.52 | (18.87 | ) | (9.84 | ) | 5.39 | 8.06 | ||||||||||||||||
Total from investment operations | 1.45 | 10.92 | (18.21 | ) | (9.55 | ) | 5.58 | 8.49 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (.90 | ) | (.23 | ) | (.17 | ) | — | ||||||||||||||
Distributions from realized gains | — | — | — | — | (.12 | ) | (.20 | ) | ||||||||||||||||
Total distributions | — | (.14 | ) | (.90 | ) | (.23 | ) | (.29 | ) | (.20 | ) | |||||||||||||
Net asset value, end of period | $24.56 | $23.11 | $12.33 | $31.44 | $41.22 | $35.93 | ||||||||||||||||||
Total Returnc | 6.27% | 88.70% | (58.28% | ) | (23.21% | ) | 15.53% | 30.79% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,763 | $2,143 | $1,075 | $2,290 | $5,469 | $3,548 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.66% | 2.06% | 2.62% | 0.78% | 0.48% | 1.35% | ||||||||||||||||||
Total expenses | 2.38% | 2.41% | 2.42% | 2.39% | 2.36% | 2.36% | ||||||||||||||||||
Portfolio turnover rate | 205% | 1,520% | 780% | 832% | 762% | 1,304% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 199 |
REAL ESTATE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $24.22 | $12.82 | $32.40 | $42.14 | $36.47 | $27.85 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .21 | .50 | .61 | .53 | .54 | .57 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.43 | 11.04 | (19.29 | ) | (10.04 | ) | 5.42 | 8.25 | ||||||||||||||||
Total from investment operations | 1.64 | 11.54 | (18.68 | ) | (9.51 | ) | 5.96 | 8.82 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (.90 | ) | (.23 | ) | (.17 | ) | — | ||||||||||||||
Distributions from realized gains | — | — | — | — | (.12 | ) | (.20 | ) | ||||||||||||||||
Total distributions | — | (.14 | ) | (.90 | ) | (.23 | ) | (.29 | ) | (.20 | ) | |||||||||||||
Net asset value, end of period | $25.86 | $24.22 | $12.82 | $32.40 | $42.14 | $36.47 | ||||||||||||||||||
Total Returnc | 6.77% | 90.15% | (58.01% | ) | (22.60% | ) | 16.34% | 31.74% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $48,514 | $34,926 | $1,757 | $14,140 | $25,784 | $49,591 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.66% | 2.41% | 2.14% | 1.43% | 1.35% | 1.78% | ||||||||||||||||||
Total expenses | 1.63% | 1.68% | 1.64% | 1.64% | 1.62% | 1.59% | ||||||||||||||||||
Portfolio turnover rate | 205% | 1,520% | 780% | 832% | 762% | 1,304% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
200 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: To provide investment results that correspond to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. 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)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c7.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | January 3, 1994 | |||
Advisor Class | August 1, 2003 | |||
A-Class | March 31, 2004 | |||
C-Class | May 2, 2001 | |||
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 201 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
U.S. TREASURY OBLIGATIONS† - 93.7% | ||||||||
U.S. Treasury Bond 3.88% due 08/15/40 | $ | 142,304,000 | $ | 147,106,760 | ||||
Total U.S. Treasury Obligations (Cost $144,706,778) | 147,106,760 | |||||||
REPURCHASE AGREEMENTS††,1 - 2.0% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 1,230,131 | 1,230,131 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 1,228,761 | 1,228,761 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 507,753 | 507,753 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 129,726 | 129,726 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 126,938 | 126,938 | ||||||
Total Repurchase Agreements (Cost $3,223,309) | 3,223,309 | |||||||
Total Investments – 95.7% (Cost $147,930,087) | $ | 150,330,069 | ||||||
Cash & Other Assets, Less Liabilities – 4.3% | 6,721,935 | |||||||
Total Net Assets – 100.0% | $ | 157,052,004 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 Ultra Long-Term | ||||||||
U.S. Treasury Bond Futures Contracts | ||||||||
(Aggregate Market Value of Contracts $45,896,094) | 325 | $ | 596,491 | |||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
202 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 147,106,760 | ||
Repurchase agreement, at value | 3,223,309 | |||
Total investments | 150,330,069 | |||
Segregated cash with broker | 787,500 | |||
Cash | 1,231 | |||
Receivables: | ||||
Variation margin | 27,144 | |||
Fund shares sold | 37,208,508 | |||
Interest | 558,290 | |||
Total assets | 188,912,742 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 30,495,625 | |||
Fund shares redeemed | 1,134,403 | |||
Management fees | 54,076 | |||
Custodian fees | 3,569 | |||
Transfer agent/maintenance fees | 21,631 | |||
Distribution and service fees | 26,341 | |||
Portfolio accounting fees | 10,815 | |||
Interest | 27,429 | |||
Other | 86,849 | |||
Total liabilities | 31,860,738 | |||
Net assets | $ | 157,052,004 | ||
Net assets consist of: | ||||
Paid in capital | 174,502,969 | |||
Undistributed net investment income | 157,920 | |||
Accumulated net realized loss on sale of investments | (20,605,358 | ) | ||
Net unrealized appreciation in value of investments | 2,996,473 | |||
Net assets | 157,052,004 | |||
Investor Class | ||||
Net assets | $ | 106,703,861 | ||
Capital shares outstanding | 7,891,375 | |||
Net asset value per share | $13.52 | |||
Advisor Class | ||||
Net assets | $ | 30,695,473 | ||
Capital shares outstanding | 2,280,777 | |||
Net asset value per share | $13.46 | |||
A-Class: | ||||
Net assets | $ | 3,529,504 | ||
Capital shares outstanding | 260,758 | |||
Net asset value per share | $13.54 | |||
Maximum offering price per share* | $14.22 | |||
C-Class: | ||||
Net assets | $ | 16,123,166 | ||
Capital shares outstanding | 1,193,641 | |||
Net asset value per share | $13.51 | |||
Investments, at cost | $ | 144,706,778 | ||
Repurchase agreement, at cost | 3,223,309 | |||
Total cost | $ | 147,930,087 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 2,899,243 | ||
Total investment income | 2,899,243 | |||
Expenses: | ||||
Management fees | 365,627 | |||
Transfer agent and administrative fees | 146,253 | |||
Distribution and Service Fees: | ||||
Advisor Class | 93,711 | |||
A-Class | 5,375 | |||
C-Class | 76,150 | |||
Portfolio accounting fees | 72,424 | |||
Trustees’ fees** | 6,556 | |||
Registration | 52,749 | |||
Miscellaneous | 67,529 | |||
Total expenses | 886,374 | |||
Net investment income | 2,012,869 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 12,162,909 | |||
Futures contracts | 5,291,344 | |||
Net realized gain | 17,454,253 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 5,204,301 | |||
Futures contracts | 306,014 | |||
Net unrealized appreciation | 5,510,315 | |||
Net realized and unrealized gain | 22,964,568 | |||
Net increase in net assets resulting from operations | $ | 24,977,437 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 203 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 2,012,869 | $ | 5,373,225 | ||||
Net realized gain (loss) during the period on investments | 17,454,253 | (33,938,618 | ) | |||||
Net unrealized appreciation (depreciation) during the period on investments | 5,510,315 | (4,919,639 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 24,977,437 | (33,485,032 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | (1,375,134 | ) | (4,391,419 | ) | ||||
Advisor Class | (455,508 | ) | (539,964 | ) | ||||
A-Class | (58,428 | ) | (190,623 | ) | ||||
C-Class | (147,179 | ) | (253,542 | ) | ||||
Total distributions to shareholders | (2,036,249 | ) | (5,375,548 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 565,863,881 | 2,310,502,198 | ||||||
Advisor Class | 658,960,056 | 1,023,385,056 | ||||||
A-Class | 12,910,383 | 17,597,007 | ||||||
C-Class | 42,078,677 | 143,663,196 | ||||||
Distributions reinvested | ||||||||
Investor Class | 1,300,480 | 4,265,561 | ||||||
Advisor Class | 453,643 | 534,630 | ||||||
A-Class | 49,444 | 163,087 | ||||||
C-Class | 138,768 | 237,852 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (755,236,506 | ) | (2,043,495,107 | ) | ||||
Advisor Class | (664,421,243 | ) | (1,000,137,157 | ) | ||||
A-Class | (15,936,636 | ) | (21,524,585 | ) | ||||
C-Class | (41,700,052 | ) | (134,407,163 | ) | ||||
Net increase (decrease) from capital share transactions | (195,539,105 | ) | 300,784,575 | |||||
Net increase (decrease) in net assets | (172,597,917 | ) | 261,923,995 | |||||
Net assets: | ||||||||
Beginning of period | 329,649,921 | 67,725,926 | ||||||
End of period | $ | 157,052,004 | $ | 329,649,921 | ||||
Undistributed net investment income at end of period | $ | 157,920 | $ | 181,300 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 45,488,614 | 200,443,233 | ||||||
Advisor Class | 53,448,484 | 90,211,191 | ||||||
A-Class | 1,026,621 | 1,521,794 | ||||||
C-Class | 3,417,454 | 12,375,186 | ||||||
Shares reinvested | ||||||||
Investor Class | 105,756 | 368,377 | ||||||
Advisor Class | 36,448 | 47,172 | ||||||
A-Class | 3,939 | 13,965 | ||||||
C-Class | 10,999 | 20,611 | ||||||
Shares redeemed | ||||||||
Investor Class | (63,471,319 | ) | (178,191,181 | ) | ||||
Advisor Class | (53,867,732 | ) | (88,170,899 | ) | ||||
A-Class | (1,278,434 | ) | (1,835,763 | ) | ||||
C-Class | (3,395,400 | ) | (11,636,268 | ) | ||||
Total capital share activity | (18,474,570 | ) | 25,167,418 | |||||
204 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $10.96 | $13.74 | $11.78 | $10.59 | $10.50 | $11.04 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .19 | .36 | .36 | .40 | .41 | .42 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 2.55 | (2.78 | ) | 1.97 | 1.19 | .09 | (.54 | ) | ||||||||||||||||
Total from investment operations | 2.74 | (2.42 | ) | 2.33 | 1.59 | .50 | (.12 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (.18 | ) | (.36 | ) | (.37 | ) | (.40 | ) | (.41 | ) | (.42 | ) | ||||||||||||
Total distributions | (.18 | ) | (.36 | ) | (.37 | ) | (.40 | ) | (.41 | ) | (.42 | ) | ||||||||||||
Net asset value, end of period | $13.52 | $10.96 | $13.74 | $11.78 | $10.59 | $10.50 | ||||||||||||||||||
Total Returnc | 25.15% | (17.71% | ) | 20.17% | 15.43% | 4.87% | (1.37% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $106,704 | $282,388 | $43,237 | $30,695 | $40,816 | $33,223 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.04% | 3.16% | 2.79% | 3.75% | 3.92% | 3.69% | ||||||||||||||||||
Total expenses | 0.97% | 0.98% | 0.98% | 0.97% | 0.96% | 0.94% | ||||||||||||||||||
Portfolio turnover rate | 720% | 1,503% | 1,794% | 1,142% | 1,357% | 1,451% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $10.88 | $13.66 | $11.72 | $10.54 | $10.50 | $11.07 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .16 | .32 | .31 | .34 | .37 | .37 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 2.57 | (2.80 | ) | 1.93 | 1.19 | .03 | (.57 | ) | ||||||||||||||||
Total from investment operations | 2.73 | (2.48 | ) | 2.24 | 1.53 | .40 | (.20 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (.15 | ) | (.30 | ) | (.30 | ) | (.35 | ) | (.36 | ) | (.37 | ) | ||||||||||||
Total distributions | (.15 | ) | (.30 | ) | (.30 | ) | (.35 | ) | (.36 | ) | (.37 | ) | ||||||||||||
Net asset value, end of period | $13.46 | $10.88 | $13.66 | $11.72 | $10.54 | $10.50 | ||||||||||||||||||
Total Returnc | 25.21% | (18.18% | ) | 19.49% | 14.82% | 3.86% | (2.10% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $30,695 | $28,990 | $7,867 | $25,181 | $10,815 | $21,200 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.42% | 2.76% | 2.49% | 3.13% | 3.44% | 3.16% | ||||||||||||||||||
Total expenses | 1.47% | 1.48% | 1.48% | 1.47% | 1.46% | 1.42% | ||||||||||||||||||
Portfolio turnover rate | 720% | 1,503% | 1,794% | 1,142% | 1,357% | 1,451% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 205 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $10.96 | $13.75 | $11.79 | $10.60 | $10.50 | $11.07 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .17 | .33 | .34 | .38 | .38 | .40 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 2.58 | (2.79 | ) | 1.95 | 1.19 | .10 | (.58 | ) | ||||||||||||||||
Total from investment operations | 2.75 | (2.46 | ) | 2.29 | 1.57 | .48 | (.18 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (.17 | ) | (.33 | ) | (.33 | ) | (.38 | ) | (.38 | ) | (.39 | ) | ||||||||||||
Total distributions | (.17 | ) | (.33 | ) | (.33 | ) | (.38 | ) | (.38 | ) | (.39 | ) | ||||||||||||
Net asset value, end of period | $13.54 | $10.96 | $13.75 | $11.79 | $10.60 | $10.50 | ||||||||||||||||||
Total Returnc | 25.19% | (17.98% | ) | 19.84% | 15.13% | 4.71% | (1.88% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,530 | $5,576 | $11,119 | $20,374 | $11,460 | $1,503 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.70% | 2.84% | 2.74% | 3.44% | 3.64% | 3.45% | ||||||||||||||||||
Total expenses | 1.22% | 1.24% | 1.23% | 1.22% | 1.22% | 1.17% | ||||||||||||||||||
Portfolio turnover rate | 720% | 1,503% | 1,794% | 1,142% | 1,357% | 1,451% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $10.94 | $13.72 | $11.77 | $10.59 | $10.50 | $11.07 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .12 | .25 | .25 | .30 | .31 | .31 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 2.57 | (2.78 | ) | 1.94 | 1.18 | .08 | (.57 | ) | ||||||||||||||||
Total from investment operations | 2.69 | �� | (2.53 | ) | 2.19 | 1.48 | .39 | (.26 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (.12 | ) | (.25 | ) | (.24 | ) | (.30 | ) | (.30 | ) | (.31 | ) | ||||||||||||
Total distributions | (.12 | ) | (.25 | ) | (.24 | ) | (.30 | ) | (.30 | ) | (.31 | ) | ||||||||||||
Net asset value, end of period | $13.51 | $10.94 | $13.72 | $11.77 | $10.59 | $10.50 | ||||||||||||||||||
Total Returnc | 24.68% | (18.56% | ) | 18.90% | 14.20% | 3.84% | (2.61% | ) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $16,123 | $12,695 | $5,502 | $6,239 | $15,640 | $7,293 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.92% | 2.17% | 2.00% | 2.80% | 2.93% | 2.69% | ||||||||||||||||||
Total expenses | 1.97% | 2.00% | 1.97% | 1.98% | 1.96% | 1.93% | ||||||||||||||||||
Portfolio turnover rate | 720% | 1,503% | 1,794% | 1,142% | 1,357% | 1,451% |
206 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 207 |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: To provide total returns that inversely correlate to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PREFORMANCE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c8.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | March 3, 1995 | |||
Advisor Class | August 1, 2003 | |||
A-Class | March 31, 2004 | |||
C-Class | March 28, 2001 | |||
The Fund invests principally in short sales and derivative investments such as futures contracts. |
208 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 50.3% | ||||||||
Freddie Mac1 | ||||||||
0.28% due 10/25/10 | $ | 25,000,000 | $ | 24,998,325 | ||||
0.26% due 06/21/11 | 25,000,000 | 24,963,475 | ||||||
0.26% due 06/24/11 | 25,000,000 | 24,963,050 | ||||||
Fannie Mae1 | ||||||||
0.23% due 04/29/11 | 50,000,000 | 49,947,500 | ||||||
0.26% due 07/11/11 | 50,000,000 | 49,913,550 | ||||||
Farmer Mac2 | ||||||||
0.25% due 06/23/11 | 50,000,000 | 49,926,400 | ||||||
Federal Farm Credit2 | ||||||||
0.47% due 04/07/11 | 25,000,000 | 24,976,500 | ||||||
Total Federal Agency Discount Notes (Cost $249,577,166) | 249,688,800 | |||||||
FEDERAL AGENCY NOTES†† - 4.1% | ||||||||
Freddie Mac1 1.63% due 04/26/11 | 20,000,000 | 20,152,740 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $20,159,105) | 20,152,740 | |||||||
REPURCHASE AGREEMENTS†† - 145.7% | ||||||||
Joint Repurchase Agreements3 | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 102,875,981 | 102,875,981 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 102,761,451 | 102,761,451 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 42,463,410 | 42,463,410 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 10,849,021 | 10,849,021 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 10,615,853 | 10,615,853 |
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
Individual Repurchase Agreement4 | ||||||||
Barclays Capital | ||||||||
issued 09/30/10 at 0.08% due | ||||||||
10/01/10 (Secured by a U.S. | ||||||||
Treasury Bond, at a rate of | ||||||||
3.88% and maturing 08/15/40 | ||||||||
as collateral, with a Market | ||||||||
value of $462,760,131) to be | ||||||||
repurchased at | ||||||||
$453,893,879 | $ | 453,892,871 | $ | 453,892,871 | ||||
Total Repurchase Agreements (Cost $723,458,587) | 723,458,587 | |||||||
Total Long Securities - 200.1% (Cost $993,194,858) | $ | 993,300,127 | ||||||
U.S. TREASURY OBLIGATIONS SOLD SHORT† - (86.4)% | ||||||||
U.S. Treasury Bond 3.88% due 08/15/40 | 415,163,000 | $ | (429,174,752 | ) | ||||
Total U.S. Treasury Obligations Sold Short | ||||||||
(Proceeds $428,148,967) | (429,174,752 | ) | ||||||
Liabilities, Less Cash & Other Assets – (13.7)% | (67,560,259 | ) | ||||||
Total Net Assets – 100.0% | $ | 496,565,116 | ||||||
Unrealized | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 Ultra Long-Term | ||||||||
U.S. Treasury Bond Futures | ||||||||
Contracts (Aggregate | ||||||||
Market Value of | ||||||||
Contracts $75,128,375) | 532 | $ | 1,497,734 | |||||
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 7. |
4 | All or a portion of this security is pledged as short security collateral at September 30, 2010. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 209 |
2
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 269,841,540 | ||
Repurchase agreement, at value | 723,458,587 | |||
Total investments | 993,300,127 | |||
Segregated cash with broker | 2,072,000 | |||
Receivables: | ||||
Fund shares sold | 612,352 | |||
Interest | 142,419 | |||
Total assets | 996,126,898 | |||
Liabilities: | ||||
Securities sold short, at value | 429,174,752 | |||
Payable for: | ||||
Variation margin | 51,870 | |||
Securities purchased | 29,151,750 | |||
Fund shares redeemed | 38,076,372 | |||
Management fees | 375,416 | |||
Custodian fees | 13,765 | |||
Transfer agent/maintenance fees | 104,282 | |||
Distribution and service fees | 114,424 | |||
Portfolio accounting fees | 36,138 | |||
Interest | 2,194,225 | |||
Other | 268,788 | |||
Total liabilities | 499,561,782 | |||
Net assets | $ | 496,565,116 | ||
Net assets consist of: | ||||
Paid in capital | 938,048,036 | |||
Accumulated net investment loss | (14,073,923 | ) | ||
Accumulated net realized loss on sale of investments | (427,986,215 | ) | ||
Net unrealized appreciation in value of investments | 577,218 | |||
Net assets | 496,565,116 | |||
Investor Class: | ||||
Net assets | $ | 286,232,166 | ||
Capital shares outstanding | 24,291,847 | |||
Net asset value per share | $11.78 | |||
Advisor Class: | ||||
Net assets | $ | 51,253,197 | ||
Capital shares outstanding | 4,506,784 | |||
Net asset value per share | $11.37 | |||
A-Class: | ||||
Net assets | $ | 61,606,472 | ||
Capital shares outstanding | 5,337,882 | |||
Net asset value per share | $11.54 | |||
Maximum offering price per share* | $12.12 | |||
C-Class: | ||||
Net assets | $ | 97,473,281 | ||
Capital shares outstanding | 9,113,237 | |||
Net asset value per share | $10.70 | |||
Investments, at cost | $ | 269,736,271 | ||
Repurchase agreement, at cost | 723,458,587 | |||
Total cost | $ | 993,194,858 | ||
Securities sold short, proceeds | 428,148,967 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 904,986 | ||
Total investment income | 904,986 | |||
Expenses: | ||||
Management fees | 2,566,326 | |||
Transfer agent and administrative fees | 712,868 | |||
Distribution and Service Fees: | ||||
Advisor Class | 116,654 | |||
A-Class | 87,833 | |||
C-Class | 583,485 | |||
Portfolio accounting fees | 236,359 | |||
Trustees’ fees** | 57,145 | |||
Short sales interest expense | 10,171,264 | |||
Miscellaneous | 446,975 | |||
Total expenses | 14,978,909 | |||
Net investment loss | (14,073,923 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (9,398 | ) | ||
Securities sold short | (90,402,004 | ) | ||
Futures contracts | (20,529,995 | ) | ||
Net realized loss | (110,941,397 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (5,913,206 | ) | ||
Securities sold short | (87,816 | ) | ||
Futures contracts | 2,816,710 | |||
Net unrealized depreciation | (3,184,312 | ) | ||
Net loss | (114,125,709 | ) | ||
Net decrease in net assets resulting from operations | $ | (128,199,632 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
210 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (14,073,923 | ) | $ | (14,662,876 | ) | ||
Net realized gain (loss) during the period on investments | (110,941,397 | ) | 32,833,058 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (3,184,312 | ) | 21,640,391 | |||||
Net increase (decrease) in net assets resulting from operations | (128,199,632 | ) | 39,810,573 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 472,998,287 | 927,321,564 | ||||||
Advisor Class | 616,166,798 | 1,455,291,300 | ||||||
A-Class | 24,413,761 | 82,743,378 | ||||||
C-Class | 20,424,972 | 119,594,003 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (488,346,751 | ) | (839,298,013 | ) | ||||
Advisor Class | (620,843,858 | ) | (1,430,224,450 | ) | ||||
A-Class | (27,065,969 | ) | (60,831,796 | ) | ||||
C-Class | (36,826,103 | ) | (112,858,177 | ) | ||||
Net increase (decrease) from capital share transactions | (39,078,863 | ) | 141,737,809 | |||||
Net increase (decrease) in net assets | (167,278,495 | ) | 181,548,382 | |||||
Net assets: | ||||||||
Beginning of period | 663,843,611 | 482,295,229 | ||||||
End of period | $ | 496,565,116 | $ | 663,843,611 | ||||
Accumulated net investment loss at end of period | $ | (14,073,923 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 36,213,099 | 63,069,680 | ||||||
Advisor Class | 49,887,521 | 102,550,797 | ||||||
A-Class | 1,885,256 | 5,657,257 | ||||||
C-Class | 1,713,536 | 8,857,871 | ||||||
Shares redeemed | ||||||||
Investor Class | (37,632,924 | ) | (57,561,726 | ) | ||||
Advisor Class | (50,086,356 | ) | (100,559,233 | ) | ||||
A-Class | (2,127,165 | ) | (4,243,912 | ) | ||||
C-Class | (3,111,628 | ) | (8,398,320 | ) | ||||
Total capital share activity | (3,258,661 | ) | 9,372,414 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 211 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.65 | $13.32 | $16.81 | $19.37 | $19.69 | $18.94 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.30 | ) | (.33 | ) | (.11 | ) | .49 | (.09 | ) | (.07 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.57 | ) | 1.66 | (3.38 | ) | (2.39 | ) | .40 | .82 | |||||||||||||||
Total from investment operations | (2.87 | ) | 1.33 | (3.49 | ) | (1.90 | ) | .31 | .75 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Net asset value, end of period | $11.78 | $14.65 | $13.32 | $16.81 | $19.37 | $19.69 | ||||||||||||||||||
Total Returnc | (19.59% | ) | 9.98% | (20.76% | ) | (9.98% | ) | 1.66% | 3.96% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $286,232 | $ | 376,574 | $ | 269,155 | $ | 237,900 | $ | 313,117 | $ | 768,588 | |||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (4.66% | ) | (2.23% | ) | (0.72% | ) | 2.56% | 3.68% | (0.40% | ) | ||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.78% | ||||||||||||||||||
Total expensesf | 4.97% | 2.53% | 2.80% | 3.45% | 4.97% | 4.66% | ||||||||||||||||||
Operating expensesd,f | 1.41% | 1.41% | 1.41% | 1.40% | 1.36% | 1.33% | ||||||||||||||||||
Portfolio turnover rate | 379% | 985% | 584% | 550% | 192% | 179% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.17 | $12.95 | $16.41 | $19.01 | $19.43 | $18.79 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.32 | ) | (.39 | ) | (.18 | ) | .34 | (.18 | ) | (.16 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.48 | ) | 1.61 | (3.28 | ) | (2.28 | ) | .39 | .80 | |||||||||||||||
Total from investment operations | (2.80 | ) | 1.22 | (3.46 | ) | (1.94 | ) | .21 | .64 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Net asset value, end of period | $11.37 | $14.17 | $12.95 | $16.41 | $19.01 | $19.43 | ||||||||||||||||||
Total Returnc | (19.69% | ) | 9.42% | (21.08% | ) | (10.39% | ) | 1.17% | 3.41% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $51,253 | $66,668 | $35,153 | $24,891 | $43,782 | $99,546 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (5.16% | ) | (2.79% | ) | (1.19% | ) | 1.84% | 3.18% | (0.90% | ) | ||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.28% | ||||||||||||||||||
Total expensesf | 5.47% | 3.09% | 3.36% | 4.10% | 5.47% | 5.16% | ||||||||||||||||||
Operating expensesd,f | 1.91% | 1.91% | 1.91% | 1.90% | 1.86% | 1.83% | ||||||||||||||||||
Portfolio turnover rate | 379% | 985% | 584% | 550% | 192% | 179% |
212 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.36 | $13.10 | $16.57 | $19.16 | $19.52 | $18.84 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.31 | ) | (.35 | ) | (.15 | ) | .44 | (.14 | ) | (.12 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.51 | ) | 1.61 | (3.32 | ) | (2.37 | ) | .41 | .80 | |||||||||||||||
Total from investment operations | (2.82 | ) | 1.26 | (3.47 | ) | (1.93 | ) | .27 | .68 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Net asset value, end of period | $11.54 | $14.36 | $13.10 | $16.57 | $19.16 | $19.52 | ||||||||||||||||||
Total Returnc | (19.64% | ) | 9.62% | (20.94% | ) | (10.25% | ) | 1.47% | 3.61% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $61,606 | $80,151 | $54,574 | $37,256 | $69,606 | $124,679 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (4.91% | ) | (2.47% | ) | (0.94% | ) | 2.37% | 3.43% | (0.65% | ) | ||||||||||||||
Combined net investment incomee | — | — | — | — | — | 0.53% | ||||||||||||||||||
Total expensesf | 5.23% | 2.77% | 3.00% | 3.86% | 5.22% | 4.91% | ||||||||||||||||||
Operating expensesd,f | 1.66% | 1.66% | 1.65% | 1.65% | 1.61% | 1.58% | ||||||||||||||||||
Portfolio turnover rate | 379% | 985% | 584% | 550% | 192% | 179% | ||||||||||||||||||
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $13.36 | $12.28 | $15.65 | $18.26 | $18.78 | $18.25 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.34 | ) | (.43 | ) | (.25 | ) | .29 | (.27 | ) | (.25 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (2.32 | ) | 1.51 | (3.12 | ) | (2.24 | ) | .38 | .78 | |||||||||||||||
Total from investment operations | (2.66 | ) | 1.08 | (3.37 | ) | (1.95 | ) | .11 | .53 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.66 | ) | (.63 | ) | — | ||||||||||||||||
Net asset value, end of period | $10.70 | $13.36 | $12.28 | $15.65 | $18.26 | $18.78 | ||||||||||||||||||
Total Returnc | (19.91% | ) | 8.79% | (21.53% | ) | (10.87% | ) | 0.67% | 2.90% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $97,473 | $140,451 | $123,413 | $124,572 | $213,175 | $533,862 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (5.66% | ) | (3.17% | ) | (1.70% | ) | 1.62% | 2.68% | (1.40% | ) | ||||||||||||||
Combined net investment losse | — | — | — | — | — | (0.22% | ) | |||||||||||||||||
Total expensesf | 5.98% | 3.47% | 3.81% | 4.44% | 5.97% | 5.66% | ||||||||||||||||||
Operating expensesd,f | 2.41% | 2.41% | 2.41% | 2.40% | 2.36% | 2.33% | ||||||||||||||||||
Portfolio turnover rate | 379% | 985% | 584% | 550% | 192% | 179% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 213 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment Income (Loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Operating expenses exclude interest expense from securities sold short. |
Prior to April 1, 2007, the Inverse Government Long Bond Strategy Fund operated under a Master-Feeder structure.
e | Ratios represent combined net investment income of the former Master Portfolio and the Fund. Ratios shown under the caption “Combined Net Investment Income (Loss)” for the year ended March 31, 2006 and preceding periods did not reflect the net investment income of the former Master Portfolio. | |
f | Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007 and preceding periods. |
214 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
HIGH YIELD STRATEGY FUND
OBJECTIVE: To provide investment results that correlate to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664c9.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | April 16, 2007 | |||
C-Class | April 16, 2007 | |||
H-Class | April 16, 2007 | |||
The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 215 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
HIGH YIELD STRATEGY FUND
FACE | MARKET | |||||||||||
AMOUNT | VALUE | |||||||||||
REPURCHASE AGREEMENTS††,1 - 100.6% | ||||||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 77,637,879 | $ | 77,637,879 | ||||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 77,551,446 | 77,551,446 | ||||||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 32,046,052 | 32,046,052 | ||||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 29,796,256 | 29,796,256 | ||||||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 8,011,513 | 8,011,513 | ||||||||||
Total Repurchase Agreements (Cost $225,043,146) | 225,043,146 | |||||||||||
Total Investments – 100.6% (Cost $225,043,146) | $ | 225,043,146 | ||||||||||
Liabilities, Less Cash & Other Assets – (0.6)% | (1,329,241 | ) | ||||||||||
Net Assets – 100.0% | $ | 223,713,905 | ||||||||||
CONTRACTS | UNREALIZED GAIN | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 U.S. 5 Year Treasury Note Futures Contracts (Aggregate Market Value of Contracts $153,380,461) | 1,269 | $ | 1,527,269 | |||||
CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD††,3 | |||||||||||||||||||||||||||||||||||||||
Protection | Upfront | ||||||||||||||||||||||||||||||||||||||
Premium | Maturity | Notional | Market | Premiums | Unrealized | ||||||||||||||||||||||||||||||||||
Index | Counterparty | Rate | Date | Principal | Value | Received | Appreciation | ||||||||||||||||||||||||||||||||
CDX.NA.HY-14 Index | Credit Suisse International | 5.00% | 06/20/15 | $ | 53,800,000 | $ | 53,461,060 | $ | 1,546,000 | $ | 1,157,495 | ||||||||||||||||||||||||||||
CDX.NA.HY-14 Index | Goldman Sachs International | 5.00% | 06/20/15 | $ | 170,700,000 | $ | 169,624,590 | $ | 5,693,250 | $ | 4,364,902 |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as credit default swap collateral at September 30, 2010. |
3 | Credit Default Swaps — See Note 3. |
216 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
HIGH YIELD STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 225,043,146 | ||
Total investments | 225,043,146 | |||
Segregated cash with broker | 997,600 | |||
Unrealized appreciation on swap agreements | 5,522,397 | |||
Receivables: | ||||
Variation margin | 58,438 | |||
Securities sold | 57,500 | |||
Fund shares sold | 1,256,618 | |||
Interest | 344,211 | |||
Protection fees | 313,728 | |||
Total assets | 233,593,638 | |||
Liabilities: | ||||
Unamortized upfront premiums received | 7,239,250 | |||
Payable for: | ||||
Fund shares redeemed | 2,290,799 | |||
Management fees | 133,547 | |||
Custodian fees | 5,876 | |||
Transfer agent/maintenance fees | 44,516 | |||
Distribution and service fees | 49,820 | |||
Portfolio accounting fees | 17,806 | |||
Interest | 12,014 | |||
Other | 86,105 | |||
Total liabilities | 9,879,733 | |||
Net assets | $ | 223,713,905 | ||
Net assets consist of: | ||||
Paid in capital | 228,564,686 | |||
Accumulated net investment loss | (561,169 | ) | ||
Accumulated net realized loss on sale of investments | (11,339,278 | ) | ||
Net unrealized appreciation in value of investments | 7,049,666 | |||
Net assets | 223,713,905 | |||
A-Class: | ||||
Net assets | $ | 7,841,902 | ||
Capital shares outstanding | 353,180 | |||
Net asset value per share | $22.20 | |||
Maximum offering price per share* | $23.31 | |||
C-Class: | ||||
Net assets | $ | 8,806,889 | ||
Capital shares outstanding | 409,046 | |||
Net asset value per share | $21.53 | |||
H-Class: | ||||
Net assets | $ | 207,065,114 | ||
Capital shares outstanding | 9,338,621 | |||
Net asset value per share | $22.17 | |||
Repurchase agreement, at cost | $ | 225,043,146 | ||
Total cost | $ | 225,043,146 | ||
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 132,845 | ||
Total investment income | 132,845 | |||
Expenses: | ||||
Management fees | 543,590 | |||
Transfer agent and administrative fees | 181,197 | |||
Distribution and Service Fees: | ||||
A-Class | 7,197 | |||
C-Class | 23,529 | |||
H-Class | 168,118 | |||
Portfolio accounting fees | 70,578 | |||
Trustees’ fees** | 2,662 | |||
Miscellaneous | 116,837 | |||
Total expenses | 1,113,708 | |||
Net investment loss | (980,863 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Credit default index swaps | (3,109,688 | ) | ||
Futures contracts | 5,476,387 | |||
Net realized gain | 2,366,699 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Credit default index swaps | 5,522,397 | |||
Futures contracts | 1,537,916 | |||
Net unrealized appreciation | 7,060,313 | |||
Net realized and unrealized gain | 9,427,012 | |||
Net increase in net assets resulting from operations | $ | 8,446,149 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 217 |
HIGH YIELD STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (980,863 | ) | $ | (477,608 | ) | ||
Net realized gain during the period on investments | 2,366,699 | 10,336,355 | ||||||
Net unrealized appreciation during the period on investments | 7,060,313 | 4,648,002 | ||||||
Net increase in net assets resulting from operations | 8,446,149 | 14,506,749 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (338,599 | ) | |||||
C-Class | — | (251,769 | ) | |||||
H-Class | — | (896,465 | ) | |||||
Total distributions to shareholders | — | (1,486,833 | ) | |||||
Capital share transactions: | ||||||||
Proceeds From Sale Of Shares | ||||||||
A-Class | 43,119,922 | 24,355,751 | ||||||
C-Class | 42,683,344 | 56,181,252 | ||||||
H-Class | 592,023,079 | 325,675,183 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 139,047 | ||||||
C-Class | — | 240,261 | ||||||
H-Class | — | 880,965 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (40,085,061 | ) | (26,659,850 | ) | ||||
C-Class | (37,700,423 | ) | (54,919,509 | ) | ||||
H-Class | (409,291,624 | ) | (561,442,872 | ) | ||||
Net increase (decrease) from capital share transactions | 190,749,237 | (235,549,772 | ) | |||||
Net increase (decrease) in net assets | 199,195,386 | (222,529,856 | ) | |||||
Net assets: | ||||||||
Beginning of period | 24,518,519 | 247,048,375 | ||||||
End of period | $ | 223,713,905 | $ | 24,518,519 | ||||
Accumulated/(Undistributed) net investment income/(loss) at end of period | $ | (561,169 | ) | $ | 419,694 | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 2,044,700 | 1,256,391 | ||||||
C-Class | 2,076,940 | 2,923,223 | ||||||
H-Class | 28,003,273 | 17,490,919 | ||||||
Shares reinvested | ||||||||
A-Class | — | 7,005 | ||||||
C-Class | — | 12,410 | ||||||
H-Class | — | 44,467 | ||||||
Shares redeemed | ||||||||
A-Class | (1,926,602 | ) | (1,373,795 | ) | ||||
C-Class | (1,836,511 | ) | (2,875,573 | ) | ||||
H-Class | (19,467,705 | ) | (31,157,166 | ) | ||||
Total capital share activity | 8,894,095 | (13,672,119 | ) | |||||
218 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
HIGH YIELD STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.42 | $16.64 | $24.31 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.14 | ) | (.26 | ) | (.16 | ) | .69 | |||||||||
Net gain (loss) on securities (realized and unrealized) | 1.92 | 5.39 | (3.51 | ) | (1.31 | ) | ||||||||||
Total from investment operations | 1.78 | 5.13 | (3.67 | ) | (.62 | ) | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Total distributions | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Net asset value, end of period | $22.20 | $20.42 | $16.64 | $24.31 | ||||||||||||
Total Returnd | 8.72% | 31.07% | (16.15% | ) | (2.49% | ) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $7,842 | $4,800 | $5,748 | $10,530 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.35% | ) | (1.37% | ) | (0.71% | ) | 2.79% | e | ||||||||
Total expenses | 1.53% | 1.54% | 1.57% | 1.50% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $19.87 | $16.33 | $24.12 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.21 | ) | (.40 | ) | (.25 | ) | .46 | |||||||||
Net gain (loss) on securities (realized and unrealized) | 1.87 | 5.29 | (3.54 | ) | (1.27 | ) | ||||||||||
Total from investment operations | 1.66 | 4.89 | (3.79 | ) | (.81 | ) | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Total distributions | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Net asset value, end of period | $21.53 | $19.87 | $16.33 | $24.12 | ||||||||||||
Total Returnd | 8.35% | 30.17% | (16.83% | ) | (3.25% | ) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $8,807 | $3,351 | $1,773 | $1,001 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (2.09% | ) | (2.13% | ) | (1.21% | ) | 1.90% | e | ||||||||
Total expenses | 2.27% | 2.29% | 2.32% | 2.22% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 219 |
HIGH YIELD 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.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.38 | $16.61 | $24.28 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.14 | ) | (.26 | ) | (.04 | ) | .62 | |||||||||
Net gain (loss) on securities (realized and unrealized) | 1.93 | 5.38 | (3.63 | ) | (1.27 | ) | ||||||||||
Total from investment operations | 1.79 | 5.12 | (3.67 | ) | (.65 | ) | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Total distributions | — | (1.35 | ) | (4.00 | ) | (.07 | ) | |||||||||
Net asset value, end of period | $22.17 | $20.38 | $16.61 | $24.28 | ||||||||||||
Total Returnd | 8.78% | 31.07% | (16.16% | ) | (2.61% | ) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $207,065 | $16,368 | $239,528 | $64,290 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.33% | ) | (1.37% | ) | (0.20% | ) | 2.55% | e | ||||||||
Total expenses | 1.51% | 1.53% | 1.56% | 1.49% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: April 16, 2007. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Annualized |
220 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
INVERSE HIGH YIELD STRATEGY FUND
OBJECTIVE: To provide investment results that inversely correlate to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664d1.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
H-Class | April 16, 2007 | |||
A-Class | April 16, 2007 | |||
C-Class | April 16, 2007 | |||
The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 221 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INVERSE HIGH YIELD STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 105.7% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 5,209,916 | $ | 5,209,916 | ||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 5,204,116 | 5,204,116 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/102 | 2,185,868 | 2,185,868 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 2,150,461 | 2,150,461 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 537,616 | 537,616 | ||||||
Total Repurchase Agreements (Cost $15,287,977) | 15,287,977 | |||||||
Total Investments – 105.7% (Cost $15,287,977) | $ | 15,287,977 | ||||||
Total Liabilities, Less Cash & Other Assets – (5.7)% | (829,685 | ) | ||||||
Total Net Assets – 100.0% | $ | 14,458,292 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 U.S. 5 Year Treasury Note Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $12,086,719) | 100 | $ | (86,853 | ) | ||||
CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED†† | ||||||||||||||||||||||||||||
Upfront | Unrealized | |||||||||||||||||||||||||||
Protection | Maturity | Notional | Market | Premiums | Appreciation/ | |||||||||||||||||||||||
Index | Counterparty | Premium Rate | Date | Principal | Value | Paid | (Depreciation) | |||||||||||||||||||||
CDX.NA.HY-14 Index | Credit Suisse International | 5.00 | % | 06/20/15 | $ | 7,800,000 | $ | (7,750,860 | ) | $ | 272,500 | $ | (218,932 | ) | ||||||||||||||
CDX.NA.HY-14 Index | Goldman Sachs International | 5.00 | % | 06/20/15 | $ | 6,700,000 | $ | (6,657,790 | ) | $ | (6,062 | ) | $46,002 |
| |
† | Value determined based on Level 1 inputs — See Note 8. |
†† | Value determined based on Level 2 inputs — See Note 8. |
1 | Repurchase Agreements — See Note 7. |
2 | All or a portion of this security is pledged as credit default swap collateral at September 30, 2010. |
222 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE HIGH YIELD STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Repurchase agreement, at value | $ | 15,287,977 | ||
Total investments | 15,287,977 | |||
Segregated cash with broker | 85,600 | |||
Unamortized upfront premiums paid | 266,438 | |||
Unrealized appreciation on swap agreements | 46,002 | |||
Receivables: | ||||
Securities sold | 9,375 | |||
Fund shares sold | 30,325 | |||
Interest | 5,498 | |||
Total assets | 15,731,215 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 218,932 | |||
Payable for: | ||||
Variation margin | 5,028 | |||
Securities purchased | 16,875 | |||
Fund shares redeemed | 972,835 | |||
Management fees | 10,265 | |||
Custodian fees | 451 | |||
Transfer agent/maintenance fees | 3,422 | |||
Distribution and service fees | 4,663 | |||
Portfolio accounting fees | 1,369 | |||
Interest | 27,776 | |||
Protection fees | 2,883 | |||
Other | 8,424 | |||
Total liabilities | 1,272,923 | |||
Net assets | $ | 14,458,292 | ||
Net assets consist of: | ||||
Paid in capital | 22,739,984 | |||
Accumulated net investment loss | (154,383 | ) | ||
Accumulated net realized loss on sale of investments | (7,867,526 | ) | ||
Net unrealized depreciation in value of investments | (259,783 | ) | ||
Net assets | 14,458,292 | |||
A-Class: | ||||
Net assets | $ | 2,230,925 | ||
Capital shares outstanding | 64,793 | |||
Net asset value per share | $34.43 | |||
Maximum offering price per share* | $36.15 | |||
C-Class: | ||||
Net assets | $ | 1,850,194 | ||
Capital shares outstanding | 55,006 | |||
Net asset value per share | $33.64 | |||
H-Class: | ||||
Net assets | $ | 10,377,173 | ||
Capital shares outstanding | 300,695 | |||
Net asset value per share | $34.51 | |||
Repurchase agreement, at cost | 15,287,977 | |||
Total cost | $ | 15,287,977 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 18,131 | ||
Total investment income | 18,131 | |||
Expenses: | ||||
Management fees | 80,854 | |||
Transfer agent and administrative fees | 26,951 | |||
Distribution and Service Fees: | ||||
A-Class | 3,512 | |||
C-Class | 10,396 | |||
H-Class | 20,840 | |||
Portfolio accounting fees | 10,780 | |||
Trustees’ fees** | 870 | |||
Miscellaneous | 18,311 | |||
Total expenses | 172,514 | |||
Net investment loss | (154,383 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Credit default index swaps | (1,692,730 | ) | ||
Futures contracts | (824,918 | ) | ||
Net realized loss | (2,517,648 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Credit default index swaps | (172,930 | ) | ||
Futures contracts | (113,685 | ) | ||
Net unrealized depreciation | (286,615 | ) | ||
Net loss | (2,804,263 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,958,646 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 223 |
INVERSE HIGH YIELD STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (154,383 | ) | $ | (228,310 | ) | ||
Net realized loss during the period on investments | (2,517,648 | ) | (5,502,310 | ) | ||||
Net unrealized depreciation during the period on investments | (286,615 | ) | (541,574 | ) | ||||
Net decrease in net assets resulting from operations | (2,958,646 | ) | (6,272,194 | ) | ||||
Distributions to shareholders from: | ||||||||
Net realized gain | ||||||||
A-Class | — | (3,470 | ) | |||||
C-Class | — | (17,572 | ) | |||||
H-Class | — | (47,904 | ) | |||||
Total distributions to shareholders | — | (68,946 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 9,056,784 | 12,627,238 | ||||||
C-Class | 888,178 | 9,043,657 | ||||||
H-Class | 132,023,765 | 175,820,086 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 1,532 | ||||||
C-Class | — | 12,023 | ||||||
H-Class | — | 45,507 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (8,664,449 | ) | (12,117,361 | ) | ||||
C-Class | (855,731 | ) | (7,250,037 | ) | ||||
H-Class | (147,309,528 | ) | (156,508,926 | ) | ||||
Net increase (decrease) from capital share transactions | (14,860,981 | ) | 21,673,719 | |||||
Net increase (decrease) in net assets | (17,819,627 | ) | 15,332,579 | |||||
Net assets: | ||||||||
Beginning of period | 32,277,919 | 16,945,340 | ||||||
End of period | $ | 14,458,292 | $ | 32,277,919 | ||||
Accumulated net investment loss at end of period | $ | (154,383 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 244,310 | 297,756 | ||||||
C-Class | 24,194 | 204,716 | ||||||
H-Class | 3,502,789 | 3,800,768 | ||||||
Shares reinvested | ||||||||
A-Class | — | 38 | ||||||
C-Class | — | 305 | ||||||
H-Class | — | 1,133 | ||||||
Shares redeemed | ||||||||
A-Class | (238,430 | ) | (280,194 | ) | ||||
C-Class | (23,599 | ) | (166,550 | ) | ||||
H-Class | (3,926,272 | ) | (3,327,437 | ) | ||||
Total capital share activity | (417,008 | ) | 530,535 | |||||
224 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE HIGH YIELD STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $38.51 | $55.13 | $51.26 | $50.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.25 | ) | (.63 | ) | (.10 | ) | .54 | |||||||||
Net gain (loss) on securities (realized and unrealized) | (3.83 | ) | (15.60 | ) | 5.29 | .72 | ||||||||||
Total from investment operations | (4.08 | ) | (16.23 | ) | 5.19 | 1.26 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from realized gains | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Total distributions | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Net asset value, end of period | $34.43 | $38.51 | $55.13 | $51.26 | ||||||||||||
Total Returnd | (10.59% | ) | 29.47% | 10.17% | 2.52% | |||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $2,231 | $2,269 | $2,278 | $1,673 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.35% | ) | (1.43% | ) | (0.19% | ) | 1.09% | e | ||||||||
Total expenses | 1.52% | 1.54% | 1.52% | 1.52% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $37.77 | $54.49 | $51.06 | $50.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment lossc | (.38 | ) | (.95 | ) | (.52 | ) | (.62 | ) | ||||||||
Net gain (loss) on securities (realized and unrealized) | (3.75 | ) | (15.38 | ) | 5.27 | 1.68 | ||||||||||
Total from investment operations | (4.13 | ) | (16.33 | ) | 4.75 | 1.06 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from realized gains | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Total distributions | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Net asset value, end of period | $33.64 | $37.77 | $54.49 | $51.06 | ||||||||||||
Total Returnd | (10.93% | ) | (30.00% | ) | 9.34% | 2.12% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $1,850 | $2,055 | $869 | $2,958 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment loss | (2.11% | ) | (2.18% | ) | (1.00% | ) | (1.25% | )e | ||||||||
Total expenses | 2.28% | 2.29% | 2.28% | 2.26% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 225 |
INVERSE HIGH YIELD 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.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $38.60 | $55.26 | $51.38 | $50.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.26 | ) | (.61 | ) | (.29 | ) | 1.44 | |||||||||
Net gain (loss) on securities (realized and unrealized) | (3.83 | ) | (15.66 | ) | 5.49 | (.06 | ) | |||||||||
Total from investment operations | (4.09 | ) | (16.27 | ) | 5.20 | 1.38 | ||||||||||
Less distributions: | ||||||||||||||||
Distributions from realized gains | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Total distributions | — | (.39 | ) | (1.32 | ) | — | ||||||||||
Net asset value, end of period | $34.51 | $38.60 | $55.26 | $51.38 | ||||||||||||
Total Returnd | (10.60% | ) | (29.47% | ) | 10.17% | 2.76% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $10,377 | $27,954 | $13,799 | $6,536 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.36% | ) | (1.43% | ) | (0.55% | ) | 2.84% | e | ||||||||
Total expenses | 1.53% | 1.53% | 1.53% | 1.52% | e | |||||||||||
Portfolio turnover rate | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations April 16, 2007. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Annualized |
226 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: To provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PREFORMANCE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g06664d2.gif)
FADN — Federal Agency Discount Notes.
FAN — Federal Agency Note.
FAN — Federal Agency Note.
Inception Dates: | ||||
Investor Class | December 1, 1993 | |||
Investor2 Class | July 10, 2009 | |||
Advisor Class | April 1, 1998 | |||
A-Class | March 31, 2004 | |||
C-Class | October 19, 2000 | |||
The Fund invests principally in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and enters into repurchase agreements fully collateralized by U.S. government securities. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 227 |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
U.S. GOVERNMENT MONEY MARKET FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 41.9% | ||||||||
Freddie Mac1 | ||||||||
0.27% due 10/25/10 | $ | 25,000,000 | $ | 24,995,417 | ||||
0.29% due 11/29/10 | 25,000,000 | 24,988,118 | ||||||
0.24% due 12/28/10 | 25,000,000 | 24,985,333 | ||||||
0.26% due 12/27/10 | 25,000,000 | 24,984,292 | ||||||
0.21% due 01/18/11 | 25,000,000 | 24,984,104 | ||||||
0.30% due 03/31/11 | 25,000,000 | 24,962,292 | ||||||
0.26% due 07/05/11 | 25,000,000 | 24,949,986 | ||||||
0.26% due 11/02/10 | 15,000,000 | 14,996,533 | ||||||
0.25% due 02/22/11 | 15,000,000 | 14,985,000 | ||||||
0.23% due 04/05/11 | 15,000,000 | 14,982,175 | ||||||
0.26% due 06/21/11 | 15,000,000 | 14,972,056 | ||||||
Fannie Mae1 | ||||||||
0.30% due 11/15/10 | 50,000,000 | 49,981,206 | ||||||
0.36% due 01/18/11 | 50,000,000 | 49,945,500 | ||||||
0.27% due 10/01/10 | 25,000,000 | 25,000,000 | ||||||
0.28% due 11/18/10 | 25,000,000 | 24,990,667 | ||||||
0.24% due 12/20/10 | 25,000,000 | 24,986,667 | ||||||
Farmer Mac2 | ||||||||
0.25% due 06/01/11 | 25,000,000 | 24,957,812 | ||||||
0.25% due 06/23/11 | 15,000,000 | 14,972,396 | ||||||
0.27% due 11/22/10 | 11,000,000 | 10,995,710 | ||||||
Federal Home Loan Bank2 | ||||||||
0.24% due 01/21/11 | 40,000,000 | 39,970,133 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $500,585,397) | 500,585,397 | |||||||
FEDERAL AGENCY NOTES†† - 3.4% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.48% due 10/25/10 | 25,410,000 | 25,410,903 | ||||||
0.85% due 12/03/10 | 15,000,000 | 15,012,542 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $40,423,445) | 40,423,445 | |||||||
REPURCHASE AGREEMENTS††,3 - 53.3% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 270,499,250 | 270,499,250 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 225,676,989 | 225,676,989 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 93,254,954 | 93,254,954 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 23,825,806 | 23,825,806 |
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | $ | 23,313,739 | $ | 23,313,739 | ||||
Total Repurchase Agreements | ||||||||
(Cost $636,570,738) | 636,570,738 | |||||||
COMMERCIAL PAPER†† - 6.0% | ||||||||
Societe Generale | ||||||||
0.54% due 10/18/10 | 5,000,000 | 4,998,701 | ||||||
0.43% due 10/29/10 | 5,000,000 | 4,998,328 | ||||||
ING (US) Funding LLC | ||||||||
0.47% due 10/08/10 | 7,000,000 | 6,999,360 | ||||||
Danske Corp. | ||||||||
0.40% due 10/04/10 | 5,000,000 | 4,999,833 | ||||||
Sheffield Receivables Corp. | ||||||||
0.26% due 11/19/10 | 5,000,000 | 4,998,231 | ||||||
Nestle Capital Corp. | ||||||||
0.25% due 11/23/10 | 5,000,000 | 4,998,160 | ||||||
Coca-Cola Co. | ||||||||
0.23% due 12/01/10 | 5,000,000 | 4,998,052 | ||||||
General Reinsurance Corp. | ||||||||
0.25% due 12/02/10 | 5,000,000 | 4,997,847 | ||||||
Prudential plc | ||||||||
0.42% due 11/10/10 | 5,000,000 | 4,997,667 | ||||||
American Honda Finance | ||||||||
0.24% due 12/17/10 | 5,000,000 | 4,997,433 | ||||||
Bank of America | ||||||||
0.30% due 12/22/10 | 5,000,000 | 4,996,583 | ||||||
Barclays (US) Funding LLC | ||||||||
0.33% due 01/24/11 | 5,000,000 | 4,994,729 | ||||||
UBS Finance (DE) LLC | ||||||||
0.32% due 03/09/11 | 5,000,000 | 4,993,044 | ||||||
Southern Company Funding Corp. | ||||||||
0.27% due 10/12/10 | 4,500,000 | 4,499,629 | ||||||
Total Commercial Paper | ||||||||
(Cost $71,467,597) | 71,467,597 | |||||||
Total Investments – 104.6% | ||||||||
(Cost $1,249,047,177) | $ | 1,249,047,177 | ||||||
Liabilities, Less Cash & Other Assets – (4.6)% | (54,405,824 | ) | ||||||
Total Net Assets – 100.0% | $ | 1,194,641,353 |
†† | Value determined based on Level 2 inputs — See Note 8. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 7. |
plc — Public Limited Company |
228 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 612,476,439 | ||
Repurchase agreement, at value | 636,570,738 | |||
Total investments | 1,249,047,177 | |||
Cash | 306,942 | |||
Receivables: | ||||
Fund shares sold | 32,019,737 | |||
Interest | 169,413 | |||
Total assets | 1,281,543,269 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 86,064,810 | |||
Custodian fees | 35,801 | |||
Transfer agent/maintenance fees | 20,357 | |||
Portfolio accounting fees | 60,158 | |||
Interest | 103 | |||
Other | 720,687 | |||
Total liabilities | 86,901,916 | |||
Net assets | $ | 1,194,641,353 | ||
Net assets consist of: | ||||
Paid in capital | 1,194,592,796 | |||
Undistributed net investment income | 681 | |||
Undistributed net realized gain on sale of investments | 47,876 | |||
Net unrealized appreciation in value of investments | — | |||
Net assets | 1,194,641,353 | |||
Investor Class: | ||||
Net assets | $ | 722,268,318 | ||
Capital shares outstanding | 722,658,535 | |||
Net asset value per share | $1.00 | |||
Investor2 Class: | ||||
Net assets | $ | 55,839,794 | ||
Capital shares outstanding | 55,836,287 | |||
Net asset value per share | $1.00 | |||
Advisor Class: | ||||
Net assets | $ | 300,002,786 | ||
Capital shares outstanding | 300,112,341 | |||
Net asset value per share | $1.00 | |||
A-Class: | ||||
Net assets | $ | 51,191,238 | ||
Capital shares outstanding | 51,207,582 | |||
Net asset value per share | $1.00 | |||
C-Class: | ||||
Net assets | $ | 65,339,217 | ||
Capital shares outstanding | 65,389,020 | |||
Net asset value per share | $1.00 | |||
Investments, at cost | $ | 612,476,439 | ||
Repurchase agreement, at cost | 636,570,738 | |||
Total cost | $ | 1,249,047,177 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Period Ended September 2010
Investment Income: | ||||
Interest | $ | 1,657,089 | ||
Other income | 337 | |||
Total investment income | 1,657,426 | |||
Expenses: | ||||
Management fees | 3,304,179 | |||
Transfer agent and administrative fees | 1,321,686 | |||
Distribution and Service Fees: | ||||
Advisor Class | 714,948 | |||
A-Class | 44,748 | |||
C-Class | 386,201 | |||
Portfolio accounting fees | 367,464 | |||
Trustees’ fees* | 46,902 | |||
Registration | 399,558 | |||
Miscellaneous | 723,086 | |||
Total expenses | 7,308,772 | |||
Less: | ||||
Expenses waived by Service Company | (1,239,595 | ) | ||
Expenses waived by Distributor | (1,145,916 | ) | ||
Expenses waived by Advisor | (3,302,011 | ) | ||
Total waived expenses | (5,687,522 | ) | ||
Net expenses | 1,621,250 | |||
Net investment income | 36,176 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 19,669 | |||
Net realized gain | 19,669 | |||
Net unrealized appreciation (depreciation) | ||||
during the period | — | |||
Net realized and unrealized gain | 19,669 | |||
Net increase in net assets resulting from operations | $ | 55,845 | ||
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 229 |
3
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 36,176 | $ | 83,445 | ||||
Net realized gain during the period on investments | 19,669 | 35,221 | ||||||
Net unrealized appreciation during the period on investments | — | — | ||||||
Net increase in net assets resulting from operations | 55,845 | 118,666 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | (23,856 | ) | (53,992 | ) | ||||
Investor2 Class | (1,392 | ) | (2,310 | ) | ||||
Advisor Class | (7,832 | ) | (18,327 | ) | ||||
A-Class | (980 | ) | (2,196 | ) | ||||
C-Class | (2,116 | ) | (5,899 | ) | ||||
Total distributions to shareholders | (36,176 | ) | (82,724 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 4,935,256,098 | 12,766,483,416 | ||||||
Investor2 Class | 30,982,079 | 39,417,792 | ||||||
Advisor Class | 3,125,328,207 | 12,882,811,665 | ||||||
A-Class | 75,434,959 | 99,314,014 | ||||||
C-Class | 189,828,074 | 1,043,565,916 | ||||||
Distributions Reinvested | ||||||||
Investor Class | 23,814 | 53,863 | ||||||
Investor2 Class | 973 | 1,613 | ||||||
Advisor Class | 7,823 | 18,334 | ||||||
A-Class | 937 | 2,109 | ||||||
C-Class | 2,034 | 5,744 | ||||||
Value of proceeds from merger | ||||||||
Investor2 Class | — | 62,269,356 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (5,085,789,478 | ) | (13,008,084,870 | ) | ||||
Investor2 Class | (26,334,050 | ) | (50,501,476 | ) | ||||
Advisor Class | (2,949,207,334 | ) | (13,100,463,671 | ) | ||||
A-Class | (54,885,670 | ) | (117,729,668 | ) | ||||
C-Class | (201,089,949 | ) | (1,102,305,047 | ) | ||||
Net increase (decrease) from capital share transactions | 39,558,517 | (485,140,910 | ) | |||||
Net increase (decrease) in net assets | 39,578,186 | (485,104,968 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 1,155,063,167 | 1,640,168,135 | ||||||
End of period | $ | 1,194,641,353 | $ | 1,155,063,167 | ||||
Undistributed net investment income at end of period | $ | 681 | $ | 681 | ||||
230 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
U.S. GOVERNMENT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 4,935,256,098 | 12,766,483,413 | ||||||
Investor2 Class | 30,982,079 | 101,687,148 | ||||||
Advisor Class | 3,125,328,207 | 12,882,811,665 | ||||||
A-Class | 75,434,959 | 99,314,014 | ||||||
C-Class | 189,828,074 | 1,043,565,916 | ||||||
Shares reinvested | ||||||||
Investor Class | 23,814 | 53,863 | ||||||
Investor2 Class | 973 | 1,613 | ||||||
Advisor Class | 7,823 | 18,334 | ||||||
A-Class | 938 | 2,109 | ||||||
C-Class | 2,034 | 5,743 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,085,789,479 | ) | (13,008,084,868 | ) | ||||
Investor2 Class | (26,334,050 | ) | (50,501,476 | ) | ||||
Advisor Class | (2,949,207,333 | ) | (13,100,463,671 | ) | ||||
A-Class | (54,885,670 | ) | (117,729,668 | ) | ||||
C-Class | (201,089,949 | ) | (1,102,305,046 | ) | ||||
Total capital share activity | 39,558,518 | (485,140,911 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 231 |
2
U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | — | c | — | c | .01 | .04 | .04 | .03 | ||||||||||||||||
Net gain on securities (realized and unrealized) | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | — | c | — | c | .01 | .04 | .04 | .03 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (— | )c | (— | )c | (.01 | ) | (.04 | ) | (.04 | ) | (.03 | ) | ||||||||||||
Total distributions | (— | )c | (— | )c | (.01 | ) | (.04 | ) | (.04 | ) | (.03 | ) | ||||||||||||
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Total Returnd | 0.00% | 0.01% | 1.06% | 3.76% | 4.26% | 2.79% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $722,268 | $872,765 | $1,114,286 | $978,584 | $982,347 | $975,088 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.01% | 0.01% | 1.02% | 3.71% | 4.20% | 2.74% | ||||||||||||||||||
Total expenses | 0.93% | 0.93% | 0.95% | 0.93% | 0.92% | 0.88% | ||||||||||||||||||
Net expensese | 0.25% | 0.37% | 0.90% | 0.93% | 0.92% | 0.88% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
Period Ended | ||||||||
September 30, | Period Ended | |||||||
Investor2 Class | 2010 | a | March 31, 2010f | |||||
Per Share Data | ||||||||
Net asset value, beginning of period | $1.00 | $— | ||||||
Income (loss) from investment operations: | ||||||||
Net investment incomeb | — | c | — | c | ||||
Net gain on securities (realized and unrealized) | — | — | ||||||
Total from investment operations | — | c | — | c | ||||
Less distributions: | ||||||||
Distributions from net investment income | (— | )c | (— | )c | ||||
Total distributions | (— | )c | (— | )c | ||||
Net asset value, end of period | $1.00 | $1.00 | ||||||
Total Returnd | 0.00% | 0.00% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $55,840 | $51,190 | ||||||
Ratios to average net assets: | ||||||||
Net investment income | 0.01% | 0.01% | g | |||||
Total expenses | 0.93% | 0.94% | g | |||||
Net expensese | 0.25% | 0.29% | g | |||||
Portfolio turnover rate | — | — |
232 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | — | c | — | c | .01 | .03 | .04 | .02 | ||||||||||||||||
Net gain on securities (realized and unrealized) | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | — | c | — | c | .01 | .03 | .04 | .02 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (— | )c | (— | )c | (.01 | ) | (.03 | ) | (.04 | ) | (.02 | ) | ||||||||||||
Total distributions | (— | )c | (— | )c | (.01 | ) | (.03 | ) | (.04 | ) | (.02 | ) | ||||||||||||
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Total Returnd | 0.00% | 0.01% | 0.65% | 3.24% | 3.75% | 2.28% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $300,003 | $123,870 | $341,425 | $159,111 | $204,068 | $151,828 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.01% | 0.03% | 0.55% | 3.25% | 3.70% | 2.21% | ||||||||||||||||||
Total expenses | 1.43% | 1.43% | 1.45% | 1.43% | 1.42% | 1.39% | ||||||||||||||||||
Net expensese | 0.24% | 0.37% | 1.26% | 1.43% | 1.42% | 1.39% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (— | )c | .01 | .03 | .04 | .03 | ||||||||||||||||
Net gain on securities (realized and unrealized) | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | — | c | (— | )c | .01 | .03 | .04 | .03 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (— | )c | (— | )c | (.01 | ) | (.03 | ) | (.04 | ) | (.03 | ) | ||||||||||||
Total distributions | (— | )c | (— | )c | (.01 | ) | (.03 | ) | (.04 | ) | (.03 | ) | ||||||||||||
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Total Returnd | 0.00% | 0.01% | 0.85% | 3.51% | 4.01% | 2.51% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $51,191 | $30,640 | $49,072 | $21,174 | $18,779 | $14,324 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.01% | (0.04% | ) | 0.74% | 3.45% | 3.97% | 2.66% | |||||||||||||||||
Total expenses | 1.18% | 1.18% | 1.20% | 1.18% | 1.17% | 1.15% | ||||||||||||||||||
Net expensese | 0.24% | 0.38% | 1.09% | 1.18% | 1.17% | 1.15% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 233 |
4
U.S. GOVERNMENT MONEY MARKET 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (— | )c | — | c | .03 | .03 | .02 | |||||||||||||||
Net gain on securities (realized and unrealized) | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | — | c | (— | )c | — | c | .03 | .03 | .02 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | (— | )c | (— | )c | (— | )c | (.03 | ) | (.03 | ) | (.02 | ) | ||||||||||||
Total distributions | (— | )c | (— | )c | (— | )c | (.03 | ) | (.03 | ) | (.02 | ) | ||||||||||||
Net asset value, end of period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||||||||
Total Returnd | 0.00% | 0.01% | 0.26% | 2.74% | 3.24% | 1.76% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $65,339 | $76,598 | $135,384 | $121,436 | $120,415 | $131,045 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.01% | (0.05% | ) | 0.24% | 2.69% | 3.20% | 1.72% | |||||||||||||||||
Total expenses | 1.93% | 1.93% | 1.95% | 1.93% | 1.92% | 1.89% | ||||||||||||||||||
Net expensese | 0.25% | 0.39% | 1.70% | 1.93% | 1.92% | 1.89% | ||||||||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
f | Since commencement of operations July 10, 2009 - U.S. Government Money Market Fund Investor2 Class |
g | Annualized |
234 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
5
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Organization and Significant Accounting Policies Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares and Institutional Class shares. C-Class shares have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the NAV, with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge, except for the U.S. Government Money Market Fund. 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% CDSC if shares are redeemed within 18 months of purchase.
At September 30, 2010, the Trust consisted of fifty-nine separate Funds. This report covers the Target Beta and the Money Market Funds (the “Funds”), while the other Funds are contained in separate reports.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, LLC (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. The information contained in these notes may not apply to every Fund in the Trust. All time references are based on Eastern Time.
A. The Trust calculates a NAV twice each business day, first in the morning and again in the afternoon for the Russell 2000® Fund and the S&P 500 Fund. All other Funds in the Trust will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated 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, 2010, afternoon NAV. Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act. Debt securities in a non 2a-7 money market fund with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short term debt securities with a maturity of 60 days at acquisition or less and repurchase agreements are valued at amortized cost, which approximates market value.
Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
The value of domestic equity index and credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 235 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The value of currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the broker quote.
The value of foreign equity agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE. In the event that no order is filled at 4:00 p.m., the security dealer provides a fair value quote at which the swap agreement is valued. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.
B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Net investment income is computed and dividends are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Income dividends in these Funds are accrued daily. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income, in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance
with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. When a Fund engages in a short sale of an equity or fixed income security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and record this as an expense. Short dividends or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, that Fund will realize a loss in the amount of the cost of the option. When a Fund enters into a closing sale transaction, that Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, that Fund will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security purchased by that Fund upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if a Fund enters into a closing purchase transaction, that Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
F. The Trust may enter into stock, bond and currency index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the
236 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
G. The Trust may enter into domestic equity index and domestic currency index swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index or domestic currency index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index or domestic currency index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. The swap agreements are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
The Trust may enter into credit default swap agreements where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Upfront payments received or made by a Fund, are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
H. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments
from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
I. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. At September 30, 2010, none of the Funds held forward currency contracts.
J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. The Funds may also purchase American Depository Receipts, U.S. Government securities, Commercial Paper and enter into repurchase agreements.
K. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements.
L. 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 fees relating to A-Class shares and H-Class shares and service and distribution fees related to Advisor Class shares and C-Class shares, are charged directly to specific Classes. In addition,
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 237 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
M. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of its investment strategy, the Trust may utilize short sales and a variety of derivative instruments, including options, futures, options on futures and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
A short sale is a transaction in which a Fund sells an equity or fixed income security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the
Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in which that Fund or its counterparty acts as guarantor. By acting as the guarantor of a swap, that Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.
In conjunction with the use of short sales, options, futures, options on futures and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Disclosures about Credit Derivatives
In accordance with its principal investment strategy, the High Yield Strategy Fund enters into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event
238 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs. As the seller of protection, the Fund receives periodic premium payments from the counterparty and may also receive or pay an upfront premium that serves as an adjustment to the stated periodic premium. In the event a credit event occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per credit event.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The table on page 216 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of September 30, 2010.
4. Derivative Investment Holdings Categorized by Risk Exposure
U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations.
Certain Funds seek to gain exposure to their respective benchmarks by investing in currency and financial-linked derivative instruments, including swap agreements, futures and options on futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives:
Approximate percentage of Funds’ | ||||
Fund | net assets on a daily basis | |||
Nova Fund | 85% | |||
S&P 500 Fund | 30% | |||
Inverse S&P 500 Strategy Fund | 100% | |||
NASDAQ-100® Fund | 15% | |||
Inverse NASDAQ-100® Strategy Fund | 100% | |||
Mid-Cap 1.5x Strategy Fund | 90% | |||
Inverse Mid-Cap Strategy Fund | 100% | |||
Russell 2000® 1.5x Strategy Fund | 108% | |||
Russell 2000® Fund | 55% | |||
Inverse Russell 2000® Strategy Fund | 100% | |||
Europe 1.25x Strategy Fund | 40% | |||
Japan 2x Strategy Fund | 200% | |||
Strengthening Dollar 2x Strategy Fund | 200% | |||
Weakening Dollar 2x Strategy Fund | 200% | |||
Government Long Bond 1.2x Strategy Fund | 25% | |||
Inverse Government Long Bond Strategy Fund | 15% | |||
High Yield Strategy Fund | 100% | |||
Inverse High Yield Strategy Fund | 100% |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2010:
Location on the Statements of Assets and Liabilities
Derivative | ||||||||
Investment Type | Asset Derivatives | Liability Derivatives | ||||||
Equity contracts | Variation Margin | Variation Margin | ||||||
Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements | |||||||
Currency contracts | Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements | ||||||
Variation Margin | Variation Margin | |||||||
Interest Rate contracts | Variation Margin | Variation Margin | ||||||
Credit contracts | Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 239 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the Funds’ derivative investments not accounted for as hedging investments under SFAS 133, categorized by primary risk exposure as of September 30, 2010:
Asset Derivative Investments Value | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | Credit | Total Value at | ||||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Default | September 30, | ||||||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts | Contracts* | Contracts | 2010 | |||||||||||||||||||||
Nova Fund | $ | 67,888 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 67,888 | ||||||||||||||
S&P 500 Fund | 68,034 | — | — | — | — | — | 68,034 | |||||||||||||||||||||
Inverse S&P 500 Strategy Fund | 81,111 | 440,630 | — | — | — | — | 521,741 | |||||||||||||||||||||
NASDAQ-100® Fund | 2,589,189 | — | — | — | — | — | 2,589,189 | |||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 889 | 112,532 | — | — | — | — | 113,421 | |||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 412,302 | 67,317 | — | — | — | — | 479,619 | |||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 28,505 | 185,001 | — | — | — | — | 213,506 | |||||||||||||||||||||
Russell 2000® Fund | 43,926 | 39,562 | — | — | — | — | 83,488 | |||||||||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 54,240 | — | — | — | — | 54,240 | |||||||||||||||||||||
Europe 1.25x Strategy Fund | — | — | 392,073 | — | — | — | 392,073 | |||||||||||||||||||||
Japan 2x Strategy Fund | 104,448 | — | 92,169 | — | — | — | 196,617 | |||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | 2,524,290 | 800,754 | — | — | 3,325,044 | |||||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | 596,491 | — | 596,491 | |||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | 1,497,734 | — | 1,497,734 | |||||||||||||||||||||
High Yield Strategy Fund | — | — | — | — | 1,527,269 | 5,522,397 | 7,049,666 | |||||||||||||||||||||
Inverse High Yield Strategy Fund | — | — | — | — | — | 46,002 | 46,002 |
Liability Derivative Investments Value | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | Credit | Total Value at | ||||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Default | September 30, | ||||||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts | Contracts* | Contracts | 2010 | |||||||||||||||||||||
Nova Fund | $ | — | $ | 92,328 | $ | — | $ | — | $ | — | $ | — | $ | 92,328 | ||||||||||||||
S&P 500 Fund | — | 34,683 | — | — | — | — | 34,683 | |||||||||||||||||||||
Inverse S&P 500 Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
NASDAQ-100® Fund | — | 216,608 | — | — | — | — | 216,608 | |||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 9,556 | — | — | — | — | 9,556 | |||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 13,161 | — | — | — | — | 13,161 | |||||||||||||||||||||
Russell 2000® Fund | — | 3,739 | — | — | — | — | 3,739 | |||||||||||||||||||||
Inverse Russell 2000® Strategy Fund | 983 | 93,279 | — | — | — | — | 94,262 | |||||||||||||||||||||
Europe 1.25x Strategy Fund | 204,908 | — | — | — | — | — | 204,908 | |||||||||||||||||||||
Japan 2x Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | 1,788,415 | 471,039 | — | — | 2,259,454 | |||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
High Yield Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Inverse High Yield Strategy Fund | — | — | — | — | 86,853 | 218,932 | 305,785 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
240 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations as of September 30, 2010:
Derivative Investment | Location of Gain (Loss) on Derivatives | |
Equity contracts | Net realized gain (loss) on futures contracts and equity index swaps | |
Change in net unrealized appreciation (depreciation) on futures contracts and equity index swaps | ||
Currency contracts | Net realized gain (loss) on futures contracts and currency index swaps | |
Change in net unrealized appreciation (depreciation) on futures contracts and currency index swaps | ||
Interest Rate contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts | ||
Credit contracts | Net realized gain (loss) on credit default swaps | |
Change in net unrealized appreciation (depreciation) on credit default swaps |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of September 30, 2010:
Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | Credit | |||||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Default | |||||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Contracts | Total | |||||||||||||||||||||
Nova Fund | $ | (772,170 | ) | $ | (1,657,535 | ) | $ | — | $ | — | $ | — | $ | — | $ | (2,429,705 | ) | |||||||||||
S&P 500 Fund | (867,091 | ) | (4,167,636 | ) | — | — | — | — | (5,034,727 | ) | ||||||||||||||||||
Inverse S&P 500 Strategy Fund | (23,138,051 | ) | (2,080,570 | ) | — | — | — | — | (25,218,621 | ) | ||||||||||||||||||
NASDAQ-100® Fund | (2,485,833 | ) | (3,091,703 | ) | — | — | — | — | (5,577,536 | ) | ||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | (428,380 | ) | (3,129,836 | ) | — | — | — | — | (3,558,216 | ) | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | (3,110,284 | ) | 95,638 | — | — | — | — | (3,014,646 | ) | |||||||||||||||||||
Inverse Mid-Cap Strategy Fund | (359,128 | ) | (274,273 | ) | — | — | — | — | (633,401 | ) | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | (1,660,767 | ) | (235,149 | ) | — | — | — | — | (1,895,916 | ) | ||||||||||||||||||
Russell 2000® Fund | (1,114,686 | ) | 326,397 | — | — | — | — | (788,289 | ) | |||||||||||||||||||
Inverse Russell 2000® Strategy Fund | (1,172,400 | ) | (2,958,206 | ) | — | — | — | — | (4,130,606 | ) | ||||||||||||||||||
Europe 1.25x Strategy Fund | (2,278,241 | ) | — | (674,747 | ) | — | — | — | (2,952,988 | ) | ||||||||||||||||||
Japan 2x Strategy Fund | (1,400,997 | ) | 334,597 | — | — | — | (1,066,400 | ) | ||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | 729,067 | (383,803 | ) | — | — | 345,264 | ||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | (1,949,695 | ) | (506,778 | ) | — | — | (2,456,473 | ) | ||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | 5,291,344 | — | 5,291,344 | |||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | (20,529,995 | ) | — | (20,529,995 | ) | |||||||||||||||||||
High Yield Strategy Fund | — | — | — | — | 5,476,387 | (3,109,688 | ) | 2,366,699 | ||||||||||||||||||||
Inverse High Yield Strategy Fund | — | — | — | — | (824,918 | ) | (1,692,730 | ) | (2,517,648 | ) | ||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | Credit | |||||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Default | |||||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Contracts | Total | |||||||||||||||||||||
Nova Fund | $ | (11,577 | ) | $ | (1,219,266 | ) | $ | — | $ | — | $ | — | $ | — | $ | (1,230,843 | ) | |||||||||||
S&P 500 Fund | 67,293 | (2,210,387 | ) | — | — | — | — | (2,143,094 | ) | |||||||||||||||||||
Inverse S&P 500 Strategy Fund | (2,395 | ) | 7,005,563 | — | — | — | — | 7,003,168 | ||||||||||||||||||||
NASDAQ-100® Fund | 2,564,430 | (295,444 | ) | — | — | — | — | 2,268,986 | ||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 1,026 | 1,501,402 | — | — | — | — | 1,502,428 | |||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 320,141 | (1,090,350 | ) | — | — | — | — | (770,209 | ) | |||||||||||||||||||
Inverse Mid-Cap Strategy Fund | (496 | ) | 161,030 | — | — | — | — | 160,534 | ||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 31,340 | (957,832 | ) | — | — | — | — | (926,492 | ) | |||||||||||||||||||
Russell 2000® Fund | 68,013 | (274,387 | ) | — | — | — | — | (206,374 | ) | |||||||||||||||||||
Inverse Russell 2000® Strategy Fund | (16,731 | ) | 241,585 | — | — | — | — | 224,854 | ||||||||||||||||||||
Europe 1.25x Strategy Fund | (359,574 | ) | — | 366,909 | — | — | — | 7,335 | ||||||||||||||||||||
Japan 2x Strategy Fund | (590,263 | ) | — | 623,388 | — | — | — | 33,125 | ||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | (2,521,875 | ) | (549,036 | ) | — | — | (3,070,911 | ) | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | 3,004,428 | 832,611 | — | — | 3,837,039 | |||||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | 306,014 | — | 306,014 | |||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | 2,816,710 | — | 2,816,710 | |||||||||||||||||||||
High Yield Strategy Fund | — | — | — | — | 1,537,916 | 5,522,397 | 7,060,313 | |||||||||||||||||||||
Inverse High Yield Strategy Fund | — | — | — | — | (113,685 | ) | (172,930 | ) | (286,615 | ) |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 241 |
2
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
5. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.50% of the average daily net assets of the Government Long Bond 1.2x Strategy Fund and U.S. Government Money Market Fund; 0.75% of the average daily net assets of the Nova Fund, S&P 500 Fund, NASDAQ-100® Fund, Russell 2000® Fund, S&P 500 Pure Growth Fund, S&P 500 Pure Value Fund, S&P MidCap 400 Pure Growth Fund, S&P MidCap 400 Pure Value Fund, S&P SmallCap 600 Pure Growth Fund, S&P SmallCap 600 Pure Value Fund, Japan 2x Strategy Fund, High Yield Strategy Fund, and Inverse High Yield Strategy Fund; 0.85% of the average daily net assets of the Real Estate Fund; and 0.90% of the average daily net assets of the remaining Funds covered in this report.
Rydex Investments provides transfer agent and administrative services to the Trust for fees calculated at an annualized rate of 0.20% of the average daily net assets of the Government Long Bond 1.2x Strategy Fund and U.S. Government Money Market Fund; and 0.25% of the average daily net assets of the remaining Funds covered in this report.
Rydex Investments also provides accounting services to the Trust for fees calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each Fund.
Rydex Investments engages external service providers to perform other necessary services for the Trust, such as accounting and audit related services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. Organizational and setup costs for new Funds are paid by the Trust.
The Trust has adopted a Distribution and Shareholder Services Plan applicable to Advisor Class shares and a Distribution Plan applicable to A-Class shares and H-Class shares for which the Distributor and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class shares only, if a Service Provider provides shareholder services, the Distributor will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. The Distributor, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs.
The 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 the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual 0.75% distribution fee reimburses the Distributor for paying the shareholder’s financial advisor an ongoing sales commission. The Distributor advances the first year’s service and distribution fees to the Financial Advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record.
Rydex Investments and its affiliates have voluntarily agreed to waive their fees, including but not limited to 12b-1 and shareholder services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. Rydex Investments or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When 12b-1 and shareholder services fees are waived, dealer compensation will be reduced to the extent of such waiver.
During the period ended September 30, 2010, the Distributor retained sales charges of $321,536 relating to sales of
A-Class shares of the Trust.
A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
6. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.
242 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (fiscal years 2007 — 2010), and has concluded that no provision for income tax is required in the Funds’ financial statements.
Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
At September 30, 2010, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Tax | Tax Unrealized | Tax Unrealized | Net Unrealized | |||||||||||||
Fund | Cost | Gain | Loss | Gain (Loss) | ||||||||||||
Nova Fund | $ | 54,729,101 | $ | 7,981,398 | $ | (250,120 | ) | $ | 7,731,278 | |||||||
S&P 500 Fund | 84,389,130 | 1,005,600 | (66,659 | ) | 938,941 | |||||||||||
Inverse S&P 500 Strategy Fund | 290,853,865 | 37,711 | — | 37,711 | ||||||||||||
NASDAQ-100® Fund | 349,735,561 | 264,301,665 | (5,546,024 | ) | 258,755,641 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 20,503,530 | — | — | — | ||||||||||||
Mid-Cap 1.5x Strategy Fund | 21,275,649 | 1,646,515 | (117,970 | ) | 1,528,545 | |||||||||||
Inverse Mid-Cap Strategy Fund | 2,852,021 | — | — | — | ||||||||||||
Russell 2000® 1.5x Strategy Fund | 19,192,407 | 899,637 | (120,095 | ) | 779,542 | |||||||||||
Russell 2000® Fund | 19,573,834 | — | (664,546 | ) | (664,546 | ) | ||||||||||
Inverse Russell 2000® Strategy Fund | 31,731,516 | — | — | — | ||||||||||||
S&P 500 Pure Growth Fund | 64,411,971 | 4,432,315 | (392,153 | ) | 4,040,162 | |||||||||||
S&P 500 Pure Value Fund | 16,289,045 | 1,661,111 | (2,826 | ) | 1,658,285 | |||||||||||
S&P MidCap 400 Pure Growth Fund | 48,611,205 | 6,047,756 | (274,531 | ) | 5,773,225 | |||||||||||
S&P MidCap 400 Pure Value Fund | 46,719,867 | 5,882,720 | (256,768 | ) | 5,625,952 | |||||||||||
S&P SmallCap 600 Pure Growth Fund | 10,282,021 | 1,870,315 | (36,696 | ) | 1,833,619 | |||||||||||
S&P SmallCap 600 Pure Value Fund | 18,858,609 | 703,409 | (564,463 | ) | 138,946 | |||||||||||
Europe 1.25x Strategy Fund | 22,135,589 | — | (286,356 | ) | (286,356 | ) | ||||||||||
Japan 2x Strategy Fund | 2,035,403 | — | — | — | ||||||||||||
Strengthening Dollar 2x Strategy Fund | 29,781,205 | — | — | — | ||||||||||||
Weakening Dollar 2x Strategy Fund | 46,455,157 | — | — | — | ||||||||||||
Real Estate Fund | 52,473,842 | 5,199,412 | (83,239 | ) | 5,116,173 | |||||||||||
Government Long Bond 1.2x Strategy Fund | 150,117,858 | 212,211 | — | 212,211 | ||||||||||||
Inverse Government Long Bond Strategy Fund | 993,194,858 | 111,634 | (6,365 | ) | 105,269 | |||||||||||
High Yield Strategy Fund | 225,043,146 | — | — | — | ||||||||||||
Inverse High Yield Strategy Fund | 15,287,977 | — | — | — | ||||||||||||
U.S. Government Money Market Fund | 1,249,047,177 | — | — | — |
7. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 243 |
4
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The repurchase agreements executed by the joint account and outstanding at September 30, 2010, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Mizuho Financial Group, Inc. | 0.20% due 10/01/10 | $ | 771,379,883 | $ | 771,379,883 | $ | 771,384,168 | |||||||||
HSBC Group | 0.20% due 10/01/10 | 726,000,000 | 726,000,000 | 726,004,033 | ||||||||||||
Morgan Stanley | 0.19% due 10/01/10 | 300,000,000 | 300,000,000 | 300,001,583 | ||||||||||||
Credit Suisse Group | 0.18% due 10/01/10 | 218,789,532 | 218,789,532 | 218,790,626 | ||||||||||||
Deutsche Bank | 0.20% due 10/01/10 | 75,000,000 | 75,000,000 | 75,000,417 | ||||||||||||
$ | 2,091,169,415 | $ | 2,091,180,827 | |||||||||||||
At September 30, 2010, the collateral for the repurchase agreements in the joint account was as follows:
Range | ||||||||||||||||
Security Type | Maturity Dates | of Rates | Par Value | Market Value | ||||||||||||
U.S. Treasury Bills | 11/26/10 - 09/22/11 | 0.00% | $ | 1,011,680,300 | $ | 1,009,973,066 | ||||||||||
U.S. Treasury Bonds | 11/15/24 - 11/15/39 | 4.38% - 7.50% | 643,266,700 | 740,520,142 | ||||||||||||
U.S. Tip Note | 04/15/14 | 1.25% | 280,933,500 | 306,000,050 | ||||||||||||
U.S. Treasury Note | 10/31/16 | 3.13% | 67,765,000 | 76,500,110 | ||||||||||||
$ | 2,132,993,368 | |||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
8. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes.
Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
244 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
5
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2010:
Level 1 | Level 1 | Level 2 | Level 2 | |||||||||||||||||
Investments | Other Financial | Investments | Other Financial | |||||||||||||||||
Fund | In Securities | Instruments* | In Securities | Instruments* | Total | |||||||||||||||
Assets | ||||||||||||||||||||
Nova Fund | $ | 43,016,088 | $ | 67,888 | $ | 19,444,291 | $ | — | $ | 62,528,267 | ||||||||||
S&P 500 Fund | 59,532,552 | 68,034 | 25,795,519 | — | 85,396,105 | |||||||||||||||
Inverse S&P 500 Strategy Fund | — | 81,111 | 290,891,576 | 440,630 | 291,413,317 | |||||||||||||||
NASDAQ-100® Fund | 520,076,276 | 2,589,189 | 88,414,926 | — | 611,080,391 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 889 | 20,503,530 | 112,532 | 20,616,951 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 14,423,423 | 412,302 | 8,380,771 | 67,317 | 23,283,813 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | — | 2,852,021 | — | 2,852,021 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 8,685,355 | 28,505 | 11,286,594 | 185,001 | 20,185,455 | |||||||||||||||
Russell 2000® Fund | 5,341,509 | 43,926 | 13,567,779 | 39,562 | 18,992,776 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | — | 31,731,516 | 54,240 | 31,785,756 | |||||||||||||||
S&P 500 Pure Growth Fund | 67,825,465 | — | 626,668 | — | 68,452,133 | |||||||||||||||
S&P 500 Pure Value Fund | 17,827,664 | — | 119,666 | — | 17,947,330 | |||||||||||||||
S&P MidCap 400 Pure Growth Fund | 53,619,491 | — | 764,939 | — | 54,384,430 | |||||||||||||||
S&P MidCap 400 Pure Value Fund | 51,975,159 | — | 370,660 | — | 52,345,819 | |||||||||||||||
S&P SmallCap 600 Pure Growth Fund | 11,970,506 | — | 145,134 | — | 12,115,640 | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | 18,833,113 | — | 164,442 | — | 18,997,555 | |||||||||||||||
Europe 1.25x Strategy Fund | 15,783,054 | 187,165 | 6,066,179 | — | 22,036,398 | |||||||||||||||
Japan 2x Strategy Fund | — | 196,617 | 2,035,403 | — | 2,232,020 | |||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | 29,781,205 | — | 29,781,205 | |||||||||||||||
Weakening Dollar 2x Strategy Fund | — | 2,524,290 | 46,455,157 | 800,754 | 49,780,201 | |||||||||||||||
Real Estate Fund | 57,590,015 | — | — | — | 57,590,015 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | 147,106,760 | 596,491 | 3,223,309 | — | 150,926,560 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | 1,497,734 | 993,300,127 | — | 994,797,861 | |||||||||||||||
High Yield Strategy Fund | — | 1,527,269 | 225,043,146 | 5,522,397 | 232,092,812 | |||||||||||||||
Inverse High Yield Strategy Fund | — | — | 15,287,977 | 46,002 | 15,333,979 | |||||||||||||||
U.S. Government Money Market Fund | — | — | 1,249,047,177 | — | 1,249,047,177 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Nova Fund | — | — | — | 92,328 | 92,328 | |||||||||||||||
S&P 500 Fund | — | — | — | 34,683 | 34,683 | |||||||||||||||
Inverse S&P 500 Strategy Fund | — | — | — | — | — | |||||||||||||||
NASDAQ-100® Fund | — | — | — | 216,608 | 216,608 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | — | — | — | — | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | — | — | 9,556 | 9,556 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | — | — | 13,161 | 13,161 | |||||||||||||||
Russell 2000® Fund | — | — | — | 3,739 | 3,739 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 983 | — | 93,279 | 94,262 | |||||||||||||||
S&P 500 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P 500 Pure Value Fund | — | — | — | — | — | |||||||||||||||
S&P MidCap 400 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P MidCap 400 Pure Value Fund | — | — | — | — | — | |||||||||||||||
S&P SmallCap 600 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | — | — | — | — | — | |||||||||||||||
Europe 1.25x Strategy Fund | — | — | — | — | — | |||||||||||||||
Japan 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 1,788,415 | — | 471,039 | 2,259,454 | |||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Real Estate Fund | — | — | — | — | — | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Government Long Bond Strategy Fund | 429,174,752 | — | — | — | 429,174,752 | |||||||||||||||
High Yield Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse High Yield Strategy Fund | — | 86,853 | — | 218,932 | 305,785 | |||||||||||||||
U.S. Government Money Market Fund | — | — | — | — | — |
* | Other financial instruments may include forward foreign currency contracts, futures and/or swaps, which are reported as unrealized gain/loss at period end. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 245 |
6
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The Funds adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Funds’ disclosures about transfers in and out of all Levels of the fair value hierarchy on a gross basis and the reasons for the transfers, as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy. Effective interim and annual periods beginning after December 15, 2010, purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 roll forward rather than as one net number.
At the period ended September 30, 2010, there were no securities transferred from Level 1 to Level 2 or from Level 2 to Level 1.
9. Securities Transactions
For the period ended September 30, 2010, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
Inverse | Inverse | Inverse | ||||||||||||||||||||||||||
Nova | S&P 500 | S&P 500 | NASDAQ-100® | NASDAQ-100® | Mid-Cap 1.5x | Mid-Cap | ||||||||||||||||||||||
Fund | Fund | Strategy Fund | Fund | Strategy Fund | Strategy Fund | Strategy Fund | ||||||||||||||||||||||
Purchases | $ | 19,160,380 | $ | 141,615,089 | $ | — | $ | 96,091,370 | $ | — | $ | 12,048,783 | $ | — | ||||||||||||||
Sales | 42,339,366 | 171,134,012 | — | 164,207,823 | — | 21,350,534 | — | |||||||||||||||||||||
Inverse | ||||||||||||||||||||||||||||
Russell | Russell 2000® | S&P 500 | S&P 500 | S&P MidCap | S&P MidCap | |||||||||||||||||||||||
2000® 1.5x | Russell 2000® | Strategy | Pure Growth | Pure Value | 400 Pure | 400 Pure | ||||||||||||||||||||||
Strategy Fund | Fund | Fund | Fund | Fund | Growth Fund | Value Fund | ||||||||||||||||||||||
Purchases | $ | 13,279,574 | $ | 18,862,314 | $ | — | $ | 171,288,378 | $ | 143,160,796 | $ | 154,927,470 | $ | 137,121,027 | ||||||||||||||
Sales | 13,879,004 | 20,620,255 | — | 130,553,148 | 282,558,702 | 171,000,273 | 276,365,515 | |||||||||||||||||||||
S&P SmallCap | S&P SmallCap | Strengthening | Weakening | Real | ||||||||||||||||||||||||
600 Pure | 600 Pure | Europe 1.25x | Japan 2x | Dollar 2x | Dollar 2x | Estate | ||||||||||||||||||||||
Growth Fund | Value Fund | Strategy Fund | Strategy Fund | Strategy Fund | Strategy Fund | Fund | ||||||||||||||||||||||
Purchases | $ | 121,386,976 | $ | 318,043,070 | $ | 46,336,868 | $ | — | $ | — | $ | — | $ | 112,656,777 | ||||||||||||||
Sales | 118,955,240 | 468,775,538 | 35,692,999 | — | — | — | 96,194,291 | |||||||||||||||||||||
Government | Inverse | U.S. | ||||||||||||||||||||||||||
Long Bond | Government | Inverse | Government | |||||||||||||||||||||||||
1.2x Strategy | Long Bond | High Yield | High Yield | Money Market | ||||||||||||||||||||||||
Fund | Strategy Fund | Strategy Fund | Strategy Fund | Fund | ||||||||||||||||||||||||
Purchases | $ | 1,041,283,862 | $ | 1,802,945,080 | $ | — | $ | — | $ | — | ||||||||||||||||||
Sales | 1,222,643,999 | 2,037,032,897 | — | — | — |
10. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2011. On September 30, 2010, the Real Estate Fund borrowed $499,000 under this agreement. As of and for the period ended September 30, 2010, the Funds did not have any other borrowings under this agreement.
11. Pending Litigation
In March, 2010, an action was filed against PADCO Advisors, Inc. (hereinafter, the “Manager”), Rydex Distributors, Inc. (hereinafter, the “Distributor”), and Rydex Series Funds (hereinafter, the “Trust”) and certain trustees and officers of the Trust in federal district court in San Francisco, California. The action seeks class action status on behalf of purchasers of shares in a series of the Trust, the Rydex Inverse Government Long Bond Strategy Fund (the “Fund”) during a particular time period. The action asserts claims under provisions of the federal securities laws, alleging that certain registration statements of the Trust contained negligent misrepresentations and omissions with respect to certain risks associated with investment in the Fund, the suitability of the Fund and differences between performance of the Fund’s shares over time and that of its reference benchmark. The action also asserts a claim seeking to hold the Manager and the individual trustee defendants liable as control persons of the Trust. The action seeks unspecified damages and interest thereon as well as an award to the plaintiffs and putative class of attorney’s fees and litigation expenses. The Manager, the Trust and the other defendants believe the claims asserted to be without merit and intend to actively defend against them.
246 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
7
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
12. Acquisition of Security Benefit Corporation
Guggenheim SBC Holdings, LLC (“Guggenheim SBC Holdings”), an investor group managed by Guggenheim Partners, LLC (“Guggenheim”), acquired control of Security Benefit Corporation (“SBC”), the parent company of Rydex Advisors, LLC (formerly PADCO Advisors, Inc.), the Funds’ investment adviser (the “Investment Adviser”), pursuant to an agreement entered between SBC and Guggenheim SBC Holdings. Under the agreement, Guggenheim SBC Holdings received a 100% ownership stake in SBC and consequently acquired control of the Investment Adviser (the “Purchase Transaction”). Guggenheim is a global, independent, privately held, diversified financial services firm with more than $100 billion in assets under supervision. The Purchase Transaction is not expected to result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The Purchase Transaction closed on July 30, 2010.
Under the Investment Company Act of 1940, the closing of the Purchase Transaction had the effect of terminating the Funds’ investment advisory agreements with the Investment Advisers and any investment sub-advisory agreements entered on behalf of a Fund (together, the “Previous Agreements”). New investment advisory and sub-advisory agreements (“New Agreements”) were approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreements are substantially identical to the corresponding Previous Agreements, except with respect to the date of execution.
13. Distributor and Transfer Agent Change
Effective July 30, 2010, the Funds’ distributor, Rydex Distributors, Inc., a Maryland corporation, became Rydex Distributors, LLC, a Kansas limited liability company, and Rydex Fund Services, Inc., the Funds’ transfer agent, became Rydex Fund Services, LLC, a Kansas limited liability company.
14. New Accounting Pronouncements
Effective March 31, 2010, the Funds adopted the Financial Accounting Standards Board ASU 2010-06, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements, which are reflected in Note 8.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 247 |
8
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 March 31 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Proxy Results
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Rydex Advisors, LLC. A description of the number of shares voted is as follows:
Shares | Shares | Shares | ||||||||||
Fund | For | Against | Abstained | |||||||||
Nova Fund | 1,810,088 | 127,147 | 176,647 | |||||||||
S&P 500 Fund | 2,495,983 | 144,647 | 202,257 | |||||||||
Inverse S&P 500 Strategy Fund | 3,668,542 | 119,597 | 189,556 | |||||||||
NASDAQ-100® Fund | 23,306,629 | 1,052,468 | 1,440,516 | |||||||||
Inverse NASDAQ-100® Strategy Fund | 956,056 | 53,324 | 111,179 | |||||||||
Mid-Cap 1.5x Strategy Fund | 517,565 | 16,927 | 38,650 | |||||||||
Inverse Mid-Cap Strategy Fund | 75,549 | 3,964 | 2,996 | |||||||||
Russell 2000® 1.5x Strategy Fund | 551,109 | 32,453 | 48,531 | |||||||||
Russell 2000® Fund | 359,077 | 11,040 | 28,294 | |||||||||
Inverse Russell 2000® Strategy Fund | 365,386 | 21,148 | 47,623 | |||||||||
S&P 500 Pure Growth Fund | 475,707 | 6,669 | 102,186 | |||||||||
S&P 500 Pure Value Fund | 1,023,464 | 2,052 | 7,561 | |||||||||
S&P MidCap 400 Pure Growth Fund | 701,670 | 9,742 | 29,635 | |||||||||
S&P MidCap 400 Pure Value Fund | 4,157,070 | 43,266 | 76,143 | |||||||||
S&P SmallCap 600 Pure Growth Fund | 567,124 | 24,666 | 35,141 | |||||||||
S&P SmallCap 600 Pure Value Fund | 6,043,628 | 79,573 | 96,873 | |||||||||
Europe 1.25x Strategy Fund | 364,548 | 3,994 | 38,975 | |||||||||
Japan 2x Strategy Fund | 237,643 | 4,614 | 14,385 | |||||||||
Strengthening Dollar 2x Strategy Fund | 3,235,344 | 156,410 | 255,265 | |||||||||
Weakening Dollar 2x Strategy Fund | 1,237,618 | 52,031 | 257,960 | |||||||||
Real Estate Fund | 603,680 | 26,235 | 63,781 | |||||||||
Government Long Bond 1.2x Strategy Fund | 4,783,300 | 177,769 | 431,692 | |||||||||
Inverse Government Long Bond Strategy Fund | 18,144,709 | 938,482 | 2,255,175 | |||||||||
High Yield Strategy Fund | 704,161 | 25,598 | 74,786 | |||||||||
Inverse High Yield Strategy Fund | 429,671 | 16,815 | 43,981 | |||||||||
U.S. Government Money Market Fund | 739,824,428 | 32,303,169 | 37,666,769 |
248 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (concluded)
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds also voted on whether to approve a change to a fundamental investment policy on borrowing money, consistent with applicable law. A description of the number of shares voted is as follows:
Shares | Shares | Shares | ||||||||||
Fund | For | Against | Abstained | |||||||||
Nova Fund | 1,783,863 | 169,069 | 160,949 | |||||||||
S&P 500 Fund | 2,457,104 | 166,527 | 219,259 | |||||||||
Inverse S&P 500 Strategy Fund | 3,588,551 | 199,966 | 189,177 | |||||||||
NASDAQ-100® Fund | 22,618,650 | 1,706,701 | 1,474,262 | |||||||||
Inverse NASDAQ-100® Strategy Fund | 910,058 | 89,707 | 120,796 | |||||||||
Mid-Cap 1.5x Strategy Fund | 507,912 | 25,468 | 39,759 | |||||||||
Inverse Mid-Cap Strategy Fund | 69,061 | 8,226 | 5,222 | |||||||||
Russell 2000® 1.5x Strategy Fund | 545,997 | 36,748 | 49,349 | |||||||||
Russell 2000® Fund | 352,190 | 19,445 | 26,774 | |||||||||
Inverse Russell 2000® Strategy Fund | 358,250 | 28,242 | 47,667 | |||||||||
S&P 500 Pure Growth Fund | 467,917 | 14,526 | 102,117 | |||||||||
S&P 500 Pure Value Fund | 1,020,491 | 5,266 | 7,321 | |||||||||
S&P MidCap 400 Pure Growth Fund | 695,593 | 15,842 | 29,611 | |||||||||
S&P MidCap 400 Pure Value Fund | 4,142,497 | 55,349 | 78,633 | |||||||||
S&P SmallCap 600 Pure Growth Fund | 564,067 | 28,245 | 34,619 | |||||||||
S&P SmallCap 600 Pure Value Fund | 6,008,752 | 102,630 | 108,688 | |||||||||
Europe 1.25x Strategy Fund | 338,387 | 28,569 | 40,557 | |||||||||
Japan 2x Strategy Fund | 233,898 | 7,532 | 15,211 | |||||||||
Strengthening Dollar 2x Strategy Fund | 3,093,846 | 291,188 | 261,985 | |||||||||
Weakening Dollar 2x Strategy Fund | 1,160,242 | 122,015 | 265,354 | |||||||||
Real Estate Fund | 580,952 | 45,664 | 67,079 | |||||||||
Government Long Bond 1.2x Strategy Fund | 4,508,573 | 431,683 | 452,501 | |||||||||
Inverse Government Long Bond Strategy Fund | 17,585,082 | 1,459,928 | 2,293,352 | |||||||||
High Yield Strategy Fund | 698,699 | 32,603 | 73,243 | |||||||||
Inverse High Yield Strategy Fund | 420,660 | 26,349 | 43,456 | |||||||||
U.S. Government Money Market Fund | 710,063,888 | 55,098,706 | 44,631,764 |
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 249 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
INDEPENDENT TRUSTEES
Length of Service | ||||
Name, Position and | As Trustee | Number of | ||
Year of Birth | (Year Began) | Funds Overseen | ||
John O. Demaret | Rydex Series Funds – 1997 | 144 | ||
Trustee, Chairman of the | Rydex Variable Trust – 1998 | |||
Board (1940) | Rydex Dynamic Funds – 1999 | |||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Retired | ||||
Corey A. Colehour | Rydex Series Funds – 1993 | 144 | ||
Trustee (1945) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) | ||||
J. Kenneth Dalton | Rydex Series Funds – 1995 | 144 | ||
Trustee (1941) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group | ||||
Werner E. Keller | Rydex Series Funds – 2005 | 144 | ||
Trustee (1940) | Rydex Variable Trust – 2005 | |||
Rydex Dynamic Funds – 2005 | ||||
Rydex ETF Trust – 2005 | ||||
Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 144 | ||
Trustee (1960) | Rydex Variable Trust – 2005 | |||
Rydex Dynamic Funds – 2005 | ||||
Rydex ETF Trust – 2005 | ||||
Principal Occupations During Past Five Years: President, Global Trends Investments | ||||
Patrick T. McCarville | Rydex Series Funds – 1997 | 144 | ||
Trustee (1942) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc. | ||||
Roger Somers | Rydex Series Funds – 1993 | 144 | ||
Trustee (1944) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||
250 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present); Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 251 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS (concluded)
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration Rydex Investments (2001 to present) |
* | Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Rydex Investments. |
252 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
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SEPTEMBER 30, 2010
RYDEX SERIES FUNDS SEMI - ANNUAL REPORT
SECTOR FUNDS
SECTOR FUNDS
BANKING FUND
BASIC MATERIALS FUND
BIOTECHNOLOGY FUND
CONSUMER PRODUCTS FUND
ELECTRONICS FUND
ENERGY FUND
ENERGY SERVICES FUND
FINANCIAL SERVICES FUND
HEALTH CARE FUND
INTERNET FUND
LEISURE FUND
PRECIOUS METALS FUND
RETAILING FUND
TECHNOLOGY FUND
TELECOMMUNICATIONS FUND
TRANSPORTATION FUND
UTILITIES FUND
BASIC MATERIALS FUND
BIOTECHNOLOGY FUND
CONSUMER PRODUCTS FUND
ELECTRONICS FUND
ENERGY FUND
ENERGY SERVICES FUND
FINANCIAL SERVICES FUND
HEALTH CARE FUND
INTERNET FUND
LEISURE FUND
PRECIOUS METALS FUND
RETAILING FUND
TECHNOLOGY FUND
TELECOMMUNICATIONS FUND
TRANSPORTATION FUND
UTILITIES FUND
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![()](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666603.gif)
This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, LLC.
TABLE OF CONTENTS
40 |
73 |
112 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER,
Uncertainty over the strength of the U.S. economic recovery and what steps the Federal Reserve might take, if any, to deal with the situation highlighted the six months ending September 30. Stocks bounced back in the July-September period from losses in the second quarter, based partly on relief that the U.S. may be dealing with a prolonged period of slow growth rather than a sharp economic contraction.
The U.S. economy has been out of recession since July 2009, according to a September report from the National Bureau of Economic Research, although employment, income expectations and existing home sales have yet to rebound. Stocks are now roughly where they were six months ago.
U.S. GDP in the second quarter was 1.7%, widely viewed to be insufficient to move the unemployment rate below its current 9.6% before the end of 2010, and significantly lower than the 3.7% GDP in the first quarter. Economists said consumers are not spending at a rate to cause companies to ramp up production, and thus hiring, with confidence. By late September, many investors were widely anticipating that the Federal Reserve, in response to tepid growth, was prepared to start another round of quantitative easing—bond purchases designed to push down long-term interest rates and kick-start private borrowing.
That prospect was welcomed by investors, who sent equities higher in September, the S&P 500® Index* having its best September performance since 1939. For the third quarter, U.S. equity indices were up between 10-15% compared with drops of from 1-3% for the past six months. The technology sector was the main contributor to quarterly performance in the S&P 500 and the Russell 2000® Index, as growth style stocks outperformed value in the third quarter by three percentage points. Emerging markets continued to outperform, with investors continuing to pour money into emerging markets equities funds—$50 billion so far in 2010. Emerging markets are being viewed as less risky than in the recent past, particularly since nations in that sector are not confronting the fiscal debt issues facing many countries in the developed world, and are enjoying healthy economic growth.
Corporations continued to borrow aggressively, based on investor demand for bonds and low interest rates, driving hefty investment-grade bond sales as well as sales of high-yield bonds (where issuance through the third quarter has already surpassed the previous annual record). Various bond indices were up both for the third quarter and six months, led by indices for U.S. Government bond prices and corporate high yield bonds. The expectation of quantitative easing also lifted Treasury prices, despite concerns of a building price bubble in bonds. The Bank of America U.S. Government Index was up almost 3% for the third quarter, while the yield on the benchmark 10-year note closed out September at about 2.5%, down from its 2010 peak of just above 4% in April. U.S. debt also benefited as a safe haven from resurgent worries about the economic health of European nations, including more recently Ireland and Portugal.
Investors have also been flocking to gold, driving the price of an ounce of the metal to a non-inflation-adjusted record of around $1,300. Economists said gold’s appeal was both as a hedge against further financial market instability and to assuage investors worried about the inflationary impact of additional Fed easing and massive levels of government debt. Efforts by central banks around the world to boost their economies by keeping their currencies weaker, thus helping exports, may also be contributing to the rise in the price of gold, which is attractive as an alternative store of value. Continuing economic sluggishness in the U.S. caused the dollar to weaken against the euro and yen throughout the summer, as analysts said the economies behind those currencies are in something of a standoff over which has the worst outlook. The third quarter was good for other commodities, in part a response to strong demand in China, crop failures in Russia and the potential for further monetary easing. Grain prices began to fall late in the quarter, as high U.S. yields were expected to offset concerns about shortages in some crops like wheat. High inventory and slack demand combined to keep the price of a barrel of oil stuck in a narrow range, although it traded toward the high end ($82) of the range by September.
2 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
LETTER TO OUR SHAREHOLDERS (concluded)
In contrast to the second quarter, when worries about European sovereign debt and a possible double-dip recession in the U.S. loomed large, stocks in countries around the world had strong gains in the third quarter. The MSCI EAFE Index* was up 15% for the third quarter and the MSCI EAFE Emerging Markets Index* was up 18%. The latter index was among the best-performing indices for the past six months, up 6%. Markets in Southeast Asia, including Indonesia and Philippines, were at all-time highs, while India and South Korea also flirted with record highs. The domestic stock market of China, which this year is expected to overtake Japan as the world’s second-largest economy, pared its loss for the year, gaining 11% in the third quarter, as investors think the government may be reducing its efforts to rein in the economy. The STOXX 50®* Index also offset year-to-date losses with a 7% rise in the third quarter, despite a weak outlook issued by the European Central Bank. The Nikkei -225 Stock Average Index*, off 11% for the year, rose 6% in September, helped in part by foreign exchange market intervention designed to hold down the value of the yen.
Rydex|SGI has a full lineup of fundamental alpha, target beta and alternative investment products designed to provide investors with the tools needed to participate in all types of markets and market environments. Contact us if you wish to learn more, and thanks for the trust you place in us.
Sincerely,
![-s- Michael Byrum](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666604.gif)
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
* Indices are defined as follows:
Standard & Poor’s 500 Index (S&P 500) – a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
Nikkei-225 Stock Average Index – a price-weighted index of 225 blue-chip companies traded on the Tokyo Stock Exchange.
MSCI EAFE Index (Europe, Australasia, Far East) – a market-capitalization index designed to measure equity market performance in developed markets, excluding the U.S. & Canada. Consists in 2010 of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
MSCI EAFE Emerging Markets – a market-capitalization index designed to measure equity market performance in emerging markets. Consists in 2010 of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The STOXX 50 Index – Europe’s leading Blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The STOXX 50 Index is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products worldwide.
Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.
Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 3 |
2
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2010 and ending September 30, 2010.
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.
Certain retirement plans such as IRA, SEP, Roth IRA, 403(b), and Rydex | SGI prototype money purchase plan and profit sharing accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
4 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | Period2 | ||||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
Banking Fund | ||||||||||||||||||||
Investor Class | 1.38% | (11.08% | ) | $1,000.00 | $ 889.22 | $ 6.54 | ||||||||||||||
Advisor Class | 1.88% | (11.35% | ) | 1,000.00 | 886.51 | 8.89 | ||||||||||||||
A-Class | 1.64% | (11.18% | ) | 1,000.00 | 888.21 | 7.76 | ||||||||||||||
C-Class | 2.38% | (11.51% | ) | 1,000.00 | 884.86 | 11.25 | ||||||||||||||
Basic Materials Fund | ||||||||||||||||||||
Investor Class | 1.37% | 4.10% | 1,000.00 | 1,040.98 | 7.01 | |||||||||||||||
Advisor Class | 1.88% | 3.86% | 1,000.00 | 1,038.63 | 9.61 | |||||||||||||||
A-Class | 1.63% | 3.96% | 1,000.00 | 1,039.65 | 8.33 | |||||||||||||||
C-Class | 2.38% | 3.57% | 1,000.00 | 1,035.65 | 12.15 | |||||||||||||||
Biotechnology Fund | ||||||||||||||||||||
Investor Class | 1.38% | (5.12% | ) | 1,000.00 | 948.79 | 6.74 | ||||||||||||||
Advisor Class | 1.88% | (5.38% | ) | 1,000.00 | 946.22 | 9.17 | ||||||||||||||
A-Class | 1.63% | (5.27% | ) | 1,000.00 | 947.27 | 7.96 | ||||||||||||||
C-Class | 2.38% | (5.57% | ) | 1,000.00 | 944.33 | 11.60 | ||||||||||||||
Consumer Products Fund | ||||||||||||||||||||
Investor Class | 1.37% | 2.43% | 1,000.00 | 1,024.32 | 6.95 | |||||||||||||||
Advisor Class | 1.87% | 2.24% | 1,000.00 | 1,022.37 | 9.48 | |||||||||||||||
A-Class | 1.62% | 2.37% | 1,000.00 | 1,023.72 | 8.22 | |||||||||||||||
C-Class | 2.37% | 2.00% | 1,000.00 | 1,019.97 | 12.00 | |||||||||||||||
Electronics Fund | ||||||||||||||||||||
Investor Class | 1.38% | (7.78% | ) | 1,000.00 | 922.22 | 6.65 | ||||||||||||||
Advisor Class | 1.88% | (7.94% | ) | 1,000.00 | 920.62 | 9.05 | ||||||||||||||
A-Class | 1.64% | (7.90% | ) | 1,000.00 | 921.01 | 7.90 | ||||||||||||||
C-Class | 2.38% | (8.10% | ) | 1,000.00 | 919.00 | 11.45 | ||||||||||||||
Energy Fund | ||||||||||||||||||||
Investor Class | 1.38% | (2.58% | ) | 1,000.00 | 974.17 | 6.83 | ||||||||||||||
Advisor Class | 1.88% | (2.84% | ) | 1,000.00 | 971.60 | 9.29 | ||||||||||||||
A-Class | 1.63% | (2.70% | ) | 1,000.00 | 973.01 | 8.06 | ||||||||||||||
C-Class | 2.38% | (3.06% | ) | 1,000.00 | 969.43 | 11.75 | ||||||||||||||
Energy Services Fund | ||||||||||||||||||||
Investor Class | 1.38% | (0.61% | ) | 1,000.00 | 993.93 | 6.90 | ||||||||||||||
Advisor Class | 1.88% | (0.81% | ) | 1,000.00 | 991.85 | 9.39 | ||||||||||||||
A-Class | 1.63% | (0.71% | ) | 1,000.00 | 992.95 | 8.14 | ||||||||||||||
C-Class | 2.38% | (1.07% | ) | 1,000.00 | 989.29 | 11.87 | ||||||||||||||
Financial Services Fund | ||||||||||||||||||||
Investor Class | 1.38% | (4.67% | ) | 1,000.00 | 953.35 | 6.76 | ||||||||||||||
Advisor Class | 1.88% | (4.91% | ) | 1,000.00 | 950.90 | 9.19 | ||||||||||||||
A-Class | 1.63% | (4.78% | ) | 1,000.00 | 952.20 | 7.98 | ||||||||||||||
C-Class | 2.38% | (5.15% | ) | 1,000.00 | 948.54 | 11.63 | ||||||||||||||
Health Care Fund | ||||||||||||||||||||
Investor Class | 1.38% | (4.05% | ) | 1,000.00 | 959.49 | 6.78 | ||||||||||||||
Advisor Class | 1.88% | (4.24% | ) | 1,000.00 | 957.58 | 9.23 | ||||||||||||||
A-Class | 1.62% | (4.12% | ) | 1,000.00 | 958.80 | 7.95 | ||||||||||||||
C-Class | 2.38% | (4.38% | ) | 1,000.00 | 956.22 | 11.67 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | Period2 | ||||||||||||||||
Internet Fund | ||||||||||||||||||||
Investor Class | 1.37% | 7.59% | $1,000.00 | $1,075.94 | $ 7.13 | |||||||||||||||
Advisor Class | 1.88% | 7.28% | 1,000.00 | 1,072.78 | 9.77 | |||||||||||||||
A-Class | 1.62% | 7.45% | 1,000.00 | 1,074.53 | 8.42 | |||||||||||||||
C-Class | 2.38% | 7.00% | 1,000.00 | 1,069.95 | 12.35 | |||||||||||||||
Leisure Fund | ||||||||||||||||||||
Investor Class | 1.38% | 2.07% | 1,000.00 | 1,020.74 | 6.99 | |||||||||||||||
Advisor Class | 1.89% | 1.78% | 1,000.00 | 1,017.82 | 9.56 | |||||||||||||||
A-Class | 1.63% | 1.95% | 1,000.00 | 1,019.52 | 8.25 | |||||||||||||||
C-Class | 2.38% | 1.51% | 1,000.00 | 1,015.09 | 12.02 | |||||||||||||||
Precious Metals Fund | ||||||||||||||||||||
Investor Class | 1.28% | 21.64% | 1,000.00 | 1,216.43 | 7.11 | |||||||||||||||
Advisor Class | 1.78% | 21.34% | 1,000.00 | 1,213.41 | 9.88 | |||||||||||||||
A-Class | 1.52% | 21.47% | 1,000.00 | 1,214.75 | 8.44 | |||||||||||||||
C-Class | 2.27% | 21.04% | 1,000.00 | 1,210.36 | 12.58 | |||||||||||||||
Retailing Fund | ||||||||||||||||||||
Investor Class | 1.39% | (0.31% | ) | 1,000.00 | 996.86 | 6.96 | ||||||||||||||
Advisor Class | 1.88% | (0.49% | ) | 1,000.00 | 995.06 | 9.40 | ||||||||||||||
A-Class | 1.63% | (0.32% | ) | 1,000.00 | 996.75 | 8.16 | ||||||||||||||
C-Class | 2.38% | (0.60% | ) | 1,000.00 | 993.99 | 11.90 | ||||||||||||||
Technology Fund | ||||||||||||||||||||
Investor Class | 1.38% | (0.25% | ) | 1,000.00 | 997.51 | 6.91 | ||||||||||||||
Advisor Class | 1.88% | (0.44% | ) | 1,000.00 | 995.61 | 9.41 | ||||||||||||||
A-Class | 1.63% | (0.44% | ) | 1,000.00 | 995.65 | 8.15 | ||||||||||||||
C-Class | 2.38% | (0.63% | ) | 1,000.00 | 993.66 | 11.89 | ||||||||||||||
Telecommunications Fund | ||||||||||||||||||||
Investor Class | 1.38% | 4.59% | 1,000.00 | 1,045.88 | 7.08 | |||||||||||||||
Advisor Class | 1.87% | 4.48% | 1,000.00 | 1,044.82 | 9.59 | |||||||||||||||
A-Class | 1.64% | 4.44% | 1,000.00 | 1,044.38 | 8.40 | |||||||||||||||
C-Class | 2.38% | 4.32% | 1,000.00 | 1,043.20 | 12.19 | |||||||||||||||
Transportation Fund | ||||||||||||||||||||
Investor Class | 1.38% | 2.19% | 1,000.00 | 1,021.86 | 6.99 | |||||||||||||||
Advisor Class | 1.88% | 2.00% | 1,000.00 | 1,019.96 | 9.52 | |||||||||||||||
A-Class | 1.64% | 2.15% | 1,000.00 | 1,021.46 | 8.31 | |||||||||||||||
C-Class | 2.38% | 1.83% | 1,000.00 | 1,018.29 | 12.04 | |||||||||||||||
Utilities Fund | ||||||||||||||||||||
Investor Class | 1.36% | 6.57% | 1,000.00 | 1,065.73 | 7.04 | |||||||||||||||
Advisor Class | 1.87% | 6.32% | 1,000.00 | 1,063.25 | 9.67 | |||||||||||||||
A-Class | 1.63% | 6.44% | 1,000.00 | 1,064.37 | 8.44 | |||||||||||||||
C-Class | 2.38% | 5.99% | 1,000.00 | 1,059.88 | 12.29 |
6 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | Period2 | ||||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
Banking Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | $1,000.00 | $1,018.15 | $ 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Basic Materials Fund | ||||||||||||||||||||
Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.20 | 6.93 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Biotechnology Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Consumer Products Fund | ||||||||||||||||||||
Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.20 | 6.93 | |||||||||||||||
Advisor Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 | |||||||||||||||
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 | |||||||||||||||
C-Class | 2.37% | 5.00% | 1,000.00 | 1,013.19 | 11.96 | |||||||||||||||
Electronics Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Energy Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Energy Services Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Financial Services Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Health Care Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio1 | Return | March 31, 2010 | September 30, 2010 | Period2 | ||||||||||||||||
Internet Fund | ||||||||||||||||||||
Investor Class | 1.37% | 5.00% | $1,000.00 | $1,018.20 | $ 6.93 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.95 | 8.19 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Leisure Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.89% | 5.00% | 1,000.00 | 1,015.59 | 9.55 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Precious Metals Fund | ||||||||||||||||||||
Investor Class | 1.28% | 5.00% | 1,000.00 | 1,018.65 | 6.48 | |||||||||||||||
Advisor Class | 1.78% | 5.00% | 1,000.00 | 1,016.14 | 9.00 | |||||||||||||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 | |||||||||||||||
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.69 | 11.46 | |||||||||||||||
Retailing Fund | ||||||||||||||||||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Technology Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Telecommunications Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 | |||||||||||||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Transportation Fund | ||||||||||||||||||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 | |||||||||||||||
Advisor Class | 1.88% | 5.00% | 1,000.00 | 1,015.64 | 9.50 | |||||||||||||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 | |||||||||||||||
Utilities Fund | ||||||||||||||||||||
Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.25 | 6.88 | |||||||||||||||
Advisor Class | 1.87% | 5.00% | 1,000.00 | 1,015.69 | 9.45 | |||||||||||||||
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 | |||||||||||||||
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 |
1 | Annualized |
2 | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by the number of days in the current fiscal year. |
3 | Actual cumulative return at net asset value for the period March 31, 2010 to September 30, 2010. |
8 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666605.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 1, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | March 30, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Bank of New York Mellon Corp. | 4.1 | % | ||
JPMorgan Chase & Co. | 4.1 | % | ||
U.S. Bancorp | 3.8 | % | ||
Wells Fargo & Co. | 3.7 | % | ||
PNC Financial Services Group, Inc. | 3.3 | % | ||
Bank of America Corp. | 3.4 | % | ||
BB&T Corp. | 2.8 | % | ||
SunTrust Banks, Inc. | 2.8 | % | ||
Regions Financial Corp. | 2.3 | % | ||
Fifth Third Bancorp | 2.3 | % | ||
Top Ten Total | 32.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
BANKING FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.2% | ||||||||
FINANCIALS - 99.2% | ||||||||
Bank of New York Mellon Corp. | 15,881 | $ | 414,971 | |||||
JPMorgan Chase & Co. | 10,872 | 413,897 | ||||||
U.S. Bancorp | 18,118 | 391,710 | ||||||
Wells Fargo & Co. | 14,960 | 375,944 | ||||||
PNC Financial Services Group, Inc. | 6,678 | 346,654 | ||||||
Bank of America Corp. | 26,417 | 346,327 | ||||||
BB&T Corp. | 12,119 | 291,825 | ||||||
SunTrust Banks, Inc. | 10,883 | 281,107 | ||||||
Regions Financial Corp. | 32,146 | 233,701 | ||||||
Fifth Third Bancorp | 19,296 | 232,131 | ||||||
M&T Bank Corp. | 2,746 | 224,650 | ||||||
New York Community Bancorp, Inc. | 12,839 | 208,633 | ||||||
KeyCorp | 25,708 | 204,636 | ||||||
Itau Unibanco Holding S.A. ADR | 8,317 | 201,105 | ||||||
Comerica, Inc. | 5,344 | 198,530 | ||||||
Hudson City Bancorp, Inc. | 15,774 | 193,390 | ||||||
Banco Bradesco S.A. ADR | 9,457 | 192,734 | ||||||
ICICI Bank Ltd. ADR | 3,850 | 191,923 | ||||||
Royal Bank of Canada | 3,229 | 168,328 | ||||||
People’s United Financial, Inc. | 12,610 | 165,065 | ||||||
HDFC Bank Ltd. ADR | 890 | 164,089 | ||||||
Banco Santander Brasil S.A. ADR | 11,515 | 158,562 | ||||||
Toronto-Dominion Bank | 2,175 | 157,166 | ||||||
HSBC Holdings plc ADR | 3,083 | 155,969 | ||||||
Huntington Bancshares, Inc. | 27,355 | 155,103 | ||||||
Banco Santander S.A. ADR | 12,006 | 151,996 | ||||||
Bank of Nova Scotia | 2,850 | 151,905 | ||||||
Marshall & Ilsley Corp. | 21,060 | 148,262 | ||||||
Zions Bancorporation | 6,535 | 139,588 | ||||||
Barclays plc ADR | 7,041 | 132,723 | ||||||
First Horizon National Corp.* | 11,146 | 127,179 | ||||||
City National Corp. | 2,381 | 126,360 | ||||||
East West Bancorp, Inc. | 7,407 | 120,586 | ||||||
Associated Banc-Corp | 9,015 | 118,908 | ||||||
TCF Financial Corp. | 7,290 | 118,025 | ||||||
Cullen | 2,187 | 117,814 | ||||||
First Niagara Financial Group, Inc. | 9,856 | 114,822 | ||||||
FirstMerit Corp. | 6,090 | 111,569 | ||||||
Bank of Hawaii Corp. | 2,473 | 111,087 | ||||||
MGIC Investment Corp.* | 12,011 | 110,862 | ||||||
Bank of Montreal | 1,890 | 109,148 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Canadian Imperial Bank of Commerce | 1,440 | $ | 104,314 | |||||
SVB Financial Group* | 2,399 | 101,526 | ||||||
Fulton Financial Corp. | 10,970 | 99,388 | ||||||
Washington Federal, Inc. | 6,363 | 97,099 | ||||||
Prosperity Bancshares, Inc. | 2,812 | 91,306 | ||||||
Astoria Financial Corp. | 6,429 | 87,627 | ||||||
Iberiabank Corp. | 1,740 | 86,965 | ||||||
Umpqua Holdings Corp. | 7,612 | 86,320 | ||||||
Webster Financial Corp. | 4,888 | 85,833 | ||||||
Cathay General Bancorp | 6,755 | 80,317 | ||||||
Susquehanna Bancshares, Inc. | 9,430 | 79,589 | ||||||
Glacier Bancorp, Inc. | 5,330 | 77,818 | ||||||
Wintrust Financial Corp. | 2,310 | 74,867 | ||||||
Radian Group, Inc. | 9,520 | 74,446 | ||||||
PrivateBancorp, Inc. — Class A | 6,133 | 69,855 | ||||||
Commerce Bancshares, Inc. | 1,853 | 69,654 | ||||||
Signature Bank* | 1,739 | 67,543 | ||||||
First Midwest Bancorp, Inc. | 5,750 | 66,298 | ||||||
Credicorp Ltd. | 570 | 64,923 | ||||||
Whitney Holding Corp. | 7,645 | 62,460 | ||||||
Trustmark Corp. | 2,854 | 62,046 | ||||||
CVB Financial Corp. | 7,974 | 59,885 | ||||||
Wilmington Trust Corp. | 6,525 | 58,595 | ||||||
Valley National Bancorp | 4,251 | 54,838 | ||||||
BancorpSouth, Inc. | 3,484 | 49,403 | ||||||
Westamerica Bancorporation | 901 | 49,095 | ||||||
Total Financials | 10,040,994 | |||||||
Total Common Stocks (Cost $6,985,815) | 10,040,994 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.5% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 51,760 | 51,760 | |||||
Total Repurchase Agreement (Cost $51,760) | 51,760 | |||||||
Total Investments - 99.7% (Cost $7,037,575) | $ | 10,092,754 | ||||||
Cash & Other Assets, Less Liabilities – 0.3% | 27,471 | |||||||
Total Net Assets – 100.0% | $ | 10,120,225 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depository Receipt | |
plc — Public Limited Company |
10 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
BANKING FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 10,040,994 | ||
Repurchase agreement, at value | 51,760 | |||
Total investments | 10,092,754 | |||
Receivables: | ||||
Securities sold | 2,614,557 | |||
Fund shares sold | 596,279 | |||
Dividends | 13,081 | |||
Total assets | 13,316,671 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 3,172,666 | |||
Management fees | 7,582 | |||
Custodian fees | 296 | |||
Transfer agent/maintenance fees | 2,230 | |||
Distribution and service fees | 3,048 | |||
Portfolio accounting fees | 892 | |||
Other | 9,732 | |||
Total liabilities | 3,196,446 | |||
Net assets | $ | 10,120,225 | ||
Net assets consist of: | ||||
Paid in capital | 35,935,968 | |||
Undistributed net investment income | 46,023 | |||
Accumulated net realized loss on sale of investments | (28,916,945 | ) | ||
Net unrealized appreciation in value of investments | 3,055,179 | |||
Net assets | 10,120,225 | |||
Investor Class: | ||||
Net assets | $ | 5,658,114 | ||
Capital shares outstanding | 125,449 | |||
Net asset value per share | $45.10 | |||
Advisor Class: | ||||
Net assets | $ | 554,341 | ||
Capital shares outstanding | 13,364 | |||
Net asset value per share | $41.48 | |||
A-Class: | ||||
Net assets | $ | 1,262,229 | ||
Capital shares outstanding | 29,977 | |||
Net asset value per share | $42.11 | |||
Maximum offering price per share* | $44.21 | |||
C-Class: | ||||
Net assets | $ | 2,645,541 | ||
Capital shares outstanding | 65,692 | |||
Net asset value per share | $40.27 | |||
Investments, at cost | $ | 6,985,815 | ||
Repurchase agreement, at cost | 51,760 | |||
Total cost | $ | 7,037,575 |
STATEMENT OF
OPERATIONS (unaudited)
OPERATIONS (unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $4,486) | $ | 153,521 | ||
Interest | 98 | |||
Total investment income | 153,619 | |||
Expenses: | ||||
Management fees | 82,556 | |||
Transfer agent and administrative fees | 24,281 | |||
Distribution and Service Fees: | ||||
Advisor Class | 2,674 | |||
A-Class | 4,801 | |||
C-Class | 19,619 | |||
Portfolio accounting fees | 9,712 | |||
Trustees’ fees** | 1,148 | |||
Miscellaneous | 16,576 | |||
Total expenses | 161,367 | |||
Net investment loss | (7,748 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,109,925 | ) | ||
Net realized loss | (1,109,925 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,595,122 | ) | ||
Net unrealized depreciation | (1,595,122 | ) | ||
Net loss | (2,705,047 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,712,795 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of section 2(a)(19) of the 1940 act.
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 11 |
BANKING FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (7,748 | ) | $ | 53,770 | |||
Net realized gain (loss) during the period on investments | (1,109,925 | ) | 7,119,068 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (1,595,122 | ) | 2,483,173 | |||||
Net increase (decrease) in net assets resulting from operations | (2,712,795 | ) | 9,656,011 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (161,108 | ) | |||||
Advisor Class | — | (40,030 | ) | |||||
A-Class | — | (51,784 | ) | |||||
C-Class | — | (168,412 | ) | |||||
Total distributions to shareholders | — | (421,334 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 62,510,141 | 111,135,030 | ||||||
Advisor Class | 12,477,599 | 10,401,691 | ||||||
A-Class | 4,650,594 | 8,328,262 | ||||||
C-Class | 28,076,659 | 86,585,614 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 158,316 | ||||||
Advisor Class | — | 40,030 | ||||||
A-Class | — | 51,338 | ||||||
C-Class | — | 151,140 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (82,414,323 | ) | (114,422,177 | ) | ||||
Advisor Class | (12,514,061 | ) | (12,673,768 | ) | ||||
A-Class | (8,936,943 | ) | (3,498,143 | ) | ||||
C-Class | (30,635,911 | ) | (85,151,619 | ) | ||||
Net increase (decrease) from capital share transactions | (26,786,245 | ) | 1,105,714 | |||||
Net increase (decrease) in net assets | (29,499,040 | ) | 10,340,391 | |||||
Net assets: | ||||||||
Beginning of period | 39,619,265 | 29,278,874 | ||||||
End of period | $ | 10,120,225 | $ | 39,619,265 | ||||
Undistributed net investment income at end of period | $ | 46,023 | $ | 53,771 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,302,448 | 2,470,609 | ||||||
Advisor Class | 275,377 | 268,841 | ||||||
A-Class | 98,631 | 185,253 | ||||||
C-Class | 667,537 | 2,198,885 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 3,650 | ||||||
Advisor Class | — | 1,000 | ||||||
A-Class | — | 1,266 | ||||||
C-Class | — | 3,875 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,696,215 | ) | (2,684,716 | ) | ||||
Advisor Class | (289,613 | ) | (324,898 | ) | ||||
A-Class | (203,249 | ) | (79,682 | ) | ||||
C-Class | (725,040 | ) | (2,150,261 | ) | ||||
Total capital share activity | (570,124 | ) | (106,178 | ) | ||||
12 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
BANKING FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $50.73 | $32.62 | $75.60 | $110.30 | $108.60 | $101.70 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .03 | .28 | 1.30 | 2.50 | 2.00 | 1.60 | ||||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (5.66 | ) | 20.05 | (42.98 | ) | (36.20 | ) | .50 | 6.90 | |||||||||||||||
Total from investment operations | (5.63 | ) | 20.33 | (41.68 | ) | (33.70 | ) | 2.50 | 8.50 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Total distributions | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Net asset value, end of period | $45.10 | $50.73 | $32.62 | $75.60 | $110.30 | $108.60 | ||||||||||||||||||
Total Returnc | (11.08% | ) | 63.48% | (55.66% | ) | (30.69% | ) | 2.24% | 8.41% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,658 | $26,340 | $23,804 | $7,035 | $9,229 | $8,713 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.13% | 0.67% | 2.42% | 2.59% | 1.79% | 1.48% | ||||||||||||||||||
Total expenses | 1.38% | 1.38% | 1.37% | 1.37% | 1.32% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 424% | 986% | 1,055% | 1,417% | 954% | 1,834% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $46.79 | $30.36 | $70.70 | $103.90 | $103.00 | $97.20 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | .06 | 1.20 | 2.00 | 1.10 | 1.20 | |||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (5.24 | ) | 18.59 | (40.24 | ) | (34.20 | ) | .60 | 6.20 | |||||||||||||||
Total from investment operations | (5.31 | ) | 18.65 | (39.04 | ) | (32.20 | ) | 1.70 | 7.40 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Total distributions | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Net asset value, end of period | $41.48 | $46.79 | $30.36 | $70.70 | $103.90 | $103.00 | ||||||||||||||||||
Total Returnc | (11.35% | ) | 62.66% | (55.70% | ) | (31.14% | ) | 1.58% | 7.66% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $554 | $1,291 | $2,509 | $1,449 | $1,836 | $1,537 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.33% | ) | 0.17% | 2.42% | 2.32% | 1.08% | 1.20% | |||||||||||||||||
Total expenses | 1.88% | 1.88% | 1.88% | 1.85% | 1.88% | 1.84% | ||||||||||||||||||
Portfolio turnover rate | 424% | 986% | 1,055% | 1,417% | 954% | 1,834% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 13 |
BANKING 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $47.41 | $30.67 | $71.50 | $104.70 | $103.40 | $97.20 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .02 | .02 | 1.30 | 2.00 | 1.70 | 1.40 | ||||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (5.32 | ) | 18.94 | (40.83 | ) | (34.20 | ) | .40 | 6.40 | |||||||||||||||
Total from investment operations | (5.30 | ) | 18.96 | (39.53 | ) | (32.20 | ) | 2.10 | 7.80 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Total distributions | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Net asset value, end of period | $42.11 | $47.41 | $30.67 | $71.50 | $104.70 | $103.40 | ||||||||||||||||||
Total Returnc | (11.18% | ) | 63.04% | (55.77% | ) | (30.90% | ) | 1.96% | 8.07% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,262 | $6,381 | $851 | $547 | $187 | $97 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.07% | 0.06% | 2.71% | 2.33% | 1.54% | 1.40% | ||||||||||||||||||
Total expenses | 1.64% | 1.63% | 1.62% | 1.55% | 1.62% | 1.62% | ||||||||||||||||||
Portfolio turnover rate | 424% | 986% | 1,055% | 1,417% | 954% | 1,834% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | d | 2009 | d | 2008 | d | 2007 | d | 2006 | d | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $45.51 | $29.90 | $69.50 | $102.70 | $102.00 | $96.60 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.15 | ) | (.16 | ) | .90 | 1.60 | .70 | .60 | ||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | (5.09 | ) | 17.99 | (39.20 | ) | (33.80 | ) | .80 | 6.40 | |||||||||||||||
Total from investment operations | (5.24 | ) | 17.83 | (38.30 | ) | (32.20 | ) | 1.50 | 7.00 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Total distributions | — | (2.22 | ) | (1.30 | ) | (1.00 | ) | (.80 | ) | (1.60 | ) | |||||||||||||
Net asset value, end of period | $40.27 | $45.51 | $29.90 | $69.50 | $102.70 | $102.00 | ||||||||||||||||||
Total Returnc | (11.51% | ) | 60.86% | (55.64% | ) | (31.51% | ) | 1.40% | 7.29% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,646 | $5,607 | $2,114 | $3,408 | $3,180 | $673 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.71% | ) | (0.42% | ) | 1.82% | 1.89% | 0.63% | 0.59% | ||||||||||||||||
Total expenses | 2.38% | 2.38% | 2.40% | 2.35% | 2.37% | 2.35% | ||||||||||||||||||
Portfolio turnover rate | 424% | 986% | 1,055% | 1,417% | 954% | 1,834% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Per share amounts for the period: |
March 31, 2006 – April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009. |
14 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666606.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 14, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | May 3, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Potash Corporation of Saskatchewan, Inc. | 2.9 | % | ||
Vale S.A. — Class B ADR | 2.5 | % | ||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 2.5 | % | ||
E.I. du Pont de Nemours & Co. | 2.5 | % | ||
Barrick Gold Corp. | 2.5 | % | ||
Mosaic Co. | 2.1 | % | ||
Southern Copper Co. | 2.1 | % | ||
Dow Chemical Co. | 2.1 | % | ||
Newmont Mining Co. | 2.1 | % | ||
Praxair, Inc. | 2.0 | % | ||
Top Ten Total | 23.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
BASIC MATERIALS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
MATERIALS - 98.4% | ||||||||
Potash Corporation of Saskatchewan, Inc. | 22,808 | $ | 3,285,264 | |||||
Vale S.A. — Class B ADR | 97,154 | 3,038,006 | ||||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 34,170 | 2,917,776 | ||||||
E. I. du Pont de Nemours & Co. | 64,669 | 2,885,531 | ||||||
Barrick Gold Corp. | 60,848 | 2,816,653 | ||||||
Mosaic Co. | 42,376 | 2,490,014 | ||||||
Southern Copper Co. | 70,680 | 2,482,282 | ||||||
Dow Chemical Co. | 87,138 | 2,392,809 | ||||||
Newmont Mining Co. | 37,524 | 2,356,881 | ||||||
Praxair, Inc. | 25,618 | 2,312,281 | ||||||
Goldcorp, Inc. | 53,109 | 2,311,304 | ||||||
Teck Resources Ltd. — Class B | 55,269 | 2,274,872 | ||||||
Monsanto Co. | 43,732 | 2,096,075 | ||||||
BHP Billiton Ltd. ADR | 24,914 | 1,901,436 | ||||||
Air Products & Chemicals, Inc. | 22,933 | 1,899,311 | ||||||
Agrium, Inc. | 23,093 | 1,731,744 | ||||||
Ivanhoe Mines Ltd.* | 72,748 | 1,703,031 | ||||||
Alcoa, Inc. | 127,632 | 1,545,624 | ||||||
PPG Industries, Inc. | 21,034 | 1,531,275 | ||||||
Kinross Gold Corp. | 80,175 | 1,506,488 | ||||||
Ecolab, Inc. | 29,311 | 1,487,241 | ||||||
Agnico-Eagle Mines Ltd. | 20,494 | 1,455,689 | ||||||
Silver Wheaton Corp.* | 53,126 | 1,415,809 | ||||||
Nucor Corp. | 36,568 | 1,396,897 | ||||||
CF Industries Holdings, Inc. | 13,844 | 1,322,102 | ||||||
Cliffs Natural Resources, Inc. | 20,681 | 1,321,930 | ||||||
Eldorado Gold Corp. | 70,280 | 1,299,477 | ||||||
ArcelorMittal | 39,063 | 1,288,298 | ||||||
Rio Tinto plc ADR | 21,786 | 1,279,492 | ||||||
Yamana Gold, Inc. | 109,273 | 1,245,712 | ||||||
Cia Siderurgica Nacional S.A. ADR | 70,283 | 1,241,901 | ||||||
Lubrizol Corp. | 11,417 | 1,209,860 | ||||||
Sigma-Aldrich Corp. | 19,922 | 1,202,890 | ||||||
International Paper Co. | 54,821 | 1,192,357 | ||||||
Sherwin-Williams Co. | 15,860 | 1,191,720 | ||||||
POSCO ADR | 10,263 | 1,169,777 | ||||||
Newcrest Mining, Ltd. ADR | 29,435 | 1,133,248 | ||||||
Mechel ADR | 45,090 | 1,122,741 | ||||||
Randgold Resources Ltd. ADR | 10,799 | 1,095,667 | ||||||
AngloGold Ashanti Ltd. ADR | 23,347 | 1,079,565 | ||||||
Cia de Minas Buenaventura S.A. ADR | 23,885 | 1,079,124 | ||||||
Gerdau S.A. ADR | 78,990 | 1,075,054 | ||||||
Gold Fields Ltd. ADR | 70,165 | 1,071,420 | ||||||
Eastman Chemical Co. | 14,417 | 1,066,858 | ||||||
United States Steel Co. | 24,123 | 1,057,552 | ||||||
Airgas, Inc. | 15,132 | 1,028,219 | ||||||
IAMGOLD Corp. | 58,015 | 1,027,446 | ||||||
Celanese Corp. — Class A | 31,452 | 1,009,609 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Ball Corp. | 16,972 | $ | 998,803 | |||||
Harmony Gold Mining Company Ltd. ADR | 85,905 | 969,867 | ||||||
FMC Corp. | 14,120 | 965,949 | ||||||
Crown Holdings, Inc.* | 33,337 | 955,438 | ||||||
Walter Energy, Inc. | 11,560 | 939,712 | ||||||
Fibria Celulose S.A. ADR* | 53,954 | 932,865 | ||||||
Pactiv Corp.* | 27,843 | 918,262 | ||||||
Albemarle Corp. | 19,494 | 912,514 | ||||||
Sterlite Industries India Ltd. ADR | 59,844 | 896,463 | ||||||
Owens-Illinois, Inc.* | 30,868 | 866,156 | ||||||
MeadWestvaco Corp. | 35,196 | 858,078 | ||||||
Allegheny Technologies, Inc. | 18,378 | 853,658 | ||||||
International Flavors & Fragrances, Inc. | 17,277 | 838,280 | ||||||
Cemex SAB de CV ADR* | 97,997 | 832,974 | ||||||
Scotts Miracle-Gro Co. — Class A | 15,894 | 822,197 | ||||||
Nalco Holding Co. | 32,604 | 821,947 | ||||||
Sealed Air Corp. | 35,998 | 809,235 | ||||||
Bemis Company, Inc. | 25,412 | 806,831 | ||||||
Vulcan Materials Co. | 21,815 | 805,410 | ||||||
Titanium Metals Corp.* | 39,665 | 791,713 | ||||||
Huntsman Corp. | 67,748 | 783,167 | ||||||
Sonoco Products Co. | 23,329 | 780,122 | ||||||
Cytec Industries, Inc. | 13,745 | 774,943 | ||||||
Ashland, Inc. | 15,715 | 766,421 | ||||||
Pan American Silver Corp. | 25,826 | 764,191 | ||||||
Steel Dynamics, Inc. | 52,890 | 746,278 | ||||||
Domtar Corp. | 11,440 | 738,795 | ||||||
Valspar Corp. | 22,952 | 731,021 | ||||||
Reliance Steel & Aluminum Co. | 17,414 | 723,203 | ||||||
Martin Marietta Materials, Inc. | 9,309 | 716,514 | ||||||
Rockwood Holdings, Inc.* | 22,050 | 693,914 | ||||||
RPM International, Inc. | 34,332 | 683,893 | ||||||
Silgan Holdings, Inc. | 21,060 | 667,602 | ||||||
Cabot Corp. | 20,456 | 666,252 | ||||||
Compass Minerals International, Inc. | 8,529 | 653,492 | ||||||
WR Grace & Co.* | 23,347 | 652,315 | ||||||
Packaging Corporation of America | 27,881 | 646,003 | ||||||
Intrepid Potash, Inc.* | 24,087 | 627,948 | ||||||
Royal Gold, Inc. | 12,544 | 625,193 | ||||||
Solutia, Inc.* | 37,380 | 598,828 | ||||||
NewMarket Corp. | 5,050 | 574,084 | ||||||
Rock-Tenn Co. — Class A | 11,214 | 558,569 | ||||||
Temple-Inland, Inc. | 28,446 | 530,802 | ||||||
AK Steel Holding Corp. | 37,703 | 520,678 | ||||||
Commercial Metals Co. | 35,916 | 520,423 | ||||||
Olin Corp. | 25,809 | 520,309 | ||||||
Carpenter Technology Corp. | 14,246 | 480,233 | ||||||
Total Materials | 114,387,857 | |||||||
FINANCIALS - 1.1% | ||||||||
Weyerhaeuser Co. | 83,971 | 1,323,383 | ||||||
Total Common Stocks | ||||||||
(Cost $89,790,791) | 115,711,240 | |||||||
16 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
BASIC MATERIALS FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 - 0.7% | ||||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | $ | 832,539 | $ | 832,539 | ||||
Total Repurchase Agreement (Cost $832,539) | 832,539 | |||||||
Total Investments - 100.2% (Cost $90,623,330) | $ | 116,543,779 | ||||||
Liabilities, Less Cash & Other Assets – (0.2)% | (221,658 | ) | ||||||
Total Net Assets – 100.0% | $ | 116,322,121 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt | |
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 17 |
BASIC MATERIALS FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 115,711,240 | ||
Repurchase agreement, at value | 832,539 | |||
Total investments | 116,543,779 | |||
Cash | 18,343 | |||
Receivables: | ||||
Fund shares sold | 4,516,192 | |||
Dividends | 72,452 | |||
Total assets | 121,150,766 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 3,955,104 | |||
Fund shares redeemed | 743,400 | |||
Management fees | 55,128 | |||
Custodian fees | 2,142 | |||
Transfer agent/maintenance fees | 16,214 | |||
Distribution and service fees | 11,009 | |||
Portfolio accounting fees | 6,486 | |||
Other | 39,162 | |||
Total liabilities | 4,828,645 | |||
Net assets | $ | 116,322,121 | ||
Net assets consist of: | ||||
Paid in capital | 126,448,250 | |||
Undistributed net investment income | 292,156 | |||
Accumulated net realized loss on sale of investments | (36,338,734 | ) | ||
Net unrealized appreciation in value of investments | 25,920,449 | |||
Net assets | 116,322,121 | |||
Investor Class: | ||||
Net assets | $ | 89,640,639 | ||
Capital shares outstanding | 1,928,431 | |||
Net asset value per share | $46.48 | |||
Advisor Class: | ||||
Net assets | $ | 8,382,891 | ||
Capital shares outstanding | 191,271 | |||
Net asset value per share | $43.83 | |||
A-Class: | ||||
Net assets | $ | 8,288,992 | ||
Capital shares outstanding | 185,915 | |||
Net asset value per share | $44.58 | |||
Maximum offering price per share* | $46.80 | |||
C-Class: | ||||
Net assets | $ | 10,009,599 | ||
Capital shares outstanding | 237,628 | |||
Net asset value per share | $42.12 | |||
Investments, at cost | $ | 89,790,791 | ||
Repurchase agreement, at cost | 832,539 | |||
Total cost | $ | 90,623,330 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $4,956) | $ | 503,546 | ||
Interest | 318 | |||
Total investment income | 503,864 | |||
Expenses: | ||||
Management fees | 279,018 | |||
Transfer agent and administrative fees | 82,064 | |||
Distribution and Service Fees: | ||||
Advisor Class | 14,410 | |||
A-Class | 9,417 | |||
C-Class | 41,905 | |||
Portfolio accounting fees | 32,825 | |||
Trustees’ fees** | 2,358 | |||
Miscellaneous | 54,668 | |||
Total expenses | 516,665 | |||
Net investment loss | (12,801 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 891,280 | |||
Net realized gain | 891,280 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (26,719 | ) | ||
Net unrealized depreciation | (26,719 | ) | ||
Net realized and unrealized gain | 864,561 | |||
Net increase in net assets resulting from operations | $ | 851,760 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
BASIC MATERIALS FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (12,801 | ) | $ | 418,960 | |||
Net realized gain during the period on investments | 891,280 | 2,711,773 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (26,719 | ) | 18,662,144 | |||||
Net increase in net assets resulting from operations | 851,760 | 21,792,877 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (236,906 | ) | |||||
Advisor Class | — | (29,177 | ) | |||||
A-Class | — | (18,345 | ) | |||||
C-Class | — | (26,067 | ) | |||||
Total distributions to shareholders | — | (310,495 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 155,339,934 | 327,399,075 | ||||||
Advisor Class | 14,938,309 | 35,932,170 | ||||||
A-Class | 1,779,586 | 10,740,343 | ||||||
C-Class | 62,552,996 | 71,801,108 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 220,842 | ||||||
Advisor Class | — | 20,624 | ||||||
A-Class | — | 16,149 | ||||||
C-Class | — | 24,977 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (111,163,707 | ) | (395,861,863 | ) | ||||
Advisor Class | (15,101,585 | ) | (34,027,602 | ) | ||||
A-Class | (1,923,019 | ) | (8,721,203 | ) | ||||
C-Class | (61,618,073 | ) | (69,843,154 | ) | ||||
Net increase (decrease) from capital share transactions | 44,804,441 | (62,298,534 | ) | |||||
Net increase (decrease) in net assets | 45,656,201 | (40,816,152 | ) | |||||
Net assets: | ||||||||
Beginning of period | 70,665,920 | 111,482,072 | ||||||
End of period | $ | 116,322,121 | $ | 70,665,920 | ||||
Undistributed net investment income at end of period | $ | 292,156 | $ | 304,957 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 3,526,568 | 8,763,665 | ||||||
Advisor Class | 358,222 | 993,888 | ||||||
A-Class | 42,238 | 293,045 | ||||||
C-Class | 1,579,849 | 2,030,076 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 5,201 | ||||||
Advisor Class | — | 513 | ||||||
A-Class | — | 396 | ||||||
C-Class | — | 644 | ||||||
Shares redeemed | ||||||||
Investor Class | (2,596,538 | ) | (11,371,550 | ) | ||||
Advisor Class | (375,448 | ) | (966,463 | ) | ||||
A-Class | (46,587 | ) | (254,082 | ) | ||||
C-Class | (1,566,569 | ) | (1,965,846 | ) | ||||
Total capital share activity | 921,735 | (2,470,513 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 19 |
1
BASIC MATERIALS FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $44.65 | $27.43 | $50.49 | $42.25 | $35.23 | $30.66 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .04 | .24 | .20 | .15 | .41 | .32 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.79 | 17.07 | (22.77 | ) | 8.18 | 6.91 | 4.44 | |||||||||||||||||
Total from investment operations | 1.83 | 17.31 | (22.57 | ) | 8.33 | 7.32 | 4.76 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Total distributions | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Net asset value, end of period | $46.48 | $44.65 | $27.43 | $50.49 | $42.25 | $35.23 | ||||||||||||||||||
Total Returnc | 4.10% | 63.12% | (44.54% | ) | 19.71% | 20.86% | 15.60% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $89,641 | $44,582 | $98,767 | $120,870 | $68,862 | $23,630 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.17% | 0.65% | 0.46% | 0.31% | 1.09% | 1.04% | ||||||||||||||||||
Total expenses | 1.37% | 1.39% | 1.37% | 1.37% | 1.36% | 1.35% | ||||||||||||||||||
Portfolio turnover rate | 184% | 455% | 288% | 225% | 442% | 826% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $42.20 | $26.06 | $48.27 | $40.61 | $34.03 | $29.78 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | .03 | .05 | (.11 | ) | .26 | .16 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.70 | 16.20 | (21.77 | ) | 7.86 | 6.62 | 4.28 | |||||||||||||||||
Total from investment operations | 1.63 | 16.23 | (21.72 | ) | 7.75 | 6.88 | 4.44 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Total distributions | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Net asset value, end of period | $43.83 | $42.20 | $26.06 | $48.27 | $40.61 | $34.03 | ||||||||||||||||||
Total Returnc | 3.86% | 62.30% | (44.83% | ) | 19.08% | 20.30% | 14.98% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $8,383 | $8,799 | $4,705 | $11,899 | $15,974 | $7,619 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.35% | ) | 0.07% | 0.13% | (0.25% | ) | 0.72% | 0.55% | ||||||||||||||||
Total expenses | 1.88% | 1.89% | 1.88% | 1.87% | 1.87% | 1.85% | ||||||||||||||||||
Portfolio turnover rate | 184% | 455% | 288% | 225% | 442% | 826% |
20 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
BASIC MATERIALS 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $42.88 | $26.41 | $48.80 | $40.92 | $34.19 | $29.84 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | .15 | .12 | .03 | .33 | .29 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.73 | 16.41 | (22.02 | ) | 7.94 | 6.70 | 4.25 | |||||||||||||||||
Total from investment operations | 1.70 | 16.56 | (21.90 | ) | 7.97 | 7.03 | 4.54 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Total distributions | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Net asset value, end of period | $44.58 | $42.88 | $26.41 | $48.80 | $40.92 | $34.19 | ||||||||||||||||||
Total Returnc | 3.96% | 62.72% | (44.71% | ) | 19.47% | 20.65% | 15.29% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $8,289 | $8,159 | $3,986 | $6,985 | $2,076 | $659 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.14% | ) | 0.40% | 0.30% | 0.07% | 0.92% | 0.97% | |||||||||||||||||
Total expenses | 1.63% | 1.65% | 1.63% | 1.62% | 1.62% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 184% | 455% | 288% | 225% | 442% | 826% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $40.67 | $25.24 | $47.02 | $39.76 | $33.48 | $29.44 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.13 | ) | (.18 | ) | (.28 | ) | .04 | .03 | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.61 | 15.65 | (21.11 | ) | 7.63 | 6.54 | 4.20 | |||||||||||||||||
Total from investment operations | 1.45 | 15.52 | (21.29 | ) | 7.35 | 6.58 | 4.23 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Total distributions | — | (.09 | ) | (.49 | ) | (.09 | ) | (.30 | ) | (.19 | ) | |||||||||||||
Net asset value, end of period | $42.12 | $40.67 | $25.24 | $47.02 | $39.76 | $33.48 | ||||||||||||||||||
Total Returnc | 3.57% | 61.51% | (45.11% | ) | 18.48% | 19.74% | 14.44% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $10,010 | $9,125 | $4,024 | $12,725 | $7,017 | $6,041 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82% | ) | (0.37% | ) | (0.46% | ) | (0.63% | ) | 0.11% | 0.11% | ||||||||||||||
Total expenses | 2.38% | 2.40% | 2.38% | 2.37% | 2.37% | 2.36% | ||||||||||||||||||
Portfolio turnover rate | 184% | 455% | 288% | 225% | 442% | 826% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 21 |
3
FUND PROFILE (Unaudited)
September 30, 2010
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666607.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 1, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | March 30, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Amgen, Inc. | 11.5 | % | ||
Gilead Sciences, Inc. | 8.9 | % | ||
Celgene Corp. | 8.3 | % | ||
Genzyme Corp. | 8.0 | % | ||
Biogen Idec, Inc. | 6.5 | % | ||
Vertex Pharmaceuticals, Inc. | 4.0 | % | ||
Dendreon Corp. | 3.9 | % | ||
Human Genome Sciences, Inc. | 3.8 | % | ||
Alexion Pharmaceuticals, Inc. | 3.7 | % | ||
Cephalon, Inc. | 3.5 | % | ||
Top Ten Total | 62.1 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
22 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
BIOTECHNOLOGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.4% | ||||||||
HEALTH CARE - 99.4% | ||||||||
Amgen, Inc.* | 118,235 | $ | 6,515,932 | |||||
Gilead Sciences, Inc.* | 141,402 | 5,035,325 | ||||||
Celgene Corp.* | 82,198 | 4,735,427 | ||||||
Genzyme Corp.* | 64,966 | 4,598,943 | ||||||
Biogen Idec, Inc.* | 66,061 | 3,707,343 | ||||||
Vertex Pharmaceuticals, Inc.* | 67,116 | 2,320,200 | ||||||
Dendreon Corp.* | 54,147 | 2,229,773 | ||||||
Human Genome Sciences, Inc.* | 73,046 | 2,176,040 | ||||||
Alexion Pharmaceuticals, Inc.* | 33,020 | 2,125,167 | ||||||
Cephalon, Inc.* | 32,218 | 2,011,692 | ||||||
Amylin Pharmaceuticals, Inc.* | 84,062 | 1,752,693 | ||||||
United Therapeutics Corp.* | 28,969 | 1,622,554 | ||||||
Talecris Biotherapeutics Holdings Corp.* | 67,972 | 1,555,199 | ||||||
Incyte Corporation Ltd.* | 86,250 | 1,379,138 | ||||||
Onyx Pharmaceuticals, Inc.* | 46,476 | 1,226,037 | ||||||
Myriad Genetics, Inc.* | 67,557 | 1,108,610 | ||||||
BioMarin Pharmaceutical, Inc.* | 49,121 | 1,097,854 | ||||||
Savient Pharmaceuticals, Inc.* | 43,485 | 994,502 | ||||||
InterMune, Inc.* | 68,190 | 928,748 | ||||||
Regeneron Pharmaceuticals, Inc.* | 31,622 | 866,443 | ||||||
Acorda Therapeutics, Inc.* | 24,091 | 795,485 | ||||||
MannKind Corp.* | 115,330 | 779,631 | ||||||
Alkermes, Inc.* | 51,156 | 749,435 | ||||||
Cubist Pharmaceuticals, Inc.* | 29,810 | 697,256 | ||||||
PDL BioPharma, Inc. | 132,085 | 694,767 | ||||||
Medivation, Inc.* | 53,370 | 693,810 | ||||||
Isis Pharmaceuticals, Inc.* | 72,225 | 606,690 | ||||||
Theravance, Inc.* | 28,100 | 564,810 | ||||||
Seattle Genetics, Inc.* | 33,947 | 527,197 | ||||||
Cepheid, Inc.* | 24,255 | 453,811 | ||||||
Enzon Pharmaceuticals, Inc.* | 32,551 | 366,199 | ||||||
Pharmasset, Inc.* | 12,220 | 360,490 | ||||||
Martek Biosciences Corp.* | 14,925 | 337,753 | ||||||
AMAG Pharmaceuticals, Inc.* | 19,535 | 336,197 | ||||||
Geron Corp.* | 56,638 | 313,208 | ||||||
Allos Therapeutics, Inc.* | 58,525 | 276,238 | ||||||
Immunogen, Inc.* | 40,310 | 252,744 | ||||||
BioCryst Pharmaceuticals, Inc.* | 38,876 | 192,047 | ||||||
Total Health Care | 56,985,388 | |||||||
Total Common Stocks (Cost $26,854,906) | 56,985,388 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
REPURCHASE AGREEMENT ††,1 - 0.4% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 255,648 | $ | 255,648 | ||||
Total Repurchase Agreement (Cost $255,648) | 255,648 | |||||||
Total Investments - 99.8% (Cost $27,110,554) | $ | 57,241,036 | ||||||
Cash & Other Assets, Less Liabilities – 0.2% | 129,611 | |||||||
Total Net Assets – 100.0% | $ | 57,370,647 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 23 |
BIOTECHNOLOGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 56,985,388 | ||
Repurchase agreement, at value | 255,648 | |||
Total investments | 57,241,036 | |||
Receivables: | ||||
Fund shares sold | 4,848,623 | |||
Dividends | 65,044 | |||
Total assets | 62,154,703 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,402,595 | |||
Fund shares redeemed | 277,417 | |||
Management fees | 36,953 | |||
Custodian fees | 1,435 | |||
Transfer agent/maintenance fees | 10,869 | |||
Distribution and service fees | 5,318 | |||
Portfolio accounting fees | 4,347 | |||
Other | 45,122 | |||
Total liabilities | 4,784,056 | |||
Net assets | $ | 57,370,647 | ||
Net assets consist of: | ||||
Paid in capital | 126,017,954 | |||
Accumulated net investment loss | (447,147 | ) | ||
Accumulated net realized loss on sale of investments | (98,330,642 | ) | ||
Net unrealized appreciation in value of investments | 30,130,482 | |||
Net assets | 57,370,647 | |||
Investor Class: | ||||
Net assets | $ | 45,749,731 | ||
Capital shares outstanding | 1,763,910 | |||
Net asset value per share | $25.94 | |||
Advisor Class: | ||||
Net assets | $ | 5,214,656 | ||
Capital shares outstanding | 214,812 | |||
Net asset value per share | $24.28 | |||
A-Class: | ||||
Net assets | $ | 2,131,746 | ||
Capital shares outstanding | 86,628 | |||
Net asset value per share | $24.61 | |||
Maximum offering price per share* | $25.84 | |||
C-Class: | ||||
Net assets | $ | 4,274,514 | ||
Capital shares outstanding | 181,269 | |||
Net asset value per share | $23.58 | |||
Investments, at cost | $ | 26,854,906 | ||
Repurchase agreement, at cost | 255,648 | |||
Total cost | $ | 27,110,554 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 65,042 | ||
Interest | 381 | |||
Total investment income | 65,423 | |||
Expenses: | ||||
�� | ||||
Management fees | 293,187 | |||
Transfer agent and administrative fees | 86,231 | |||
Distribution and Service Fees: | ||||
Advisor Class | 13,309 | |||
A-Class | 3,225 | |||
C-Class | 19,322 | |||
Portfolio accounting fees | 34,492 | |||
Trustees’ fees** | 3,824 | |||
Registration | 29,912 | |||
Miscellaneous | 29,068 | |||
Total expenses | 512,570 | |||
Net investment loss | (447,147 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 2,139,586 | |||
Net realized gain | 2,139,586 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (8,382,554 | ) | ||
Net unrealized depreciation | (8,382,554 | ) | ||
Net loss | (6,242,968 | ) | ||
Net decrease in net assets resulting from operations | $ | (6,690,115 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
BIOTECHNOLOGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (447,147 | ) | $ | (1,027,989 | ) | ||
Net realized gain during the period on investments | 2,139,586 | 23,271,294 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (8,382,554 | ) | 17,120,769 | |||||
Net increase (decrease) in net assets resulting from operations | (6,690,115 | ) | 39,364,074 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 106,011,163 | 382,174,346 | ||||||
Advisor Class | 9,326,923 | 30,320,268 | ||||||
A-Class | 3,343,842 | 3,174,070 | ||||||
C-Class | 42,118,939 | 62,222,359 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (202,078,784 | ) | (335,407,314 | ) | ||||
Advisor Class | (12,831,963 | ) | (30,117,369 | ) | ||||
A-Class | (3,804,246 | ) | (5,562,086 | ) | ||||
C-Class | (42,374,315 | ) | (62,697,371 | ) | ||||
Net increase (decrease) from capital share transactions | (100,288,441 | ) | 44,106,903 | |||||
Net increase (decrease) in net assets | (106,978,556 | ) | 83,470,977 | |||||
Net assets: | ||||||||
Beginning of period | 164,349,203 | 80,878,226 | ||||||
End of period | $ | 57,370,647 | $ | 164,349,203 | ||||
Accumulated net investment loss at end of period | $ | (447,147 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 4,265,057 | 16,314,815 | ||||||
Advisor Class | 398,592 | 1,372,828 | ||||||
A-Class | 141,585 | 138,965 | ||||||
C-Class | 1,848,481 | 2,885,464 | ||||||
Shares redeemed | ||||||||
Investor Class | (7,900,091 | ) | (14,313,826 | ) | ||||
Advisor Class | (540,207 | ) | (1,381,852 | ) | ||||
A-Class | (165,428 | ) | (264,013 | ) | ||||
C-Class | (1,855,673 | ) | (2,922,461 | ) | ||||
Total capital share activity | (3,807,684 | ) | 1,829,920 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 25 |
BIOTECHNOLOGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.34 | $19.37 | $21.51 | $21.21 | $23.45 | $17.59 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.15 | ) | (.21 | ) | (.19 | ) | (.22 | ) | (.27 | ) | (.26 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.25 | ) | 8.18 | (1.95 | ) | .52 | (1.97 | ) | 6.12 | |||||||||||||||
Total from investment operations | (1.40 | ) | 7.97 | (2.14 | ) | .30 | (2.24 | ) | 5.86 | |||||||||||||||
Net asset value, end of period | $25.94 | $27.34 | $19.37 | $21.51 | $21.21 | $23.45 | ||||||||||||||||||
Total Returnc | (5.12% | ) | 41.15% | (9.95% | ) | 1.41% | (9.55% | ) | 33.31% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $45,750 | $147,631 | $65,829 | $47,696 | $61,366 | $104,126 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.19% | ) | (0.90% | ) | (0.86% | ) | (0.94% | ) | (1.23% | ) | (1.25% | ) | ||||||||||||
Total expenses | 1.38% | 1.39% | 1.38% | 1.39% | 1.37% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 147% | 316% | 370% | 193% | 269% | 338% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.66 | $18.27 | $20.39 | $20.20 | $22.44 | $16.91 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.20 | ) | (.30 | ) | (.29 | ) | (.31 | ) | (.37 | ) | (.36 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.18 | ) | 7.69 | (1.83 | ) | .50 | (1.87 | ) | 5.89 | |||||||||||||||
Total from investment operations | (1.38 | ) | 7.39 | (2.12 | ) | .19 | (2.24 | ) | 5.53 | |||||||||||||||
Net asset value, end of period | $24.28 | $25.66 | $18.27 | $20.39 | $20.20 | $22.44 | ||||||||||||||||||
Total Returnc | (5.38% | ) | 40.45% | (10.40% | ) | 0.94% | (9.98% | ) | 32.70% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,215 | $9,144 | $6,675 | $4,220 | $5,295 | $26,240 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.68% | ) | (1.38% | ) | (1.40% | ) | (1.42% | ) | (1.75% | ) | 1.76% | |||||||||||||
Total expenses | 1.88% | 1.89% | 1.88% | 1.89% | 1.87% | 1.86% | ||||||||||||||||||
Portfolio turnover rate | 147% | 316% | 370% | 193% | 269% | 338% |
26 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
BIOTECHNOLOGY 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.98 | $18.45 | $20.54 | $20.30 | $22.50 | $16.93 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.17 | ) | (.25 | ) | (.24 | ) | (.27 | ) | (.31 | ) | (.33 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.20 | ) | 7.78 | (1.85 | ) | .51 | (1.89 | ) | 5.90 | |||||||||||||||
Total from investment operations | (1.37 | ) | 7.53 | (2.09 | ) | .24 | (2.20 | ) | 5.57 | |||||||||||||||
Net asset value, end of period | $24.61 | $25.98 | $18.45 | $20.54 | $20.30 | $22.50 | ||||||||||||||||||
Total Returnc | (5.27% | ) | 40.81% | (10.18% | ) | 1.18% | (9.78% | ) | 32.90% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,132 | $2,869 | $4,346 | $2,321 | $849 | $5,087 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.44% | ) | (1.12% | ) | (1.17% | ) | (1.26% | ) | (1.50% | ) | (1.52% | ) | ||||||||||||
Total expenses | 1.63% | 1.64% | 1.64% | 1.62% | 1.62% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 147% | 316% | 370% | 193% | 269% | 338% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $24.96 | $17.87 | $20.03 | $19.95 | $22.27 | $16.87 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.25 | ) | (.38 | ) | (.38 | ) | (.42 | ) | (.46 | ) | (.47 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.13 | ) | 7.47 | (1.78 | ) | .50 | (1.86 | ) | 5.87 | |||||||||||||||
Total from investment operations | (1.38 | ) | 7.09 | (2.16 | ) | .08 | (2.32 | ) | 5.40 | |||||||||||||||
Net asset value, end of period | $23.58 | $24.96 | $17.87 | $20.03 | $19.95 | $22.27 | ||||||||||||||||||
Total Returnc | (5.57% | ) | 39.68% | (10.78% | ) | 0.40% | (10.42% | ) | 32.01% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $4,275 | $4,705 | $4,028 | $3,671 | $2,678 | $7,786 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (2.21% | ) | (1.78% | ) | (1.89% | ) | (1.99% | ) | (2.23% | ) | (2.27% | ) | ||||||||||||
Total expenses | 2.38% | 2.39% | 2.39% | 2.38% | 2.36% | 2.36% | ||||||||||||||||||
Portfolio turnover rate | 147% | 316% | 370% | 193% | 269% | 338% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 27 |
FUND PROFILE (Unaudited)
September 30, 2010
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally.
Inception: July 6, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666621.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | July 6, 1998 | |||
Advisor Class | August 17, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | July 24, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Procter & Gamble Co. | 5.8 | % | ||
Coca-Cola Co. | 5.6 | % | ||
Philip Morris International, Inc. | 5.1 | % | ||
PepsiCo, Inc. | 4.7 | % | ||
Altria Group, Inc. | 3.5 | % | ||
Kraft Foods, Inc. — Class A | 3.2 | % | ||
Colgate-Palmolive Co. | 2.7 | % | ||
Kimberly-Clark Corp. | 2.4 | % | ||
Archer-Daniels-Midland Co. | 2.2 | % | ||
General Mills, Inc. | 2.1 | % | ||
Top Ten Total | 37.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
28 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
CONSUMER PRODUCTS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
CONSUMER STAPLES - 99.5% | ||||||||
Procter & Gamble Co. | 73,356 | $ | 4,399,159 | |||||
Coca-Cola Co. | 71,618 | 4,191,085 | ||||||
Philip Morris International, Inc. | 68,753 | 3,851,543 | ||||||
PepsiCo, Inc. | 53,672 | 3,565,968 | ||||||
Altria Group, Inc. | 109,695 | 2,634,874 | ||||||
Kraft Foods, Inc. — Class A | 81,932 | 2,528,421 | ||||||
Colgate-Palmolive Co. | 26,513 | 2,037,789 | ||||||
Kimberly-Clark Corp. | 27,640 | 1,797,982 | ||||||
Archer-Daniels-Midland Co. | 51,462 | 1,642,667 | ||||||
General Mills, Inc. | 44,182 | 1,614,409 | ||||||
Reynolds American, Inc. | 25,419 | 1,509,634 | ||||||
Kellogg Co. | 28,291 | 1,428,978 | ||||||
Coca-Cola Enterprises, Inc. | 45,764 | 1,418,684 | ||||||
Sysco Corp. | 47,125 | 1,344,005 | ||||||
Avon Products, Inc. | 41,372 | 1,328,455 | ||||||
HJ Heinz Co. | 28,000 | 1,326,360 | ||||||
Kroger Co. | 59,183 | 1,281,903 | ||||||
Estee Lauder Companies, Inc. — Class A | 19,668 | 1,243,608 | ||||||
Lorillard, Inc. | 15,470 | 1,242,396 | ||||||
Mead Johnson Nutrition Co. — Class A | 20,941 | 1,191,752 | ||||||
Campbell Soup Co. | 32,627 | 1,166,415 | ||||||
Hershey Co. | 22,797 | 1,084,909 | ||||||
Clorox Co. | 15,829 | 1,056,744 | ||||||
Bunge Ltd. | 17,649 | 1,044,115 | ||||||
Brown-Forman Corp. — Class B | 16,889 | 1,041,038 | ||||||
Molson Coors Brewing Co. — Class B | 22,016 | 1,039,595 | ||||||
ConAgra Foods, Inc. | 45,181 | 991,271 | ||||||
Cia de Bebidas das Americas ADR | 7,905 | 978,481 | ||||||
Dr Pepper Snapple Group, Inc. | 27,315 | 970,229 | ||||||
Safeway, Inc. | 45,335 | 959,289 | ||||||
Sara Lee Corp. | 71,285 | 957,358 | ||||||
JM Smucker Co. | 14,522 | 879,017 | ||||||
Hormel Foods Corp. | 18,888 | 842,405 | ||||||
Whole Foods Market, Inc.* | 22,170 | 822,729 | ||||||
Energizer Holdings, Inc.* | 12,120 | 814,828 | ||||||
McCormick & Company, Inc. | 19,355 | 813,684 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 15,448 | 783,677 | ||||||
NBTY, Inc.* | 14,240 | 782,915 | ||||||
Tyson Foods, Inc. — Class A | 48,820 | 782,096 | ||||||
Unilever N.V. | 25,818 | 771,442 | ||||||
Alberto-Culver Co. — Class B | 20,383 | 767,420 | ||||||
Hansen Natural Corp.* | 16,168 | 753,752 | ||||||
Green Mountain Coffee | ||||||||
Roasters, Inc.* | 23,456 | 731,593 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt | |
plc — Public Limited Company |
MARKET | ||||||||
SHARES | VALUE | |||||||
Herbalife Ltd. | 12,101 | $ | 730,295 | |||||
Church & Dwight Company, Inc. | 11,002 | 714,470 | ||||||
Unilever plc ADR | 24,015 | 698,837 | ||||||
Constellation Brands, Inc. — Class A* | 39,264 | 694,580 | ||||||
Diageo plc ADR | 9,707 | 669,880 | ||||||
Cosan Ltd. — Class A | 56,318 | 652,726 | ||||||
Anheuser-Busch InBev N.V. ADR | 10,538 | 619,108 | ||||||
Smithfield Foods, Inc.* | 35,582 | 598,845 | ||||||
BRF - Brasil Foods S.A. ADR | 38,314 | 595,016 | ||||||
Ralcorp Holdings, Inc.* | 10,118 | 591,701 | ||||||
Corn Products International, Inc. | 15,563 | 583,613 | ||||||
Casey’s General Stores, Inc. | 12,872 | 537,406 | ||||||
Del Monte Foods Co. | 39,578 | 518,868 | ||||||
Flowers Foods, Inc. | 20,434 | 507,581 | ||||||
SUPERVALU, Inc. | 41,966 | 483,868 | ||||||
Nu Skin Enterprises, Inc. — Class A | 16,678 | 480,326 | ||||||
Dean Foods Co.* | 44,155 | 450,823 | ||||||
Ruddick Corp. | 12,825 | 444,771 | ||||||
Central European Distribution Corp.* | 18,352 | 409,617 | ||||||
TreeHouse Foods, Inc.* | 8,833 | 407,201 | ||||||
United Natural Foods, Inc.* | 12,266 | 406,495 | ||||||
Fresh Del Monte Produce, Inc.* | 18,379 | 398,824 | ||||||
Sanderson Farms, Inc. | 7,240 | 313,420 | ||||||
Lancaster Colony Corp. | 6,441 | 305,948 | ||||||
Total Consumer Staples | 75,228,893 | |||||||
Total Common Stocks | ||||||||
(Cost $63,481,164) | 75,228,893 | |||||||
WARRANTS†† - 0.0% | ||||||||
Consumer Discretionary - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12 | 125 | 6 | ||||||
Total Warrants | ||||||||
(Cost $—) | 6 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.3% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $245,162 | 245,162 | ||||||
Total Repurchase Agreement | ||||||||
(Cost $245,162) | 245,162 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $63,726,326) | $ | 75,474,061 | ||||||
Cash & Other Assets, Less Liabilities – 0.2% | 138,928 | |||||||
Total Net Assets – 100.0% | $ | 75,612,989 |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 29 |
2
CONSUMER PRODUCTS FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 75,228,899 | ||
Repurchase agreement, at value | 245,162 | |||
Total investments | 75,474,061 | |||
Receivables: | ||||
Securities sold | 35,240,910 | |||
Fund shares sold | 2,021,788 | |||
Dividends | 584,624 | |||
Total assets | 113,321,383 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 37,466,751 | |||
Management fees | 117,014 | |||
Custodian fees | 4,745 | |||
Transfer agent/maintenance fees | 34,416 | |||
Distribution and service fees | 6,868 | |||
Portfolio accounting fees | 13,766 | |||
Other | 64,834 | |||
Total liabilities | 37,708,394 | |||
Net assets | $ | 75,612,989 | ||
Net assets consist of: | ||||
Paid in capital | 50,649,271 | |||
Undistributed net investment income | 2,229,094 | |||
Undistributed net realized gain on sale of investments | 10,986,889 | |||
Net unrealized appreciation in value of investments | 11,747,735 | |||
Net assets | 75,612,989 | |||
Investor Class: | ||||
Net assets | $ | 60,734,869 | ||
Capital shares outstanding | 1,567,189 | |||
Net asset value per share | $38.75 | |||
Advisor Class: | ||||
Net assets | $ | 7,373,766 | ||
Capital shares outstanding | 201,651 | |||
Net asset value per share | $36.57 | |||
A-Class: | ||||
Net assets | $ | 3,781,598 | ||
Capital shares outstanding | 101,884 | |||
Net asset value per share | $37.12 | |||
Maximum offering price per share* | $38.97 | |||
C-Class: | ||||
Net assets | $ | 3,722,756 | ||
Capital shares outstanding | 105,607 | |||
Net asset value per share | $35.25 | |||
Investments, at cost | $ | 63,481,164 | ||
Repurchase agreement, at cost | 245,162 | |||
Total cost | $ | 63,726,326 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | |||||
Dividends (net of foreign withholding tax of $363) | $ | 1,482,534 | |||
Interest | 448 | ||||
Total investment income | 1,482,982 | ||||
Expenses: | |||||
Management fees | 489,501 | ||||
Transfer agent and administrative fees | 143,970 | ||||
Distribution and Service Fees: | |||||
Advisor Class | 12,808 | ||||
A-Class | 8,753 | ||||
C-Class | 22,508 | ||||
Portfolio accounting fees | 57,588 | ||||
Trustees’ fees** | 5,314 | ||||
Miscellaneous | 93,862 | ||||
Total expenses | 834,304 | ||||
Net investment income | 648,678 | ||||
Net Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) during the period on: | |||||
Investment securities | 19,265,407 | ||||
Net realized gain | 19,265,407 | ||||
Net unrealized appreciation (depreciation) during the period on: | |||||
Investment securities | (15,311,738 | ) | |||
Net unrealized depreciation | (15,311,738 | ) | |||
Net realized and unrealized gain | 3,953,669 | ||||
Net increase in net assets resulting from operations | $ | 4,602,347 | |||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2 (a)(19) of the 1940 Act. |
30 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
CONSUMER PRODUCTS FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 648,678 | $ | 1,580,414 | ||||
Net realized gain during the period on investments | 19,265,407 | 6,595,196 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (15,311,738 | ) | 26,967,623 | |||||
Net increase in net assets resulting from operations | 4,602,347 | 35,143,233 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (464,050 | ) | |||||
Advisor Class | — | (15,832 | ) | |||||
A-Class | — | (10,343 | ) | |||||
C-Class | — | (12,499 | ) | |||||
Total distributions to shareholders | — | (502,724 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 243,037,583 | 339,328,485 | ||||||
Advisor Class | 15,721,460 | 21,109,662 | ||||||
A-Class | 4,801,017 | 21,203,982 | ||||||
C-Class | 44,930,533 | 51,174,979 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 458,899 | ||||||
Advisor Class | — | 15,678 | ||||||
A-Class | — | 7,814 | ||||||
C-Class | — | 12,307 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (370,281,673 | ) | (201,366,844 | ) | ||||
Advisor Class | (14,371,949 | ) | (29,112,678 | ) | ||||
A-Class | (21,622,845 | ) | (3,884,119 | ) | ||||
C-Class | (45,413,881 | ) | (51,159,705 | ) | ||||
Net increase (decrease) from capital share transactions | (143,199,755 | ) | 147,788,460 | |||||
Net increase (decrease) in net assets | (138,597,408 | ) | 182,428,969 | |||||
Net assets: | ||||||||
Beginning of period | 214,210,397 | 31,781,428 | ||||||
End of period | $ | 75,612,989 | $ | 214,210,397 | ||||
Undistributed net investment income at end of period | $ | 2,229,094 | $ | 1,580,416 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 6,520,147 | 10,319,500 | ||||||
Advisor Class | 447,792 | 656,386 | ||||||
A-Class | 134,339 | 601,974 | ||||||
C-Class | 1,325,882 | 1,595,030 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 13,194 | ||||||
Advisor Class | — | 476 | ||||||
A-Class | — | 234 | ||||||
C-Class | — | 386 | ||||||
Shares redeemed | ||||||||
Investor Class | (9,788,609 | ) | (6,054,152 | ) | ||||
Advisor Class | (408,940 | ) | (937,075 | ) | ||||
A-Class | (619,197 | ) | (129,685 | ) | ||||
C-Class | (1,341,614 | ) | (1,600,013 | ) | ||||
Total capital share activity | (3,730,200 | ) | 4,466,255 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 31 |
CONSUMER PRODUCTS FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $37.83 | $26.39 | $36.40 | $36.11 | $31.03 | $30.50 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .23 | .50 | .55 | .52 | .43 | .30 | ||||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | .69 | 11.04 | (10.35 | ) | .13 | 4.71 | .65 | |||||||||||||||||
Total from investment operations | .92 | 11.54 | (9.80 | ) | .65 | 5.14 | .95 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Total distributions | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Net asset value, end of period | $38.75 | $37.83 | $26.39 | $36.40 | $36.11 | $31.03 | ||||||||||||||||||
Total Returnc | 2.43% | 43.75% | (26.96% | ) | 1.72% | 16.58% | 3.13% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $60,735 | $182,915 | $14,703 | $8,722 | $21,814 | $11,815 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.22% | 1.46% | 1.81% | 1.37% | 1.29% | 0.98% | ||||||||||||||||||
Total expenses | 1.37% | 1.37% | 1.38% | 1.37% | 1.37% | 1.32% | ||||||||||||||||||
Portfolio turnover rate | 182% | 200% | 445% | 449% | 455% | 813% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $35.77 | $25.09 | $34.78 | $34.68 | $29.96 | $29.66 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .17 | .35 | �� | .34 | .15 | .20 | .03 | |||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | .63 | 10.43 | (9.82 | ) | .31 | 4.58 | .69 | |||||||||||||||||
Total from investment operations | .80 | 10.78 | (9.48 | ) | .46 | 4.78 | .72 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | .42 | ||||||||||||||
Total distributions | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | .42 | ||||||||||||||
Net asset value, end of period | $36.57 | $35.77 | $25.09 | $34.78 | $34.68 | $29.96 | ||||||||||||||||||
Total Returnc | 2.24% | 42.99% | (27.29% | ) | 1.25% | 15.97% | 2.44% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $7,374 | $5,824 | $11,113 | $5,384 | $5,754 | $6,487 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.96% | 1.17% | 1.18% | 0.42% | 0.64% | 0.08% | ||||||||||||||||||
Total expenses | 1.87% | 1.88% | 1.87% | 1.87% | 1.86% | 1.82% | ||||||||||||||||||
Portfolio turnover rate | 182% | 200% | 445% | 449% | 455% | 813% |
32 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
CONSUMER PRODUCTS 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $36.26 | $25.37 | $35.09 | $34.90 | $30.07 | $29.69 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .08 | .55 | .42 | .50 | .42 | .18 | ||||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | .78 | 10.44 | (9.93 | ) | .05 | 4.47 | .62 | |||||||||||||||||
Total from investment operations | .86 | 10.99 | (9.51 | ) | .55 | 4.89 | .80 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Total distributions | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Net asset value, end of period | $37.12 | $36.26 | $25.37 | $35.09 | $34.90 | $30.07 | ||||||||||||||||||
Total Returnc | 2.37% | 43.34% | (27.14% | ) | 1.50% | 16.27% | 2.71% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,782 | $21,277 | $2,898 | $1,682 | $3,935 | $1,475 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.45% | 1.72% | 1.41% | 1.38% | 1.30% | 0.62% | ||||||||||||||||||
Total expenses | 1.62% | 1.63% | 1.63% | 1.63% | 1.61% | 1.60% | ||||||||||||||||||
Portfolio turnover rate | 182% | 200% | 445% | 449% | 455% | 813% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $34.57 | $24.36 | $33.95 | $34.04 | $29.55 | $29.53 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | .24 | .19 | .17 | .20 | (.03 | ) | |||||||||||||||||
Net gain (loss) on securities | ||||||||||||||||||||||||
(realized and unrealized) | .64 | 10.07 | (9.57 | ) | .10 | 4.35 | .47 | |||||||||||||||||
Total from investment operations | .68 | 10.31 | (9.38 | ) | .27 | 4.55 | .44 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Total distributions | — | (.10 | ) | (.21 | ) | (.36 | ) | (.06 | ) | (.42 | ) | |||||||||||||
Net asset value, end of period | $35.25 | $34.57 | $24.36 | $33.95 | $34.04 | $29.55 | ||||||||||||||||||
Total Returnc | 2.00% | 42.35% | (27.67% | ) | 0.71% | 15.41% | 1.50% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,723 | $4,194 | $3,067 | $3,903 | $5,472 | $1,340 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.25% | 0.77% | 0.65% | 0.49% | 0.62% | (0.11% | ) | |||||||||||||||||
Total expenses | 2.37% | 2.38% | 2.38% | 2.37% | 2.36% | 2.33% | ||||||||||||||||||
Portfolio turnover rate | 182% | 200% | 445% | 449% | 455% | 813% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 33 |
FUND PROFILE (Unaudited)
September 30, 2010
ELECTRONICS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666608.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 2, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | March 26, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Intel Corp. | 8.8 | % | ||
Texas Instruments, Inc. | 5.3 | % | ||
Broadcom Corp. — Class A | 3.7 | % | ||
Applied Materials, Inc. | 3.4 | % | ||
Altera Corp. | 2.9 | % | ||
Marvell Technology Group Ltd. | 2.9 | % | ||
Analog Devices, Inc. | 2.7 | % | ||
Xilinx, Inc. | 2.4 | % | ||
Linear Technology Corp. | 2.4 | % | ||
KLA-Tencor Corp. | 2.3 | % | ||
Top Ten Total | 36.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
34 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ELECTRONICS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 98.6% | ||||||||
INFORMATION TECHNOLOGY - 98.6% | ||||||||
Intel Corp. | 45,126 | $ | 867,774 | |||||
Texas Instruments, Inc. | 19,388 | 526,191 | ||||||
Broadcom Corp. — Class A | 10,538 | 372,941 | ||||||
Applied Materials, Inc. | 28,106 | 328,279 | ||||||
Altera Corp. | 9,590 | 289,234 | ||||||
Marvell Technology Group Ltd.* | 16,389 | 286,971 | ||||||
Analog Devices, Inc. | 8,746 | 274,449 | ||||||
Xilinx, Inc. | 9,003 | 239,570 | ||||||
Linear Technology Corp. | 7,712 | 236,990 | ||||||
KLA-Tencor Corp. | 6,622 | 233,294 | ||||||
Microchip Technology, Inc. | 7,018 | 220,716 | ||||||
NVIDIA Corp.* | 18,860 | 220,285 | ||||||
Maxim Integrated Products, Inc. | 11,330 | 209,718 | ||||||
Atmel Corp.* | 25,963 | 206,665 | ||||||
Micron Technology, Inc.* | 28,092 | 202,543 | ||||||
Lam Research Corp.* | 4,839 | 202,513 | ||||||
Cree, Inc.* | 3,520 | 191,101 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 17,995 | 182,469 | ||||||
Skyworks Solutions, Inc.* | 8,742 | 180,785 | ||||||
Advanced Micro Devices, Inc.* | 24,403 | 173,505 | ||||||
ON Semiconductor Corp.* | 21,652 | 156,111 | ||||||
MEMC Electronic Materials, Inc.* | 12,409 | 147,915 | ||||||
Rambus, Inc.* | 6,919 | 144,192 | ||||||
National Semiconductor Corp. | 11,287 | 144,135 | ||||||
LSI Corp.* | 31,186 | 142,208 | ||||||
Novellus Systems, Inc.* | 5,159 | 137,126 | ||||||
ASML Holding N.V. — Class G | 4,530 | 134,677 | ||||||
Cypress Semiconductor Corp.* | 10,584 | 133,147 | ||||||
TriQuint Semiconductor, Inc.* | 13,112 | 125,875 | ||||||
Varian Semiconductor Equipment Associates, Inc.* | 4,255 | 122,459 | ||||||
Teradyne, Inc.* | 10,989 | 122,417 | ||||||
Netlogic Microsystems, Inc.* | 4,048 | 111,644 | ||||||
PMC - Sierra, Inc.* | 14,919 | 109,804 | ||||||
Atheros Communications, Inc.* | 4,089 | 107,745 | ||||||
Semtech Corp.* | 5,223 | 105,452 | ||||||
Silicon Laboratories, Inc.* | 2,808 | 102,913 | ||||||
Cavium Networks, Inc.* | 3,519 | 101,206 | ||||||
Microsemi Corp.* | 5,893 | 101,065 | ||||||
Intersil Corp. — Class A | 8,544 | 99,879 | ||||||
Veeco Instruments, Inc.* | 2,838 | 98,961 |
MARKET | ||||||||
SHARES | VALUE | |||||||
International Rectifier Corp.* | 4,670 | $ | 98,490 | |||||
Cymer, Inc.* | 2,656 | 98,484 | ||||||
Amkor Technology, Inc.* | 14,757 | 96,953 | ||||||
Fairchild Semiconductor International, Inc. — Class A* | 10,156 | 95,466 | ||||||
Cirrus Logic, Inc.* | 5,326 | 95,016 | ||||||
Omnivision Technologies, Inc.* | 4,104 | 94,556 | ||||||
Integrated Device Technology, Inc.* | 14,936 | 87,376 | ||||||
Tessera Technologies, Inc.* | 4,718 | 87,283 | ||||||
Power Integrations, Inc. | 2,493 | 79,252 | ||||||
Applied Micro Circuits Corp.* | 6,675 | 66,750 | ||||||
Avago Technologies Ltd.* | 2,958 | 66,585 | ||||||
Micrel, Inc. | 6,573 | 64,810 | ||||||
Lattice Semiconductor Corp.* | 13,497 | 64,111 | ||||||
Volterra Semiconductor Corp.* | 2,837 | 61,052 | ||||||
Advanced Energy Industries, Inc.* | 4,448 | 58,091 | ||||||
Monolithic Power Systems, Inc.* | 3,323 | 54,265 | ||||||
Rubicon Technology, Inc.* | 2,389 | 54,206 | ||||||
Diodes, Inc.* | 3,052 | 52,159 | ||||||
Hittite Microwave Corp.* | 1,076 | 51,271 | ||||||
Kulicke & Soffa Industries, Inc.* | 8,280 | 51,253 | ||||||
Verigy, Ltd.* | 6,238 | 50,715 | ||||||
Formfactor, Inc.* | 5,824 | 50,086 | ||||||
Zoran Corp.* | 6,227 | 47,574 | ||||||
Cabot Microelectronics Corp.* | 1,399 | 45,020 | ||||||
MKS Instruments, Inc.* | 2,408 | 43,296 | ||||||
FEI Co.* | 2,125 | 41,586 | ||||||
Total Information Technology | 9,850,630 | |||||||
Total Common Stocks (Cost $7,299,722) | 9,850,630 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.3% | ||||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | $32,937 | 32,937 | ||||||
Total Repurchase Agreement (Cost $32,937) | 32,937 | |||||||
Total Investments - 98.9% (Cost $7,332,659) | $ | 9,883,567 | ||||||
Cash & Other Assets, Less Liabilities – 1.1% | 107,955 | |||||||
Total Net Assets – 100.0% | $ | 9,991,522 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 35 |
ELECTRONICS FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 9,850,630 | ||
Repurchase agreement, at value | 32,937 | |||
Total investments | 9,883,567 | |||
Receivables: | ||||
Fund shares sold | 5,068,920 | |||
Dividends | 560 | |||
Total assets | 14,953,047 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,773,820 | |||
Fund shares redeemed | 166,803 | |||
Management fees | 5,520 | |||
Custodian fees | 217 | |||
Transfer agent/maintenance fees | 1,623 | |||
Distribution and service fees | 1,340 | |||
Portfolio accounting fees | 649 | |||
Other | 11,553 | |||
Total liabilities | 4,961,525 | |||
Net assets | $ | 9,991,522 | ||
Net assets consist of: | ||||
Paid in capital | 64,345,162 | |||
Accumulated net investment loss | (3,083 | ) | ||
Accumulated net realized loss on sale of investments | (56,901,465 | ) | ||
Net unrealized appreciation in value of investments | 2,550,908 | |||
Net assets | 9,991,522 | |||
Investor Class: | ||||
Net assets | $ | 7,900,642 | ||
Capital shares outstanding | 163,709 | |||
Net asset value per share | $48.26 | |||
Advisor Class: | ||||
Net assets | $ | 365,885 | ||
Capital shares outstanding | 8,068 | |||
Net asset value per share | $45.35 | |||
A-Class: | ||||
Net assets | $ | 442,700 | ||
Capital shares outstanding | 9,636 | |||
Net asset value per share | $45.94 | |||
Maximum offering price per share* | $48.23 | |||
C-Class: | ||||
Net assets | $ | 1,282,295 | ||
Capital shares outstanding | 29,129 | |||
Net asset value per share | $44.02 | |||
Investments, at cost | $ | 7,299,722 | ||
Repurchase agreement, at cost | 32,937 | |||
Total cost | $ | 7,332,659 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 119,297 | ||
Interest | 76 | |||
Total investment income | 119,373 | |||
Expenses: | ||||
Management fees | 67,773 | |||
Transfer agent and administrative fees | 19,933 | |||
Distribution and Service Fees: | ||||
Advisor Class | 2,514 | |||
A-Class | 1,897 | |||
C-Class | 7,922 | |||
Portfolio accounting fees | 7,973 | |||
Trustees’ fees** | 886 | |||
Registration | 10,794 | |||
Miscellaneous | 2,764 | |||
Total expenses | 122,456 | |||
Net investment loss | (3,083 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (2,959,491 | ) | ||
Net realized loss | (2,959,491 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | (3,425,661 | ) | ||
Net unrealized depreciation | (3,425,661 | ) | ||
Net loss | (6,385,152 | ) | ||
Net decrease in net assets resulting from operations | $ | (6,388,235 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ELECTRONICS FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (3,083 | ) | $ | (66,359 | ) | ||
Net realized gain (loss) during the period on investments | (2,959,491 | ) | 13,159,163 | |||||
Net unrealized depreciation during the period on investments | (3,425,661 | ) | (2,372,844 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (6,388,235 | ) | 10,719,960 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 127,674,138 | 316,164,916 | ||||||
Advisor Class | 9,895,581 | 13,959,995 | ||||||
A-Class | 4,483,834 | 12,783,547 | ||||||
C-Class | 67,891,796 | 104,366,297 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (130,145,846 | ) | (416,397,442 | ) | ||||
Advisor Class | (10,947,347 | ) | (16,125,892 | ) | ||||
A-Class | (4,835,214 | ) | (11,646,403 | ) | ||||
C-Class | (69,930,194 | ) | (101,888,992 | ) | ||||
Net decrease from capital share transactions | (5,913,252 | ) | (98,783,974 | ) | ||||
Net decrease in net assets | (12,301,487 | ) | (88,064,014 | ) | ||||
Net assets: | ||||||||
Beginning of period | 22,293,009 | 110,357,023 | ||||||
End of period | $ | 9,991,522 | $ | 22,293,009 | ||||
Accumulated net investment loss at end of period | $ | (3,083 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 2,533,488 | 6,827,464 | ||||||
Advisor Class | 214,799 | 326,605 | ||||||
A-Class | 90,766 | 280,864 | ||||||
C-Class | 1,505,470 | 2,506,446 | ||||||
Shares redeemed | ||||||||
Investor Class | (2,675,290 | ) | (9,779,092 | ) | ||||
Advisor Class | (239,902 | ) | (395,089 | ) | ||||
A-Class | (107,766 | ) | (255,566 | ) | ||||
C-Class | (1,546,115 | ) | (2,451,879 | ) | ||||
Total capital share activity | (224,550 | ) | (2,940,247 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 37 |
1
ELECTRONICS FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $52.33 | $32.76 | $50.30 | $62.30 | $67.60 | $51.55 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | (.02 | ) | (— | )c | (.25 | ) | (.50 | ) | (.55 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (4.10 | ) | 19.59 | (17.54 | ) | (11.75 | ) | (4.80 | ) | 16.60 | ||||||||||||||
Total from investment operations | (4.07 | ) | 19.57 | (17.54 | ) | (12.00 | ) | (5.30 | ) | 16.05 | ||||||||||||||
Net asset value, end of period | $48.26 | $52.33 | $32.76 | $50.30 | $62.30 | $67.60 | ||||||||||||||||||
Total Returnd | (7.78% | ) | 59.74% | (34.89% | ) | (19.26% | ) | (7.84% | ) | 31.13% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $7,901 | $15,988 | $106,703 | $9,835 | $15,376 | $34,194 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.14% | (0.06% | ) | (0.03% | ) | (0.37% | ) | (0.76% | ) | (0.91% | ) | |||||||||||||
Total expenses | 1.38% | 1.38% | 1.34% | 1.36% | 1.37% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 759% | 592% | 408% | 784% | 759% | 911% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $49.26 | $31.01 | $47.80 | $59.40 | $64.90 | $49.75 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.09 | ) | (.16 | ) | (.10 | ) | (.60 | ) | (.75 | ) | (.80 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.82 | ) | 18.41 | (16.69 | ) | (11.00 | ) | (4.75 | ) | 15.95 | ||||||||||||||
Total from investment operations | (3.91 | ) | 18.25 | (16.79 | ) | (11.60 | ) | (5.50 | ) | 15.15 | ||||||||||||||
Net asset value, end of period | $45.35 | $49.26 | $31.01 | $47.80 | $59.40 | $64.90 | ||||||||||||||||||
Total Returnd | (7.94% | ) | 58.85% | (35.15% | ) | (19.53% | ) | (8.47% | ) | 30.45% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $366 | $1,634 | $3,152 | $566 | $1,511 | $14,089 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.39% | ) | (0.39% | ) | (0.29% | ) | (0.98% | ) | (1.20% | ) | (1.39% | ) | ||||||||||||
Total expenses | 1.88% | 1.87% | 1.86% | 1.88% | 1.87% | 1.84% | ||||||||||||||||||
Portfolio turnover rate | 759% | 592% | 408% | 784% | 759% | 911% |
38 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
ELECTRONICS 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $49.88 | $31.31 | $48.25 | $59.95 | $65.15 | $49.80 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.06 | ) | (.14 | ) | (.10 | ) | (.55 | ) | (.55 | ) | (.70 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.88 | ) | 18.71 | (16.84 | ) | (11.15 | ) | (4.65 | ) | 16.05 | ||||||||||||||
Total from investment operations | (3.94 | ) | 18.57 | (16.94 | ) | (11.70 | ) | (5.20 | ) | 15.35 | ||||||||||||||
Net asset value, end of period | $45.94 | $49.88 | $31.31 | $48.25 | $59.95 | $65.15 | ||||||||||||||||||
Total Returnd | (7.90% | ) | 59.31% | (35.13% | ) | (19.52% | ) | (7.98% | ) | 30.82% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $443 | $1,329 | $42 | $85 | $130 | $1,253 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.24% | ) | (0.31% | ) | (0.26% | ) | (0.90% | ) | (0.94% | ) | (1.18% | ) | ||||||||||||
Total expensesd | 1.64% | 1.62% | 1.60% | 1.62% | 1.63% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | 759% | 592% | 408% | 784% | 759% | 911% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $47.90 | $30.28 | $46.90 | $58.65 | $64.30 | $49.50 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.21 | ) | (.51 | ) | (.30 | ) | (.75 | ) | (1.00 | ) | (1.05 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.67 | ) | 18.13 | (16.32 | ) | (11.00 | ) | (4.65 | ) | 15.85 | ||||||||||||||
Total from investment operations | (3.88 | ) | 17.62 | (16.62 | ) | (11.75 | ) | (5.65 | ) | 14.80 | ||||||||||||||
Net asset value, end of period | $44.02 | $47.90 | $30.28 | $46.90 | $58.65 | $64.30 | ||||||||||||||||||
Total Returnd | (8.10% | ) | 58.19% | (35.39% | ) | (20.03% | ) | (8.79% | ) | 29.90% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,282 | $3,342 | $460 | $962 | $2,876 | $5,015 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.93% | ) | (1.21% | ) | (0.74% | ) | (1.26% | ) | (1.72% | ) | (1.91% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.42% | 2.38% | 2.36% | 2.36% | ||||||||||||||||||
Portfolio turnover rate | 759% | 592% | 408% | 784% | 759% | 911% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Per share amounts for the period: |
March 31, 2006 – April 19, 2009 have been restated to reflect a 1:5 reverse stock split effective April 20, 2009. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 39 |
3
FUND PROFILE (Unaudited)
September 30, 2010
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal and alternative sources of energy.
Inception: April 21, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666609.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 21, 1998 | |||
Advisor Class | May 5, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | April 19, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 7.4 | % | ||
Chevron Corp. | 4.4 | % | ||
Schlumberger Ltd. | 4.0 | % | ||
ConocoPhillips | 3.1 | % | ||
Occidental Petroleum Corp. | 2.5 | % | ||
Suncor Energy, Inc. | 2.3 | % | ||
Anadarko Petroleum Corp. | 2.2 | % | ||
Petroleo Brasileiro S.A. ADR | 2.1 | % | ||
Halliburton Co. | 2.0 | % | ||
Canadian Natural Resources Ltd. | 2.0 | % | ||
Top Ten Total | 32.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
40 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ENERGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
ENERGY - 99.5% | ||||||||
Exxon Mobil Corp. | 63,837 | $ | 3,944,488 | |||||
Chevron Corp. | 29,249 | 2,370,631 | ||||||
Schlumberger Ltd. | 34,619 | 2,132,876 | ||||||
ConocoPhillips | 29,295 | 1,682,412 | ||||||
Occidental Petroleum Corp. | 17,502 | 1,370,407 | ||||||
Suncor Energy, Inc. | 38,728 | 1,260,596 | ||||||
Anadarko Petroleum Corp. | 19,984 | 1,140,088 | ||||||
Petroleo Brasileiro S.A. ADR | 31,315 | 1,135,795 | ||||||
Halliburton Co. | 33,241 | 1,099,280 | ||||||
Canadian Natural Resources Ltd. | 31,150 | 1,077,790 | ||||||
Apache Corp. | 10,634 | 1,039,580 | ||||||
Devon Energy Corp. | 14,402 | 932,385 | ||||||
Transocean Ltd.* | 14,137 | 908,868 | ||||||
Marathon Oil Corp. | 26,167 | 866,128 | ||||||
National Oilwell Varco, Inc. | 19,116 | 850,089 | ||||||
Hess Corp. | 14,004 | 827,916 | ||||||
EOG Resources, Inc. | 8,610 | 800,472 | ||||||
Encana Corp. | 26,079 | 788,368 | ||||||
Talisman Energy, Inc. | 44,196 | 772,988 | ||||||
Baker Hughes, Inc. | 17,818 | 759,047 | ||||||
BP plc ADR | 18,009 | 741,431 | ||||||
Peabody Energy Corp. | 14,708 | 720,838 | ||||||
Spectra Energy Corp. | 31,109 | 701,508 | ||||||
Noble Energy, Inc. | 9,277 | 696,610 | ||||||
Weatherford International Ltd.* | 40,443 | 691,575 | ||||||
Chesapeake Energy Corp. | 29,219 | 661,810 | ||||||
Murphy Oil Corp. | 10,585 | 655,423 | ||||||
Cameco Corp. — Class A | 23,494 | 651,489 | ||||||
Cameron International Corp.* | 14,470 | 621,631 | ||||||
FMC Technologies, Inc.* | 8,499 | 580,397 | ||||||
Diamond Offshore Drilling, Inc. | 8,454 | 572,928 | ||||||
Total S.A. ADR | 11,093 | 572,399 | ||||||
Williams Companies, Inc. | 29,832 | 570,090 | ||||||
Valero Energy Corp. | 32,136 | 562,701 | ||||||
Nexen, Inc. | 27,882 | 560,428 | ||||||
Ensco plc ADR | 12,465 | 557,559 | ||||||
Noble Corp. | 16,410 | 554,494 | ||||||
Southwestern Energy Co.* | 15,848 | 529,957 | ||||||
El Paso Corp. | 42,688 | 528,477 | ||||||
Consol Energy, Inc. | 13,945 | 515,407 | ||||||
Newfield Exploration Co.* | 8,762 | 503,289 | ||||||
Continental Resources, Inc.* | 10,614 | 492,065 | ||||||
Pioneer Natural Resources Co. | 7,245 | 471,142 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Concho Resources, Inc.* | 7,113 | $ | 470,667 | |||||
Royal Dutch Shell plc ADR | 7,473 | 450,622 | ||||||
Pride International, Inc.* | 15,243 | 448,601 | ||||||
Tenaris S.A. ADR | 11,563 | 444,250 | ||||||
Denbury Resources, Inc.* | 27,577 | 438,199 | ||||||
PetroChina Company, Ltd. ADR | 3,690 | 429,590 | ||||||
Alpha Natural Resources, Inc.* | 10,373 | 426,849 | ||||||
Whiting Petroleum Corp.* | 4,345 | 414,991 | ||||||
Arch Coal, Inc. | 15,484 | 413,578 | ||||||
Ultra Petroleum Corp.* | 9,801 | 411,446 | ||||||
CNOOC Ltd. ADR | 2,090 | 406,087 | ||||||
Range Resources Corp. | 10,367 | 395,294 | ||||||
Sunoco, Inc. | 10,683 | 389,930 | ||||||
Cimarex Energy Co. | 5,869 | 388,410 | ||||||
Core Laboratories N.V. | 4,339 | 382,006 | ||||||
China Petroleum & Chemical Corp. ADR | 4,270 | 376,956 | ||||||
Nabors Industries Ltd.* | 20,788 | 375,431 | ||||||
Rowan Companies, Inc.* | 12,316 | 373,914 | ||||||
Plains Exploration & Production Co.* | 13,966 | 372,473 | ||||||
Helmerich & Payne, Inc. | 8,879 | 359,244 | ||||||
InterOil Corp.* | 5,200 | 355,888 | ||||||
Petrohawk Energy Corp.* | 21,430 | 345,880 | ||||||
Statoil ASA ADR | 16,260 | 341,135 | ||||||
Oceaneering International, Inc.* | 6,108 | 328,977 | ||||||
Massey Energy Co. | 10,439 | 323,818 | ||||||
Forest Oil Corp.* | 10,858 | 322,483 | ||||||
Dresser-Rand Group, Inc.* | 8,735 | 322,234 | ||||||
Patterson-UTI Energy, Inc. | 18,393 | 314,152 | ||||||
Southern Union Co. | 13,039 | 313,718 | ||||||
EXCO Resources, Inc. | 20,244 | 301,028 | ||||||
Mariner Energy, Inc.* | 11,939 | 289,282 | ||||||
Cabot Oil & Gas Corp. | 9,580 | 288,454 | ||||||
Oil States International, Inc.* | 6,027 | 280,557 | ||||||
Tidewater, Inc. | 6,214 | 278,449 | ||||||
Brigham Exploration Co.* | 14,555 | 272,906 | ||||||
Quicksilver Resources, Inc.* | 20,801 | 262,093 | ||||||
SM Energy Co. | 6,745 | 252,668 | ||||||
Atlas Energy, Inc.* | 8,670 | 248,309 | ||||||
Frontline Ltd. | 8,476 | 240,973 | ||||||
Unit Corp.* | 5,819 | 216,991 | ||||||
Total Energy | 53,542,385 | |||||||
Total Common Stocks | ||||||||
(Cost $32,064,007) | 53,542,385 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
ENERGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 - 0.5% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 277,470 | $ | 277,470 | ||||
Total Repurchase Agreement | ||||||||
(Cost $277,470) | 277,470 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $32,341,477) | $ | 53,819,855 | ||||||
Cash & Other Assets, Less Liabilities – 0.0% | 16,412 | |||||||
Total Net Assets - 100.0% | $ | 53,836,267 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt | |
plc — Public Limited Company |
42 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ENERGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 53,542,385 | ||
Repurchase agreement, at value | 277,470 | |||
Total investments | 53,819,855 | |||
Cash | 4,271 | |||
Receivables: | ||||
Fund shares sold | 4,696,031 | |||
Dividends | 31,995 | |||
Total assets | 58,552,152 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,410,844 | |||
Fund shares redeemed | 212,737 | |||
Management fees | 34,121 | |||
Custodian fees | 1,328 | |||
Transfer agent/maintenance fees | 10,036 | |||
Distribution and service fees | 13,306 | |||
Portfolio accounting fees | 4,014 | |||
Other | 29,499 | |||
Total liabilities | 4,715,885 | |||
Net assets | $ | 53,836,267 | ||
Net assets consist of: | ||||
Paid in capital | 54,011,330 | |||
Undistributed net investment income | 69,805 | |||
Accumulated net realized loss on sale of investments | (21,723,246 | ) | ||
Net unrealized appreciation in value of investments | 21,478,378 | |||
Net assets | 53,836,267 | |||
Investor Class: | ||||
Net assets | $ | 32,053,711 | ||
Capital shares outstanding | 1,573,606 | |||
Net asset value per share | $20.37 | |||
Advisor Class: | ||||
Net assets | $ | 5,699,584 | ||
Capital shares outstanding | 297,465 | |||
Net asset value per share | $19.16 | |||
A-Class: | ||||
Net assets | $ | 3,873,030 | ||
Capital shares outstanding | 198,944 | |||
Net asset value per share | $19.47 | |||
Maximum offering price per share* | $20.44 | |||
C-Class: | ||||
Net assets | $ | 12,209,942 | ||
Capital shares outstanding | 664,056 | |||
Net asset value per share | $18.39 | |||
Investments, at cost | $ | 32,064,007 | ||
Repurchase agreement, at cost | 277,470 | |||
Total cost | $ | 32,341,477 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $7,380) | $ | 435,011 | ||
Interest | 263 | |||
Total investment income | 435,274 | |||
Expenses: | ||||
Management fees | 231,174 | |||
Transfer agent and administrative fees | 67,992 | |||
Distribution and Service Fees: | ||||
Advisor Class | 14,826 | |||
A-Class | 4,542 | |||
C-Class | 64,119 | |||
Portfolio accounting fees | 27,197 | |||
Trustees’ fees** | 2,198 | |||
Miscellaneous | 45,833 | |||
Total expenses | 457,881 | |||
Net investment loss | (22,607 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 917,731 | |||
Net realized gain | 917,731 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (4,119,915 | ) | ||
Net unrealized depreciation | (4,119,915 | ) | ||
Net loss | (3,202,184 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,224,791 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 43 |
ENERGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (22,607 | ) | $ | 134,928 | |||
Net realized gain during the period on investments | 917,731 | 6,591,106 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (4,119,915 | ) | 15,267,322 | |||||
Net increase (decrease) in net assets resulting from operations | (3,224,791 | ) | 21,993,356 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (23,766 | ) | |||||
Advisor Class | — | (6,343 | ) | |||||
A-Class | — | (2,905 | ) | |||||
C-Class | — | (11,544 | ) | |||||
Total distributions to shareholders | — | (44,558 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 63,289,183 | 130,635,169 | ||||||
Advisor Class | 4,862,932 | 26,610,999 | ||||||
A-Class | 2,354,224 | 4,285,714 | ||||||
C-Class | 32,679,027 | 77,225,005 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 22,854 | ||||||
Advisor Class | — | 6,290 | ||||||
A-Class | — | 2,427 | ||||||
C-Class | — | 10,909 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (64,082,417 | ) | (162,468,687 | ) | ||||
Advisor Class | (5,350,773 | ) | (26,878,717 | ) | ||||
A-Class | (2,303,745 | ) | (6,863,378 | ) | ||||
C-Class | (33,979,053 | ) | (77,961,140 | ) | ||||
Net decrease from capital share transactions | (2,530,622 | ) | (35,372,555 | ) | ||||
Net decrease in net assets | (5,755,413 | ) | (13,423,757 | ) | ||||
Net assets: | ||||||||
Beginning of period | 59,591,680 | 73,015,437 | ||||||
End of period | $ | 53,836,267 | $ | 59,591,680 | ||||
Undistributed net investment income at end of period | $ | 69,805 | $ | 92,412 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 3,178,282 | 6,736,451 | ||||||
Advisor Class | 260,286 | 1,493,002 | ||||||
A-Class | 125,320 | 250,032 | ||||||
C-Class | 1,843,595 | 4,470,462 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 1,178 | ||||||
Advisor Class | — | 343 | ||||||
A-Class | — | 131 | ||||||
C-Class | — | 618 | ||||||
Shares redeemed | ||||||||
Investor Class | (3,289,090 | ) | (8,881,132 | ) | ||||
Advisor Class | (291,823 | ) | (1,516,738 | ) | ||||
A-Class | (121,425 | ) | (415,616 | ) | ||||
C-Class | (1,915,941 | ) | (4,502,875 | ) | ||||
Total capital share activity | (210,796 | ) | (2,364,144 | ) | ||||
44 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ENERGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $20.91 | $14.01 | $27.29 | $23.19 | $21.68 | $17.12 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .02 | .10 | .06 | (.03 | ) | (— | )c | .02 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.56 | ) | 6.82 | (12.61 | ) | 4.86 | 1.92 | 5.02 | ||||||||||||||||
Total from investment operations | (.54 | ) | 6.92 | (12.55 | ) | 4.83 | 1.92 | 5.04 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.02 | ) | — | — | — | (.03 | ) | ||||||||||||||||
Distributions from realized gains | — | — | (.73 | ) | (.73 | ) | (.41 | ) | (.45 | ) | ||||||||||||||
Total distributions | — | (.02 | ) | (.73 | ) | (.73 | ) | (.41 | ) | (.48 | ) | |||||||||||||
Net asset value, end of period | $20.37 | $20.91 | $14.01 | $27.29 | $23.19 | $21.68 | ||||||||||||||||||
Total Returnd | (2.58% | ) | 49.37% | (46.01% | ) | 20.91% | 8.87% | 29.60% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $32,054 | $35,228 | $53,627 | $63,325 | $75,204 | $90,331 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.20% | 0.51% | 0.28% | (0.10% | ) | (0.01% | ) | 0.08% | ||||||||||||||||
Total expenses | 1.38% | 1.38% | 1.37% | 1.37% | 1.36% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 117% | 228% | 310% | 188% | 283% | 415% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $19.72 | $13.28 | $26.07 | $22.29 | $20.96 | $16.65 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.02 | ) | (— | )c | (.04 | ) | (.15 | ) | (.12 | ) | (.07 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.54 | ) | 6.46 | (12.02 | ) | 4.66 | 1.86 | 4.86 | ||||||||||||||||
Total from investment operations | (.56 | ) | 6.46 | (12.06 | ) | 4.51 | 1.74 | 4.79 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.02 | ) | — | — | — | (.03 | ) | ||||||||||||||||
Distributions from realized gains | — | — | (.73 | ) | (.73 | ) | (.41 | ) | (.45 | ) | ||||||||||||||
Total distributions | — | (.02 | ) | (.73 | ) | (.73 | ) | (.41 | ) | (.48 | ) | |||||||||||||
Net asset value, end of period | $19.16 | $19.72 | $13.28 | $26.07 | $22.29 | $20.96 | ||||||||||||||||||
Total Returnd | (2.84% | ) | 48.62% | (46.29% | ) | 20.31% | 8.31% | 28.93% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,700 | $6,489 | $4,679 | $17,713 | $14,613 | $18,162 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.24% | ) | (0.02% | ) | (0.16% | ) | (0.58% | ) | (0.54% | ) | (0.38% | ) | ||||||||||||
Total expenses | 1.88% | 1.88% | 1.88% | 1.86% | 1.86% | 1.85% | ||||||||||||||||||
Net expensese | 1.88% | 1.88% | 1.88% | 1.86% | 1.86% | 1.84% | ||||||||||||||||||
Portfolio turnover rate | 117% | 228% | 310% | 188% | 283% | 415% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 45 |
ENERGY 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $20.01 | $13.44 | $26.30 | $22.44 | $21.04 | $16.68 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (— | )c | .06 | .02 | (.08 | ) | (.06 | ) | (.05 | ) | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.54 | ) | 6.53 | (12.15 | ) | 4.67 | 1.87 | 4.89 | ||||||||||||||||
Total from investment operations | (.54 | ) | 6.59 | (12.13 | ) | 4.59 | 1.81 | 4.84 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.02 | ) | — | — | — | (.03 | ) | ||||||||||||||||
Distributions from realized gains | — | — | (.73 | ) | (.73 | ) | (.41 | ) | (.45 | ) | ||||||||||||||
Total distributions | — | (.02 | ) | (.73 | ) | (.73 | ) | (.41 | ) | (.48 | ) | |||||||||||||
Net asset value, end of period | $19.47 | $20.01 | $13.44 | $26.30 | $22.44 | $21.04 | ||||||||||||||||||
Total Returnd | (2.70% | ) | 49.01% | (46.15% | ) | 20.54% | 8.62% | 29.18% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,873 | $3,903 | $4,845 | $6,378 | $3,307 | $3,210 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.01% | ) | 0.35% | 0.10% | (0.31% | ) | (0.29% | ) | (0.25% | ) | ||||||||||||||
Total expenses | 1.63% | 1.63% | 1.63% | 1.61% | 1.61% | 1.61% | ||||||||||||||||||
Net expensese | 1.63% | 1.63% | 1.63% | 1.61% | 1.61% | 1.60% | ||||||||||||||||||
Portfolio turnover rate | 117% | 228% | 310% | 188% | 283% | 415% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $18.97 | $12.84 | $25.37 | $21.81 | $20.62 | $16.47 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.07 | ) | (.08 | ) | (.14 | ) | (.27 | ) | (.21 | ) | (.16 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.51 | ) | 6.23 | (11.66 | ) | 4.56 | 1.81 | 4.79 | ||||||||||||||||
Total from investment operations | (.58 | ) | 6.15 | (11.80 | ) | 4.29 | 1.60 | 4.63 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.02 | ) | — | — | — | (.03 | ) | ||||||||||||||||
Distributions from realized gains | — | — | (.73 | ) | (.73 | ) | (.41 | ) | (.45 | ) | ||||||||||||||
Total distributions | — | (.02 | ) | (.73 | ) | (.73 | ) | (.41 | ) | (.48 | ) | |||||||||||||
Net asset value, end of period | $18.39 | $18.97 | $12.84 | $25.37 | $21.81 | $20.62 | ||||||||||||||||||
Total Returnd | (3.06% | ) | 47.87% | (46.55% | ) | 19.74% | 7.77% | 28.27% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $12,210 | $13,972 | $9,865 | $20,989 | $18,624 | $23,734 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.73% | ) | (0.48% | ) | (0.65% | ) | (1.07% | ) | (1.00% | ) | (0.88% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.36% | 2.36% | 2.35% | ||||||||||||||||||
Portfolio turnover rate | 117% | 228% | 310% | 188% | 283% | 415% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
46 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666610.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 2, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | March 30, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Schlumberger Ltd. | 12.9 | % | ||
Halliburton Co. | 6.6 | % | ||
Transocean Ltd. | 5.4 | % | ||
National Oilwell Varco, Inc. | 5.1 | % | ||
Baker Hughes, Inc. | 4.6 | % | ||
Weatherford International Ltd. | 4.2 | % | ||
Cameron International Corp. | 3.7 | % | ||
FMC Technologies, Inc. | 3.5 | % | ||
Diamond Offshore Drilling, Inc. | 3.4 | % | ||
Noble Corp. | 3.3 | % | ||
Top Ten Total | 52.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ENERGY SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.3% | ||||||||
ENERGY - 99.3% | ||||||||
Schlumberger Ltd. | 126,398 | $ | 7,787,380 | |||||
Halliburton Co. | 121,283 | 4,010,828 | ||||||
Transocean Ltd.* | 51,520 | 3,312,221 | ||||||
National Oilwell Varco, Inc. | 69,789 | 3,103,517 | ||||||
Baker Hughes, Inc. | 65,056 | 2,771,386 | ||||||
Weatherford International Ltd.* | 147,600 | 2,523,960 | ||||||
Cameron International Corp.* | 52,841 | 2,270,049 | ||||||
FMC Technologies, Inc.* | 31,141 | 2,126,619 | ||||||
Diamond Offshore Drilling, Inc. | 30,865 | 2,091,721 | ||||||
Noble Corp. | 59,750 | 2,018,953 | ||||||
Ensco plc ADR | 37,445 | 1,674,915 | ||||||
Pride International, Inc.* | 55,527 | 1,634,160 | ||||||
Core Laboratories N.V. | 15,796 | 1,390,680 | ||||||
Nabors Industries Ltd.* | 76,068 | 1,373,788 | ||||||
Rowan Companies, Inc.* | 45,043 | 1,367,505 | ||||||
Helmerich & Payne, Inc. | 32,585 | 1,318,389 | ||||||
Tenaris S.A. ADR | 33,948 | 1,304,282 | ||||||
Oceaneering International, Inc.* | 22,295 | 1,200,809 | ||||||
Dresser-Rand Group, Inc.* | 31,990 | 1,180,111 | ||||||
Dril-Quip, Inc.* | 18,825 | 1,169,221 | ||||||
Patterson-UTI Energy, Inc. | 67,329 | 1,149,979 | ||||||
Superior Energy Services, Inc.* | 40,754 | 1,087,724 | ||||||
Oil States International, Inc.* | 21,980 | 1,023,169 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Tidewater, Inc. | 22,750 | $ | 1,019,428 | |||||
Atwood Oceanics, Inc.* | 32,508 | 989,869 | ||||||
Complete Production Services, Inc.* | 47,687 | 975,199 | ||||||
CARBO Ceramics, Inc. | 11,459 | 928,179 | ||||||
Unit Corp.* | 21,158 | 788,982 | ||||||
Exterran Holdings, Inc.* | 31,476 | 714,820 | ||||||
Helix Energy Solutions Group, Inc.* | 61,573 | 685,923 | ||||||
Key Energy Services, Inc.* | 70,809 | 673,394 | ||||||
SEACOR Holdings, Inc.* | 7,622 | 649,090 | ||||||
Lufkin Industries, Inc. | 14,237 | 625,004 | ||||||
Bristow Group, Inc.* | 16,898 | 609,680 | ||||||
Hornbeck Offshore Services, Inc.* | 28,068 | 547,045 | ||||||
Precision Drilling Corp.* | 78,697 | 539,074 | ||||||
Tetra Technologies, Inc.* | 47,235 | 481,797 | ||||||
Gulfmark Offshore, Inc. — Class A* | 12,063 | 370,575 | ||||||
Global Industries Ltd.* | 62,982 | 344,512 | ||||||
Willbros Group, Inc.* | 37,462 | 343,527 | ||||||
Total Energy | 60,177,464 | |||||||
Total Common Stocks (Cost $31,069,485) | 60,177,464 | |||||||
Total Investments - 99.3% (Cost $31,069,485) | $ | 60,177,464 | ||||||
Cash & Other Assets, Less Liabilities – 0.7% | 400,252 | |||||||
Total Net Assets – 100.0% | $ | 60,577,716 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
ADR — American Depositary Receipt | |
plc — Public Limited Company |
48 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ENERGY SERVICES FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 60,177,464 | ||
Total investments | 60,177,464 | |||
Receivables: | ||||
Securities sold | 471,156 | |||
Fund shares sold | 7,286,547 | |||
Dividends | 21,704 | |||
Total assets | 67,956,871 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 234,698 | |||
Payable for: | ||||
Securities purchased | 5,616,951 | |||
Fund shares redeemed | 1,429,330 | |||
Management fees | 34,509 | |||
Custodian fees | 1,449 | |||
Transfer agent/maintenance fees | 10,150 | |||
Distribution and service fees | 11,554 | |||
Portfolio accounting fees | 4,060 | |||
Other | 36,454 | |||
Total liabilities | 7,379,155 | |||
Net assets | $ | 60,577,716 | ||
Net assets consist of: | ||||
Paid in capital | 94,471,735 | |||
Accumulated net investment loss | (173,904 | ) | ||
Accumulated net realized loss on sale of investments | (62,828,094 | ) | ||
Net unrealized appreciation in value of investments | 29,107,979 | |||
Net assets | 60,577,716 | |||
Investor Class: | ||||
Net assets | $ | 34,747,593 | ||
Capital shares outstanding | 816,071 | |||
Net asset value per share | $42.58 | |||
Advisor Class: | ||||
Net assets | $ | 5,752,578 | ||
Capital shares outstanding | 143,200 | |||
Net asset value per share | $40.17 | |||
A-Class: | ||||
Net assets | $ | 8,962,644 | ||
Capital shares outstanding | 219,517 | |||
Net asset value per share | $40.83 | |||
Maximum offering price per share* | $42.87 | |||
C-Class: | ||||
Net assets | $ | 11,114,901 | ||
Capital shares outstanding | 286,494 | |||
Net asset value per share | $38.80 | |||
Investments, at cost | $ | 31,069,485 | ||
Total cost | $ | 31,069,485 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,767) | $ | 315,134 | ||
Interest | 299 | |||
Total investment income | 315,433 | |||
Expenses: | ||||
Management fees | 254,093 | |||
Transfer agent and administrative fees | 74,733 | |||
Distribution and Service Fees: | ||||
Advisor Class | 15,229 | |||
A-Class | 10,603 | |||
C-Class | 51,294 | |||
Portfolio accounting fees | 29,893 | |||
Trustees’ fees** | 2,768 | |||
Registration | 27,894 | |||
Miscellaneous | 22,830 | |||
Total expenses | 489,337 | |||
Net investment loss | (173,904 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 4,940,358 | |||
Net realized gain | 4,940,358 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (9,746,922 | ) | ||
Net unrealized depreciation | (9,746,922 | ) | ||
Net loss | (4,806,564 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,980,468 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 49 |
ENERGY SERVICES FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (173,904 | ) | $ | (260,197 | ) | ||
Net realized gain (loss) during the period on investments | 4,940,358 | (3,669,197 | ) | |||||
Net unrealized appreciation (depreciation) during the period on investments | (9,746,922 | ) | 27,010,971 | |||||
Net increase (decrease) in net assets resulting from operations | (4,980,468 | ) | 23,081,577 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 90,323,770 | 423,854,073 | ||||||
Advisor Class | 20,720,091 | 74,622,197 | ||||||
A-Class | 2,474,005 | 11,759,367 | ||||||
C-Class | 35,134,877 | 90,977,214 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (100,985,287 | ) | (447,317,610 | ) | ||||
Advisor Class | (21,174,117 | ) | (77,173,599 | ) | ||||
A-Class | (2,283,496 | ) | (10,636,373 | ) | ||||
C-Class | (34,669,951 | ) | (94,028,572 | ) | ||||
Net decrease from capital share transactions | (10,460,108 | ) | (27,943,303 | ) | ||||
Net decrease in net assets | (15,440,576 | ) | (4,861,726 | ) | ||||
Net assets: | ||||||||
Beginning of period | 76,018,292 | 80,880,018 | ||||||
End of period | $ | 60,577,716 | $ | 76,018,292 | ||||
Accumulated net investment loss at end of period | $ | (173,904 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 2,198,964 | 10,928,957 | ||||||
Advisor Class | 538,271 | 2,065,711 | ||||||
A-Class | 62,254 | 330,237 | ||||||
C-Class | 930,591 | 2,570,094 | ||||||
Shares redeemed | ||||||||
Investor Class | (2,535,477 | ) | (12,157,631 | ) | ||||
Advisor Class | (558,787 | ) | (2,198,134 | ) | ||||
A-Class | (60,562 | ) | (316,274 | ) | ||||
C-Class | (926,091 | ) | (2,684,708 | ) | ||||
Total capital share activity | (350,837 | ) | (1,461,748 | ) | ||||
50 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ENERGY SERVICES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $42.83 | $25.07 | $58.04 | $47.47 | $45.05 | $30.12 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.07 | ) | (.01 | ) | (.24 | ) | (.43 | ) | (.36 | ) | (.30 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.18 | ) | 17.77 | (32.73 | ) | 11.00 | 2.78 | 15.23 | ||||||||||||||||
Total from investment operations | (.25 | ) | 17.76 | (32.97 | ) | 10.57 | 2.42 | 14.93 | ||||||||||||||||
Net asset value, end of period | $42.58 | $42.83 | $25.07 | $58.04 | $47.47 | $45.05 | ||||||||||||||||||
Total Returnc | (0.61% | ) | 70.84% | (56.81% | ) | 22.27% | 5.37% | 49.57% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $34,748 | $49,371 | $59,706 | $82,691 | $91,095 | $147,439 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.32% | ) | (0.01% | ) | (0.48% | ) | (0.77% | ) | (0.80% | ) | (0.81% | ) | ||||||||||||
Total expenses | 1.38% | 1.38% | 1.37% | 1.37% | 1.36% | 1.35% | ||||||||||||||||||
Portfolio turnover rate | 136% | 472% | 207% | 193% | 196% | 324% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $40.50 | $23.83 | $55.45 | $45.58 | $43.46 | $29.21 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.15 | ) | (.26 | ) | (.43 | ) | (.69 | ) | (.58 | ) | (.47 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.18 | ) | 16.93 | (31.19 | ) | 10.56 | 2.70 | 14.72 | ||||||||||||||||
Total from investment operations | (.33 | ) | 16.67 | (31.62 | ) | 9.87 | 2.12 | 14.25 | ||||||||||||||||
Net asset value, end of period | $40.17 | $40.50 | $23.83 | $55.45 | $45.58 | $43.46 | ||||||||||||||||||
Total Returnc | (0.81% | ) | 69.95% | (57.02% | ) | 21.65% | 4.88% | 48.78% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,753 | $6,631 | $7,058 | $15,929 | $18,237 | $44,033 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.77% | ) | (0.70% | ) | (0.92% | ) | (1.28% | ) | (1.35% | ) | (1.33% | ) | ||||||||||||
Total expenses | 1.88% | 1.88% | 1.88% | 1.87% | 1.86% | 1.85% | ||||||||||||||||||
Portfolio turnover rate | 136% | 472% | 207% | 193% | 196% | 324% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 51 |
ENERGY SERVICES 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $41.12 | $24.13 | $55.99 | $45.90 | $43.67 | $29.25 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.11 | ) | (.16 | ) | (.31 | ) | (.55 | ) | (.41 | ) | (.39 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.18 | ) | 17.15 | (31.55 | ) | 10.64 | 2.64 | 14.81 | ||||||||||||||||
Total from investment operations | (.29 | ) | 16.99 | (31.86 | ) | 10.09 | 2.23 | 14.42 | ||||||||||||||||
Net asset value, end of period | $40.83 | $41.12 | $24.13 | $55.99 | $45.90 | $43.67 | ||||||||||||||||||
Total Returnc | (0.71% | ) | 70.41% | (56.90% | ) | 21.98% | 5.11% | 49.30% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $8,963 | $8,957 | $4,920 | $11,450 | $6,151 | $6,569 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.58% | ) | (0.43% | ) | (0.68% | ) | (1.01% | ) | (0.97% | ) | (1.00% | ) | ||||||||||||
Total expenses | 1.63% | 1.63% | 1.63% | 1.62% | 1.61% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 136% | 472% | 207% | 193% | 196% | 324% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $39.22 | $23.19 | $54.22 | $44.79 | $42.92 | $28.98 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.25 | ) | (.44 | ) | (.64 | ) | (.93 | ) | (.74 | ) | (.65 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.17 | ) | 16.47 | (30.39 | ) | 10.36 | 2.61 | 14.59 | ||||||||||||||||
Total from investment operations | (.42 | ) | 16.03 | (31.03 | ) | 9.43 | 1.87 | 13.94 | ||||||||||||||||
Net asset value, end of period | $38.80 | $39.22 | $23.19 | $54.22 | $44.79 | $42.92 | ||||||||||||||||||
Total Returnc | (1.07% | ) | 69.12% | (57.23% | ) | 21.05% | 4.36% | 48.10% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $11,115 | $11,059 | $9,196 | $29,316 | $24,500 | $27,542 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.35% | ) | (1.25% | ) | (1.41% | ) | (1.76% | ) | (1.77% | ) | (1.82% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.37% | 2.36% | 2.36% | ||||||||||||||||||
Portfolio turnover rate | 136% | 472% | 207% | 193% | 196% | 324% | ||||||||||||||||||
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
52 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector.
Inception: April 2, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666611.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 2, 1998 | |||
Advisor Class | April 6, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | April 19, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Berkshire Hathaway, Inc. — Class B | 3.4 | % | ||
JPMorgan Chase & Co. | 2.9 | % | ||
Wells Fargo & Co. | 2.6 | % | ||
Bank of America Corp. | 2.5 | % | ||
Goldman Sachs Group, Inc. | 2.3 | % | ||
American Express Co. | 1.6 | % | ||
U.S. Bancorp | 1.5 | % | ||
BlackRock, Inc. — Class A | 1.4 | % | ||
Morgan Stanley | 1.4 | % | ||
Bank of New York Mellon Corp. | 1.4 | % | ||
Top Ten Total | 21.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
FINANCIAL SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
FINANCIALS - 99.5% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 4,788 | $ | 395,871 | |||||
JPMorgan Chase & Co. | 8,833 | 336,273 | ||||||
Wells Fargo & Co. | 11,881 | 298,569 | ||||||
Bank of America Corp. | 21,859 | 286,571 | ||||||
Goldman Sachs Group, Inc. | 1,715 | 247,954 | ||||||
American Express Co. | 4,652 | 195,523 | ||||||
U.S. Bancorp | 7,914 | 171,101 | ||||||
BlackRock, Inc. — Class A | 956 | 162,759 | ||||||
Morgan Stanley | 6,498 | 160,371 | ||||||
Bank of New York Mellon Corp. | 5,959 | 155,709 | ||||||
MetLife, Inc. | 3,871 | 148,841 | ||||||
Aflac, Inc. | 2,844 | 147,063 | ||||||
Simon Property Group, Inc. | 1,574 | 145,973 | ||||||
American International Group, Inc.* | 3,731 | 145,882 | ||||||
Franklin Resources, Inc. | 1,362 | 145,598 | ||||||
Itau Unibanco Holding S.A. ADR | 5,888 | 142,372 | ||||||
Travelers Companies, Inc. | 2,664 | 138,794 | ||||||
Banco Bradesco S.A. ADR | 6,719 | 136,933 | ||||||
ICICI Bank Ltd. ADR | 2,733 | 136,240 | ||||||
Prudential Financial, Inc. | 2,427 | 131,495 | ||||||
PNC Financial Services Group, Inc. | 2,527 | 131,176 | ||||||
ACE Ltd. | 2,192 | 127,684 | ||||||
Chubb Corp. | 2,152 | 122,642 | ||||||
State Street Corp. | 3,192 | 120,211 | ||||||
Royal Bank of Canada | 2,247 | 117,136 | ||||||
HDFC Bank Ltd. ADR | 634 | 116,891 | ||||||
Public Storage | 1,199 | 116,351 | ||||||
Allstate Corp. | 3,674 | 115,915 | ||||||
UBS AG | 6,768 | 115,259 | ||||||
Loews Corp. | 3,035 | 115,027 | ||||||
Banco Santander Brasil S.A. ADR | 8,221 | 113,203 | ||||||
Capital One Financial Corp. | 2,852 | 112,797 | ||||||
Vornado Realty Trust | 1,309 | 111,958 | ||||||
HSBC Holdings plc ADR | 2,185 | 110,539 | ||||||
Toronto-Dominion Bank | 1,521 | 109,907 | ||||||
Banco Santander S.A. ADR | 8,563 | 108,408 | ||||||
Charles Schwab Corp. | 7,730 | 107,447 | ||||||
Ameriprise Financial, Inc. | 2,218 | 104,978 | ||||||
Progressive Corp. | 4,982 | 103,974 | ||||||
CME Group, Inc. — Class A | 398 | 103,660 | ||||||
BB&T Corp. | 4,219 | 101,594 | ||||||
Equity Residential | 2,127 | 101,181 | ||||||
Marsh & McLennan Companies, Inc. | 4,184 | 100,918 | ||||||
Credit Suisse Group AG ADR | 2,335 | 99,378 | ||||||
T. Rowe Price Group, Inc. | 1,984 | 99,329 | ||||||
SunTrust Banks, Inc. | 3,792 | 97,947 | ||||||
Boston Properties, Inc. | 1,150 | 95,588 | ||||||
Barclays plc ADR | 5,025 | 94,721 | ||||||
Northern Trust Corp. | 1,902 | 91,752 | ||||||
HCP, Inc. | 2,530 | 91,029 | ||||||
Discover Financial Services | 5,403 | 90,122 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Invesco Ltd. | 4,176 | $ | 88,656 | |||||
AON Corp. | 2,254 | 88,154 | ||||||
Deutsche Bank AG | 1,594 | 87,558 | ||||||
Annaly Capital Management, Inc. | 4,918 | 86,557 | ||||||
China Life Insurance Company Ltd. ADR | 1,426 | 84,818 | ||||||
TD Ameritrade Holding Corp.* | 5,206 | 84,077 | ||||||
Hartford Financial Services Group, Inc. | 3,658 | 83,951 | ||||||
Host Hotels & Resorts, Inc. | 5,659 | 81,942 | ||||||
Regions Financial Corp. | 11,197 | 81,402 | ||||||
XL Group plc — Class A | 3,752 | 81,268 | ||||||
CIT Group, Inc.* | 1,988 | 81,150 | ||||||
Fifth Third Bancorp | 6,724 | 80,890 | ||||||
Ventas, Inc. | 1,538 | 79,315 | ||||||
AvalonBay Communities, Inc. | 761 | 79,091 | ||||||
Principal Financial Group, Inc. | 3,021 | 78,304 | ||||||
M&T Bank Corp. | 956 | 78,210 | ||||||
CNA Financial Corp.* | 2,733 | 76,497 | ||||||
Bank of Montreal | 1,316 | 75,999 | ||||||
Moody’s Corp. | 2,990 | 74,690 | ||||||
NYSE Euronext | 2,583 | 73,796 | ||||||
Unum Group | 3,281 | 72,674 | ||||||
New York Community Bancorp, Inc. | 4,472 | 72,670 | ||||||
IntercontinentalExchange, Inc.* | 683 | 71,524 | ||||||
KeyCorp | 8,958 | 71,306 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 3,899 | 71,274 | ||||||
Kimco Realty Corp. | 4,523 | 71,237 | ||||||
PartnerRe Ltd. | 886 | 71,040 | ||||||
Comerica, Inc. | 1,866 | 69,322 | ||||||
Health Care REIT, Inc. | 1,450 | 68,643 | ||||||
Lincoln National Corp. | 2,868 | 68,603 | ||||||
Leucadia National Corp. | 2,890 | 68,262 | ||||||
Hudson City Bancorp, Inc. | 5,498 | 67,405 | ||||||
ProLogis | 5,618 | 66,180 | ||||||
Everest Re Group Ltd. | 762 | 65,890 | ||||||
Macerich Co. | 1,520 | 65,284 | ||||||
Plum Creek Timber Company, Inc. | 1,802 | 63,611 | ||||||
SLM Corp.* | 5,482 | 63,317 | ||||||
Federal Realty Investment Trust | 775 | 63,287 | ||||||
Lazard Ltd. — Class A | 1,787 | 62,688 | ||||||
Digital Realty Trust, Inc. | 1,016 | 62,687 | ||||||
General Growth Properties, Inc. | 4,002 | 62,431 | ||||||
Genworth Financial, Inc. — Class A* | 5,023 | 61,381 | ||||||
Assurant, Inc. | 1,497 | 60,928 | ||||||
SL Green Realty Corp. | 954 | 60,417 | ||||||
Nationwide Health Properties, Inc. | 1,555 | 60,132 | ||||||
Cincinnati Financial Corp. | 2,080 | 60,008 | ||||||
Legg Mason, Inc. | 1,965 | 59,559 | ||||||
Arch Capital Group Ltd.* | 705 | 59,079 | ||||||
Torchmark Corp. | 1,085 | 57,657 | ||||||
People’s United Financial, Inc. | 4,398 | 57,570 | ||||||
AMB Property Corp. | 2,169 | 57,413 |
54 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
FINANCIAL SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Manulife Financial Corp. | 4,540 | $ | 57,340 | |||||
Axis Capital Holdings Ltd. | 1,738 | 57,250 | ||||||
NASDAQ OMX Group, Inc.* | 2,859 | 55,550 | ||||||
WR Berkley Corp. | 2,040 | 55,223 | ||||||
Jefferies Group, Inc. | 2,398 | 54,411 | ||||||
Huntington Bancshares, Inc. | 9,531 | 54,041 | ||||||
Liberty Property Trust | 1,645 | 52,476 | ||||||
SEI Investments Co. | 2,573 | 52,335 | ||||||
Marshall & Ilsley Corp. | 7,344 | 51,702 | ||||||
Eaton Vance Corp. | 1,727 | 50,152 | ||||||
Zions Bancorporation | 2,285 | 48,808 | ||||||
Total Financials | 11,407,706 | |||||||
Total Common Stocks | ||||||||
(Cost $8,586,697) | 11,407,706 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
RIGHTS†† - 0.0% | ||||||||
FINANCIALS - 0.0% | ||||||||
Deutsche Bank AG, | ||||||||
Expires, 09/30/10 | $1,074 | $ | 4,425 | |||||
Total Rights | ||||||||
(Cost $5,735) | 4,425 | |||||||
Total Investments - 99.5% | ||||||||
(Cost $8,592,432) | $ | 11,412,131 | ||||||
Cash & Other Assets, Less Liabilities – 0.5% | 54,837 | |||||||
Total Net Assets – 100.0% | $ | 11,466,968 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
ADR — American Depository Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 55 |
FINANCIAL SERVICES FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 11,412,131 | ||
Total investments | 11,412,131 | |||
Receivables: | ||||
Fund shares sold | 3,590,552 | |||
Dividends | 11,849 | |||
Total assets | 15,014,532 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 13,501 | |||
Payable for: | ||||
Securities purchased | 3,478,164 | |||
Fund shares redeemed | 35,265 | |||
Management fees | 5,875 | |||
Custodian fees | 288 | |||
Transfer agent/maintenance fees | 1,728 | |||
Distribution and service fees | 2,290 | |||
Portfolio accounting fees | 691 | |||
Other | 9,762 | |||
Total liabilities | 3,547,564 | |||
Net assets | $ | 11,466,968 | ||
Net assets consist of: | ||||
Paid in capital | 16,437,487 | |||
Undistributed net investment income | 124,356 | |||
Accumulated net realized loss on sale of investments | (7,914,574 | ) | ||
Net unrealized appreciation in value of investments | 2,819,699 | |||
Net assets | 11,466,968 | |||
Investor Class: | ||||
Net assets | $ | 6,894,472 | ||
Capital shares outstanding | 96,131 | |||
Net asset value per share | $71.72 | |||
Advisor Class: | ||||
Net assets | $ | 1,942,191 | ||
Capital shares outstanding | 28,651 | |||
Net asset value per share | $67.79 | |||
A-Class: | ||||
Net assets | $ | 1,407,716 | ||
Capital shares outstanding | 20,426 | |||
Net asset value per share | $68.92 | |||
Maximum offering price per share* | $72.36 | |||
C-Class: | ||||
Net assets | $ | 1,222,589 | ||
Capital shares outstanding | 18,736 | |||
Net asset value per share | $65.25 | |||
Investments, at cost | $ | 8,592,432 | ||
Total cost | $ | 8,592,432 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,106) | $ | 119,091 | ||
Interest | 91 | |||
Total investment income | 119,182 | |||
Expenses: | ||||
Management fees | 66,615 | |||
Transfer agent and administrative fees | 19,593 | |||
Distribution and Service Fees: | ||||
Advisor Class | 5,467 | |||
A-Class | 1,798 | |||
C-Class | 8,346 | |||
Portfolio accounting fees | 7,837 | |||
Trustees’ fees** | 906 | |||
Registration | 7,350 | |||
Miscellaneous | 5,976 | |||
Total expenses | 123,888 | |||
Net investment loss | (4,706 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 3,601,854 | |||
Net realized gain | 3,601,854 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (5,891,459 | ) | ||
Net unrealized depreciation | (5,891,459 | ) | ||
Net loss | (2,289,605 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,294,311 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
56 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FINANCIAL SERVICES FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (4,706 | ) | $ | 129,311 | |||
Net realized gain during the period on investments | 3,601,854 | 3,945,234 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (5,891,459 | ) | 7,333,150 | |||||
Net increase (decrease) in net assets resulting from operations | (2,294,311 | ) | 11,407,695 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (161,423 | ) | |||||
Advisor Class | — | (16,765 | ) | |||||
A-Class | — | (18,842 | ) | |||||
C-Class | — | (19,410 | ) | |||||
Total distributions to shareholders | — | (216,440 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 33,314,814 | 97,528,492 | ||||||
Advisor Class | 7,713,837 | 15,582,018 | ||||||
A-Class | 2,208,548 | 3,005,218 | ||||||
C-Class | 12,996,143 | 22,146,643 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 159,275 | ||||||
Advisor Class | — | 16,668 | ||||||
A-Class | — | 17,247 | ||||||
C-Class | — | 18,363 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (51,079,777 | ) | (92,412,709 | ) | ||||
Advisor Class | (8,920,673 | ) | (16,437,842 | ) | ||||
A-Class | (2,112,778 | ) | (5,229,362 | ) | ||||
C-Class | (13,358,085 | ) | (22,643,373 | ) | ||||
Net increase (decrease) from capital share transactions | (19,237,971 | ) | 1,750,638 | |||||
Net increase (decrease) in net assets | (21,532,282 | ) | 12,941,893 | |||||
Net assets: | ||||||||
Beginning of period | 32,999,250 | 20,057,357 | ||||||
End of period | $ | 11,466,968 | $ | 32,999,250 | ||||
Undistributed net investment income at end of period | $ | 124,356 | $ | 129,062 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 458,214 | 1,499,575 | ||||||
Advisor Class | 114,952 | 264,201 | ||||||
A-Class | 32,211 | 47,120 | ||||||
C-Class | 198,163 | 364,549 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 2,367 | ||||||
Advisor Class | — | 261 | ||||||
A-Class | — | 266 | ||||||
C-Class | — | 298 | ||||||
Shares redeemed | ||||||||
Investor Class | (712,524 | ) | (1,450,270 | ) | ||||
Advisor Class | (132,388 | ) | (282,482 | ) | ||||
A-Class | (31,237 | ) | (90,609 | ) | ||||
C-Class | (207,657 | ) | (370,922 | ) | ||||
Total capital share activity | (280,266 | ) | (15,646 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 57 |
FINANCIAL SERVICES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010a | 2010e | 2009e | 2008e | 2007e | 2006e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $75.23 | $44.37 | $101.80 | $142.50 | $132.60 | $114.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .03 | .41 | 1.60 | 1.70 | 1.40 | 1.70 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.54 | ) | 31.07 | (57.13 | ) | (40.20 | ) | 9.14 | 18.10 | |||||||||||||||
Total from investment operations | (3.51 | ) | 31.48 | (55.53 | ) | (38.50 | ) | 10.54 | 19.80 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Total distributions | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of period | $71.72 | $75.23 | $44.37 | $101.80 | $142.50 | $132.60 | ||||||||||||||||||
Total Returnc | (4.67% | ) | 71.12% | (54.76% | ) | (27.26% | ) | 7.94% | 17.42% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $6,894 | $26,364 | $13,257 | $4,640 | $22,658 | $12,226 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.09% | 0.64% | 2.16% | 1.25% | 1.03% | 1.32% | ||||||||||||||||||
Total expenses | 1.38% | 1.38% | 1.37% | 1.38% | 1.34% | 1.36% | ||||||||||||||||||
Net expensesd | 1.38% | 1.38% | 1.37% | 1.38% | 1.34% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 253% | 447% | 755% | 913% | 534% | 821% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010e | 2009e | 2008e | 2007e | 2006e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $71.29 | $42.28 | $97.80 | $137.60 | $128.80 | $111.30 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | .12 | 1.30 | .90 | .70 | 1.00 | |||||||||||||||||
Net gain (loss) on securities (realized | ||||||||||||||||||||||||
and unrealized) | (3.39 | ) | 29.51 | (54.92 | ) | (38.50 | ) | 8.74 | 17.70 | |||||||||||||||
Total from investment operations | (3.50 | ) | 29.63 | (53.62 | ) | (37.60 | ) | 9.44 | 18.70 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Total distributions | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of period | $67.79 | $71.29 | $42.28 | $97.80 | $137.60 | $128.80 | ||||||||||||||||||
Total Returnc | (4.91% | ) | 70.26% | (55.06% | ) | (27.58% | ) | 7.32% | 16.85% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,942 | $3,285 | $2,710 | $1,957 | $16,786 | $6,801 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.32% | ) | 0.21% | 1.83% | 0.70% | 0.54% | 0.82% | |||||||||||||||||
Total expenses | 1.88% | 1.88% | 1.88% | 1.89% | 1.84% | 1.85% | ||||||||||||||||||
Net expensesd | 1.88% | 1.88% | 1.88% | 1.89% | 1.84% | 1.83% | ||||||||||||||||||
Portfolio turnover rate | 253% | 447% | 755% | 913% | 534% | 821% |
58 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FINANCIAL SERVICES 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $72.38 | $42.80 | $98.60 | $138.20 | $129.10 | $111.30 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .02 | .30 | 1.30 | 1.60 | 1.00 | 1.40 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.48 | ) | 29.90 | (55.20 | ) | (39.00 | ) | 8.74 | 17.60 | |||||||||||||||
Total from investment operations | (3.46 | ) | 30.20 | (53.90 | ) | (37.40 | ) | 9.74 | 19.00 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Total distributions | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of period | $68.92 | $72.38 | $42.80 | $98.60 | $138.20 | $129.10 | ||||||||||||||||||
Total Returnc | (4.78% | ) | 70.74% | (54.92% | ) | (27.32% | ) | 7.54% | 17.12% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,408 | $1,408 | $2,683 | $1,367 | $1,107 | $4,295 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.05% | 0.50% | 1.97% | 1.42% | 0.74% | 1.18% | ||||||||||||||||||
Total expenses | 1.63% | 1.63% | 1.62% | 1.59% | 1.61% | 1.65% | ||||||||||||||||||
Net expensesd | 1.63% | 1.63% | 1.62% | 1.59% | 1.61% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | 253% | 447% | 755% | 913% | 534% | 821% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | e | 2009 | e | 2008 | e | 2007 | e | 2006 | e | ||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $68.79 | $41.01 | $95.10 | $134.60 | $126.70 | $110.10 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.25 | ) | (.24 | ) | .80 | .50 | .10 | .10 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (3.29 | ) | 28.64 | (52.99 | ) | (37.80 | ) | 8.44 | 17.70 | |||||||||||||||
Total from investment operations | (3.54 | ) | 28.40 | (52.19 | ) | (37.30 | ) | 8.54 | 17.80 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Total distributions | — | (.62 | ) | (1.90 | ) | (2.20 | ) | (.64 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of period | $65.25 | $68.79 | $41.01 | $95.10 | $134.60 | $126.70 | ||||||||||||||||||
Total Returnc | (5.15% | ) | 69.44% | (55.16% | ) | (27.98% | ) | 6.73% | 16.21% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,223 | $1,942 | $1,407 | $2,847 | $5,382 | $2,081 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.76% | ) | (0.40% | ) | 1.13% | 0.45% | 0.06% | 0.11% | ||||||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.37% | 2.34% | 2.36% | ||||||||||||||||||
Net expensesd | 2.38% | 2.38% | 2.38% | 2.37% | 2.34% | 2.34% | ||||||||||||||||||
Portfolio turnover rate | 253% | 447% | 755% | 913% | 534% | 821% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Net expense information reflects the expense ratios after voluntary expense waivers. |
e | Per share amounts for the period: |
March 31, 2006 – April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 59 |
FUND PROFILE (Unaudited)
September 30, 2010
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry.
Inception: April 17, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666612.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 17, 1998 | |||
Advisor Class | May 11, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | March 30, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Johnson & Johnson | 4.2 | % | ||
Pfizer, Inc. | 3.9 | % | ||
Merck & Company, Inc. | 3.5 | % | ||
Abbott Laboratories | 2.9 | % | ||
Alcon, Inc. | 2.3 | % | ||
Amgen, Inc. | 2.2 | % | ||
Bristol-Myers Squibb Co. | 2.2 | % | ||
Teva Pharmaceutical Industries Ltd. ADR | 2.1 | % | ||
Eli Lilly & Co. | 2.1 | % | ||
UnitedHealth Group, Inc. | 2.1 | % | ||
Top Ten Total | 27.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
60 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
HEALTH CARE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.6% | ||||||||
HEALTH CARE - 99.6% | ||||||||
Johnson & Johnson | 18,235 | $ | 1,129,840 | |||||
Pfizer, Inc. | 60,984 | 1,047,095 | ||||||
Merck & Company, Inc. | 24,950 | 918,410 | ||||||
Abbott Laboratories | 15,074 | 787,466 | ||||||
Alcon, Inc. | 3,891 | 648,980 | ||||||
Amgen, Inc.* | 11,073 | 610,233 | ||||||
Bristol-Myers Squibb Co. | 21,786 | 590,618 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 11,087 | 584,839 | ||||||
Eli Lilly & Co. | 15,392 | 562,270 | ||||||
UnitedHealth Group, Inc. | 16,009 | 562,075 | ||||||
Valeant Pharmaceuticals International, Inc.* | 20,087 | 503,169 | ||||||
Medtronic, Inc. | 14,221 | 477,540 | ||||||
Baxter International, Inc. | 9,987 | 476,479 | ||||||
Gilead Sciences, Inc.* | 13,253 | 471,939 | ||||||
Celgene Corp.* | 7,699 | 443,539 | ||||||
Genzyme Corp.* | 6,093 | 431,323 | ||||||
Express Scripts, Inc. — Class A* | 8,640 | 420,767 | ||||||
WellPoint, Inc.* | 7,416 | 420,042 | ||||||
Allergan, Inc. | 5,968 | 397,051 | ||||||
Medco Health Solutions, Inc.* | 7,264 | 378,164 | ||||||
Stryker Corp. | 7,382 | 369,468 | ||||||
Covidien plc | 9,140 | 367,337 | ||||||
Becton Dickinson and Co. | 4,948 | 366,647 | ||||||
Thermo Fisher Scientific, Inc.* | 7,394 | 354,024 | ||||||
Biogen Idec, Inc.* | 6,195 | 347,663 | ||||||
Novartis AG ADR | 5,859 | 337,889 | ||||||
McKesson Corp. | 5,338 | 329,781 | ||||||
St. Jude Medical, Inc.* | 7,847 | 308,701 | ||||||
Aetna, Inc. | 9,732 | 307,629 | ||||||
Cardinal Health, Inc. | 8,395 | 277,371 | ||||||
Forest Laboratories, Inc.* | 8,879 | 274,627 | ||||||
AstraZeneca plc ADR | 5,298 | 268,609 | ||||||
Zimmer Holdings, Inc.* | 5,128 | 268,348 | ||||||
Hospira, Inc.* | 4,692 | 267,491 | ||||||
CIGNA Corp. | 7,459 | 266,883 | ||||||
Intuitive Surgical, Inc.* | 921 | 261,325 | ||||||
GlaxoSmithKline plc ADR | 6,584 | 260,200 | ||||||
Boston Scientific Corp.* | 42,027 | 257,626 | ||||||
Quest Diagnostics, Inc. | 5,044 | 254,571 | ||||||
Sanofi-Aventis S.A. ADR | 7,656 | 254,562 | ||||||
Varian Medical Systems, Inc.* | 4,195 | 253,798 | ||||||
Humana, Inc.* | 5,050 | 253,712 | ||||||
Novo Nordisk A ADR | 2,568 | 252,794 | ||||||
Laboratory Corporation of America Holdings* | 3,116 | 244,388 | ||||||
Life Technologies Corp.* | 5,184 | 242,041 | ||||||
CR Bard, Inc. | 2,972 | 242,010 | ||||||
AmerisourceBergen Corp. — Class A | 7,816 | 239,639 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Elan Corp. plc ADR* | 41,532 | $ | 238,809 | |||||
DaVita, Inc.* | 3,404 | 234,978 | ||||||
Cerner Corp.* | 2,767 | 232,400 | ||||||
Shire plc ADR | 3,442 | 231,578 | ||||||
Alexion Pharmaceuticals, Inc.* | 3,502 | 225,389 | ||||||
Illumina, Inc.* | 4,531 | 222,925 | ||||||
Perrigo Co. | 3,440 | 220,917 | ||||||
Waters Corp.* | 3,102 | 219,560 | ||||||
Vertex Pharmaceuticals, Inc.* | 6,294 | 217,584 | ||||||
Dendreon Corp.* | 5,078 | 209,112 | ||||||
Dr Reddys Laboratories, Ltd. ADR | 6,460 | 208,141 | ||||||
Henry Schein, Inc.* | 3,504 | 205,264 | ||||||
Human Genome Sciences, Inc.* | 6,847 | 203,972 | ||||||
Mylan, Inc.* | 10,816 | 203,449 | ||||||
Endo Pharmaceuticals Holdings, Inc.* | 6,120 | 203,429 | ||||||
Mindray Medical International Ltd. ADR | 6,680 | 197,528 | ||||||
CareFusion Corp.* | 7,945 | 197,354 | ||||||
Warner Chilcott plc — Class A | 8,692 | 195,048 | ||||||
Watson Pharmaceuticals, Inc.* | 4,589 | 194,161 | ||||||
Cephalon, Inc.* | 3,108 | 194,064 | ||||||
ResMed, Inc.* | 5,818 | 190,889 | ||||||
DENTSPLY International, Inc. | 5,740 | 183,508 | ||||||
Mettler-Toledo International, Inc.* | 1,469 | 182,802 | ||||||
Hologic, Inc.* | 11,096 | 177,647 | ||||||
IDEXX Laboratories, Inc.* | 2,578 | 159,114 | ||||||
QIAGEN N.V.* | 8,920 | 158,241 | ||||||
Universal Health Services, Inc. — Class B | 4,030 | 156,606 | ||||||
United Therapeutics Corp.* | 2,792 | 156,380 | ||||||
Patterson Companies, Inc. | 5,375 | 153,994 | ||||||
Coventry Health Care, Inc.* | 7,136 | 153,638 | ||||||
Talecris Biotherapeutics Holdings Corp.* | 6,369 | 145,723 | ||||||
Beckman Coulter, Inc. | 2,969 | 144,858 | ||||||
PerkinElmer, Inc. | 6,055 | 140,113 | ||||||
Health Net, Inc.* | 5,150 | 140,029 | ||||||
Pharmaceutical Product Development, Inc. | 5,630 | 139,568 | ||||||
Covance, Inc.* | 2,947 | 137,890 | ||||||
Community Health Systems, Inc.* | 4,419 | 136,856 | ||||||
Omnicare, Inc. | 5,679 | 135,615 | ||||||
Kinetic Concepts, Inc.* | 3,667 | 134,139 | ||||||
Emergency Medical Services Corp. — Class A* | 2,480 | 132,060 | ||||||
Mednax, Inc.* | 2,437 | 129,892 | ||||||
Lincare Holdings, Inc. | 4,777 | 119,855 | ||||||
Thoratec Corp.* | 3,090 | 114,268 | ||||||
Total Health Care | 27,270,320 | |||||||
Total Common Stocks (Cost $21,368,171) | 27,270,320 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 61 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
HEALTH CARE FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 - 0.9% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $255,822 | $ | 255,822 | |||||
Total Repurchase Agreement (Cost $255,822) | $ | 255,822 | ||||||
Total Investments - 100.5% (Cost $21,623,993) | $ | 27,526,142 | ||||||
Liabilities, Less Cash & Other Assets - (0.5)% | (132,895 | ) | ||||||
Total Net Assets - 100.0% | $ | 27,393,247 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. ADR — American Depositary Receipt plc — Public Limited Company |
62 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
HEALTH CARE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 27,270,320 | ||
Repurchase agreement, at value | 255,822 | |||
Total Investments | 27,526,142 | |||
Cash | 34,244 | |||
Receivables: | ||||
Fund shares sold | 2,191,835 | |||
Dividends | 26,732 | |||
Total assets | 29,778,953 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 2,357,833 | |||
Management fees | 12,358 | |||
Custodian fees | 480 | |||
Transfer agent/maintenance fees | 3,635 | |||
Distribution and service fees | 3,929 | |||
Portfolio accounting fees | 1,454 | |||
Other | 6,017 | |||
Total liabilities | 2,385,706 | |||
Net Assets | $ | 27,393,247 | ||
Net assets consist of: | ||||
Paid in capital | 29,609,442 | |||
Undistributed net investment income | 15,417 | |||
Accumulated net realized loss on sale of investments | (8,133,761 | ) | ||
Net unrealized appreciation in value of investments | 5,902,149 | |||
Net assets | 27,393,247 | |||
Investor Class: | ||||
Net assets | $ | 21,524,275 | ||
Capital shares outstanding | 1,419,943 | |||
Net asset value per share | $15.16 | |||
Advisor Class: | ||||
Net assets | $ | 1,899,617 | ||
Capital shares outstanding | 133,575 | |||
Net asset value per share | $14.22 | |||
A-Class: | ||||
Net assets | $ | 1,207,607 | ||
Capital shares outstanding | 83,696 | |||
Net asset value per share | $14.43 | |||
Maximum offering price per share* | $15.15 | |||
C-Class: | ||||
Net assets | $ | 2,761,748 | ||
Capital shares outstanding | 200,673 | |||
Net asset value per share | $13.76 | |||
Investments, at cost | $ | 21,368,171 | ||
Repurchase agreement, at cost | 255,822 | |||
Total cost | $ | 21,623,993 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | |||||
Dividends (net of foreign withholding tax of $2,185) | $ | 281,128 | |||
Interest | 115 | ||||
Total investment income | 281,243 | ||||
Expenses: | |||||
Management fees | 145,594 | ||||
Transfer agent and administrative fees | 42,821 | ||||
Distribution and Service Fees: | |||||
Advisor Class | 5,886 | ||||
A-Class | 2,026 | ||||
C-Class | 21,698 | ||||
Portfolio accounting fees | 17,128 | ||||
Trustees’ fees** | 3,084 | ||||
Registration | 27,462 | ||||
Audit and outside service fees | 21,950 | ||||
Miscellaneous | (21,823 | ) | |||
Total expenses | 265,826 | ||||
Net investment income | 15,417 | ||||
Net Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) during the period on: | |||||
Investment securities | 14,422,058 | ||||
Net realized gain | 14,422,058 | ||||
Net unrealized appreciation (depreciation) | |||||
during the period on: | |||||
Investment securities | (17,503,686 | ) | |||
Net unrealized depreciation | (17,503,686 | ) | |||
Net loss | (3,081,628 | ) | |||
Net decrease in net assets resulting from operations | $ | (3,066,211 | ) | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 63 |
HEALTH CARE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 15,417 | $ | (98,128 | ) | |||
Net realized gain during the period on investments | 14,422,058 | 5,745,341 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (17,503,686 | ) | 19,815,215 | |||||
Net increase (decrease) in net assets resulting from operations | (3,066,211 | ) | 25,462,428 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (112,784 | ) | |||||
Advisor Class | — | (3,474 | ) | |||||
A-Class | — | (799 | ) | |||||
C-Class | — | (3,371 | ) | |||||
Total distributions to shareholders | — | (120,428 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares Investor Class | 120,033,038 | 376,924,923 | ||||||
Advisor Class | 15,895,897 | 26,624,310 | ||||||
A-Class | 1,821,327 | 8,065,607 | ||||||
C-Class | 56,157,796 | 72,011,485 | ||||||
Distributions reinvested Investor Class | — | 110,294 | ||||||
Advisor Class | — | 3,408 | ||||||
A-Class | — | 773 | ||||||
C-Class | — | 3,164 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (291,858,882 | ) | (217,426,813 | ) | ||||
Advisor Class | (17,224,529 | ) | (30,904,957 | ) | ||||
A-Class | (6,687,545 | ) | (3,245,485 | ) | ||||
C-Class | (61,322,526 | ) | (70,234,350 | ) | ||||
Net increase (decrease) from capital share transactions | (183,185,424 | ) | 161,932,359 | |||||
Net increase (decrease) in net assets | (186,251,635 | ) | 187,274,359 | |||||
Net assets: | ||||||||
Beginning of period | 213,644,882 | 26,370,523 | ||||||
End of period | $ | 27,393,247 | $ | 213,644,882 | ||||
Undistributed net investment income at end of period | $ | 15,417 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold Investor Class | 8,051,159 | 27,251,381 | ||||||
Advisor Class | 1,154,822 | 2,055,170 | ||||||
A-Class | 123,937 | 550,092 | ||||||
C-Class | 4,180,929 | 5,738,394 | ||||||
Shares reinvested Investor Class | — | 7,596 | ||||||
Advisor Class | — | 249 | ||||||
A-Class | — | 56 | ||||||
C-Class | — | 238 | ||||||
Shares redeemed Investor Class | (19,015,042 | ) | (16,118,063 | ) | ||||
Advisor Class | (1,252,299 | ) | (2,424,711 | ) | ||||
A-Class | (452,372 | ) | (231,279 | ) | ||||
C-Class | (4,563,415 | ) | (5,650,598 | ) | ||||
Total capital share activity | (11,772,281 | ) | 11,178,525 | |||||
64 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
HEALTH CARE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $15.80 | $11.20 | $14.28 | $15.28 | $14.54 | $12.71 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | (.01 | ) | .07 | (.02 | ) | .03 | (.05 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.65 | ) | 4.62 | (3.15 | ) | (.98 | ) | .71 | 1.88 | |||||||||||||||
Total from investment operations | (.64 | ) | 4.61 | (3.08 | ) | (1.00 | ) | .74 | 1.83 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $15.16 | $15.80 | $11.20 | $14.28 | $15.28 | $14.54 | ||||||||||||||||||
Total Returnc | (4.05% | ) | 41.17% | (21.57% | ) | (6.54% | ) | 5.09% | 14.40% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $21,524 | $195,616 | $13,920 | $22,062 | $33,878 | $46,432 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.13% | (0.04% | ) | 0.48% | (0.13% | ) | 0.23% | (0.35% | ) | |||||||||||||||
Total expenses | 1.38% | 1.37% | 1.36% | 1.37% | 1.35% | 1.33% | ||||||||||||||||||
Portfolio turnover rate | 249% | 241% | 745% | 444% | 545% | 568% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.85 | $10.58 | $13.57 | $14.59 | $13.94 | $12.25 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | (.04 | ) | .01 | (.09 | ) | (.05 | ) | (.12 | ) | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.64 | ) | 4.32 | (3.00 | ) | (.93 | ) | .70 | 1.81 | |||||||||||||||
Total from investment operations | (.63 | ) | 4.28 | (2.99 | ) | (1.02 | ) | .65 | 1.69 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $14.22 | $14.85 | $10.58 | $13.57 | $14.59 | $13.94 | ||||||||||||||||||
Total Returnc | (4.24% | ) | 40.46% | (22.03% | ) | (6.99% | ) | 4.66% | 13.80% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,900 | $3,432 | $6,353 | $13,099 | $17,327 | $14,577 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.14% | (0.33% | ) | 0.04% | (0.60% | ) | (0.37% | ) | (0.89% | ) | ||||||||||||||
Total expenses | 1.88% | 1.88% | 1.93% | 1.86% | 1.85% | 1.84% | ||||||||||||||||||
Portfolio turnover rate | 249% | 241% | 745% | 444% | 545% | 568% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 65 |
HEALTH CARE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $15.05 | $10.69 | $13.68 | $14.67 | $13.98 | $12.25 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .02 | (.03 | ) | .02 | (.06 | ) | (.02 | ) | (.08 | ) | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.64 | ) | 4.40 | (3.01 | ) | (.93 | ) | .71 | 1.81 | |||||||||||||||
Total from investment operations | (.62 | ) | 4.37 | (2.99 | ) | (.99 | ) | .69 | 1.73 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $14.43 | $15.05 | $10.69 | $13.68 | $14.67 | $13.98 | ||||||||||||||||||
Total Returnc | (4.12% | ) | 40.88% | (21.86% | ) | (6.75% | ) | 4.94% | 14.12% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,208 | $6,204 | $997 | $730 | $818 | $2,239 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.29% | (0.25% | ) | 0.15% | (0.36% | ) | (0.13% | ) | (0.60% | ) | ||||||||||||||
Total expenses | 1.62% | 1.62% | 1.63% | 1.61% | 1.60% | 1.62% | ||||||||||||||||||
Portfolio turnover rate | 249% | 241% | 745% | 444% | 545% | 568% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $14.39 | $10.30 | $13.28 | $14.35 | $13.79 | $12.19 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.02 | ) | (.11 | ) | (.08 | ) | (.16 | ) | (.10 | ) | (.18 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.61 | ) | 4.21 | (2.90 | ) | (.91 | ) | .66 | 1.78 | |||||||||||||||
Total from investment operations | (.63 | ) | 4.10 | (2.98 | ) | (1.07 | ) | .56 | 1.60 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $13.76 | $14.39 | $10.30 | $13.28 | $14.35 | $13.79 | ||||||||||||||||||
Total Returnc | (4.38% | ) | 39.81% | (22.44% | ) | (7.46% | ) | 4.06% | 13.13% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,762 | $8,393 | $5,101 | $5,677 | $8,720 | $7,114 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.27% | ) | (0.91% | ) | (0.65% | ) | (1.12% | ) | (0.73% | ) | (1.39% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.37% | 2.34% | 2.34% | ||||||||||||||||||
Portfolio turnover rate | 249% | 241% | 745% | 444% | 545% | 568% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
66 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet.
Inception: April 6, 2000
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666613.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 6, 2000 | |||
Advisor Class | April 6, 2000 | |||
A-Class | September 1, 2004 | |||
C-Class | April 19, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Google, Inc. — Class A | 8.3 | % | ||
Cisco Systems, Inc. | 6.8 | % | ||
QUALCOMM, Inc. | 6.1 | % | ||
Amazon.com, Inc. | 6.0 | % | ||
Baidu, Inc. ADR | 4.5 | % | ||
eBay, Inc. | 3.8 | % | ||
Time Warner, Inc. | 3.6 | % | ||
Priceline.com, Inc. | 3.4 | % | ||
Research In Motion Ltd. | 2.9 | % | ||
Juniper Networks, Inc. | 2.8 | % | ||
Top Ten Total | 48.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INTERNET FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.4% | ||||||||
INFORMATION TECHNOLOGY - 78.4% | ||||||||
Google, Inc. — Class A* | 27,108 | $ | 14,253,115 | |||||
Cisco Systems, Inc.* | 534,482 | 11,705,156 | ||||||
QUALCOMM, Inc. | 228,112 | 10,292,413 | ||||||
Baidu, Inc. ADR* | 75,714 | 7,769,771 | ||||||
eBay, Inc.* | 261,297 | 6,375,647 | ||||||
Research In Motion Ltd.* | 101,201 | 4,927,477 | ||||||
Juniper Networks, Inc.* | 154,488 | 4,688,711 | ||||||
Yahoo!, Inc.* | 318,853 | 4,518,147 | ||||||
Broadcom Corp. — Class A | 127,375 | 4,507,801 | ||||||
Intuit, Inc.* | 97,752 | 4,282,515 | ||||||
Symantec Corp.* | 247,736 | 3,758,155 | ||||||
F5 Networks, Inc.* | 35,821 | 3,718,578 | ||||||
McAfee, Inc.* | 74,519 | 3,521,768 | ||||||
Red Hat, Inc.* | 82,376 | 3,377,416 | ||||||
Akamai Technologies, Inc.* | 65,594 | 3,291,507 | ||||||
Check Point Software | ||||||||
Technologies Ltd.* | 87,042 | 3,214,461 | ||||||
BMC Software, Inc.* | 74,520 | 3,016,570 | ||||||
Netease.com ADR* | 70,936 | 2,797,716 | ||||||
VeriSign, Inc.* | 84,400 | 2,678,856 | ||||||
Equinix, Inc.* | 23,554 | 2,410,752 | ||||||
TIBCO Software, Inc.* | 127,149 | 2,255,623 | ||||||
Rackspace Hosting, Inc.* | 85,939 | 2,232,695 | ||||||
Sina Corp.* | 42,841 | 2,166,898 | ||||||
Open Text Corp.* | 41,079 | 1,932,356 | ||||||
IAC/InterActiveCorp.* | 73,207 | 1,923,148 | ||||||
AOL, Inc.* | 73,089 | 1,808,953 | ||||||
WebMD Health Corp. — Class A* | 35,882 | 1,789,435 | ||||||
OpenTable, Inc.* | 22,014 | 1,498,713 | ||||||
Digital River, Inc.* | 41,311 | 1,406,226 | ||||||
Monster Worldwide, Inc.* | 104,300 | 1,351,728 | ||||||
Ciena Corp.* | 86,291 | 1,343,551 | ||||||
VistaPrint N.V.* | 31,310 | 1,210,132 | ||||||
GSI Commerce, Inc.* | 47,730 | 1,178,931 | ||||||
SAVVIS, Inc.* | 55,139 | 1,162,330 | ||||||
ValueClick, Inc.* | 87,368 | 1,142,773 | ||||||
Earthlink, Inc. | 122,019 | 1,109,153 | ||||||
Websense, Inc.* | 49,395 | 876,267 | ||||||
Constant Contact, Inc.* | 38,017 | 814,704 | ||||||
j2 Global Communications, Inc.* | 29,990 | 713,462 | ||||||
Total Information Technology | 133,023,610 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY - 18.8% | ||||||||
Amazon.com, Inc.* | 64,157 | $ | 10,076,498 | |||||
Time Warner, Inc. | 198,728 | 6,091,013 | ||||||
Priceline.com, Inc.* | 16,796 | 5,850,719 | ||||||
Expedia, Inc. | 127,492 | 3,596,549 | ||||||
NetFlix, Inc.* | 21,779 | 3,531,683 | ||||||
Blue Nile, Inc.* | 18,340 | 815,947 | ||||||
NutriSystem, Inc. | 39,404 | 758,133 | ||||||
PetMed Express, Inc. | 38,854 | 679,945 | ||||||
Overstock.com, Inc.* | 34,990 | 550,043 | ||||||
Total Consumer Discretionary | 31,950,530 | |||||||
TELECOMMUNICATION SERVICES - 2.2% | ||||||||
Qwest Communications | ||||||||
International, Inc. | 607,740 | 3,810,530 | ||||||
Total Common Stocks (Cost $157,607,703) | 168,784,670 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.9% | ||||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | $ | 1,442,657 | 1,442,657 | |||||
Total Repurchase Agreement (Cost $1,442,657) | 1,442,657 | |||||||
Total Investments - 100.3% (Cost $159,050,360) | $ | 170,227,327 | ||||||
Liabilities, Less Cash & Other Assets – (0.3)% | (551,092 | ) | ||||||
Total Net Assets – 100.0% | $ | 169,676,235 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt |
68 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INTERNET FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 168,784,670 | ||
Repurchase agreement, at value | 1,442,657 | |||
Total investments | 170,227,327 | |||
Receivables: | ||||
Fund shares sold | 5,283,190 | |||
Interest | 7 | |||
Total assets | 175,510,524 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 5,238,502 | |||
Fund shares redeemed | 514,854 | |||
Management fees | 44,341 | |||
Custodian fees | 1,721 | |||
Transfer agent/maintenance fees | 13,042 | |||
Distribution and service fees | 1,598 | |||
Portfolio accounting fees | 5,216 | |||
Other | 15,015 | |||
Total liabilities | 5,834,289 | |||
Net assets | $ | 169,676,235 | ||
Net assets consist of: | ||||
Paid in capital | 168,694,637 | |||
Accumulated net investment loss | (155,510 | ) | ||
Accumulated net realized loss on sale of investments | (10,039,859 | ) | ||
Net unrealized appreciation in value of investments | 11,176,967 | |||
Net assets | 169,676,235 | |||
Investor Class: | ||||
Net assets | $ | 163,823,723 | ||
Capital shares outstanding | 3,648,134 | |||
Net asset value per share | $44.91 | |||
Advisor Class: | ||||
Net assets | $ | 2,350,811 | ||
Capital shares outstanding | 55,372 | |||
Net asset value per share | $42.45 | |||
A-Class: | ||||
Net assets | $ | 1,126,352 | ||
Capital shares outstanding | 26,126 | |||
Net asset value per share | $43.11 | |||
Maximum offering price per share* | $45.26 | |||
C-Class: | ||||
Net assets | $ | 2,375,349 | ||
Capital shares outstanding | 58,161 | |||
Net asset value per share | $40.84 | |||
Investments, at cost | $ | 157,607,703 | ||
Repurchase agreement, at cost | 1,442,657 | |||
Total cost | $ | 159,050,360 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 37,242 | ||
Interest | 182 | |||
Total investment income | 37,424 | |||
Expenses: | ||||
Management fees | 113,423 | |||
Transfer agent and administrative fees | 33,359 | |||
Distribution and Service Fees: | ||||
Advisor Class | 4,046 | |||
A-Class | 1,024 | |||
C-Class | 4,592 | |||
Portfolio accounting fees | 13,344 | |||
Trustees’ fees** | 879 | |||
Miscellaneous | 22,267 | |||
Total expenses | 192,934 | |||
Net investment loss | (155,510 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 1,920,632 | |||
Net realized gain | 1,920,632 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 1,495,542 | |||
Net unrealized appreciation | 1,495,542 | |||
Net realized and unrealized gain | 3,416,174 | |||
Net increase in net assets resulting from operations | $ | 3,260,664 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 69 |
INTERNET FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (155,510 | ) | $ | (528,956 | ) | ||
Net realized gain during the period on investments | 1,920,632 | 17,110,852 | ||||||
Net unrealized appreciation during the period on investments | 1,495,542 | 4,224,318 | ||||||
Net increase in net assets resulting from operations | 3,260,664 | 20,806,214 | ||||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 165,017,915 | 177,542,033 | ||||||
Advisor Class | 6,067,081 | 24,730,965 | ||||||
A-Class | 1,084,850 | 4,695,216 | ||||||
C-Class | 26,298,569 | 41,013,515 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (26,435,215 | ) | (236,380,728 | ) | ||||
Advisor Class | (7,611,845 | ) | (25,593,202 | ) | ||||
A-Class | (3,052,994 | ) | (2,050,114 | ) | ||||
C-Class | (24,830,646 | ) | (40,927,304 | ) | ||||
Net increase (decrease) from capital share transactions | 136,537,715 | (56,969,619 | ) | |||||
Net increase (decrease) in net assets | 139,798,379 | (36,163,405 | ) | |||||
Net assets: | ||||||||
Beginning of period | 29,877,856 | 66,041,261 | ||||||
End of period | $ | 169,676,235 | $ | 29,877,856 | ||||
Accumulated net investment loss at end of period | $ | (155,510 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 3,786,438 | 5,313,352 | ||||||
Advisor Class | 158,196 | 705,697 | ||||||
A-Class | 27,825 | 127,396 | ||||||
C-Class | 699,663 | 1,209,155 | ||||||
Shares redeemed | ||||||||
Investor Class | (663,511 | ) | (7,110,764 | ) | ||||
Advisor Class | (201,578 | ) | (749,250 | ) | ||||
A-Class | (76,213 | ) | (56,423 | ) | ||||
C-Class | (669,187 | ) | (1,205,994 | ) | ||||
Total capital share activity | 3,061,633 | (1,766,831 | ) | |||||
70 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
INTERNET FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $41.74 | $26.58 | $38.55 | $41.11 | $40.22 | $32.29 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.23 | ) | (.38 | ) | (.29 | ) | .46 | d | (.44 | ) | (.40 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 3.40 | 15.54 | (11.23 | ) | (2.87 | ) | 1.33 | 8.33 | ||||||||||||||||
Total from investment operations | 3.17 | 15.16 | (11.52 | ) | (2.41 | ) | .89 | 7.93 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $44.91 | $41.74 | $26.58 | $38.55 | $41.11 | $40.22 | ||||||||||||||||||
Total Returnc | 7.59% | 57.04% | (29.63% | ) | (5.92% | ) | 2.21% | 24.56% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $163,824 | $21,924 | $61,745 | $4,365 | $5,496 | $16,288 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.10% | ) | (1.12% | ) | (1.01% | ) | 1.00% | e | (1.09% | ) | (1.10% | ) | ||||||||||||
Total expenses | 1.37% | 1.37% | 1.35% | 1.38% | 1.37% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 123% | 443% | 550% | 870% | 864% | 1,371% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $39.57 | $25.32 | $36.95 | $39.61 | $38.94 | $31.41 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.31 | ) | (.58 | ) | (.41 | ) | (.09 | )d | (.63 | ) | (.55 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 3.19 | 14.83 | (10.77 | ) | (2.42 | ) | 1.30 | 8.08 | ||||||||||||||||
Total from investment operations | 2.88 | 14.25 | (11.18 | ) | (2.51 | ) | .67 | 7.53 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $42.45 | $39.57 | $25.32 | $36.95 | $39.61 | $38.94 | ||||||||||||||||||
Total Returnc | 7.28% | 56.28% | (29.99% | ) | (6.40% | ) | 1.72% | 23.97% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,351 | $3,908 | $3,604 | $1,364 | $863 | $3,696 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.59% | ) | (1.74% | ) | (1.43% | ) | (0.21% | )e | (1.60% | ) | (1.58% | ) | ||||||||||||
Total expenses | 1.88% | 1.88% | 1.87% | 1.88% | 1.87% | 1.85% | ||||||||||||||||||
Portfolio turnover rate | 123% | 443% | 550% | 870% | 864% | 1,371% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 71 |
2
INTERNET 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $40.12 | $25.62 | $37.29 | $39.87 | $39.07 | $31.45 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.24 | ) | (.50 | ) | (.33 | ) | (.19 | )d | (.52 | ) | (.50 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 3.23 | 15.00 | (10.89 | ) | (2.24 | ) | 1.32 | 8.12 | ||||||||||||||||
Total from investment operations | 2.99 | 14.50 | (11.22 | ) | (2.43 | ) | .80 | 7.62 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $43.11 | $40.12 | $25.62 | $37.29 | $39.87 | $39.07 | ||||||||||||||||||
Total Returnc | 7.45% | 56.60% | (29.82% | ) | (6.16% | ) | 2.05% | 24.23% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,126 | $2,989 | $91 | $116 | $139 | $470 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.23% | ) | (1.44% | ) | (1.07% | ) | (0.44% | )e | (1.37% | ) | (1.36% | ) | ||||||||||||
Total expenses | 1.62% | 1.63% | 1.62% | 1.63% | 1.61% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 123% | 443% | 550% | 870% | 864% | 1,371% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $38.17 | $24.56 | $36.01 | $38.79 | $38.30 | $31.06 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.39 | ) | (.66 | ) | (.59 | ) | (.38 | )d | (.78 | ) | (.73 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 3.06 | 14.27 | (10.41 | ) | (2.25 | ) | 1.27 | 7.97 | ||||||||||||||||
Total from investment operations | 2.67 | 13.61 | (11.00 | ) | (2.63 | ) | .49 | 7.24 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (.45 | ) | (.15 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $40.84 | $38.17 | $24.56 | $36.01 | $38.79 | $38.30 | ||||||||||||||||||
Total Returnc | 7.00% | 55.42% | (30.28% | ) | (6.84% | ) | 1.28% | 23.31% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,375 | $1,057 | $602 | $1,608 | $1,017 | $2,273 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (2.08% | ) | (2.00% | ) | (1.95% | ) | (0.89% | )e | (2.10% | ) | (2.09% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.37% | 2.36% | 2.35% | ||||||||||||||||||
Portfolio turnover rate | 123% | 443% | 550% | 870% | 864% | 1,371% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Net investment income per share includes $0.88, $0.84, $0.83, and $0.81 for Investor Class, Advisor Class, A-Class, and C-Class, respectively, resulting from a special dividend from Palm, Inc. on October 25, 2007. |
e | Net investment income (loss) to average assets includes 1.91% for Investor Class, Advisor Class, A-Class, and C-Class, resulting from a special dividend from Palm, Inc. on October 25, 2007. |
72 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
FUND PROFILE (Unaudited)
September 30, 2010
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666614.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | June 3, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | May 3, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
McDonald’s Corp. | 4.7 | % | ||
Walt Disney Co. | 3.9 | % | ||
Comcast Corp. — Class A | 3.6 | % | ||
DIRECTV — Class A | 3.4 | % | ||
Carnival Corp. | 3.0 | % | ||
News Corp. — Class A | 3.0 | % | ||
Time Warner, Inc. | 2.9 | % | ||
Las Vegas Sands Corp. | 2.9 | % | ||
Yum! Brands, Inc. | 2.5 | % | ||
Viacom, Inc. — Class B | 2.4 | % | ||
Top Ten Total | 32.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
LEISURE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.5% | ||||||||
CONSUMER DISCRETIONARY - 95.2% | ||||||||
McDonald’s Corp. | 9,510 | $ | 708,589 | |||||
Walt Disney Co. | 18,030 | 596,973 | ||||||
Comcast Corp. — Class A | 29,493 | 533,233 | ||||||
DIRECTV — Class A* | 12,116 | 504,389 | ||||||
Carnival Corp. | 11,869 | 453,515 | ||||||
News Corp. — Class A* | 33,661 | 439,613 | ||||||
Time Warner, Inc. | 14,171 | 434,341 | ||||||
Las Vegas Sands Corp.* | 12,008 | 418,478 | ||||||
Yum! Brands, Inc. | 8,037 | 370,184 | ||||||
Viacom, Inc. — Class B | 10,019 | 362,588 | ||||||
Time Warner Cable, Inc. — Class A | 6,131 | 331,013 | ||||||
Starbucks Corp. | 12,497 | 319,673 | ||||||
Marriott International, Inc. — Class A | 7,762 | 278,112 | ||||||
Discovery Communications, Inc. — Class A* | 6,224 | 271,054 | ||||||
McGraw-Hill Companies, Inc. | 7,955 | 262,993 | ||||||
CBS Corp. — Class B | 16,264 | 257,947 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,831 | 253,869 | ||||||
Wynn Resorts Ltd. | 2,908 | 252,327 | ||||||
Virgin Media, Inc. | 10,493 | 241,549 | ||||||
Liberty Global, Inc. — Class A* | 7,518 | 231,630 | ||||||
Mattel, Inc. | 9,705 | 227,679 | ||||||
Cablevision Systems Corp. — Class A | 8,392 | 219,786 | ||||||
Scripps Networks Interactive, Inc. — Class A | 4,608 | 219,249 | ||||||
DISH Network Corp. — Class A | 11,097 | 212,619 | ||||||
Royal Caribbean Cruises Ltd.* | 6,473 | 204,094 | ||||||
Harley-Davidson, Inc. | 7,098 | 201,867 | ||||||
Thomson Reuters Corp. | 5,365 | 201,349 | ||||||
Hasbro, Inc. | 4,447 | 197,936 | ||||||
Liberty Media Corp.- Capital* | 3,649 | 189,967 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 1,101 | 189,372 | ||||||
Darden Restaurants, Inc. | 4,310 | 184,382 | ||||||
Wyndham Worldwide Corp. | 6,618 | 181,796 | ||||||
MGM Resorts International* | 14,684 | 165,636 | ||||||
Ctrip.com International Ltd. ADR* | 3,397 | 162,207 | ||||||
Burger King Holdings, Inc. | 6,610 | 157,847 | ||||||
Liberty Media Corp. - Starz* | 2,412 | 156,491 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 4,442 | 141,744 | ||||||
International Game Technology | 9,727 | 140,555 | ||||||
Washington Post Co. — Class B | 341 | 136,199 | ||||||
Panera Bread Co. — Class A* | 1,508 | 133,624 | ||||||
Grupo Televisa S.A. ADR | 6,902 | 130,586 | ||||||
Melco Crown Entertainment Ltd. — Class Participation Certificate ADR* | 25,050 | 127,505 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Tim Hortons, Inc. | 3,470 | $ | 126,343 | |||||
Penn National Gaming, Inc.* | 4,195 | 124,214 | ||||||
Choice Hotels International, Inc. | 3,218 | 117,328 | ||||||
Brinker International, Inc. | 6,187 | 116,687 | ||||||
Polaris Industries, Inc. | 1,770 | 115,227 | ||||||
Gannett Company, Inc. | 9,245 | 113,066 | ||||||
Cinemark Holdings, Inc. | 6,478 | 104,296 | ||||||
WMS Industries, Inc.* | 2,732 | 104,007 | ||||||
Regal Entertainment Group — Class A | 7,867 | 103,215 | ||||||
Life Time Fitness, Inc.* | 2,600 | 102,622 | ||||||
Bally Technologies, Inc.* | 2,894 | 101,145 | ||||||
Central European Media Enterprises Ltd. — Class A* | 4,036 | 100,698 | ||||||
Cheesecake Factory, Inc.* | 3,716 | 98,363 | ||||||
Gaylord Entertainment Co.* | 3,160 | 96,380 | ||||||
Valassis Communications, Inc.* | 2,805 | 95,061 | ||||||
Meredith Corp. | 2,723 | 90,703 | ||||||
Live Nation Entertainment, Inc.* | 9,107 | 89,977 | ||||||
Vail Resorts, Inc.* | 2,318 | 86,971 | ||||||
Madison Square Garden, Inc. — Class A* | 4,113 | 86,702 | ||||||
Cracker Barrel Old Country Store, Inc. | 1,655 | 84,008 | ||||||
Brunswick Corp. | 5,462 | 83,132 | ||||||
Jack in the Box, Inc.* | 3,874 | 83,059 | ||||||
Imax Corp.* | 4,913 | 82,833 | ||||||
PF Chang’s China Bistro, Inc. | 1,716 | 79,279 | ||||||
Texas Roadhouse, Inc. — Class A* | 5,555 | 78,103 | ||||||
Ameristar Casinos, Inc. | 4,386 | 76,536 | ||||||
Eastman Kodak Co.* | 17,380 | 72,996 | ||||||
Pool Corp. | 3,556 | 71,369 | ||||||
New York Times Co. — Class A* | 9,196 | 71,177 | ||||||
Total Consumer Discretionary | 14,160,057 | |||||||
INFORMATION TECHNOLOGY - 4.3% | ||||||||
Activision Blizzard, Inc. | 25,108 | 271,668 | ||||||
Electronic Arts, Inc.* | 10,857 | 178,381 | ||||||
Perfect World Company Ltd. ADR* | 4,025 | 103,282 | ||||||
Shanda Interactive Entertainment Ltd. ADR* | 2,260 | 88,479 | ||||||
Total Information Technology | 641,810 | |||||||
Total Common Stocks (Cost $12,334,478) | $ | 14,801,867 | ||||||
74 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
LEISURE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
WARRANTS†† - 0.0% | ||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. | ||||||||
$12.21, 03/02/12 | 350 | $ | 18 | |||||
Total Warrants (Cost $—) | 18 | |||||||
Total Investments - 99.5% (Cost $12,334,478) | $ | 14,801,885 | ||||||
Cash & Other Assets, Less Liabilities – 0.5% | 75,335 | |||||||
Total Net Assets – 100.0% | $ | 14,877,220 | ||||||
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. ADR — American Depository Receipt |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 75 |
LEISURE FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 14,801,885 | ||
Total investments | 14,801,885 | |||
Receivables: | ||||
Fund shares sold | 4,207,501 | |||
Dividends | 5,891 | |||
Total assets | 19,015,277 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 5,850 | |||
Payable for: | ||||
Securities purchased | 3,233,672 | |||
Fund shares redeemed | 876,877 | |||
Management fees | 8,548 | |||
Custodian fees | 332 | |||
Transfer agent/maintenance fees | 2,514 | |||
Distribution and service fees | 1,614 | |||
Portfolio accounting fees | 1,006 | |||
Other | 7,644 | |||
Total liabilities | 4,138,057 | |||
Net assets | $ | 14,877,220 | ||
Net assets consist of: | ||||
Paid in capital | 19,564,032 | |||
Accumulated net investment loss | (52,887 | ) | ||
Accumulated net realized loss on sale of investments | (7,101,332 | ) | ||
Net unrealized appreciation in value of investments | 2,467,407 | |||
Net assets | 14,877,220 | |||
Investor Class: | ||||
Net assets | $ | 11,580,969 | ||
Capital shares outstanding | 412,838 | |||
Net asset value per share | $28.05 | |||
Advisor Class: | ||||
Net assets | $ | 756,117 | ||
Capital shares outstanding | 28,778 | |||
Net asset value per share | $26.27 | |||
A-Class: | ||||
Net assets | $ | 1,350,924 | ||
Capital shares outstanding | 50,714 | |||
Net asset value per share | $26.64 | |||
Maximum offering price per share* | $27.97 | |||
C-Class: | ||||
Net assets | $ | 1,189,210 | ||
Capital shares outstanding | 46,501 | |||
Net asset value per share | $25.57 | |||
Investments, at cost | $ | 12,334,478 | ||
Total cost | $ | 12,334,478 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $259) | $ | 77,110 | ||
Interest | 107 | |||
Total investment income | 77,217 | |||
Expenses: | ||||
Management fees | 72,355 | |||
Transfer agent and administrative fees | 21,281 | |||
Distribution and Service Fees: | ||||
Advisor Class | 4,179 | |||
A-Class | 1,656 | |||
C-Class | 6,478 | |||
Portfolio accounting fees | 8,512 | |||
Trustees’ fees** | 809 | |||
Miscellaneous | 14,834 | |||
Total expenses | 130,104 | |||
Net investment loss | (52,887 | ) | ||
Net Realized And Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,241,427 | ) | ||
Net realized loss | (1,241,427 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | 195,331 | |||
Net unrealized appreciation | 195,331 | |||
Net loss | (1,046,096 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,098,983 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
76 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
LEISURE FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (52,887 | ) | $ | (845 | ) | ||
Net realized gain (loss) during the period on investments | (1,241,427 | ) | 503,279 | |||||
Net unrealized appreciation during the period on investments | 195,331 | 2,073,611 | ||||||
Net increase (decrease) in net assets resulting from operations | (1,098,983 | ) | 2,576,045 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 86,925,820 | 53,130,447 | ||||||
Advisor Class | 11,184,802 | 7,271,169 | ||||||
A-Class | 1,720,844 | 1,301,093 | ||||||
C-Class | 12,178,980 | 12,727,164 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (87,801,341 | ) | (46,005,393 | ) | ||||
Advisor Class | (11,264,647 | ) | (6,947,713 | ) | ||||
A-Class | (845,657 | ) | (954,546 | ) | ||||
C-Class | (11,838,280 | ) | (12,035,560 | ) | ||||
Net increase from capital share transactions | 260,521 | 8,486,661 | ||||||
Net increase (decrease) in net assets | (838,462 | ) | 11,062,706 | |||||
Net assets: | ||||||||
Beginning of period | 15,715,682 | 4,652,976 | ||||||
End of period | $ | 14,877,220 | $ | 15,715,682 | ||||
Accumulated net investment loss at end of period | $ | (52,887 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 3,126,985 | 2,292,342 | ||||||
Advisor Class | 438,115 | 366,181 | ||||||
A-Class | 65,028 | 57,242 | ||||||
C-Class | 480,203 | 640,225 | ||||||
Shares redeemed | ||||||||
Investor Class | (3,194,021 | ) | (2,080,802 | ) | ||||
Advisor Class | (452,382 | ) | (348,824 | ) | ||||
A-Class | (33,035 | ) | (40,237 | ) | ||||
C-Class | (470,579 | ) | (611,956 | ) | ||||
Total capital share activity | (39,686 | ) | 274,171 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 77 |
LEISURE FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $27.48 | $15.40 | $31.72 | $35.87 | $32.56 | $30.50 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | .03 | .01 | .09 | (— | )c | (.07 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .64 | 12.05 | (16.33 | ) | (4.24 | ) | 3.31 | 2.13 | ||||||||||||||||
Total from investment operations | .57 | 12.08 | (16.32 | ) | (4.15 | ) | 3.31 | 2.06 | ||||||||||||||||
Net asset value, end of period | $28.05 | $27.48 | $15.40 | $31.72 | $35.87 | $32.56 | ||||||||||||||||||
Total Returnd | 2.07% | 78.44% | (51.45% | ) | (11.57% | ) | 10.17% | 6.75% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $11,581 | $13,186 | $4,132 | $3,283 | $9,130 | $16,418 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.53% | ) | 0.13% | 0.05% | 0.24% | (0.01% | ) | (0.25% | ) | |||||||||||||||
Total expenses | 1.38% | 1.37% | 1.37% | 1.39% | 1.37% | 1.34% | ||||||||||||||||||
Portfolio turnover rate | 599% | 943% | 1,529% | 646% | 675% | 734% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.81 | $14.53 | $30.06 | $34.14 | $31.15 | $29.34 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.11 | ) | (.11 | ) | (.03 | ) | (.07 | ) | (.10 | ) | (.32 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .57 | 11.39 | (15.50 | ) | (4.01 | ) | 3.09 | 2.13 | ||||||||||||||||
Total from investment operations | .46 | 11.28 | (15.53 | ) | (4.08 | ) | 2.99 | 1.81 | ||||||||||||||||
Net asset value, end of period | $26.27 | $25.81 | $14.53 | $30.06 | $34.14 | $31.15 | ||||||||||||||||||
Total Returnd | 1.78% | 77.63% | (51.66% | ) | (11.95% | ) | 9.60% | 6.17% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $756 | $1,111 | $373 | $1,611 | $4,903 | $5,372 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.86% | ) | (0.56% | ) | (0.11% | ) | (0.22% | ) | (0.32% | ) | (1.10% | ) | ||||||||||||
Total expenses | 1.89% | 1.88% | 1.88% | 1.89% | 1.87% | 1.80% | ||||||||||||||||||
Portfolio turnover rate | 599% | 943% | 1,529% | 646% | 675% | 734% |
78 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
LEISURE 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $26.13 | $14.67 | $30.30 | $34.32 | $31.24 | $29.34 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | .17 | (.04 | ) | (.07 | ) | (.14 | ) | (.14 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | .58 | 11.29 | (15.59 | ) | (3.95 | ) | 3.22 | 2.04 | ||||||||||||||||
Total from investment operations | .51 | 11.46 | (15.63 | ) | (4.02 | ) | 3.08 | 1.90 | ||||||||||||||||
Net asset value, end of period | $26.64 | $26.13 | $14.67 | $30.30 | $34.32 | $31.24 | ||||||||||||||||||
Total Returnd | 1.95% | 78.12% | (51.58% | ) | (11.71% | ) | 9.86% | 6.48% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,351 | $489 | $25 | $206 | $2,198 | $68 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.51% | ) | 0.74% | (0.16% | ) | (0.20% | ) | (0.41% | ) | (0.49% | ) | |||||||||||||
Total expenses | 1.63% | 1.63% | 1.63% | 1.67% | 1.60% | 1.60% | ||||||||||||||||||
Portfolio turnover rate | 599% | 943% | 1,529% | 646% | 675% | 734% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $25.19 | $14.26 | $29.66 | $33.86 | $31.05 | $29.39 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.17 | ) | (.22 | ) | (.18 | ) | (.28 | ) | (.31 | ) | (.40 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .55 | 11.15 | (15.22 | ) | (3.92 | ) | 3.12 | 2.06 | ||||||||||||||||
Total from investment operations | .38 | 10.93 | (15.40 | ) | (4.20 | ) | 2.81 | 1.66 | ||||||||||||||||
Net asset value, end of period | $25.57 | $25.19 | $14.26 | $29.66 | $33.86 | $31.05 | ||||||||||||||||||
Total Returnd | 1.51% | 76.65% | (51.92% | ) | (12.40% | ) | 9.05% | 5.65% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,189 | $929 | $123 | $430 | $3,091 | $997 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.34% | ) | (1.01% | ) | (0.78% | ) | (0.81% | ) | (0.96% | ) | (1.40% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.40% | 2.36% | 2.32% | ||||||||||||||||||
Portfolio turnover rate | 599% | 943% | 1,529% | 646% | 675% | 734% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 79 |
FUND PROFILE (Unaudited)
September 30, 2010
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals related services.
Inception: December 1, 1993
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666615.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | December 1, 1993 | |||
Advisor Class | August 1, 2003 | |||
A-Class | September 1, 2004 | |||
C-Class | April 27, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 14.4 | % | ||
Newmont Mining Co. | 7.4 | % | ||
Barrick Gold Corp. | 7.3 | % | ||
Goldcorp, Inc. | 6.1 | % | ||
Agnico-Eagle Mines Ltd. | 4.8 | % | ||
Silver Wheaton Corp. | 4.7 | % | ||
Yamana Gold, Inc. | 4.0 | % | ||
Southern Copper Co. | 3.7 | % | ||
Kinross Gold Corp. | 3.5 | % | ||
Randgold Resources Ltd. ADR | 3.3 | % | ||
Top Ten Total | 59.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
80 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
PRECIOUS METALS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.7% | ||||||||
MATERIALS - 99.7% | ||||||||
Freeport-McMoRan Copper & Gold, Inc. — Class B | 381,500 | $ | 32,576,285 | |||||
Newmont Mining Co. | 266,841 | 16,760,283 | ||||||
Barrick Gold Corp. | 357,047 | 16,527,706 | ||||||
Goldcorp, Inc. | 318,290 | 13,851,981 | ||||||
Agnico-Eagle Mines Ltd. | 153,681 | 10,915,961 | ||||||
Silver Wheaton Corp.* | 400,381 | 10,670,154 | ||||||
Yamana Gold, Inc. | 789,659 | 9,002,113 | ||||||
Southern Copper Co. | 236,017 | 8,288,917 | ||||||
Kinross Gold Corp. | 415,002 | 7,797,888 | ||||||
Randgold Resources Ltd. ADR | 74,099 | 7,518,084 | ||||||
Gold Fields Ltd. ADR | 464,546 | 7,093,617 | ||||||
Eldorado Gold Corp. | 378,600 | 7,000,314 | ||||||
AngloGold Ashanti Ltd. ADR | 150,260 | 6,948,022 | ||||||
Hecla Mining Co.* | 1,057,627 | 6,684,203 | ||||||
Coeur d’Alene Mines Corp.* | 335,141 | 6,676,009 | ||||||
Titanium Metals Corp.* | 317,447 | 6,336,242 | ||||||
Stillwater Mining Co.* | 352,931 | 5,943,358 | ||||||
IAMGOLD Corp. | 329,506 | 5,835,551 | ||||||
Cia de Minas Buenaventura S.A. ADR | 128,779 | 5,818,235 | ||||||
Harmony Gold Mining Company Ltd. ADR | 413,549 | 4,668,968 | ||||||
Pan American Silver Corp. | 155,870 | 4,612,193 | ||||||
Newcrest Mining, Ltd. ADR | 116,130 | 4,471,005 | ||||||
Royal Gold, Inc. | 79,438 | 3,959,190 | ||||||
Silver Standard Resources, Inc.* | 127,916 | 2,555,762 | ||||||
Gammon Gold, Inc.* | 331,163 | 2,321,453 | ||||||
Silvercorp Metals, Inc. | 279,280 | 2,312,438 | ||||||
Novagold Resources, Inc.* | 263,165 | 2,300,062 | ||||||
New Gold, Inc.* | 275,500 | 1,854,115 | ||||||
Allied Nevada Gold Corp.* | 59,808 | 1,584,912 | ||||||
Seabridge Gold, Inc.* | 50,519 | 1,448,885 | ||||||
Jaguar Mining, Inc.* | 178,856 | 1,162,564 | ||||||
Total Materials | 225,496,470 | |||||||
Total Common Stocks (Cost $104,302,528) | 225,496,470 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 - 0.4% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $901,519 | $ | 901,519 | |||||
Total Repurchase Agreement (Cost $901,519) | 901,519 | |||||||
Total Investments - 100.1% (Cost $105,204,047) | $ | 226,397,989 | ||||||
Liabilities, Less Cash & Other Assets – (0.1)% | (176,051 | ) | ||||||
Total Net Assets – 100.0% | $ | 226,221,938 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 81 |
2
PRECIOUS METALS FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 225,496,470 | ||
Repurchase agreement, at value | 901,519 | |||
Total investments | 226,397,989 | |||
Cash | 38,879 | |||
Receivables: | ||||
Fund shares sold | 38,469,409 | |||
Dividends | 38,086 | |||
Total assets | 264,944,363 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 35,328,727 | |||
Fund shares redeemed | 3,066,202 | |||
Management fees | 115,140 | |||
Custodian fees | 5,166 | |||
Transfer agent/maintenance fees | 38,380 | |||
Distribution and service fees | 37,248 | |||
Portfolio accounting fees | 15,352 | |||
Other | 116,210 | |||
Total liabilities | 38,722,425 | |||
Net assets | $ | 226,221,938 | ||
Net assets consist of: | ||||
Paid in capital | 167,030,807 | |||
Accumulated net investment loss | (711,340 | ) | ||
Accumulated net realized loss on sale of investments | (61,291,471 | ) | ||
Net unrealized appreciation in value of investments | 121,193,942 | |||
Net assets | 226,221,938 | |||
Investor Class: | ||||
Net assets | $ | 161,154,151 | ||
Capital shares outstanding | 2,146,137 | |||
Net asset value per share | $75.09 | |||
Advisor Class: | ||||
Net assets | $ | 15,167,035 | ||
Capital shares outstanding | 209,063 | |||
Net asset value per share | $72.55 | |||
A-Class: | ||||
Net assets | $ | 16,358,749 | ||
Capital shares outstanding | 222,124 | |||
Net asset value per share | $73.65 | |||
Maximum offering price per share* | $77.32 | |||
C-Class: | ||||
Net assets | $ | 33,542,003 | ||
Capital shares outstanding | 489,867 | |||
Net asset value per share | $68.47 | |||
Investments, at cost | $ | 104,302,528 | ||
Repurchase agreement, at cost | 901,519 | |||
Total cost | $ | 105,204,047 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $35,631) | $ | 865,910 | ||
Interest | 1,198 | |||
Total investment income | 867,108 | |||
Expenses: | ||||
Management fees | 805,234 | |||
Transfer agent and administrative fees | 268,412 | |||
Distribution and Service Fees: | ||||
Advisor Class | 52,444 | |||
A-Class | 16,114 | |||
C-Class | 139,252 | |||
Portfolio accounting fees | 106,843 | |||
Trustees’ fees** | 7,403 | |||
Miscellaneous | 182,746 | |||
Total expenses | 1,578,448 | |||
Net investment loss | (711,340 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 6,447,247 | |||
Net realized gain | 6,447,247 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 25,865,545 | |||
Net unrealized appreciation | 25,865,545 | |||
Net realized and unrealized gain | 32,312,792 | |||
Net increase in net assets resulting from operations | $ | 31,601,452 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
82 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
PRECIOUS METALS FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (711,340 | ) | $ | (2,166,985 | ) | ||
Net realized gain during the period on investments | 6,447,247 | 13,492,994 | ||||||
Net unrealized appreciation during the period on investments | 25,865,545 | 13,352,516 | ||||||
Net increase in net assets resulting from operations | 31,601,452 | 24,678,525 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gain | ||||||||
Investor Class | — | (318,313 | ) | |||||
Advisor Class | — | (23,497 | ) | |||||
A-Class | — | (13,966 | ) | |||||
C-Class | — | (35,730 | ) | |||||
Return of Capital | ||||||||
Investor Class | — | (261,414 | ) | |||||
Advisor Class | — | (19,297 | ) | |||||
A-Class | — | (11,470 | ) | |||||
C-Class | — | (29,343 | ) | |||||
Total distributions to shareholders | — | (713,030 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 415,883,298 | 915,789,879 | ||||||
Advisor Class | 188,231,708 | 322,513,759 | ||||||
A-Class | 16,188,936 | 20,994,273 | ||||||
C-Class | 78,571,991 | 154,061,224 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 567,650 | ||||||
Advisor Class | — | 42,644 | ||||||
A-Class | — | 21,122 | ||||||
C-Class | — | 62,132 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (387,364,386 | ) | (979,875,546 | ) | ||||
Advisor Class | (196,631,994 | ) | (316,640,330 | ) | ||||
A-Class | (10,423,197 | ) | (22,945,686 | ) | ||||
C-Class | (73,964,511 | ) | (156,178,689 | ) | ||||
Net increase (decrease) from capital share transactions | 30,491,845 | (61,587,568 | ) | |||||
Net increase (decrease) in net assets | 62,093,297 | (37,622,073 | ) | |||||
Net assets: | ||||||||
Beginning of period | 164,128,641 | 201,750,714 | ||||||
End of period | $ | 226,221,938 | $ | 164,128,641 | ||||
Accumulated net investment loss at end of period | $ | (711,340 | ) | $ | — | |||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 83 |
PRECIOUS METALS FUND
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 6,228,691 | 16,254,367 | ||||||
Advisor Class | 2,981,747 | 5,449,720 | ||||||
A-Class | 244,367 | 375,253 | ||||||
C-Class | 1,296,845 | 2,894,055 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 8,519 | ||||||
Advisor Class | — | 661 | ||||||
A-Class | — | 323 | ||||||
C-Class | — | 1,015 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,921,819 | ) | (17,891,314 | ) | ||||
Advisor Class | (3,085,053 | ) | (5,405,181 | ) | ||||
A-Class | (161,161 | ) | (422,541 | ) | ||||
C-Class | (1,222,062 | ) | (2,956,535 | ) | ||||
Total capital share activity | 361,555 | (1,691,658 | ) | |||||
84 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
PRECIOUS METALS FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $61.73 | $46.36 | $69.89 | $56.21 | $54.50 | $35.64 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.16 | ) | (.44 | ) | (.23 | ) | (.37 | ) | (.03 | ) | (.07 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 13.52 | 15.96 | (23.30 | ) | 14.05 | 1.74 | 18.93 | |||||||||||||||||
Total from investment operations | 13.36 | 15.52 | (23.53 | ) | 13.68 | 1.71 | 18.86 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | (.08 | ) | — | — | — | — | |||||||||||||||||
Return of capital | — | (.07 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.15 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $75.09 | $61.73 | $46.36 | $69.89 | $56.21 | $54.50 | ||||||||||||||||||
Total Returnc | 21.64% | 33.44% | (33.67% | ) | 24.34% | 3.14% | 52.92% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $161,154 | $113,546 | $160,759 | $149,805 | $149,876 | $213,017 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.48% | ) | (0.76% | ) | (0.48% | ) | (0.58% | ) | (0.05% | ) | (0.16% | ) | ||||||||||||
Total expenses | 1.28% | 1.28% | 1.28% | 1.27% | 1.26% | 1.24% | ||||||||||||||||||
Portfolio turnover rate | 178% | 383% | 245% | 203% | 259% | 277% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $59.79 | $45.12 | $68.36 | $55.24 | $53.83 | $35.37 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.29 | ) | (.79 | ) | (.50 | ) | (.69 | ) | (.27 | ) | (.28 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 13.05 | 15.61 | (22.74 | ) | 13.81 | 1.68 | 18.74 | |||||||||||||||||
Total from investment operations | 12.76 | 14.82 | (23.24 | ) | 13.12 | 1.41 | 18.46 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | (.08 | ) | — | — | — | — | |||||||||||||||||
Return of capital | — | (.07 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.15 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $72.55 | $59.79 | $45.12 | $68.36 | $55.24 | $53.83 | ||||||||||||||||||
Total Returnc | 21.34% | 32.81% | (34.00% | ) | 23.75% | 2.62% | 52.19% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $15,167 | $18,677 | $12,056 | $11,817 | $8,387 | $14,087 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.90% | ) | (1.35% | ) | (1.02% | ) | (1.09% | ) | (0.51% | ) | (0.70% | ) | ||||||||||||
Total expenses | 1.78% | 1.77% | 1.77% | 1.77% | 1.76% | 1.75% | ||||||||||||||||||
Portfolio turnover rate | 178% | 383% | 245% | 203% | 259% | 277% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 85 |
PRECIOUS METALS 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $60.63 | $45.64 | $68.96 | $55.59 | $54.03 | $35.41 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.23 | ) | (.59 | ) | (.36 | ) | (.55 | ) | (.15 | ) | (.19 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 13.25 | 15.73 | (22.96 | ) | 13.92 | 1.71 | 18.81 | |||||||||||||||||
Total from investment operations | 13.02 | 15.14 | (23.32 | ) | 13.37 | 1.56 | 18.62 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | (.08 | ) | — | — | — | — | |||||||||||||||||
Return of capital | — | (.07 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.15 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $73.65 | $60.63 | $45.64 | $68.96 | $55.59 | $54.03 | ||||||||||||||||||
Total Returnc | 21.47% | 33.14% | (33.82% | ) | 24.05% | 2.89% | 52.58% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $16,359 | $8,422 | $8,484 | $10,911 | $4,778 | $5,701 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.71% | ) | (1.04% | ) | (0.71% | ) | (0.84% | ) | (0.28% | ) | (0.43% | ) | ||||||||||||
Total expenses | 1.52% | 1.52% | 1.53% | 1.52% | 1.51% | 1.52% | ||||||||||||||||||
Portfolio turnover rate | 178% | 383% | 245% | 203% | 259% | 277% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $56.58 | $42.92 | $65.38 | $53.12 | $52.02 | $34.37 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.44 | ) | (.97 | ) | (.68 | ) | (.97 | ) | (.51 | ) | (.46 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | 12.33 | 14.78 | (21.78 | ) | 13.23 | 1.61 | 18.11 | |||||||||||||||||
Total from investment operations | 11.89 | 13.81 | (22.46 | ) | 12.26 | 1.10 | 17.65 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | (.08 | ) | — | — | — | — | |||||||||||||||||
Return of capital | — | (.07 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.15 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $68.47 | $56.58 | $42.92 | $65.38 | $53.12 | $52.02 | ||||||||||||||||||
Total Returnc | 21.04% | 32.14% | (34.35% | ) | 23.08% | 2.11% | 51.35% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $33,542 | $23,483 | $20,452 | $26,319 | $23,486 | $24,266 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.45% | ) | (1.81% | ) | (1.43% | ) | (1.60% | ) | (1.00% | ) | (1.20% | ) | ||||||||||||
Total expenses | 2.27% | 2.28% | 2.27% | 2.27% | 2.26% | 2.25% | ||||||||||||||||||
Portfolio turnover rate | 178% | 383% | 245% | 203% | 259% | 277% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
86 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666616.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 21, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | May 9, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Wal-Mart Stores, Inc. | 7.0 | % | ||
Amazon.com, Inc. | 4.6 | % | ||
Home Depot, Inc. | 3.5 | % | ||
CVS Caremark Corp. | 3.2 | % | ||
Target Corp. | 3.0 | % | ||
Walgreen Co. | 3.0 | % | ||
Lowe’s Companies, Inc. | 2.8 | % | ||
Costco Wholesale Corp. | 2.7 | % | ||
Priceline.com, Inc. | 2.7 | % | ||
Best Buy Company, Inc. | 2.0 | % | ||
Top Ten Total | 34.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 87 |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
RETAILING FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.4% | ||||||||
CONSUMER DISCRETIONARY - 81.3% | ||||||||
Amazon.com, Inc.* | 2,981 | $ | 468,196 | |||||
Home Depot, Inc. | 11,490 | 364,003 | ||||||
Target Corp. | 5,826 | 311,341 | ||||||
Lowe’s Companies, Inc. | 12,671 | 282,437 | ||||||
Priceline.com, Inc.* | 782 | 272,402 | ||||||
Best Buy Company, Inc. | 5,295 | 216,195 | ||||||
TJX Companies, Inc. | 4,727 | 210,965 | ||||||
Kohl’s Corp.* | 3,829 | 201,711 | ||||||
Staples, Inc. | 9,223 | 192,945 | ||||||
Bed Bath & Beyond, Inc.* | 4,127 | 179,154 | ||||||
AutoZone, Inc.* | 780 | 178,551 | ||||||
Expedia, Inc. | 5,926 | 167,172 | ||||||
The Gap, Inc. | 8,827 | 164,535 | ||||||
NetFlix, Inc.* | 1,014 | 164,430 | ||||||
Macy’s, Inc. | 6,990 | 161,399 | ||||||
Dollar General Corp.* | 5,363 | 156,868 | ||||||
Limited Brands, Inc. | 5,727 | 153,369 | ||||||
CarMax, Inc.* | 5,262 | 146,599 | ||||||
Liberty Media Corp.— Interactive* | 10,369 | 142,159 | ||||||
Nordstrom, Inc. | 3,778 | 140,542 | ||||||
Sears Holdings Corp.* | 1,948 | 140,529 | ||||||
O’Reilly Automotive, Inc.* | 2,616 | 139,171 | ||||||
Genuine Parts Co. | 3,079 | 137,293 | ||||||
Dollar Tree, Inc.* | 2,731 | 133,164 | ||||||
JC Penney Company, Inc. | 4,763 | 129,458 | ||||||
Family Dollar Stores, Inc. | 2,900 | 128,064 | ||||||
Tiffany & Co. | 2,711 | 127,390 | ||||||
Ross Stores, Inc. | 2,295 | 125,353 | ||||||
Advance Auto Parts, Inc. | 2,049 | 120,235 | ||||||
Urban Outfitters, Inc.* | 3,413 | 107,305 | ||||||
Guess?, Inc. | 2,611 | 106,085 | ||||||
PetSmart, Inc. | 3,028 | 105,980 | ||||||
AutoNation, Inc.* | 4,513 | 104,927 | ||||||
Williams-Sonoma, Inc. | 3,246 | 102,898 | ||||||
Abercrombie & Fitch Co. — Class A | 2,501 | 98,339 | ||||||
Tractor Supply Co. | 2,362 | 93,677 | ||||||
American Eagle Outfitters, Inc. | 6,246 | 93,440 | ||||||
Dick’s Sporting Goods, Inc.* | 3,213 | 90,093 | ||||||
LKQ Corp.* | 4,215 | 87,672 | ||||||
GameStop Corp. — Class A* | 4,446 | 87,631 | ||||||
Signet Jewelers Ltd.* | 2,631 | 83,508 | ||||||
RadioShack Corp. | 3,777 | 80,563 | ||||||
Big Lots, Inc.* | 2,412 | 80,199 | ||||||
Foot Locker, Inc. | 5,228 | 75,963 | ||||||
HSN, Inc.* | 2,334 | 69,787 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 2,381 | 69,525 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Chico’s FAS, Inc. | 6,326 | $ | 66,550 | |||||
Dress Barn, Inc.* | 2,765 | 65,669 | ||||||
Aeropostale, Inc.* | 2,817 | 65,495 | ||||||
J Crew Group, Inc.* | 1,913 | 64,315 | ||||||
Cabela’s, Inc.* | 3,179 | 60,337 | ||||||
Men’s Wearhouse, Inc. | 2,529 | 60,165 | ||||||
Rent-A-Center, Inc. — Class A | 2,667 | 59,687 | ||||||
DSW, Inc. — Class A* | 2,079 | 59,667 | ||||||
Dillard’s, Inc. — Class A | 2,495 | 58,982 | ||||||
Childrens Place Retail Stores, Inc.* | 1,201 | 58,573 | ||||||
Aaron’s, Inc. | 3,165 | 58,394 | ||||||
Penske Automotive Group, Inc.* | 4,332 | 57,182 | ||||||
Saks, Inc.* | 6,590 | 56,674 | ||||||
Jo-Ann Stores, Inc.* | 1,264 | 56,311 | ||||||
Jos A. Bank Clothiers, Inc.* | 1,318 | 56,160 | ||||||
AnnTaylor Stores Corp.* | 2,683 | 54,304 | ||||||
Gymboree Corp.* | 1,284 | 53,337 | ||||||
Office Depot, Inc.* | 11,522 | 53,001 | ||||||
Buckle, Inc. | 1,830 | 48,568 | ||||||
hhgregg, Inc.* | 1,929 | 47,762 | ||||||
Barnes & Noble, Inc. | 2,899 | 46,993 | ||||||
OfficeMax, Inc.* | 3,578 | 46,836 | ||||||
Collective Brands, Inc.* | 2,897 | 46,758 | ||||||
Total Consumer Discretionary | 8,294,942 | |||||||
CONSUMER STAPLES - 18.1% | ||||||||
Wal-Mart Stores, Inc. | 13,352 | 714,599 | ||||||
CVS Caremark Corp. | 10,323 | 324,865 | ||||||
Walgreen Co. | 9,122 | 305,587 | ||||||
Costco Wholesale Corp. | 4,312 | 278,081 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | 2,147 | 148,186 | ||||||
BJ’s Wholesale Club, Inc.* | 1,814 | 75,281 | ||||||
Total Consumer Staples | 1,846,599 | |||||||
Total Common Stocks (Cost $8,344,618) | 10,141,541 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.5% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $54,157 | 54,157 | ||||||
Total Repurchase Agreement (Cost $54,157) | 54,157 | |||||||
Total Investments - 99.9% (Cost $8,398,775) | $ | 10,195,698 | ||||||
Cash & Other Assets, Less Liabilities – 0.1% | 10,597 | |||||||
Total Net Assets – 100.0% | $ | 10,206,295 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt |
88 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
RETAILING FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 10,141,541 | ||
Repurchase agreement, at value | 54,157 | |||
Total Investments | 10,195,698 | |||
Receivables: | ||||
Fund shares sold | 6,248,632 | |||
Dividends | 1,664 | |||
Total assets | 16,445,994 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 6,096,133 | |||
Fund shares redeemed | 131,500 | |||
Management fees | 2,704 | |||
Custodian fees | 115 | |||
Transfer agent/maintenance fees | 795 | |||
Distribution and service fees | 1,350 | |||
Portfolio accounting fees | 318 | |||
Other | 6,784 | |||
Total liabilities | 6,239,699 | |||
Net assets | $ | 10,206,295 | ||
Net assets consist of: | ||||
Paid in capital | 14,828,264 | |||
Undistributed net investment income | 17,721 | |||
Accumulated net realized loss on sale of investments | (6,436,613 | ) | ||
Net unrealized appreciation in value of investments | 1,796,923 | |||
Net assets | 10,206,295 | |||
Investor Class: | ||||
Net assets | $ | 7,900,856 | ||
Capital shares outstanding | 621,622 | |||
Net asset value per share | $12.71 | |||
Advisor Class: | ||||
Net assets | $ | 864,113 | ||
Capital shares outstanding | 71,523 | |||
Net asset value per share | $12.08 | |||
A-Class: | ||||
Net assets | $ | 107,996 | ||
Capital shares outstanding | 8,799 | |||
Net asset value per share | $12.27 | |||
Maximum offering price per share* | $12.88 | |||
C-Class: | ||||
Net assets | $ | 1,333,330 | ||
Capital shares outstanding | 115,186 | |||
Net asset value per share | $11.58 | |||
Investments, at cost | $ | 8,344,618 | ||
Repurchase agreement, at cost | 54,157 | |||
Total cost | $ | 8,398,775 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 55,965 | ||
Interest | 63 | |||
Total investment income | 56,028 | |||
Expenses: | ||||
Management fees | 45,491 | |||
Transfer agent and administrative fees | 13,380 | |||
Distribution and Service Fees: | ||||
Advisor Class | 3,352 | |||
A-Class | 851 | |||
C-Class | 10,017 | |||
Portfolio accounting fees | 5,352 | |||
Trustees’ fees** | 601 | |||
Registration fees | 4,730 | |||
Miscellaneous | 4,610 | |||
Total expenses | 88,384 | |||
Net investment loss | (32,356 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (95,296 | ) | ||
Net realized loss | (95,296 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,192,255 | ) | ||
Net unrealized depreciation | (1,192,255 | ) | ||
Net loss | (1,287,551 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,319,907 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 89 |
3
RETAILING FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | (32,356 | ) | $ | 50,077 | |||
Net realized gain (loss) during the period on investments | (95,296 | ) | 13,906,162 | |||||
Net unrealized depreciation during the period on investments | (1,192,255 | ) | (2,188,787 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,319,907 | ) | 11,767,452 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 55,257,435 | 231,519,396 | ||||||
Advisor Class | 14,162,897 | 23,430,046 | ||||||
A-Class | 2,454,750 | 824,746 | ||||||
C-Class | 41,172,944 | 59,631,158 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (58,623,955 | ) | (314,999,705 | ) | ||||
Advisor Class | (15,515,772 | ) | (22,343,021 | ) | ||||
A-Class | (2,672,668 | ) | (543,161 | ) | ||||
C-Class | (41,224,057 | ) | (59,624,643 | |||||
Net decrease from capital share transactions | (4,988,426 | ) | (82,105,184 | ) | ||||
Net decrease in net assets | (6,308,333 | ) | (70,337,732 | ) | ||||
Net assets: | ||||||||
Beginning of period | 16,514,628 | 86,852,360 | ||||||
End of period | $ | 10,206,295 | $ | 16,514,628 | ||||
Undistributed net investment income at end of period | $ | 17,721 | $ | 50,077 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 4,469,883 | 22,245,116 | ||||||
Advisor Class | 1,230,782 | 2,256,831 | ||||||
A-Class | 214,777 | 83,532 | ||||||
C-Class | 3,702,023 | 5,943,831 | ||||||
Shares redeemed | ||||||||
Investor Class | (4,794,259 | ) | (31,199,256 | ) | ||||
Advisor Class | (1,352,866 | ) | (2,173,081 | ) | ||||
A-Class | (238,038 | ) | (57,371 | ) | ||||
C-Class | (3,733,544 | ) | (5,924,368 | ) | ||||
Total capital share activity | (501,242 | ) | (8,824,766 | ) | ||||
90 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
RETAILING FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.75 | $8.58 | $11.54 | $14.47 | $13.48 | $12.30 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | .03 | (.01 | ) | (.04 | ) | (.06 | ) | (.08 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.01 | ) | 4.14 | (2.95 | ) | (2.89 | ) | 1.05 | 1.26 | |||||||||||||||
Total from investment operations | (.04 | ) | 4.17 | (2.96 | ) | (2.93 | ) | .99 | 1.18 | |||||||||||||||
Net asset value, end of period | $12.71 | $12.75 | $8.58 | $11.54 | $14.47 | $13.48 | ||||||||||||||||||
Total Returnc | (0.31% | ) | 48.60% | (25.65% | ) | (20.25% | ) | 7.34% | 9.59% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $7,901 | $12,060 | $84,894 | $3,152 | $4,033 | $7,608 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.41% | ) | 0.28% | (0.14% | ) | (0.27% | ) | (0.45% | ) | (0.60% | ) | |||||||||||||
Total expenses | 1.39% | 1.38% | 1.32% | 1.37% | 1.36% | 1.33% | ||||||||||||||||||
Portfolio turnover rate | 599% | 1,049% | 461% | 1,205% | 952% | 1,163% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.14 | $8.20 | $11.10 | $13.97 | $13.07 | $11.99 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.05 | ) | (.06 | ) | (.02 | ) | (.12 | ) | (.10 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.01 | ) | 4.00 | (2.88 | ) | (2.75 | ) | 1.00 | 1.23 | |||||||||||||||
Total from investment operations | (.06 | ) | 3.94 | (2.90 | ) | (2.87 | ) | .90 | 1.08 | |||||||||||||||
Net asset value, end of period | $12.08 | $12.14 | $8.20 | $11.10 | $13.97 | $13.07 | ||||||||||||||||||
Total Returnc | (0.49% | ) | 48.05% | (26.13% | ) | (20.54% | ) | 6.89% | 9.01% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $864 | $2,350 | $901 | $800 | $2,791 | $3,385 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.82% | ) | (0.57% | ) | (0.26% | ) | (0.89% | ) | (0.73% | ) | (1.18% | ) | ||||||||||||
Total expenses | 1.88% | 1.87% | 1.88% | 1.87% | 1.86% | 1.82% | ||||||||||||||||||
Portfolio turnover rate | 599% | 1,049% | 461% | 1,205% | 952% | 1,163% |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 91 |
RETAILING 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.31 | $8.30 | $11.18 | $14.04 | $13.10 | $12.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.02 | ) | (.01 | ) | (.02 | ) | (.10 | ) | (.07 | ) | (.11 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.02 | ) | 4.02 | (2.86 | ) | (2.76 | ) | 1.01 | 1.20 | |||||||||||||||
Total from investment operations | (.04 | ) | 4.01 | (2.88 | ) | (2.86 | ) | .94 | 1.09 | |||||||||||||||
Net asset value, end of period | $12.27 | $12.31 | $ 8.30 | $11.18 | $14.04 | $13.10 | ||||||||||||||||||
Total Returnc | (0.32% | ) | 48.31% | (25.76% | ) | (20.37% | ) | 7.18% | 9.08% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $108 | $395 | $49 | $101 | $385 | $46 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.40% | ) | (0.12% | ) | (0.17% | ) | (0.73% | ) | (0.54% | ) | (0.87% | ) | ||||||||||||
Total expenses | 1.63% | 1.62% | 1.63% | 1.63% | 1.57% | 1.59% | ||||||||||||||||||
Portfolio turnover rate | 599% | 1,049% | 461% | 1,205% | 952% | 1,163% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.65 | $7.92 | $10.76 | $13.62 | $12.80 | $11.80 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.07 | ) | (.10 | ) | (.07 | ) | (.17 | ) | (.15 | ) | (.20 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .00 | 3.83 | (2.77 | ) | (2.69 | ) | .97 | 1.20 | ||||||||||||||||
Total from investment operations | (.07 | ) | 3.73 | (2.84 | ) | (2.86 | ) | .82 | 1.00 | |||||||||||||||
Net asset value, end of period | $11.58 | $11.65 | $7.92 | $10.76 | $13.62 | $12.80 | ||||||||||||||||||
Total Returnc | (0.60% | ) | 47.10% | (26.39% | ) | (21.00% | ) | 6.41% | 8.47% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,333 | $1,709 | $1,008 | $1,291 | $2,650 | $1,586 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.16% | ) | (1.08% | ) | (0.76% | ) | (1.36% | ) | (1.17% | ) | (1.65% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.37% | 2.34% | 2.34% | ||||||||||||||||||
Portfolio turnover rate | 599% | 1,049% | 461% | 1,205% | 952% | 1,163% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
92 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
FUND PROFILE (Unaudited)
September 30, 2010
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies.
Inception: April 14, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666617.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 14, 1998 | |||
Advisor Class | April 29, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | April 18, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Apple, Inc. | 4.0 | % | ||
Microsoft Corp. | 3.3 | % | ||
Google, Inc. — Class A | 3.3 | % | ||
International Business Machines Corp. | 3.2 | % | ||
Oracle Corp. | 3.1 | % | ||
Cisco Systems, Inc. | 2.7 | % | ||
Intel Corp. | 2.3 | % | ||
QUALCOMM, Inc. | 2.3 | % | ||
Hewlett-Packard Co. | 2.2 | % | ||
Baidu, Inc. ADR | 1.9 | % | ||
Top Ten Total | 28.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
TECHNOLOGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.6% | ||||||||
INFORMATION TECHNOLOGY - 99.6% | ||||||||
Apple, Inc.* | 3,524 | $ | 999,935 | |||||
Microsoft Corp. | 35,406 | 867,092 | ||||||
Google, Inc. — Class A* | 1,550 | 814,974 | ||||||
International Business Machines Corp. | 6,068 | 813,962 | ||||||
Oracle Corp. | 28,743 | 771,750 | ||||||
Cisco Systems, Inc.* | 30,598 | 670,096 | ||||||
Intel Corp. | 31,234 | 600,629 | ||||||
QUALCOMM, Inc. | 13,055 | 589,042 | ||||||
Hewlett-Packard Co. | 13,492 | 567,608 | ||||||
Baidu, Inc. ADR* | 4,340 | 445,371 | ||||||
Visa, Inc. — Class A | 5,928 | 440,214 | ||||||
EMC Corp.* | 19,963 | 405,449 | ||||||
Infosys Technologies Ltd. ADR | 5,872 | 395,244 | ||||||
VMware, Inc. — Class A* | 4,571 | 388,261 | ||||||
eBay, Inc.* | 14,962 | 365,073 | ||||||
Texas Instruments, Inc. | 13,426 | 364,382 | ||||||
Mastercard, Inc. — Class A | 1,510 | 338,240 | ||||||
Corning, Inc. | 17,920 | 327,577 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 4,605 | 296,884 | ||||||
Motorola, Inc.* | 34,756 | 296,469 | ||||||
Dell, Inc.* | 22,657 | 293,635 | ||||||
Research In Motion Ltd.* | 5,791 | 281,964 | ||||||
Automatic Data Processing, Inc. | 6,690 | 281,181 | ||||||
Nokia Oyj ADR | 27,732 | 278,152 | ||||||
NetApp, Inc.* | 5,530 | 275,339 | ||||||
Juniper Networks, Inc.* | 8,840 | 268,294 | ||||||
Citrix Systems, Inc.* | 3,892 | 265,590 | ||||||
Yahoo!, Inc.* | 18,255 | 258,673 | ||||||
Broadcom Corp. — Class A | 7,290 | 257,993 | ||||||
Salesforce.com, Inc.* | 2,209 | 246,966 | ||||||
Intuit, Inc.* | 5,596 | 245,161 | ||||||
Xerox Corp. | 23,448 | 242,687 | ||||||
Netease.com ADR* | 5,920 | 233,485 | ||||||
Applied Materials, Inc. | 19,448 | 227,153 | ||||||
Tyco Electronics Ltd. | 7,740 | 226,162 | ||||||
Western Union Co. | 12,477 | 220,469 | ||||||
Activision Blizzard, Inc. | 20,148 | 218,001 | ||||||
Symantec Corp.* | 14,182 | 215,141 | ||||||
Alcatel-Lucent ADR | 63,300 | 213,954 | ||||||
Agilent Technologies, Inc.* | 6,378 | 212,834 | ||||||
F5 Networks, Inc.* | 2,045 | 212,291 | ||||||
SAP AG ADR | 4,218 | 207,990 | ||||||
CA, Inc. | 9,845 | 207,926 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 20,300 | 205,842 | ||||||
McAfee, Inc.* | 4,261 | 201,375 | ||||||
Adobe Systems, Inc.* | 7,671 | 200,597 | ||||||
Altera Corp. | 6,634 | 200,081 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Marvell Technology Group Ltd.* | 11,340 | $ | 198,563 | |||||
AU Optronics Corp. ADR | 18,621 | 194,776 | ||||||
Fidelity National Information Services, Inc. | 7,140 | 193,708 | ||||||
Red Hat, Inc.* | 4,713 | 193,233 | ||||||
Amphenol Corp. — Class A | 3,919 | 191,953 | ||||||
Paychex, Inc. | 6,929 | 190,478 | ||||||
Analog Devices, Inc. | 6,060 | 190,163 | ||||||
Akamai Technologies, Inc.* | 3,753 | 188,326 | ||||||
Perfect World Company Ltd. ADR* | 7,300 | 187,318 | ||||||
Fiserv, Inc.* | 3,431 | 184,656 | ||||||
Check Point Software Technologies Ltd.* | 4,983 | 184,022 | ||||||
ASML Holding N.V. — Class G | 6,084 | 180,877 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 16,323 | 179,063 | ||||||
LG Display Company Ltd. ADR | 10,240 | 178,586 | ||||||
Autodesk, Inc.* | 5,516 | 176,347 | ||||||
BMC Software, Inc.* | 4,264 | 172,607 | ||||||
Xilinx, Inc. | 6,226 | 165,674 | ||||||
Teradata Corp.* | 4,292 | 165,500 | ||||||
Linear Technology Corp. | 5,338 | 164,037 | ||||||
KLA-Tencor Corp. | 4,591 | 161,741 | ||||||
Rovi Corp.* | 3,170 | 159,800 | ||||||
Computer Sciences Corp. | 3,357 | 154,422 | ||||||
VeriSign, Inc.* | 4,826 | 153,177 | ||||||
SanDisk Corp.* | 4,171 | 152,867 | ||||||
Microchip Technology, Inc. | 4,852 | 152,595 | ||||||
NVIDIA Corp.* | 13,057 | 152,506 | ||||||
Amdocs Ltd.* | 5,271 | 151,067 | ||||||
Maxim Integrated Products, Inc. | 7,843 | 145,174 | ||||||
Electronic Arts, Inc.* | 8,707 | 143,056 | ||||||
Dolby Laboratories, Inc. — Class A* | 2,509 | 142,536 | ||||||
SAIC, Inc.* | 8,878 | 141,870 | ||||||
Western Digital Corp.* | 4,960 | 140,814 | ||||||
Harris Corp. | 3,178 | 140,754 | ||||||
Micron Technology, Inc.* | 19,443 | 140,184 | ||||||
Lam Research Corp.* | 3,347 | 140,072 | ||||||
Avago Technologies Ltd.* | 6,155 | 138,549 | ||||||
Equinix, Inc.* | 1,348 | 137,968 | ||||||
Cree, Inc.* | 2,434 | 132,142 | ||||||
Flextronics International Ltd.* | 21,544 | 130,126 | ||||||
Seagate Technology plc* | 10,866 | 128,001 | ||||||
Synopsys, Inc.* | 4,990 | 123,602 | ||||||
Nuance Communications, Inc.* | 7,896 | 123,493 | ||||||
Avnet, Inc.* | 4,512 | 121,869 | ||||||
Advanced Micro Devices, Inc.* | 16,895 | 120,123 | ||||||
FLIR Systems, Inc.* | 4,490 | 115,393 | ||||||
Global Payments, Inc. | 2,689 | 115,331 | ||||||
Molex, Inc. | 5,430 | 113,650 | ||||||
Arrow Electronics, Inc.* | 4,200 | 112,266 | ||||||
Alliance Data Systems Corp.* | 1,690 | 110,289 | ||||||
ON Semiconductor Corp.* | 14,988 | 108,063 |
94 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
TECHNOLOGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Lender Processing Services, Inc. | 3,205 | $ | 106,502 | |||||
National Semiconductor Corp. | 7,806 | 99,683 | ||||||
LSI Corp.* | 21,585 | 98,428 | ||||||
Total Information Technology | 25,145,188 | |||||||
Total Common Stocks | ||||||||
(Cost $17,539,199) | 25,145,188 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.6% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $144,937 | $ | 144,937 | |||||
Total Repurchase Agreement | ||||||||
(Cost $144,937) | 144,937 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $17,684,136) | $ | 25,290,125 | ||||||
Liabilities, Less Cash & Other Assets – (0.2)% | (45,378 | ) | ||||||
Total Net Assets – 100.0% | $ | 25,244,747 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depository Receipt | |
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 95 |
TECHNOLOGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 25,145,188 | ||
Repurchase agreement, at value | 144,937 | |||
Total investments | 25,290,125 | |||
Receivables: | ||||
Fund shares sold | 6,068,614 | |||
Dividends | 9,838 | |||
Total assets | 31,368,577 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,574,911 | |||
Fund shares redeemed | 1,497,379 | |||
Management fees | 17,251 | |||
Custodian fees | 690 | |||
Transfer agent/maintenance fees | 5,074 | |||
Distribution and service fees | 5,533 | |||
Portfolio accounting fees | 2,029 | |||
Other | 20,963 | |||
Total liabilities | 6,123,830 | |||
Net assets | $ | 25,244,747 | ||
Net assets consist of: | ||||
Paid in capital | 56,404,620 | |||
Accumulated net investment loss | (141,034 | ) | ||
Accumulated net realized loss on sale of investments | (38,624,828 | ) | ||
Net unrealized appreciation in value of investments | 7,605,989 | |||
Net assets | 25,244,747 | |||
Investor Class: | ||||
Net assets | $ | 18,574,180 | ||
Capital shares outstanding | 1,547,592 | |||
Net asset value per share | $12.00 | |||
Advisor Class: | ||||
Net assets | $ | 2,026,860 | ||
Capital shares outstanding | 178,795 | |||
Net asset value per share | $11.34 | |||
A-Class: | ||||
Net assets | $ | 2,069,355 | ||
Capital shares outstanding | 180,811 | |||
Net asset value per share | $11.44 | |||
Maximum offering price per share* | $12.01 | |||
C-Class: | ||||
Net assets | $ | 2,574,352 | ||
Capital shares outstanding | 234,347 | |||
Net asset value per share | $10.99 | |||
Investments, at cost | $ | 17,539,199 | ||
Repurchase agreement, at cost | 144,937 | |||
Total cost | $ | 17,684,136 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,637) | $ | 203,677 | ||
Interest | 231 | |||
Total investment income | 203,908 | |||
Expenses: | ||||
Management fees | 179,389 | |||
Transfer agent and administrative fees | 52,761 | |||
Distribution and Service Fees: | ||||
Advisor Class | 34,810 | |||
A-Class | 2,660 | |||
C-Class | 16,215 | |||
Portfolio accounting fees | 21,104 | |||
Trustees’ fees** | 2,087 | |||
Miscellaneous | 35,916 | |||
Total expenses | 344,942 | |||
Net investment loss | (141,034 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 6,408,880 | |||
Net realized gain | 6,408,880 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (8,263,529 | ) | ||
Net unrealized depreciation | (8,263,529 | ) | ||
Net loss | (1,854,649 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,995,683 | ) | |
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
96 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TECHNOLOGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (141,034 | ) | $ | (339,603 | ) | ||
Net realized gain during the period on investments | 6,408,880 | 1,770,571 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (8,263,529 | ) | 13,057,669 | |||||
Net increase (decrease) in net assets resulting from operations | (1,995,683 | ) | 14,488,637 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 42,464,802 | 140,714,130 | ||||||
Advisor Class | 13,003,391 | 42,864,952 | ||||||
A-Class | 2,155,239 | 12,309,707 | ||||||
C-Class | 53,076,236 | 62,125,549 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (60,172,801 | ) | (124,009,356 | ) | ||||
Advisor Class | (28,254,819 | ) | (30,029,626 | ) | ||||
A-Class | (3,924,529 | ) | (11,211,951 | ) | ||||
C-Class | (54,122,892 | ) | (60,755,874 | ) | ||||
Net increase (decrease) from capital share transactions | (35,775,373 | ) | 32,007,531 | |||||
Net increase (decrease) in net assets | (37,771,056 | ) | 46,496,168 | |||||
Net assets: | ||||||||
Beginning of period | 63,015,803 | 16,519,635 | ||||||
End of period | $ | 25,244,747 | $ | 63,015,803 | ||||
Accumulated net investment loss at end of period | $ | (141,034 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 3,653,537 | 13,517,205 | ||||||
Advisor Class | 1,200,508 | 4,325,684 | ||||||
A-Class | 187,633 | 1,248,922 | ||||||
C-Class | 4,999,719 | 6,099,863 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,212,896 | ) | (11,917,824 | ) | ||||
Advisor Class | (2,598,832 | ) | (3,009,928 | ) | ||||
A-Class | (349,408 | ) | (1,132,707 | ) | ||||
C-Class | (5,101,940 | ) | (5,950,283 | ) | ||||
Total capital share activity | (3,221,679 | ) | 3,180,932 | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 97 |
TECHNOLOGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.03 | $7.70 | $11.77 | $12.53 | $12.35 | $10.35 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.02 | ) | (.05 | ) | (.03 | ) | (.10 | ) | (.11 | ) | (.09 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.01 | ) | 4.38 | (4.04 | ) | (.66 | ) | .29 | 2.12 | |||||||||||||||
Total from investment operations | (.03 | ) | 4.33 | (4.07 | ) | (.76 | ) | .18 | 2.03 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Net asset value, end of period | $12.00 | $12.03 | $7.70 | $11.77 | $12.53 | $12.35 | ||||||||||||||||||
Total Returnc | (0.25% | ) | 56.23% | (34.58% | ) | (6.07% | ) | 1.46% | 19.65% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $18,574 | $37,391 | $11,601 | $9,916 | $14,274 | $21,182 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.42% | ) | (0.52% | ) | (0.29% | ) | (0.72% | ) | (0.91% | ) | (0.79% | ) | ||||||||||||
Total expenses | 1.38% | 1.38% | 1.37% | 1.37% | 1.36% | 1.33 | ||||||||||||||||||
Portfolio turnover rate | 151% | 335% | 564% | 694% | 684% | 666% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.39 | $7.32 | $11.27 | $12.05 | $11.94 | $10.06 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.05 | ) | (.11 | ) | (.05 | ) | (.15 | ) | (.16 | ) | (.14 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .00 | 4.18 | (3.90 | ) | (.63 | ) | .27 | 2.05 | ||||||||||||||||
Total from investment operations | (.05 | ) | 4.07 | (3.95 | ) | (.78 | ) | .11 | 1.91 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Net asset value, end of period | $11.34 | $11.39 | $7.32 | $11.27 | $12.05 | $11.94 | ||||||||||||||||||
Total Returnc | (0.44% | ) | 55.60% | (35.05% | ) | (6.47% | ) | 0.92% | 19.02% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,027 | $17,969 | $1,914 | $2,077 | $4,807 | $12,737 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.89% | ) | (1.04% | ) | (0.53% | ) | (1.16% | ) | (1.41% | ) | (1.32% | ) | ||||||||||||
Total expenses | 1.88% | 1.87% | 1.87% | 1.88% | 1.86% | 1.84% | ||||||||||||||||||
Portfolio turnover rate | 151% | 335% | 564% | 694% | 684% | 666% |
98 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TECHNOLOGY 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.49 | $7.37 | $11.32 | $12.09 | $11.95 | $10.07 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.04 | ) | (.08 | ) | (.04 | ) | (.11 | ) | (.14 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.01 | ) | 4.20 | (3.91 | ) | (.66 | ) | .28 | 2.04 | |||||||||||||||
Total from investment operations | (.05 | ) | 4.12 | (3.95 | ) | (.77 | ) | .14 | 1.91 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Net asset value, end of period | $11.44 | $11.49 | $7.37 | $11.32 | $12.09 | $11.95 | ||||||||||||||||||
Total Returnc | (0.44% | ) | 55.90% | (34.89% | ) | (6.37% | ) | 1.17% | (19.00% | ) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,069 | $3,936 | $1,669 | $546 | $278 | $633 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.66% | ) | (0.78% | ) | (0.41% | ) | (0.86% | ) | (1.18% | ) | (1.15% | ) | ||||||||||||
Total expenses | 1.63% | 1.63% | 1.63% | 1.60% | 1.61% | 1.63% | ||||||||||||||||||
Portfolio turnover rate | 151% | 335% | 564% | 694% | 684% | 666% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.05 | $7.14 | $11.04 | $11.87 | $11.81 | $10.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.08 | ) | (.14 | ) | (.12 | ) | (.21 | ) | (.22 | ) | (.21 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .02 | 4.05 | (3.78 | ) | (.62 | ) | .28 | 2.04 | ||||||||||||||||
Total from investment operations | (.06 | ) | 3.91 | (3.90 | ) | (.83 | ) | .06 | 1.83 | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Net asset value, end of period | $10.99 | $11.05 | $7.14 | $11.04 | $11.87 | $11.81 | ||||||||||||||||||
Total Returnc | (0.63% | ) | 54.76% | (35.33% | ) | (6.99% | ) | 0.51% | 18.31% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,574 | $3,719 | $1,335 | $2,448 | $1,538 | $2,800 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.44% | ) | (1.49% | ) | (1.24% | ) | (1.67% | ) | (1.91% | ) | (1.88% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.38% | 2.35% | 2.35% | 2.35% | ||||||||||||||||||
Portfolio turnover rate | 151% | 335% | 564% | 694% | 684% | 666% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 99 |
FUND PROFILE (Unaudited)
September 30, 2010
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment.
Inception: April 1, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666618.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 1, 1998 | |||
Advisor Class | April 1, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | April 18, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
AT&T, Inc. | 7.8 | % | ||
Vodafone Group plc ADR | 6.9 | % | ||
Cisco Systems, Inc. | 6.2 | % | ||
Verizon Communications, Inc. | 5.8 | % | ||
QUALCOMM, Inc. | 5.4 | % | ||
American Tower Corp. — Class A | 2.7 | % | ||
Motorola, Inc. | 2.7 | % | ||
Research In Motion Ltd. | 2.6 | % | ||
Juniper Networks, Inc. | 2.5 | % | ||
Nokia Oyj ADR | 2.4 | % | ||
Top Ten Total | 45.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
100 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
TELECOMMUNICATIONS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.2% | ||||||||
TELECOMMUNICATION SERVICES - 54.2% | ||||||||
AT&T, Inc. | 65,340 | $ | 1,868,723 | |||||
Vodafone Group plc ADR | 67,745 | 1,680,754 | ||||||
Verizon Communications, Inc. | 42,469 | 1,384,065 | ||||||
American Tower Corp. — Class A* | 12,850 | 658,691 | ||||||
Crown Castle International Corp.* | 11,738 | 518,233 | ||||||
CenturyLink, Inc. | 12,566 | 495,854 | ||||||
Qwest Communications International, Inc. | 77,002 | 482,803 | ||||||
America Movil SAB de CV ADR | 8,947 | 477,144 | ||||||
Millicom International Cellular S.A. | 4,844 | 464,782 | ||||||
NII Holdings, Inc.* | 9,033 | 371,256 | ||||||
China Mobile Ltd. ADR | 6,971 | 356,427 | ||||||
BCE, Inc. | 10,711 | 348,108 | ||||||
Windstream Corp. | 27,027 | 332,162 | ||||||
SBA Communications Corp. — Class A* | 7,895 | 318,169 | ||||||
Telefonica S.A. ADR | 4,191 | 310,763 | ||||||
Frontier Communications Corp. | 37,188 | 303,826 | ||||||
MetroPCS Communications, Inc.* | 26,655 | 278,811 | ||||||
China Unicom Hong Kong Ltd. ADR | 18,931 | 275,635 | ||||||
SK Telecom Company Ltd. ADR | 15,116 | 264,077 | ||||||
Mobile Telesystems OJSC ADR | 12,363 | 262,466 | ||||||
tw telecom inc — Class A* | 12,500 | 232,125 | ||||||
Vivo Participacoes S.A. ADR | 8,083 | 219,615 | ||||||
Rogers Communications, Inc. — Class B | 5,742 | 214,923 | ||||||
Tele Norte Leste Participacoes S.A. ADR | 14,504 | 204,216 | ||||||
Clearwire Corp. — Class A* | 23,961 | 193,844 | ||||||
Syniverse Holdings, Inc.* | 8,033 | 182,108 | ||||||
AboveNet, Inc.* | 3,117 | 162,365 | ||||||
Telmex Internacional SAB de CV ADR | 7,056 | 129,901 | ||||||
Leap Wireless International, Inc.* | 9,610 | 118,684 | ||||||
Total Telecommunication Services | 13,110,530 | |||||||
INFORMATION TECHNOLOGY - 45.0% | ||||||||
Cisco Systems, Inc.* | 67,719 | 1,483,045 | ||||||
QUALCOMM, Inc. | 28,903 | 1,304,103 | ||||||
Motorola, Inc.* | 76,916 | 656,093 | ||||||
Research In Motion Ltd.* | 12,814 | 623,914 | ||||||
Juniper Networks, Inc.* | 19,569 | 593,919 | ||||||
Nokia Oyj ADR | 57,847 | 580,205 | ||||||
F5 Networks, Inc.* | 4,530 | 470,259 | ||||||
Harris Corp. | 7,044 | 311,979 | ||||||
Riverbed Technology, Inc.* | 6,695 | 305,158 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Alcatel-Lucent ADR | 81,020 | $ | 273,848 | |||||
Telefonaktiebolaget LM Ericsson ADR | 22,785 | 249,951 | ||||||
Tellabs, Inc. | 32,096 | 239,115 | ||||||
JDS Uniphase Corp.* | 18,807 | 233,019 | ||||||
Acme Packet, Inc.* | 6,070 | 230,296 | ||||||
Brocade Communications Systems, Inc.* | 38,914 | 227,258 | ||||||
Aruba Networks, Inc.* | 10,598 | 226,161 | ||||||
ADTRAN, Inc. | 6,393 | 225,673 | ||||||
Polycom, Inc.* | 7,256 | 197,944 | ||||||
CommScope, Inc.* | 8,096 | 192,199 | ||||||
Infinera Corp.* | 16,379 | 191,143 | ||||||
Viasat, Inc.* | 4,605 | 189,312 | ||||||
ADC Telecommunications, Inc.* | 14,877 | 188,492 | ||||||
Plantronics, Inc. | 5,255 | 177,514 | ||||||
Finisar Corp.* | 9,296 | 174,672 | ||||||
Ciena Corp.* | 10,925 | 170,102 | ||||||
InterDigital, Inc.* | 5,569 | 164,898 | ||||||
Netgear, Inc.* | 5,607 | 151,445 | ||||||
Arris Group, Inc.* | 14,597 | 142,613 | ||||||
Blue Coat Systems, Inc.* | 5,811 | 139,813 | ||||||
Oclaro, Inc.* | 8,228 | 131,730 | ||||||
Emulex Corp.* | 12,237 | 127,754 | ||||||
Tekelec* | 9,496 | 123,068 | ||||||
Comtech Telecommunications Corp. | 4,142 | 113,284 | ||||||
DG FastChannel, Inc.* | 3,666 | 79,736 | ||||||
Total Information Technology | 10,889,715 | |||||||
Total Common Stocks (Cost $21,318,505) | 24,000,245 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.7% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $168,886 | 168,886 | ||||||
Total Repurchase Agreement | ||||||||
(Cost $168,886) | 168,886 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $21,487,391) | $ | 24,169,131 | ||||||
Cash & Other Assets, Less Liabilities – 0.1% | 20,745 | |||||||
Total Net Assets – 100.0% | $ | 24,189,876 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depository Receipt | |
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 101 |
TELECOMMUNICATIONS FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 24,000,245 | ||
Repurchase agreement, at value | 168,886 | |||
Total investments | 24,169,131 | |||
Cash | 20 | |||
Receivables: | ||||
Fund shares sold | 5,645,971 | |||
Dividends | 12,697 | |||
Total assets | 29,827,819 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 4,071,048 | |||
Fund shares redeemed | 1,543,481 | |||
Management fees | 10,461 | |||
Custodian fees | 407 | |||
Transfer agent/maintenance fees | 3,077 | |||
Distribution and service fees | 1,809 | |||
Portfolio accounting fees | 1,231 | |||
Other | 6,429 | |||
Total liabilities | 5,637,943 | |||
Net assets | $ | 24,189,876 | ||
Net assets consist of: | ||||
Paid in capital | 31,875,194 | |||
Undistributed net investment income | 132,484 | |||
Accumulated net realized loss on sale of investments | (10,499,542 | ) | ||
Net unrealized appreciation in value of investments | 2,681,740 | |||
Net assets | 24,189,876 | |||
Investor Class: | ||||
Net assets | $ | 19,667,891 | ||
Capital shares outstanding | 1,369,431 | |||
Net asset value per share | $14.36 | |||
Advisor Class: | ||||
Net assets | $ | 2,041,027 | ||
Capital shares outstanding | 150,998 | |||
Net asset value per share | $13.52 | |||
A-Class: | ||||
Net assets | $ | 645,667 | ||
Capital shares outstanding | 47,300 | |||
Net asset value per share | $13.65 | |||
Maximum offering price per share* | $14.33 | |||
C-Class: | ||||
Net assets | $ | 1,835,291 | ||
Capital shares outstanding | 140,650 | |||
Net asset value per share | $13.05 | |||
Investments, at cost | $ | 21,318,505 | ||
Repurchase agreement, at cost | 168,886 | |||
Total cost | $ | 21,487,391 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $3,360) | $ | 111,631 | ||
Interest | 31 | |||
Total investment income | 111,662 | |||
Expenses: | ||||
Management fees | 39,358 | |||
Transfer agent and administrative fees | 11,576 | |||
Distribution and Service Fees: | ||||
Advisor Class | 1,934 | |||
A-Class | 1,193 | |||
C-Class | 8,111 | |||
Portfolio accounting fees | 4,630 | |||
Trustees’ fees** | 289 | |||
Miscellaneous | 7,942 | |||
Total expenses | 75,033 | |||
Net investment income | 36,629 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (576,475 | ) | ||
Net realized loss | (576,475 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 639,773 | |||
Net unrealized appreciation | 639,773 | |||
Net realized and unrealized gain | 63,298 | |||
Net increase in net assets resulting from operations | $ | 99,927 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
102 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TELECOMMUNICATIONS FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 36,629 | $ | 244,261 | ||||
Net realized gain (loss) during the period on investments | (576,475 | ) | 3,628,955 | |||||
Net unrealized appreciation during the period on investments | 639,773 | 233,436 | ||||||
Net increase in net assets resulting from operations | 99,927 | 4,106,652 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (201,940 | ) | |||||
Advisor Class | — | (33,798 | ) | |||||
A-Class | — | (16,499 | ) | |||||
C-Class | — | (25,934 | ) | |||||
Total distributions to shareholders | — | (278,171 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 38,623,182 | 69,585,026 | ||||||
Advisor Class | 11,972,397 | 17,955,896 | ||||||
A-Class | 2,455,560 | 2,200,098 | ||||||
C-Class | 48,327,673 | 56,923,676 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 198,455 | ||||||
Advisor Class | — | 32,841 | ||||||
A-Class | — | 14,616 | ||||||
C-Class | — | 24,656 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (23,933,142 | ) | (70,446,599 | ) | ||||
Advisor Class | (10,311,016 | ) | (29,801,508 | ) | ||||
A-Class | (2,846,018 | ) | (2,722,245 | ) | ||||
C-Class | (47,388,527 | ) | (57,632,310 | ) | ||||
Net increase (decrease) from capital share transactions | 16,900,109 | (13,667,398 | ) | |||||
Net increase (decrease) in net assets | 17,000,036 | (9,838,917 | ) | |||||
Net assets: | ||||||||
Beginning of period | 7,189,840 | 17,028,757 | ||||||
End of period | $ | 24,189,876 | $ | 7,189,840 | ||||
Undistributed net investment income at end of period | $ | 132,484 | $ | 95,855 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 2,829,894 | 5,418,401 | ||||||
Advisor Class | 947,432 | 1,513,965 | ||||||
A-Class | 192,025 | 184,119 | ||||||
C-Class | 3,974,934 | 4,881,373 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 15,042 | ||||||
Advisor Class | — | 2,638 | ||||||
A-Class | — | 1,163 | ||||||
C-Class | — | 2,044 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,801,230 | ) | (5,524,377 | ) | ||||
Advisor Class | (818,028 | ) | (2,519,297 | ) | ||||
A-Class | (228,322 | ) | (235,714 | ) | ||||
C-Class | (3,925,574 | ) | (4,927,198 | ) | ||||
Total capital share activity | 1,171,131 | (1,187,841 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 103 |
TELECOMMUNICATIONS FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $13.73 | $10.29 | $17.04 | $19.02 | $17.74 | $14.33 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .05 | .26 | .27 | .12 | .16 | .21 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .58 | 3.52 | (6.68 | ) | (2.08 | ) | 1.23 | 3.60 | ||||||||||||||||
Total from investment operations | .63 | 3.78 | (6.41 | ) | (1.96 | ) | 1.39 | 3.81 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Total distributions | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Net asset value, end of period | $14.36 | $13.73 | $10.29 | $17.04 | $19.02 | $17.74 | ||||||||||||||||||
Total Returnc | 4.59% | 36.88% | (37.55% | ) | (10.32% | ) | 7.87% | 26.96% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $19,668 | $4,677 | $4,440 | $11,134 | $16,699 | $56,695 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 0.77% | 2.03% | 1.92% | 0.58% | 0.89% | 1.30% | ||||||||||||||||||
Total expenses | 1.38% | 1.39% | 1.39% | 1.37% | 1.37% | 1.38% | ||||||||||||||||||
Portfolio turnover rate | 581% | 867% | 672% | 528% | 430% | 820% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.94 | $9.75 | $16.26 | $18.24 | $17.10 | $13.88 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | .23 | .17 | (.02 | ) | .04 | .12 | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .57 | 3.30 | (6.34 | ) | (1.94 | ) | 1.21 | 3.50 | ||||||||||||||||
Total from investment operations | .58 | 3.53 | (6.17 | ) | (1.96 | ) | 1.25 | 3.62 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Total distributions | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Net asset value, end of period | $13.52 | $12.94 | $9.75 | $16.26 | $18.24 | $17.10 | ||||||||||||||||||
Total Returnc | 4.48% | 36.35% | (37.88% | ) | (10.76% | ) | 7.35% | 26.46% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,041 | $279 | $9,991 | $835 | $6,584 | $8,487 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09% | 1.94% | 1.53% | (0.09% | ) | 0.22% | 0.81% | |||||||||||||||||
Total expenses | 1.87% | 1.89% | 1.81% | 1.88% | 1.83% | 1.82% | ||||||||||||||||||
Portfolio turnover rate | 581% | 867% | 672% | 528% | 430% | 820% |
104 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TELECOMMUNICATIONS 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $13.07 | $9.83 | $16.33 | $18.28 | $17.15 | $13.90 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .10 | .17 | .27 | .03 | .05 | (.03 | ) | |||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .48 | 3.41 | (6.43 | ) | (1.96 | ) | 1.19 | 3.68 | ||||||||||||||||
Total from investment operations | .58 | 3.58 | (6.16 | ) | (1.93 | ) | 1.24 | 3.65 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Total distributions | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Net asset value, end of period | $13.65 | $13.07 | $9.83 | $16.33 | $18.28 | $17.15 | ||||||||||||||||||
Total Returnc | 4.44% | 36.57% | (37.66% | ) | (10.57% | ) | 7.27% | 26.64% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $646 | $1,093 | $1,317 | $451 | $2,126 | $4,193 | ||||||||||||||||||
Ratios to average net assets: | �� | |||||||||||||||||||||||
Net investment income (loss) | 1.59% | 1.45% | 2.15% | 0.13% | 0.28% | (0.18% | ) | |||||||||||||||||
Total expenses | 1.64% | 1.63% | 1.63% | 1.61% | 1.49% | 1.88% | ||||||||||||||||||
Portfolio turnover rate | 581% | 867% | 672% | 528% | 430% | 820% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.50 | $9.48 | $15.91 | $17.93 | $16.90 | $13.81 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | .10 | .13 | (.10 | ) | (.06 | ) | .01 | ||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .51 | 3.26 | (6.22 | ) | (1.90 | ) | 1.20 | 3.48 | ||||||||||||||||
Total from investment operations | .55 | 3.36 | (6.09 | ) | (2.00 | ) | 1.14 | 3.49 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Total distributions | — | (.34 | ) | (.34 | ) | (.02 | ) | (.11 | ) | (.40 | ) | |||||||||||||
Net asset value, end of period | $13.05 | $12.50 | $9.48 | $15.91 | $17.93 | $16.90 | ||||||||||||||||||
Total Returnc | 4.32% | 35.59% | (38.21% | ) | (11.17% | ) | 6.78% | 25.65% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,835 | $1,141 | $1,281 | $2,846 | $4,763 | $2,827 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.72% | 0.86% | 0.99% | (0.50% | ) | (0.35% | ) | 0.09% | ||||||||||||||||
Total expenses | 2.38% | 2.39% | 2.42% | 2.37% | 2.33% | 2.31% | ||||||||||||||||||
Portfolio turnover rate | 581% | 867% | 672% | 528% | 430% | 820% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 105 |
FUND PROFILE (Unaudited)
September 30, 2010
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment.
Inception: April 2, 1998
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666619.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 2, 1998 | |||
Advisor Class | June 9, 1998 | |||
A-Class | September 1, 2004 | |||
C-Class | May 14, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
United Parcel Service, Inc. — Class B | 9.8 | % | ||
Union Pacific Corp. | 7.8 | % | ||
FedEx Corp. | 6.3 | % | ||
Norfolk Southern Corp. | 5.7 | % | ||
CSX Corp. | 5.4 | % | ||
CH Robinson Worldwide, Inc. | 4.4 | % | ||
Expeditors International of Washington, Inc. | 4.1 | % | ||
Southwest Airlines Co. | 3.8 | % | ||
Canadian National Railway Co. | 3.3 | % | ||
Delta Air Lines, Inc. | 3.2 | % | ||
Top Ten Total | 53.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
106 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
TRANSPORTATION FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.3% | ||||||||
INDUSTRIALS - 99.3% | ||||||||
United Parcel Service, Inc. — Class B | 31,918 | $ | 2,128,611 | |||||
Union Pacific Corp. | 20,428 | 1,671,010 | ||||||
FedEx Corp. | 15,989 | 1,367,060 | ||||||
Norfolk Southern Corp. | 20,539 | 1,222,276 | ||||||
CSX Corp. | 21,004 | 1,161,941 | ||||||
CH Robinson Worldwide, Inc. | 13,344 | 933,012 | ||||||
Expeditors International of Washington, Inc. | 18,781 | 868,246 | ||||||
Southwest Airlines Co. | 61,237 | 800,369 | ||||||
Canadian National Railway Co. | 10,929 | 699,675 | ||||||
Delta Air Lines, Inc.* | 59,250 | 689,670 | ||||||
Hertz Global Holdings, Inc.* | 50,451 | 534,276 | ||||||
J.B. Hunt Transport Services, Inc. | 15,229 | 528,446 | ||||||
United Continental Holdings, Inc.* | 21,175 | 500,365 | ||||||
Continental Airlines, Inc. — Class B* | 18,999 | 471,935 | ||||||
Kansas City Southern* | 12,489 | 467,213 | ||||||
Canadian Pacific Railway Ltd. | 6,720 | 409,450 | ||||||
Ryder System, Inc. | 8,684 | 371,415 | ||||||
JetBlue Airways Corp.* | 54,406 | 363,976 | ||||||
Landstar System, Inc. | 8,795 | 339,663 | ||||||
Alaska Air Group, Inc.* | 6,512 | 332,307 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 6,400 | 320,896 | ||||||
Con-way, Inc. | 10,354 | 320,870 | ||||||
Copa Holdings S.A. — Class A | 5,703 | 307,449 | ||||||
AMR Corp.* | 49,009 | 307,286 | ||||||
Knight Transportation, Inc. | 15,768 | 304,795 | ||||||
AirTran Holdings, Inc.* | 39,958 | 293,691 | ||||||
Werner Enterprises, Inc. | 14,020 | 287,270 | ||||||
US Airways Group, Inc.* | 30,694 | 283,920 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 5,561 | 279,718 | ||||||
Avis Budget Group, Inc.* | 23,772 | 276,944 | ||||||
Old Dominion Freight Line, Inc.* | 9,356 | 237,830 | ||||||
Kirby Corp.* | 5,775 | 231,346 | ||||||
Allegiant Travel Co. — Class A | 5,318 | 225,058 | ||||||
Arkansas Best Corp. | 8,729 | 211,504 | ||||||
Heartland Express, Inc. | 14,008 | 208,299 | ||||||
Genco Shipping & Trading Ltd.* | 11,195 | 178,448 | ||||||
Genesee & Wyoming, Inc. — Class A* | 4,103 | 178,029 | ||||||
UTI Worldwide, Inc. | 10,201 | 164,032 | ||||||
Skywest, Inc. | 10,789 | 150,614 | ||||||
Excel Maritime Carriers Ltd. — Class A* | 26,358 | 148,132 | ||||||
Alexander & Baldwin, Inc. | 4,075 | 141,973 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Diana Shipping, Inc.* | 10,271 | $ | 130,442 | |||||
HUB Group, Inc. — Class A* | 4,272 | 124,999 | ||||||
Aegean Marine Petroleum Network, Inc. | 5,811 | 96,695 | ||||||
Total Industrials | 21,271,156 | |||||||
Total Common Stocks (Cost $16,908,550) | 21,271,156 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.5% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 98,869 | 98,869 | |||||
Total Repurchase Agreement (Cost $98,869) | 98,869 | |||||||
Total Investments - 99.8% (Cost $17,007,419) | $ | 21,370,025 | ||||||
Cash & Other Assets, Less Liabilities – 0.2% | 35,457 | |||||||
Total Net Assets – 100.0% | $ | 21,405,482 |
* | Non-income producing security | |||||||
† | Value determined based on Level 1 inputs — See Note 5. | |||||||
†† | Value determined based on Level 2 inputs — See Note 5. | |||||||
1 | Repurchase Agreement — See Note 4. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 107 |
TRANSPORTATION FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||||||
Investments, at value | $ | 21,271,156 | ||||||
Repurchase agreement, at value | 98,869 | |||||||
Total investments | 21,370,025 | |||||||
Cash | 1,861 | |||||||
Receivables: | ||||||||
Fund shares sold | 3,897,061 | |||||||
Dividends | 22,641 | |||||||
Total assets | 25,291,588 | |||||||
Liabilities: | ||||||||
Payable for: | ||||||||
Securities purchased | 2,788,927 | |||||||
Fund shares redeemed | 1,065,870 | |||||||
Management fees | 11,909 | |||||||
Custodian fees | 462 | |||||||
Transfer agent/maintenance fees | 3,503 | |||||||
Distribution and service fees | 2,116 | |||||||
Portfolio accounting fees | 1,401 | |||||||
Other | 11,918 | |||||||
Total liabilities | 3,886,106 | |||||||
Net assets | $ | 21,405,482 | ||||||
Net assets consist of: | ||||||||
Paid in capital | 48,106,667 | |||||||
Accumulated net investment loss | (13,640 | ) | ||||||
Accumulated net realized loss on sale of investments | (31,050,151 | ) | ||||||
Net unrealized appreciation in value of investments | 4,362,606 | |||||||
Net assets | 21,405,482 | |||||||
Investor Class: | ||||||||
Net assets | $ | 16,582,380 | ||||||
Capital shares outstanding | 682,189 | |||||||
Net asset value per share | $24.31 | |||||||
Advisor Class: | ||||||||
Net assets | $ | 1,100,613 | ||||||
Capital shares outstanding | 48,933 | |||||||
Net asset value per share | $22.49 | |||||||
A-Class: | ||||||||
Net assets | $ | 1,088,101 | ||||||
Capital shares outstanding | 47,624 | |||||||
Net asset value per share | $22.85 | |||||||
Maximum offering price per share* | $23.99 | |||||||
C-Class: | ||||||||
Net assets | $ | 2,634,388 | ||||||
Capital shares outstanding | 118,267 | |||||||
Net asset value per share | $22.27 | |||||||
Investments, at cost | $ | 16,908,550 | ||||||
Repurchase agreement, at cost | 98,869 | |||||||
Total cost | $ | 17,007,419 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||||||
Dividends (net of foreign withholding tax of $1,280) | $ | 215,073 | ||||||
Interest | 209 | |||||||
Total investment income | 215,282 | |||||||
�� | ||||||||
Expenses: | ||||||||
Management fees | 129,166 | |||||||
Transfer agent and administrative fees | 37,990 | |||||||
Distribution and Service Fees: | ||||||||
Advisor Class | 5,151 | |||||||
A-Class | 3,319 | |||||||
C-Class | 10,700 | |||||||
Portfolio accounting fees | 15,196 | |||||||
Trustees’ fees** | 1,292 | |||||||
Miscellaneous | 26,108 | |||||||
Total expenses | 228,922 | |||||||
Net investment loss | (13,640 | ) | ||||||
Net Realized and Unrealized Gain (Loss): | ||||||||
Net realized gain (loss) during the period on: | ||||||||
Investment securities | (8,556,274 | ) | ||||||
Net realized loss | (8,556,274 | ) | ||||||
Net unrealized appreciation (depreciation) during the period on: | ||||||||
Investment securities | (737,353 | ) | ||||||
Net unrealized depreciation | (737,353 | ) | ||||||
Net loss | (9,293,627 | ) | ||||||
Net decrease in net assets resulting from operations | $ | (9,307,267 | ) | |||||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
108 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TRANSPORTATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (decrease) in net assets from operations: | ||||||||
Net investment loss | $ | (13,640 | ) | $ | (126,770 | ) | ||
Net realized gain (loss) during the period on investments | (8,556,274 | ) | 2,728,041 | |||||
Net unrealized appreciation (depreciation) during the period on investments | (737,353 | ) | 3,744,101 | |||||
Net increase (decrease) in net assets resulting from operations | (9,307,267 | ) | 6,345,372 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (34,294 | ) | |||||
Advisor Class | — | (16,447 | ) | |||||
A-Class | — | (8,824 | ) | |||||
C-Class | — | (5,014 | ) | |||||
Total distributions to shareholders | — | (64,579 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 164,291,441 | 157,093,305 | ||||||
Advisor Class | 17,382,666 | 18,324,095 | ||||||
A-Class | 5,895,257 | 1,699,281 | ||||||
C-Class | 36,854,963 | 66,386,477 | ||||||
Distributions reinvested Investor Class | — | 33,605 | ||||||
Advisor Class | — | 16,362 | ||||||
A-Class | — | 8,248 | ||||||
C-Class | — | 4,827 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (161,613,549 | ) | (160,537,241 | ) | ||||
Advisor Class | (18,751,328 | ) | (16,959,390 | ) | ||||
A-Class | (6,383,982 | ) | (906,222 | ) | ||||
C-Class | (37,266,125 | ) | (66,016,877 | ) | ||||
Net increase (decrease) from capital share transactions | 409,343 | (853,530 | ) | |||||
Net increase (decrease) in net assets | (8,897,924 | ) | 5,427,263 | |||||
Net assets: | ||||||||
Beginning of period | 30,303,406 | 24,876,143 | ||||||
End of period | $ | 21,405,482 | $ | 30,303,406 | ||||
Accumulated net investment loss at end of period | $ | (13,640 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 6,845,523 | 7,533,509 | ||||||
Advisor Class | 800,505 | 950,836 | ||||||
A-Class | 263,547 | 86,665 | ||||||
C-Class | 1,679,723 | 3,656,133 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 1,583 | ||||||
Advisor Class | — | 830 | ||||||
A-Class | — | 413 | ||||||
C-Class | — | 247 | ||||||
Shares redeemed | ||||||||
Investor Class | (7,100,542 | ) | (8,058,029 | ) | ||||
Advisor Class | (878,295 | ) | (909,945 | ) | ||||
A-Class | (298,259 | ) | (46,165 | ) | ||||
C-Class | (1,715,755 | ) | (3,665,209 | ) | ||||
Total capital share activity | (403,553 | ) | (449,132 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 109 |
TRANSPORTATION FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $23.79 | $14.38 | $25.21 | $29.16 | $28.30 | $22.42 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | (.15 | ) | .07 | .06 | (.14 | ) | (.09 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .51 | 9.70 | (10.90 | ) | (4.01 | ) | 1.00 | 5.97 | ||||||||||||||||
Total from investment operations | .52 | 9.55 | (10.83 | ) | (3.95 | ) | .86 | 5.88 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Total distributions | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Net asset value, end of period | $24.31 | $23.79 | $14.38 | $25.21 | $29.16 | $28.30 | ||||||||||||||||||
Total Returnc | 2.19% | 66.51% | (42.96% | ) | (13.55% | ) | 3.04% | 26.23% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $16,582 | $22,292 | $20,990 | $17,420 | $6,635 | $45,580 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09% | (0.68% | ) | 0.33% | 0.22% | (0.48% | ) | (0.36% | ) | |||||||||||||||
Total expenses | 1.38% | 1.37% | 1.38% | 1.36% | 1.36% | 1.37% | ||||||||||||||||||
Portfolio turnover rate | 691% | 1,073% | 875% | 952% | 686% | 669% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $22.05 | $13.40 | $23.59 | $27.42 | $26.75 | $21.31 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.18 | ) | .10 | (.01 | ) | (.26 | ) | (.19 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | .51 | 8.97 | (10.29 | ) | (3.82 | ) | .93 | 5.63 | ||||||||||||||||
Total from investment operations | .44 | 8.79 | (10.19 | ) | (3.83 | ) | .67 | 5.44 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Total distributions | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Net asset value, end of period | $22.49 | $22.05 | $13.40 | $23.59 | $27.42 | $26.75 | ||||||||||||||||||
Total Returnc | 2.00% | 65.70% | (43.20% | ) | (13.97% | ) | 2.50% | 25.53% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,101 | $2,795 | $1,139 | $5,152 | $3,556 | $8,478 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.63% | ) | (0.95% | ) | 0.51% | (0.05% | ) | (0.97% | ) | (0.81% | ) | |||||||||||||
Total expenses | 1.88% | 1.88% | 1.90% | 1.87% | 1.86% | 1.86% | ||||||||||||||||||
Portfolio turnover rate | 691% | 1,073% | 875% | 952% | 686% | 669% |
110 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
TRANSPORTATION 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $22.37 | $13.55 | $23.81 | $27.60 | $26.87 | $21.34 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.04 | ) | .08 | — | d | (.19 | ) | (.17 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | .53 | 9.00 | (10.34 | ) | (3.79 | ) | .92 | 5.70 | ||||||||||||||||
Total from investment operations | .48 | 8.96 | (10.26 | ) | (3.79 | ) | .73 | 5.53 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Total distributions | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Net asset value, end of period | $22.85 | $22.37 | $13.55 | $23.81 | $27.60 | $26.87 | ||||||||||||||||||
Total Returnc | 2.15% | 66.22% | (43.09% | ) | (13.73% | ) | 2.72% | 25.91% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,088 | $1,842 | $561 | $228 | $483 | $3,044 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.43% | ) | (0.22% | ) | 0.43% | —% | (0.70% | ) | (0.71% | ) | ||||||||||||||
Total expenses | 1.64% | 1.62% | 1.67% | 1.62% | 1.61% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | 691% | 1,073% | 875% | 952% | 686% | 669% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $21.87 | $13.40 | $23.70 | $27.68 | $27.14 | $21.71 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.12 | ) | (.24 | ) | (.16 | ) | (.20 | ) | (.40 | ) | (.35 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .52 | 8.85 | (10.14 | ) | (3.78 | ) | .94 | 5.78 | ||||||||||||||||
Total from investment operations | .40 | 8.61 | (10.30 | ) | (3.98 | ) | .54 | 5.43 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Total distributions | — | (.14 | ) | (— | )d | — | — | — | ||||||||||||||||
Net asset value, end of period | $22.27 | $21.87 | $13.40 | $23.70 | $27.68 | $27.14 | ||||||||||||||||||
Total Returnc | 1.83% | 64.35% | (43.46% | ) | (14.38% | ) | 1.99% | 25.01% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,634 | $3,375 | $2,186 | $845 | $4,894 | $5,385 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.09% | ) | (1.31% | ) | (0.79% | ) | (0.73% | ) | (1.47% | ) | (1.43% | ) | ||||||||||||
Total expenses | 2.38% | 2.38% | 2.40% | 2.38% | 2.37% | 2.38% | ||||||||||||||||||
Portfolio turnover rate | 691% | 1,073% | 875% | 952% | 686% | 669% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Less than $0.01 per share. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 111 |
FUND PROFILE (Unaudited)
September 30, 2010
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities.
Inception: April 3, 2000
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666620.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
Investor Class | April 3, 2000 | |||
Advisor Class | April 3, 2000 | |||
A-Class | September 1, 2004 | |||
C-Class | April 27, 2001 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Southern Co. | 3.4 | % | ||
Exelon Corp. | 3.1 | % | ||
Dominion Resources, Inc. | 3.1 | % | ||
Duke Energy Corp. | 2.8 | % | ||
NextEra Energy, Inc. | 2.7 | % | ||
American Electric Power Co., Inc. | 2.4 | % | ||
PG&E Corp. | 2.4 | % | ||
Public Service Enterprise Group, Inc. | 2.3 | % | ||
Consolidated Edison, Inc. | 2.2 | % | ||
Entergy Corp. | 2.1 | % | ||
Top Ten Total | 26.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
112 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
UTILITIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 99.8% | ||||||||
UTILITIES - 97.5% | ||||||||
Southern Co. | 30,782 | $ | 1,146,321 | |||||
Exelon Corp. | 25,270 | 1,075,997 | ||||||
Dominion Resources, Inc. | 23,596 | 1,030,200 | ||||||
Duke Energy Corp. | 55,237 | 978,247 | ||||||
NextEra Energy, Inc. | 17,519 | 952,858 | ||||||
American Electric Power Co., Inc. | 23,409 | 848,108 | ||||||
PG&E Corp. | 18,274 | 830,005 | ||||||
Public Service Enterprise Group, Inc. | 24,139 | 798,518 | ||||||
Consolidated Edison, Inc. | 15,667 | 755,463 | ||||||
Entergy Corp. | 9,734 | 744,943 | ||||||
Sempra Energy | 13,840 | 744,592 | ||||||
Progress Energy, Inc. | 16,639 | 739,104 | ||||||
FirstEnergy Corp. | 17,481 | 673,718 | ||||||
Xcel Energy, Inc. | 28,797 | 661,467 | ||||||
Edison International | 19,181 | 659,635 | ||||||
PPL Corp. | 23,879 | 650,225 | ||||||
AES Corp.* | 54,412 | 617,576 | ||||||
Ameren Corp. | 19,004 | 539,714 | ||||||
Wisconsin Energy Corp. | 9,325 | 538,985 | ||||||
DTE Energy Co. | 11,677 | 536,325 | ||||||
CenterPoint Energy, Inc. | 34,070 | 535,580 | ||||||
SCANA Corp. | 11,752 | 473,841 | ||||||
Constellation Energy Group, Inc. | 14,632 | 471,736 | ||||||
Northeast Utilities | 15,898 | 470,104 | ||||||
Cia Energetica de Minas Gerais ADR | 28,169 | 461,690 | ||||||
NiSource, Inc. | 26,329 | 458,125 | ||||||
Calpine Corp.* | 35,614 | 443,394 | ||||||
Pinnacle West Capital Corp. | 10,593 | 437,173 | ||||||
NRG Energy, Inc.* | 20,775 | 432,536 | ||||||
CMS Energy Corp. | 23,971 | 431,957 | ||||||
Pepco Holdings, Inc. | 22,816 | 424,378 | ||||||
Oneok, Inc. | 9,376 | 422,294 | ||||||
Allegheny Energy, Inc. | 17,156 | 420,665 | ||||||
NSTAR | 10,690 | 420,652 | ||||||
American Water Works Company, Inc. | 17,955 | 417,813 | ||||||
Integrys Energy Group, Inc. | 7,966 | 414,710 | ||||||
Alliant Energy Corp. | 11,285 | 410,210 | ||||||
National Fuel Gas Co. | 7,892 | 408,884 | ||||||
OGE Energy Corp. | 9,982 | 397,982 | ||||||
Enersis S.A. ADR | 16,860 | 396,379 | ||||||
MDU Resources Group, Inc. | 19,702 | 393,055 | ||||||
TECO Energy, Inc. | 22,529 | 390,202 | ||||||
ITC Holdings Corp. | 5,984 | 372,504 | ||||||
UGI Corp. | 12,690 | 363,061 | ||||||
Aqua America, Inc. | 17,403 | 355,021 | ||||||
N.V. Energy, Inc. | 26,799 | 352,407 |
MARKET | ||||||||
SHARES | VALUE | |||||||
DPL, Inc. | 13,482 | $ | 352,285 | |||||
Energen Corp. | 7,600 | 347,472 | ||||||
AGL Resources, Inc. | 8,926 | 342,401 | ||||||
Westar Energy, Inc. | 13,698 | 331,903 | ||||||
Atmos Energy Corp. | 11,306 | 330,701 | ||||||
Great Plains Energy, Inc. | 17,253 | 326,082 | ||||||
Piedmont Natural Gas Co., Inc. | 10,258 | 297,482 | ||||||
Vectren Corp. | 11,453 | 296,289 | ||||||
Nicor, Inc. | 6,402 | 293,340 | ||||||
WGL Holdings, Inc. | 7,535 | 284,672 | ||||||
Hawaiian Electric Industries, Inc. | 12,469 | 281,051 | ||||||
Cleco Corp. | 9,325 | 276,207 | ||||||
IDACORP, Inc. | 7,325 | 263,114 | ||||||
New Jersey Resources Corp. | 6,639 | 260,382 | ||||||
Southwest Gas Corp. | 7,613 | 255,721 | ||||||
South Jersey Industries, Inc. | 5,075 | 251,060 | ||||||
Portland General Electric Co. | 12,283 | 249,099 | ||||||
Ormat Technologies, Inc. | 7,781 | 226,972 | ||||||
Northwest Natural Gas Co. | 4,760 | 225,862 | ||||||
Allete, Inc. | 6,189 | 225,465 | ||||||
Unisource Energy Corp. | 6,700 | 223,981 | ||||||
Black Hills Corp. | 7,143 | 222,862 | ||||||
El Paso Electric Co.* | 9,046 | 215,114 | ||||||
Mirant Corp.* | 21,446 | 213,602 | ||||||
Avista Corp. | 10,209 | 213,164 | ||||||
Questar Corp. | 11,807 | 206,977 | ||||||
NorthWestern Corp. | 7,110 | 202,635 | ||||||
PNM Resources, Inc. | 16,791 | 191,249 | ||||||
Total Utilities | 33,905,498 | |||||||
ENERGY - 2.3% EQT Corp. | 11,816 | 426,085 | ||||||
QEP Resources, Inc. | 11,806 | 355,833 | ||||||
Total Energy | 781,918 | |||||||
Total Common Stocks (Cost $28,309,386) | 34,687,416 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 0.6% | ||||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | $ | 197,119 | 197,119 | |||||
Total Repurchase Agreement (Cost $197,119) | 197,119 | |||||||
Total Investments - 100.4% (Cost $28,506,505) | $ | 34,884,535 | ||||||
Liabilities, Less Cash & Other Assets – (0.4)% | (152,678 | ) | ||||||
Total Net Assets – 100.0% | $ | 34,731,857 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 5. |
†† | Value determined based on Level 2 inputs — See Note 5. |
1 | Repurchase Agreement — See Note 4. |
ADR — American Depositary Receipt |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 113 |
2
UTILITIES FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 34,687,416 | ||
Repurchase agreement, at value | 197,119 | |||
Total investments | 34,884,535 | |||
Receivables: | ||||
Securities sold | 1,242,864 | |||
Fund shares sold | 1,357,080 | |||
Dividends | 277,856 | |||
Total assets | 37,762,335 | |||
LIABILITIES: | ||||
Payable for: | ||||
Fund shares redeemed | 2,846,681 | |||
Management fees | 92,453 | |||
Custodian fees | 3,692 | |||
Transfer agent/maintenance fees | 27,192 | |||
Distribution and service fees | 9,339 | |||
Portfolio accounting fees | 10,876 | |||
Other | 40,245 | |||
Total liabilities | 3,030,478 | |||
NET ASSETS | $ | 34,731,857 | ||
NET ASSETS CONSIST OF: | ||||
Paid in capital | 38,684,640 | |||
Undistributed net investment income | 1,392,806 | |||
Accumulated net realized loss on sale of investments | (11,723,619 | ) | ||
Net unrealized appreciation in value of investments | 6,378,030 | |||
Net assets | 34,731,857 | |||
Investor Class: | ||||
Net assets | $ | 22,752,634 | ||
Capital shares outstanding | 860,874 | |||
Net asset value per share | $26.43 | |||
Advisor Class: | ||||
Net assets | $ | 4,654,369 | ||
Capital shares outstanding | 187,108 | |||
Net asset value per share | $24.88 | |||
A-Class: | ||||
Net assets | $ | 1,762,431 | ||
Capital shares outstanding | 69,658 | |||
Net asset value per share | $25.30 | |||
Maximum offering price per share* | $26.56 | |||
C-Class: | ||||
Net assets | $ | 5,562,423 | ||
Capital shares outstanding | 236,241 | |||
Net asset value per share | $23.55 | |||
Investments, at cost | $ | 28,309,386 | ||
Repurchase agreement, at cost | 197,119 | |||
Total cost | $ | 28,506,505 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
For the Six Months Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,463) | $ | 1,618,472 | ||
Interest | 214 | |||
Total investment income | 1,618,686 | |||
Expenses: | ||||
Management fees | 286,557 | |||
Transfer agent and administrative fees | 84,281 | |||
Distribution and Service Fees: | ||||
Advisor Class | 8,947 | |||
A-Class | 3,026 | |||
C-Class | 28,756 | |||
Portfolio accounting fees | 33,712 | |||
Trustees’ fees** | 963 | |||
Miscellaneous | 54,757 | |||
Total expenses | 500,999 | |||
Net investment income | 1,117,687 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,435,318 | ) | ||
Net realized loss | (1,435,318 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 2,159,786 | |||
Net unrealized appreciation | 2,159,786 | |||
Net realized and unrealized gain | 724,468 | |||
Net increase in net assets resulting from operations | $ | 1,842,155 | ||
* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
114 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
UTILITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||||||
September 30, | Year Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment income | $ | 1,117,687 | $ | 697,734 | ||||
Net realized gain (loss) during the period on investments | (1,435,318 | ) | 1,168,856 | |||||
Net unrealized appreciation during the period on investments | 2,159,786 | 2,060,198 | ||||||
Net increase in net assets resulting from operations | 1,842,155 | 3,926,788 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (443,269 | ) | |||||
Advisor Class | — | (150,527 | ) | |||||
A-Class | — | (70,862 | ) | |||||
C-Class | — | (203,012 | ) | |||||
Total distributions to shareholders | — | (867,670 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 216,199,333 | 189,197,372 | ||||||
Advisor Class | 32,590,922 | 18,745,544 | ||||||
A-Class | 8,115,874 | 6,451,789 | ||||||
C-Class | 57,952,463 | 108,354,662 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 423,986 | ||||||
Advisor Class | — | 145,991 | ||||||
A-Class | — | 50,251 | ||||||
C-Class | — | 182,345 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (204,116,798 | ) | (191,518,650 | ) | ||||
Advisor Class | (29,393,260 | ) | (23,786,471 | ) | ||||
A-Class | (8,158,046 | ) | (6,611,351 | ) | ||||
C-Class | (60,423,332 | ) | (106,474,172 | ) | ||||
Net increase (decrease) from capital share transactions | 12,767,156 | (4,838,704 | ) | |||||
Net increase (decrease) in net assets | 14,609,311 | (1,779,586 | ) | |||||
Net assets: | ||||||||
Beginning of period | 20,122,546 | 21,902,132 | ||||||
End of period | $ | 34,731,857 | $ | 20,122,546 | ||||
Undistributed net investment income at end of period | $ | 1,392,806 | $ | 275,119 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 8,385,503 | 7,861,775 | ||||||
Advisor Class | 1,358,426 | 805,986 | ||||||
A-Class | 338,346 | 282,563 | ||||||
C-Class | 2,593,233 | 5,007,623 | ||||||
Shares reinvested | ||||||||
Investor Class | — | 17,143 | ||||||
Advisor Class | — | 6,244 | ||||||
A-Class | — | 2,118 | ||||||
C-Class | — | 8,206 | ||||||
Shares redeemed | ||||||||
Investor Class | (7,924,353 | ) | (7,982,458 | ) | ||||
Advisor Class | (1,221,908 | ) | (1,065,226 | ) | ||||
A-Class | (341,107 | ) | (287,483 | ) | ||||
C-Class | (2,685,912 | ) | (4,907,526 | ) | ||||
Total capital share activity | 502,228 | (251,035 | ) | |||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 115 |
UTILITIES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Investor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $24.80 | $20.56 | $29.29 | $31.89 | $24.90 | $23.62 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .46 | .61 | .72 | .51 | .52 | .51 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.17 | 4.85 | (9.32 | ) | (2.31 | ) | 6.83 | 1.21 | ||||||||||||||||
Total from investment operations | 1.63 | 5.46 | (8.60 | ) | (1.80 | ) | 7.35 | 1.72 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Total distributions | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Net asset value, end of period | $26.43 | $24.80 | $20.56 | $29.29 | $31.89 | $24.90 | ||||||||||||||||||
Total Returnc | 6.57% | 26.58% | (29.40% | ) | (5.88% | ) | 29.64% | 7.25% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $22,753 | $9,912 | $10,348 | $11,242 | $84,150 | $11,717 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 3.58% | 2.49% | 2.90% | 1.57% | 1.86% | 1.99% | ||||||||||||||||||
Total expenses | 1.36% | 1.39% | 1.39% | 1.39% | 1.37% | 1.33% | ||||||||||||||||||
Portfolio turnover rate | 362% | 758% | 684% | 375% | 557% | 728% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
Advisor Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $23.40 | $19.56 | $28.00 | $30.65 | $24.08 | $22.96 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .31 | .47 | .63 | .32 | .37 | .36 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.17 | 4.59 | (8.94 | ) | (2.17 | ) | 6.56 | 1.20 | ||||||||||||||||
Total from investment operations | 1.48 | 5.06 | (8.31 | ) | (1.85 | ) | 6.93 | 1.56 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Total distributions | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Net asset value, end of period | $24.88 | $23.40 | $19.56 | $28.00 | $30.65 | $24.08 | ||||||||||||||||||
Total Returnc | 6.32% | 25.89% | (29.72% | ) | (6.28% | ) | 28.90% | 6.76% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $4,654 | $1,184 | $5,939 | $2,960 | $11,929 | $1,427 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.59% | 2.07% | 2.72% | 1.02% | 1.38% | 1.46% | ||||||||||||||||||
Total expenses | 1.87% | 1.88% | 1.90% | 1.88% | 1.86% | 1.83% | ||||||||||||||||||
Portfolio turnover rate | 362% | 758% | 684% | 375% | 557% | 728% |
116 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
UTILITIES 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $23.77 | $19.80 | $28.27 | $30.87 | $24.18 | $23.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .24 | .65 | .54 | .42 | .43 | .44 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.29 | 4.54 | (8.88 | ) | (2.22 | ) | 6.62 | 1.18 | ||||||||||||||||
Total from investment operations | 1.53 | 5.19 | (8.34 | ) | (1.80 | ) | 7.50 | 1.62 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Total distributions | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Net asset value, end of period | $25.30 | $23.77 | $19.80 | $28.27 | $30.87 | $24.18 | ||||||||||||||||||
Total Returnc | 6.44% | 26.24% | (29.54% | ) | (6.07% | ) | 29.28% | 7.01% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,762 | $1,721 | $1,489 | $3,032 | $4,756 | $626 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 2.03% | 2.81% | 2.15% | 1.38% | 1.52% | 1.75% | ||||||||||||||||||
Total expenses | 1.63% | 1.64% | 1.64% | 1.63% | 1.61% | 1.60% | ||||||||||||||||||
Portfolio turnover rate | 362% | 758% | 684% | 375% | 557% | 728% |
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $22.21 | $18.71 | $26.93 | $29.66 | $23.42 | $22.47 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment incomeb | .19 | .39 | .32 | .18 | .22 | .24 | ||||||||||||||||||
Net gain (loss) on securities (realized and unrealized) | 1.15 | 4.33 | (8.41 | ) | (2.11 | ) | 6.38 | 1.15 | ||||||||||||||||
Total from investment operations | 1.34 | 4.72 | (8.09 | ) | (1.93 | ) | 6.60 | 1.39 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Total distributions | — | (1.22 | ) | (.13 | ) | (.80 | ) | (.36 | ) | (.44 | ) | |||||||||||||
Net asset value, end of period | $23.55 | $22.21 | $18.71 | $26.93 | $29.66 | $23.42 | ||||||||||||||||||
Total Returnc | 5.99% | 25.24% | (30.08% | ) | (6.77% | ) | 28.30% | 6.15% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $5,562 | $7,306 | $4,127 | $8,934 | $11,013 | $5,346 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income | 1.70% | 1.77% | 1.31% | 0.60% | 0.82% | 1.00% | ||||||||||||||||||
Total expenses | 2.38% | 2.39% | 2.39% | 2.38% | 2.36% | 2.34% | ||||||||||||||||||
Portfolio turnover rate | 362% | 758% | 684% | 375% | 557% | 728% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 117 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Institutional Class shares, and Y-Class shares. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class shares. A-Class shares are sold at net asset value, plus the applicable front-end sales charge, except for the U.S. Government Money Market Fund. 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% CDSC if shares are redeemed within 18 months of purchase.
At September 30, 2010, the Trust consisted of fifty-eight separate Funds. This report covers the Sector Funds (the “Funds”), while the other funds are contained in separate reports.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, LLC (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
The Sector Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.
The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures con-tracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.
E. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and
118 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
losses are allocated to the Classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution fees relating to A-Class shares and service and distribution fees related to Advisor Class shares and C-Class shares, 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.
F. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.85% of the average daily net assets of each of the Funds, except the Precious Metals Fund, which is 0.75% of the average daily net assets.
Rydex Investments provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund.
Rydex Investments also provides accounting services to the Trust for fees calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each Fund.
Rydex Investments engages external service providers to perform other necessary services to the Trust, such as accounting and auditing related services, legal services, printing and mailing, etc. on a pass through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. Organizational and setup costs for new Funds are paid by the Trust.
The Trust has adopted a Distribution Plan and Shareholder Services Plan applicable to its Advisor Class shares and a Distribution Plan applicable to A-Class shares for which the Distributor and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Trust will pay
distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class shares only, if a Service Provider provides shareholder services, the Distributor will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. The Distributor, in turn, will pay the Service Provider out of its fees.
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 the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual 0.75% distribution fee reimburses the Distributor for paying the shareholder’s financial advisor an ongoing sales commission. The Distributor advances the first year’s service and distribution fees to the Financial Advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record.
For the period ended September 30, 2010, the Distributor retained sales charges of $321,536 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
3. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (fiscal years 2007-2010), and has concluded that no provision for income tax is required in the Funds’ financial statements.
Income and capital gain distributions are determined in accordance with Federal income tax regulations, which
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2
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifi-cations have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
At September 30, 2010, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Tax | Tax | Net | ||||||||||||||
Tax | Unrealized | Unrealized | Unrealized | |||||||||||||
Fund | Cost | Gain | Loss | Gain (Loss) | ||||||||||||
Banking Fund | $ | 11,490,755 | $ | — | $ | (1,398,001 | ) | $ | (1,398,001 | ) | ||||||
Basic Materials Fund | 102,373,664 | 14,967,543 | (797,429 | ) | 14,170,114 | |||||||||||
Biotechnology Fund | 35,124,716 | 22,467,490 | (351,170 | ) | 22,116,320 | |||||||||||
Consumer Products Fund | 68,239,216 | 7,781,013 | (546,169 | ) | 7,234,844 | |||||||||||
Electronics Fund | 10,661,342 | — | (777,775 | ) | (777,775 | ) | ||||||||||
Energy Fund | 39,402,950 | 14,471,024 | (54,119 | ) | 14,416,905 | |||||||||||
Energy Services Fund | 38,629,549 | 21,635,793 | (87,877 | ) | 21,547,916 | |||||||||||
Financial Services Fund | 11,723,893 | — | (311,762 | ) | (311,762 | ) | ||||||||||
Health Care Fund | 24,014,579 | 3,658,341 | (146,778 | ) | 3,511,563 | |||||||||||
Internet Fund | 161,490,133 | 9,855,039 | (1,117,845 | ) | 8,737,194 | |||||||||||
Leisure Fund | 13,443,633 | 1,394,371 | (36,119 | ) | 1,358,252 | |||||||||||
Precious Metals Fund | 129,949,361 | 96,926,652 | (478,024 | ) | 96,448,628 | |||||||||||
Retailing Fund | 9,737,814 | 469,322 | (11,437 | ) | 457,885 | |||||||||||
Technology Fund | 22,148,668 | 3,180,780 | (39,323 | ) | 3,141,457 | |||||||||||
Telecommunications Fund | 23,265,336 | 982,326 | (78,531 | ) | 903,795 | |||||||||||
Transportation Fund | 19,092,184 | 2,322,808 | (44,966 | ) | 2,277,842 | |||||||||||
Utilities Fund | 30,785,228 | 4,109,612 | (10,305 | ) | 4,099,307 |
4. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. Repurchase agreements are valued at amortized cost, which approximates market value.
The repurchase agreements executed by the joint account and outstanding at September 30, 2010, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Credit Suisse Group | 0.18% due 10/01/10 | $ | 116,949,665 | $ | 116,949,665 | $ | 116,950,250 | |||||||||
$ | 116,949,665 | $ | 116,950,250 | |||||||||||||
At September 30, 2010, the collateral for the repurchase agreements in the joint account was as follows:
Range | ||||||||||||||||
Security Type | Maturity Dates | of Rates | Par Value | Market Value | ||||||||||||
U.S. Treasury Bills | 09/22/11 | 0.00% | $ | 119,588,900 | $ | 119,288,732 | ||||||||||
$ | 119,288,732 | |||||||||||||||
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
120 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
5. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2010:
Level 1 | Level 2 | Level 3 | ||||||||||||||
Investments | Investments | Investments | ||||||||||||||
Fund | In Securities | In Securities | In Securities | Total | ||||||||||||
Assets | ||||||||||||||||
Banking Fund | $ | 10,040,994 | $ | 51,760 | $ — | $ | 10,092,754 | |||||||||
Basic Materials Fund | 115,711,240 | 832,539 | — | 116,543,779 | ||||||||||||
Biotechnology Fund | 56,985,388 | 255,648 | — | 57,241,036 | ||||||||||||
Consumer Products Fund | 75,228,893 | 245,168 | — | 75,474,061 | ||||||||||||
Electronics Fund | 9,850,630 | 32,937 | — | 9,883,567 | ||||||||||||
Energy Fund | 53,542,385 | 277,470 | — | 53,819,855 | ||||||||||||
Energy Services Fund | 60,177,464 | — | — | 60,177,464 | ||||||||||||
Financial Services Fund | 11,407,706 | 4,425 | — | 11,412,131 | ||||||||||||
Health Care Fund | 27,270,320 | 255,822 | — | 27,526,142 | ||||||||||||
Internet Fund | 168,784,670 | 1,442,657 | — | 170,227,327 | ||||||||||||
Leisure Fund | 14,801,867 | 18 | — | 14,801,885 | ||||||||||||
Precious Metals Fund | 225,496,470 | 901,519 | — | 226,397,989 | ||||||||||||
Retailing Fund | 10,141,541 | 54,157 | — | 10,195,698 | ||||||||||||
Technology Fund | 25,145,188 | 144,937 | — | 25,290,125 | ||||||||||||
Telecommunications Fund | 24,000,245 | 168,886 | — | 24,169,131 | ||||||||||||
Transportation Fund | 21,271,156 | 98,869 | — | 21,370,025 | ||||||||||||
Utilities Fund | 34,687,416 | 197,119 | — | 34,884,535 |
The Funds adopted updated provisions surrounding fair value measurements and disclosures effective December 31, 2009. This update applies to the Funds’ disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.
As of the period ended September 30, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 121 |
4
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
6. Securities Transactions
During the period ended September 30, 2010, purchases and sales of investment securities, excluding short-term and temporary cash investments, were:
Basic | Consumer | Energy | ||||||||||||||||||||||||||
Banking | Materials | Biotechnology | Products | Electronics | Energy | Services | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Purchases | $ | 76,515,912 | $174,129,817 | $ | 106,098,368 | $ | 225,976,360 | $ | 160,084,035 | $ | 62,826,339 | $82,947,052 | ||||||||||||||||
Sales | $ | 103,122,541 | $129,579,447 | $ | 206,414,293 | $ | 368,188,686 | $ | 166,039,988 | $ | 65,307,329 | $93,628,476 | ||||||||||||||||
Financial | Health | Precious | ||||||||||||||||||||||||||
Services | Care | Internet | Leisure | Metals | Retailing | Technology | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Purchases | $42,864,879 | $126,627,528 | $ | 187,351,723 | $89,944,398 | $ | 401,937,564 | $ | 72,146,033 | $ | 64,705,347 | |||||||||||||||||
Sales | $62,048,555 | $308,852,374 | $ | 51,699,837 | $89,714,877 | $ | 371,354,135 | $ | 77,132,865 | $ | 100,416,904 | |||||||||||||||||
Telecommunications | Transportation | Utilities | ||||||||||||||||||||||||||
Fund | Fund | Fund | ||||||||||||||||||||||||||
Purchases | $76,990,109 | $176,551,272 | $ | 243,785,680 | ||||||||||||||||||||||||
Sales | $60,202,490 | $175,961,516 | $ | 229,858,413 |
7. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount out-standing per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2011. On September 30, 2010, the Energy Services Fund, Financial Services Fund and Leisure Fund borrowed $235,000, $14,000 and $6,000, respectively, under this agreement. As of and for the period ended September 30, 2010, the Funds did not have any other borrowings under this agreement.
8. Guggenheim Acquisition
Guggenheim SBC Holdings, LLC (“Guggenheim SBC Holdings”), an investor group managed by Guggenheim Partners, LLC (“Guggenheim”), acquired control of Security Benefit Corporation (“SBC”), the parent company of Rydex Advisors, LLC (formerly PADCO Advisors, Inc.), the Funds’ investment adviser (the “Investment Adviser”), pursuant to an agreement entered between SBC and Guggenheim SBC Holdings. Under the agreement, Guggenheim SBC Holdings received a 100% ownership stake in SBC and consequently acquired control of the Investment Adviser (the “Purchase Transaction”). Guggenheim is a global, independent, privately held, diversified financial services firm with more than $100 billion in assets under supervision. The Purchase Transaction is not expected to result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The Purchase Transaction closed on July 30, 2010.
Under the Investment Company Act of 1940, the closing of the Purchase Transaction had the effect of terminating the Funds’ investment advisory agreements with the Investment Advisers and any investment sub-advisory agreements entered on behalf of a Fund (together, the “Previous Agreements”). New investment advisory and sub-advisory agreements (“New Agreements”) were approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreements are substantially identical to the corresponding Previous Agreements, except with respect to the date of execution.
9. Distributor and Transfer Agent Change
Effective July 30, 2010, the Funds’ distributor, Rydex Distributors, Inc., a Maryland corporation, became Rydex Distributors, LLC, a Kansas limited liability company, and Rydex Fund Services, Inc., the Funds’ transfer agent, became Rydex Fund Services, LLC, a Kansas limited liability company.
10. New Accounting Pronouncements
Effective March 31, 2010, the Funds adopted the Financial Accounting Standards Board ASU 2010-06, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements, which are reflected in Note 5.
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5
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.
Proxy Results
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Rydex Advisors, LLC. A description of the number of shares voted is as follows:
Shares | Shares | |||||||||||
Fund | Shares For | Against | Abstained | |||||||||
Banking Fund | 117,776 | 4,330 | 11,222 | |||||||||
Basic Materials Fund | 729,746 | 26,061 | 39,447 | |||||||||
Biotechnology Fund | 3,036,987 | 72,518 | 78,252 | |||||||||
Consumer Products Fund | 2,813,832 | 15,671 | 34,026 | |||||||||
Electronics Fund | 344,508 | 5,672 | 30,405 | |||||||||
Energy Fund | 1,491,039 | 49,762 | 104,450 | |||||||||
Energy Services Fund | 863,732 | 32,688 | 39,882 | |||||||||
Financial Services Fund | 131,659 | 6,247 | 10,694 | |||||||||
Health Care Fund | 7,152,654 | 37,529 | 74,374 | |||||||||
Internet Fund | 252,282 | 6,898 | 16,462 | |||||||||
Leisure Fund | 274,614 | 4,199 | 8,627 | |||||||||
Precious Metals Fund | 1,283,647 | 85,191 | 94,549 | |||||||||
Retailing Fund | 407,497 | 14,789 | 14,619 | |||||||||
Technology Fund | 2,982,064 | 107,705 | 232,103 | |||||||||
Telecommunications Fund | 250,684 | 5,544 | 9,222 | |||||||||
Transportation Fund | 482,046 | 17,018 | 45,017 | |||||||||
Utilities Fund | 466,861 | 13,913 | 41,497 |
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds also voted on whether to approve a change to a fundamental investment policy on borrowing money, consistent with applicable law. A description of the number of shares voted is as follows:
Shares | Shares | |||||||||||
Fund | Shares For | Against | Abstained | |||||||||
Banking Fund | 84,631 | 37,495 | 11,204 | |||||||||
Basic Materials Fund | 718,319 | 40,394 | 36,540 | |||||||||
Biotechnology Fund | 3,002,777 | 116,936 | 68,043 | |||||||||
Consumer Products Fund | 2,804,558 | 23,040 | 35,933 | |||||||||
Electronics Fund | 334,907 | 16,250 | 29,426 | |||||||||
Energy Fund | 1,445,626 | 94,316 | 105,309 | |||||||||
Energy Services Fund | 848,366 | 46,183 | 41,747 | |||||||||
Financial Services Fund | 128,262 | 7,944 | 12,393 | |||||||||
Health Care Fund | 7,118,045 | 68,151 | 78,391 | |||||||||
Internet Fund | 248,626 | 11,068 | 15,948 | |||||||||
Leisure Fund | 271,142 | 7,303 | 8,994 | |||||||||
Precious Metals Fund | 1,230,011 | 128,489 | 104,888 | |||||||||
Retailing Fund | 402,176 | 19,200 | 15,527 | |||||||||
Technology Fund | 2,954,686 | 133,477 | 233,709 | |||||||||
Telecommunications Fund | 245,788 | 8,481 | 11,180 | |||||||||
Transportation Fund | 478,854 | 20,650 | 44,577 | |||||||||
Utilities Fund | 447,492 | 26,409 | 48,370 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 123 |
6
OTHER INFORMATION (Unaudited) (concluded)
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
124 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
7
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
INDEPENDENT TRUSTEES
Length of Service | ||||||||
Name, Position and | As Trustee | Number of | ||||||
Year of Birth | (Year Began) | Funds Overseen | ||||||
John O. Demaret | Rydex Series Funds – 1997 | 144 | ||||||
Trustee, Chairman of the | Rydex Variable Trust – 1998 | |||||||
Board (1940) | Rydex Dynamic Funds – 1999 | |||||||
Rydex ETF Trust – 2003 | ||||||||
Principal Occupations During Past Five Years: Retired | ||||||||
Corey A. Colehour | Rydex Series Funds – 1993 | 144 | ||||||
Trustee (1945) | Rydex Variable Trust – 1998 | |||||||
Rydex Dynamic Funds – 1999 | ||||||||
Rydex ETF Trust – 2003 | ||||||||
Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) | ||||||||
J. Kenneth Dalton | Rydex Series Funds – 1995 | 144 | ||||||
Trustee (1941) | Rydex Variable Trust – 1998 | |||||||
Rydex Dynamic Funds – 1999 | ||||||||
Rydex ETF Trust – 2003 | ||||||||
Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group | ||||||||
Werner E. Keller | Rydex Series Funds – 2005 | 144 | ||||||
Trustee (1940) | Rydex Variable Trust – 2005 | |||||||
Rydex Dynamic Funds – 2005 | ||||||||
Rydex ETF Trust – 2005 | ||||||||
Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) | ||||||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 144 | ||||||
Trustee (1960) | Rydex Variable Trust – 2005 | |||||||
Rydex Dynamic Funds – 2005 | ||||||||
Rydex ETF Trust – 2005 | ||||||||
Principal Occupations During Past Five Years: President, Global Trends Investments | ||||||||
Patrick T. McCarville | Rydex Series Funds – 1997 | 144 | ||||||
Trustee (1942) | Rydex Variable Trust – 1998 | |||||||
Rydex Dynamic Funds – 1999 | ||||||||
Rydex ETF Trust – 2003 | ||||||||
Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc. | ||||||||
Roger Somers | Rydex Series Funds – 1993 | 144 | ||||||
Trustee (1944) | Rydex Variable Trust – 1998 | |||||||
Rydex Dynamic Funds – 1999 | ||||||||
Rydex ETF Trust – 2003 | ||||||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||||||
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 125 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present); Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) |
126 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS (concluded)
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present) |
* | Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Rydex Investments. |
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SEPTEMBER 30, 2010
RYDEX SERIES FUNDS SEMI - ANNUAL REPORT
ALTERNATIVES FUNDS
U. S. LONG SHORT MOMENTUM FUND
(Formerly, All - Cap Opportunity Fund)
(Formerly, All - Cap Opportunity Fund)
INTERNATIONAL LONG SHORT SELECT FUND
(Formerly, International Opportunity Fund)
(Formerly, International Opportunity Fund)
ALTERNATIVE STRATEGIES ALLOCATION FUND
GLOBAL 130/30 STRATEGY FUND
EQUITY MARKET NEUTRAL FUND
(Formerly, Global Market Neutral Fund)
(Formerly, Global Market Neutral Fund)
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
ALTERNATIVE STRATEGIES FUND
LONG SHORT EQUITY STRATEGY FUND
LONG SHORT INTEREST RATE STRATEGY FUND
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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, LLC
TABLE OF CONTENTS
ALTERNATIVES FUNDS |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER:
Uncertainty over the strength of the U.S. economic recovery and what steps the Federal Reserve might take, if any, to deal with the situation highlighted the six months ending September 30. Stocks bounced back in the July-September period from losses in the second quarter, based partly on relief that the U.S. may be dealing with a prolonged period of slow growth rather than a sharp economic contraction.
The U.S. economy has been out of recession since July 2009, according to a September report from the National Bureau of Economic Research, although employment, income expectations and existing home sales have yet to rebound. Stocks are now roughly where they were six months ago.
U.S. GDP in the second quarter was 1.7%, widely viewed to be insufficient to move the unemployment rate below its current 9.6% before the end of 2010, and significantly lower than the 3.7% GDP in the first quarter. Economists said consumers are not spending at a rate to cause companies to ramp up production, and thus hiring, with confidence. By late September, many investors were widely anticipating that the Federal Reserve, in response to tepid growth, was prepared to start another round of quantitative easing—bond purchases designed to push down long-term interest rates and kick-start private borrowing.
That prospect was welcomed by investors, who sent equities higher in September, the S&P 500® Index* having its best September performance since 1939. For the third quarter, U.S. equity indices were up between 10-15% compared with drops of from 1-3% for the past six months. The technology sector was the main contributor to quarterly performance in the S&P 500 and the Russell 2000® Index, as growth style stocks outperformed value in the third quarter by three percentage points. Emerging markets continued to outperform, with investors continuing to pour money into emerging markets equities funds—$50 billion so far in 2010. Emerging markets are being viewed as less risky than in the recent past, particularly since nations in that sector are not confronting the fiscal debt issues facing many countries in the developed world, and are enjoying healthy economic growth.
Corporations continued to borrow aggressively, based on investor demand for bonds and low interest rates, driving hefty investment-grade bond sales as well as sales of high-yield bonds (where issuance through the third quarter has already surpassed the previous annual record). Various bond indices were up both for the third quarter and six months, led by indices for U.S. Government bond prices and corporate high yield bonds. The expectation of quantitative easing also lifted Treasury prices, despite concerns of a building price bubble in bonds. The Bank of America U.S. Government Index was up almost 3% for the third quarter, while the yield on the benchmark 10-year note closed out September at about 2.5%, down from its 2010 peak of just above 4% in April. U.S. debt also benefited as a safe haven from resurgent worries about the economic health of European nations, including more recently Ireland and Portugal.
Investors have also been flocking to gold, driving the price of an ounce of the metal to a non-inflation-adjusted record of around $1,300. Economists said gold’s appeal was both as a hedge against further financial market instability and to assuage investors worried about the inflationary impact of additional Fed easing and massive levels of government debt. Efforts by central banks around the world to boost their economies by keeping their currencies weaker, thus helping exports, may also be contributing to the rise in the price of gold, which is attractive as an alternative store of value. Continuing economic sluggishness in the U.S. caused the dollar to weaken against the euro and yen throughout the summer, as analysts said the economies behind those currencies are in something of a standoff over which has the worst outlook. The third quarter was good for other commodities, in part a response to strong demand in China, crop failures in Russia and the potential for further monetary easing. Grain prices began to fall late in the quarter, as high U.S. yields were expected to offset concerns about shortages in some crops like wheat.
2 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
High inventory and slack demand combined to keep the price of a barrel of oil stuck in a narrow range, although it traded toward the high end ($82) of the range by September.
In contrast to the second quarter, when worries about European sovereign debt and a possible double-dip recession in the U.S. loomed large, stocks in countries around the world had strong gains in the third quarter. The MSCI EAFE Index was up 15% for the third quarter and the MSCI EAFE Emerging Markets Index* was up 18%. The latter index was among the best-performing indices for the past six months, up 6%. Markets in Southeast Asia, including Indonesia and Philippines, were at all-time highs, while India and South Korea also flirted with record highs. The domestic stock market of China, which this year is expected to overtake Japan as the world’s second-largest economy, pared its loss for the year, gaining 11% in the third quarter, as investors think the government may be reducing its efforts to rein in the economy. The STOXX 50®* Index also offset year-to-date losses with a 7% rise in the third quarter, despite a weak outlook issued by the European Central Bank. The Nikkei-225 Stock Average Index*, off 11% for the year, rose 6% in September, helped in part by foreign exchange market intervention designed to hold down the value of the yen.
Rydex|SGI has a full lineup of fundamental alpha, target beta and alternative investment products designed to provide investors with the tools needed to participate in all types of markets and market environments. Contact us if you wish to learn more, and thanks for the trust you place in us.
Sincerely,
![-s- Michael Byrum](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728004.gif)
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
*Indices are defined as follows:
Standard & Poor’s 500 Index (S&P 500) – a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
Nikkei-225 Stock Average Index – a price-weighted index of 225 blue-chip companies traded on the Tokyo Stock Exchange.
MSCI EAFE Index (Europe, Australasia, Far East) – a market-capitalization index designed to measure equity market performance in developed markets, excluding the U.S. & Canada. Consists in 2010 of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
MSCI EAFE Emerging Markets – a market-capitalization index designed to measure equity market performance in emerging markets. Consists in 2010 of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The STOXX 50® Index – Europe’s leading Blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The STOXX 50 Index is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products world-wide.
Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.
Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2010 and ending September 30, 2010.
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.
Certain retirement plans such as IRA, SEP, Roth IRA, 403(b), and Rydex|SGI prototype money purchase plan and profit sharing plan accounts, are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
4 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio | 1 | Return | March 31, 2010 | September 30, 2010 | Period2 | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
U.S. Long Short Momentum Fund | ||||||||||||||||||||
A-Class | 1.70% | (2.94%) | $ | 1,000.00 | $ | 970.60 | $ | 8.40 | ||||||||||||
C-Class | 2.45% | (3.38%) | 1,000.00 | 966.20 | 12.08 | |||||||||||||||
H-Class | 1.70% | (2.93%) | 1,000.00 | 970.70 | 8.40 | |||||||||||||||
International Long Short Select Fund | ||||||||||||||||||||
A-Class | 2.48% | (8.59%) | 1,000.00 | 914.10 | 11.90 | |||||||||||||||
C-Class | 3.22% | (8.90%) | 1,000.00 | 911.00 | 15.43 | |||||||||||||||
H-Class | 2.47% | (8.59%) | 1,000.00 | 914.10 | 11.85 | |||||||||||||||
Alternative Strategies Allocation Fund6 | ||||||||||||||||||||
A-Class | 0.00% | (2.88%) | 1,000.00 | 971.20 | — | |||||||||||||||
C-Class | 0.75% | (3.27%) | 1,000.00 | 967.30 | 3.70 | |||||||||||||||
H-Class | 0.00% | (2.88%) | 1,000.00 | 971.20 | — | |||||||||||||||
Global 130/30 Strategy Fund | ||||||||||||||||||||
A-Class | 3.39% | 0.87% | 1,000.00 | 1,008.70 | 17.07 | |||||||||||||||
C-Class | 4.13% | 0.59% | 1,000.00 | 1,005.90 | 20.77 | |||||||||||||||
H-Class | 3.46% | 0.98% | 1,000.00 | 1,009.80 | 17.43 | |||||||||||||||
Equity Market Neutral Fund | ||||||||||||||||||||
A-Class | 5.41% | (2.23%) | 1,000.00 | 977.70 | 26.82 | |||||||||||||||
C-Class | 6.16% | (2.64%) | 1,000.00 | 973.60 | 30.48 | |||||||||||||||
H-Class | 5.41% | (2.27%) | 1,000.00 | 977.30 | 26.82 | |||||||||||||||
Institutional Class5 | 5.59% | (2.65%) | 1,000.00 | 973.50 | 22.82 | |||||||||||||||
Event Driven and Distressed Strategies Fund4 | ||||||||||||||||||||
A-Class | 1.90% | 7.36% | 1,000.00 | 1,073.60 | 4.97 | |||||||||||||||
C-Class | 2.65% | 7.04% | 1,000.00 | 1,070.40 | 6.91 | |||||||||||||||
H-Class | 1.90% | 7.36% | 1,000.00 | 1,073.60 | 4.97 | |||||||||||||||
Institutional Class | 1.65% | 7.40% | 1,000.00 | 1,074.00 | 4.31 | |||||||||||||||
Alternative Strategies Fund4 | ||||||||||||||||||||
A-Class | 1.90% | 4.48% | 1,000.00 | 1,044.80 | 4.90 | |||||||||||||||
C-Class | 2.65% | 4.28% | 1,000.00 | 1,042.80 | 6.82 | |||||||||||||||
H-Class | 1.90% | 4.48% | 1,000.00 | 1,044.80 | 4.90 | |||||||||||||||
Institutional Class | 1.64% | 4.52% | 1,000.00 | 1,045.20 | 4.23 | |||||||||||||||
Long Short Equity Strategy Fund4 | ||||||||||||||||||||
A-Class | 2.45% | 6.64% | 1,000.00 | 1,066.40 | 6.38 | |||||||||||||||
C-Class | 3.29% | 6.44% | 1,000.00 | 1,064.40 | 8.56 | |||||||||||||||
H-Class | 2.47% | 6.64% | 1,000.00 | 1,066.40 | 6.43 | |||||||||||||||
Institutional Class | 2.21% | 6.72% | 1,000.00 | 1,067.20 | 5.76 | |||||||||||||||
Long Short Interest Rate Strategy Fund4 | ||||||||||||||||||||
A-Class | 1.51% | 2.60% | 1,000.00 | 1,026.00 | 3.86 | |||||||||||||||
C-Class | 2.26% | 2.40% | 1,000.00 | 1,024.00 | 5.76 | |||||||||||||||
H-Class | 1.51% | 2.60% | 1,000.00 | 1,026.00 | 3.86 | |||||||||||||||
Institutional Class | 1.26% | 2.64% | 1,000.00 | 1,026.40 | 3.22 |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | Account Value | Account Value | Paid During | ||||||||||||||||
Ratio | 1 | Return | March 31, 2010 | September 30, 2010 | Period2 | |||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
U.S. Long Short Momentum Fund | ||||||||||||||||||||
A-Class | 1.70% | 5.00% | $ | 1,000.00 | $ | 1,016.55 | $ | 8.59 | ||||||||||||
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.78 | 12.36 | |||||||||||||||
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 | |||||||||||||||
International Long Short Select Fund | ||||||||||||||||||||
A-Class | 2.48% | 5.00% | 1,000.00 | 1,012.63 | 12.51 | |||||||||||||||
C-Class | 3.22% | 5.00% | 1,000.00 | 1,008.92 | 16.22 | |||||||||||||||
H-Class | 2.47% | 5.00% | 1,000.00 | 1,012.68 | 12.46 | |||||||||||||||
Alternative Strategies Allocation Fund6 | ||||||||||||||||||||
A-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
C-Class | 0.75% | 5.00% | 1,000.00 | 1,021.31 | 3.80 | |||||||||||||||
H-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
Global 130/30 Strategy Fund | ||||||||||||||||||||
A-Class | 3.39% | 5.00% | 1,000.00 | 1,008.07 | 17.07 | |||||||||||||||
C-Class | 4.13% | 5.00% | 1,000.00 | 1,004.36 | 20.75 | |||||||||||||||
H-Class | 3.46% | 5.00% | 1,000.00 | 1,007.72 | 17.41 | |||||||||||||||
Equity Market Neutral Fund | ||||||||||||||||||||
A-Class | 5.41% | 5.00% | 1,000.00 | 997.94 | 27.10 | |||||||||||||||
C-Class | 6.16% | 5.00% | 1,000.00 | 994.18 | 30.79 | |||||||||||||||
H-Class | 5.41% | 5.00% | 1,000.00 | 997.94 | 27.10 | |||||||||||||||
Institutional Class5 | 5.59% | 5.00% | 1,000.00 | 997.04 | 27.99 | |||||||||||||||
Event Driven and Distressed Strategies Fund4 | ||||||||||||||||||||
A-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 | |||||||||||||||
C-Class | 2.65% | 5.00% | 1,000.00 | 1,011.78 | 13.36 | |||||||||||||||
H-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 | |||||||||||||||
Institutional Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 | |||||||||||||||
Alternative Strategies Fund4 | ||||||||||||||||||||
A-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 | |||||||||||||||
C-Class | 2.65% | 5.00% | 1,000.00 | 1,011.78 | 13.36 | |||||||||||||||
H-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 | |||||||||||||||
Institutional Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 | |||||||||||||||
Long Short Equity Strategy Fund4 | ||||||||||||||||||||
A-Class | 2.45% | 5.00% | 1,000.00 | 1,012.78 | 12.36 | |||||||||||||||
C-Class | 3.29% | 5.00% | 1,000.00 | 1,008.57 | 16.57 | |||||||||||||||
H-Class | 2.47% | 5.00% | 1,000.00 | 1,012.68 | 12.46 | |||||||||||||||
Institutional Class | 2.21% | 5.00% | 1,000.00 | 1,013.99 | 11.16 | |||||||||||||||
Long Short Interest Rate Strategy Fund4 | ||||||||||||||||||||
A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.50 | 7.64 | |||||||||||||||
C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.74 | 11.41 | |||||||||||||||
H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.50 | 7.64 | |||||||||||||||
Institutional Class | 1.26% | 5.00% | 1,000.00 | 1,018.75 | 6.38 |
1 | This ratio represents annualized Total Expenses, which include interest and dividend expense from securities sold short. Excluding short dividend and interest expense, the operating expense ratio would be: | |
U.S. Long Short Momentum Fund 0.02%, 0.02%, and 0.02% lower in the A-Class, C-Class and H-Class, respectively; International Long Short Select Fund 0.72%, 0.72% and 0.71% lower in the A-Class, C-Class and H-Class, respectively; Global 130/30 Strategy Fund 1.24%, 1.17% and 1.28% lower in the A-Class, C-Class and H-Class, respectively; Equity Market Neutral Fund 3.12%, 3.12%, 3.12% and 3.53% lower in the A-Class, C-Class, H-Class and Institutional Class, respectively; Long Short Equity Strategy Fund 0.55%, 0.65%, 0.58%, and 0.56% lower in the A-Class, C-Class, H-Class and Institutional Class, respectively; | ||
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 to reflect the one-half year period. | |
3 | Actual cumulative return of net asset value for the period March 31, 2010 to September 30, 2010. | |
4 | Since the commencement of operations: June 30, 2010 | |
5 | Since the commencement of operations: May 3, 2010 — Institutional Class. | |
6 | Does not include expenses of the underlying funds in which the Fund invests. |
6 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
U.S. LONG SHORT MOMENTUM FUND
(Formerly, All-Cap Opportunity Fund)
(Formerly, All-Cap Opportunity Fund)
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728005.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | March 22, 2002 | |||
H-Class | March 22, 2002 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
Amazon.com, Inc. | 3.2 | % | ||
Brookfield Asset Management, Inc. — Class A | 2.5 | % | ||
Vodafone Group plc ADR | 2.2 | % | ||
AT&T, Inc. | 1.9 | % | ||
Priceline.com, Inc. | 1.8 | % | ||
America Movil SAB de CV ADR | 1.7 | % | ||
Philip Morris International, Inc. | 1.6 | % | ||
Brookfield Properties Corp. | 1.6 | % | ||
CB Richard Ellis Group, Inc. — Class A | 1.5 | % | ||
Verizon Communications, Inc. | 1.4 | % | ||
Top Ten Total | 19.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 7 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
U.S. LONG SHORT MOMENTUM FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 93.8% | ||||||||
Financials - 17.4% | ||||||||
Brookfield Asset Management, | ||||||||
Inc. — Class A | 145,491 | $ | 4,127,580 | |||||
Brookfield Properties Corp. | 175,624 | 2,725,684 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 136,290 | 2,491,381 | ||||||
Jones Lang LaSalle, Inc. | 23,775 | 2,051,069 | ||||||
Simon Property Group, Inc. | 17,182 | 1,593,459 | ||||||
St. Joe Co.* | 54,559 | 1,356,882 | ||||||
Forest City Enterprises, Inc. — Class A* | 97,373 | 1,249,296 | ||||||
Public Storage | 12,825 | 1,244,538 | ||||||
Vornado Realty Trust | 14,388 | 1,230,606 | ||||||
Equity Residential | 23,604 | 1,122,842 | ||||||
Boston Properties, Inc. | 12,446 | 1,034,512 | ||||||
HCP, Inc. | 27,980 | 1,006,720 | ||||||
Annaly Capital Management, Inc. | 53,517 | 941,899 | ||||||
Host Hotels & Resorts, Inc. | 61,682 | 893,155 | ||||||
AvalonBay Communities, Inc. | 8,421 | 875,195 | ||||||
Ventas, Inc. | 16,898 | 871,430 | ||||||
Kimco Realty Corp. | 49,103 | 773,372 | ||||||
Health Care REIT, Inc. | 15,837 | 749,724 | ||||||
Forestar Group, Inc.* | 41,865 | 713,798 | ||||||
Macerich Co. | 16,481 | 707,859 | ||||||
Plum Creek Timber Company, Inc. | 19,853 | 700,811 | ||||||
Digital Realty Trust, Inc. | 10,902 | 672,653 | ||||||
China Housing & Land Development, Inc.* | 87,065 | 174,130 | ||||||
Total Financials | 29,308,595 | |||||||
Consumer Discretionary - 17.1% | ||||||||
Amazon.com, Inc.* | 34,611 | 5,436,004 | ||||||
Priceline.com, Inc.* | 8,562 | 2,982,487 | ||||||
NetFlix, Inc.* | 13,980 | 2,266,997 | ||||||
Expedia, Inc. | 66,303 | 1,870,408 | ||||||
McDonald’s Corp. | 24,580 | 1,831,456 | ||||||
Liberty Media Corporation - | ||||||||
Interactive* | 119,322 | 1,635,905 | ||||||
Carnival Corp. | 28,750 | 1,098,537 | ||||||
Las Vegas Sands Corp.* | 30,850 | 1,075,122 | ||||||
Yum! Brands, Inc. | 21,620 | 995,817 | ||||||
Starbucks Corp. | 36,460 | 932,647 | ||||||
HSN, Inc.* | 26,604 | 795,460 | ||||||
Marriott International, Inc. — | ||||||||
Class A | 21,800 | 781,094 | ||||||
Starwood Hotels & Resorts | ||||||||
Worldwide, Inc. | 13,090 | 687,879 | ||||||
Wynn Resorts Ltd. | 7,880 | 683,748 | ||||||
Royal Caribbean Cruises Ltd.* | 19,310 | 608,844 | ||||||
Shutterfly, Inc.* | 21,202 | 551,040 |
MARKET | ||||||||
SHARES | VALUE | |||||||
MGM Resorts International* | 45,280 | $ | 510,758 | |||||
Chipotle Mexican Grill, Inc. — Class A* | 2,930 | 503,960 | ||||||
Darden Restaurants, Inc. | 11,770 | 503,521 | ||||||
Wyndham Worldwide Corp. | 17,910 | 491,988 | ||||||
NutriSystem, Inc. | 25,098 | 482,886 | ||||||
Blue Nile, Inc.* | 10,226 | 454,955 | ||||||
International Game Technology | 28,890 | 417,460 | ||||||
Panera Bread Co. — Class A* | 3,950 | 350,009 | ||||||
PetMed Express, Inc. | 19,840 | 347,200 | ||||||
Overstock.com, Inc.* | 21,467 | 337,461 | ||||||
Vitacost.com, Inc.* | 34,500 | 207,345 | ||||||
Total Consumer Discretionary | 28,840,988 | |||||||
Telecommunication Services - 16.2% | ||||||||
Vodafone Group plc ADR | 146,780 | 3,641,612 | ||||||
AT&T, Inc. | 109,410 | 3,129,126 | ||||||
America Movil SAB de CV ADR | 53,310 | 2,843,022 | ||||||
Verizon Communications, Inc. | 71,540 | 2,331,489 | ||||||
Deutsche Telekom AG ADR | 135,670 | 1,849,182 | ||||||
American Tower Corp. — | ||||||||
Class A* | 29,520 | 1,513,195 | ||||||
Crown Castle International Corp.* | 27,110 | 1,196,906 | ||||||
Sprint Nextel Corp.* | 253,730 | 1,174,770 | ||||||
CenturyLink, Inc. | 21,550 | 850,363 | ||||||
NII Holdings, Inc.* | 20,640 | 848,304 | ||||||
Qwest Communications | ||||||||
International, Inc. | 130,560 | 818,611 | ||||||
SBA Communications Corp. — Class A* | 17,640 | 710,892 | ||||||
Frontier Communications Corp. | 84,160 | 687,587 | ||||||
MetroPCS Communications, Inc.* | 63,170 | 660,758 | ||||||
Windstream Corp. | 48,130 | 591,518 | ||||||
United States Cellular Corp.* | 11,030 | 507,049 | ||||||
Clearwire Corp. — Class A* | 62,530 | 505,868 | ||||||
Tele Norte Leste Participacoes | ||||||||
S.A. ADR | 31,570 | 444,506 | ||||||
Syniverse Holdings, Inc.* | 18,640 | 422,569 | ||||||
Telephone & Data Systems, Inc. | 12,620 | 413,936 | ||||||
tw telecom inc — Class A* | 21,390 | 397,212 | ||||||
Leap Wireless International, Inc.* | 28,500 | 351,975 | ||||||
AboveNet, Inc.* | 5,200 | 270,868 | ||||||
Level 3 Communications, Inc.* | 279,410 | 261,891 | ||||||
PAETEC Holding Corp.* | 46,350 | 190,499 | ||||||
Consolidated Communications | ||||||||
Holdings, Inc. | 9,800 | 182,966 | ||||||
Cincinnati Bell, Inc.* | 63,460 | 169,438 | ||||||
Iridium Communications, Inc.* | 19,830 | 169,348 | ||||||
Vonage Holdings Corp.* | 41,120 | 104,856 | ||||||
Total Telecommunication Services | 27,240,316 | |||||||
8 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
U.S. LONG SHORT MOMENTUM FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Utilities - 16.2% | ||||||||
Dominion Resources, Inc. | 35,250 | $ | 1,539,015 | |||||
Southern Co. | 38,970 | 1,451,243 | ||||||
Exelon Corp. | 32,090 | 1,366,392 | ||||||
Duke Energy Corp. | 71,610 | 1,268,213 | ||||||
NextEra Energy, Inc. | 22,780 | 1,239,004 | ||||||
PG&E Corp. | 27,220 | 1,236,332 | ||||||
Public Service Enterprise | ||||||||
Group, Inc. | 36,170 | 1,196,504 | ||||||
Sempra Energy | 20,930 | 1,126,034 | ||||||
Consolidated Edison, Inc. | 23,070 | 1,112,435 | ||||||
American Electric Power | ||||||||
Company, Inc. | 29,440 | 1,066,611 | ||||||
Xcel Energy, Inc. | 42,440 | 974,847 | ||||||
Entergy Corp. | 12,650 | 968,104 | ||||||
Progress Energy, Inc. | 21,200 | 941,704 | ||||||
PPL Corp. | 33,750 | 919,013 | ||||||
Edison International | 25,680 | 883,135 | ||||||
FirstEnergy Corp. | 22,680 | 874,087 | ||||||
Ameren Corp. | 28,590 | 811,956 | ||||||
DTE Energy Co. | 17,550 | 806,072 | ||||||
CenterPoint Energy, Inc. | 50,600 | 795,432 | ||||||
Wisconsin Energy Corp. | 13,720 | 793,016 | ||||||
SCANA Corp. | 16,720 | 674,150 | ||||||
NiSource, Inc. | 38,720 | 673,728 | ||||||
NSTAR | 15,810 | 622,124 | ||||||
Alliant Energy Corp. | 16,830 | 611,771 | ||||||
Northeast Utilities | 20,330 | 601,158 | ||||||
OGE Energy Corp. | 14,870 | 592,867 | ||||||
Pinnacle West Capital Corp. | 13,610 | 561,685 | ||||||
Pepco Holdings, Inc. | 29,600 | 550,560 | ||||||
Allegheny Energy, Inc. | 21,690 | 531,839 | ||||||
DPL, Inc. | 17,210 | 449,697 | ||||||
Total Utilities | 27,238,728 | |||||||
Consumer Staples - 9.9% | ||||||||
Philip Morris International, Inc. | 49,000 | 2,744,980 | ||||||
Avon Products, Inc. | 63,070 | 2,025,178 | ||||||
Altria Group, Inc. | 79,480 | 1,909,110 | ||||||
Estee Lauder Companies, Inc. | ||||||||
— Class A | 24,000 | 1,517,520 | ||||||
Alberto-Culver Co. — Class B | 29,770 | 1,120,841 | ||||||
Reynolds American, Inc. | 18,470 | 1,096,933 | ||||||
Herbalife Ltd. | 17,350 | 1,047,072 | ||||||
NBTY, Inc.* | 17,740 | 975,345 | ||||||
Lorillard, Inc. | 11,540 | 926,777 | ||||||
Nu Skin Enterprises, Inc. — | ||||||||
Class A | 25,450 | 732,960 | ||||||
Revlon, Inc. — Class A* | 35,550 | 448,641 | ||||||
Elizabeth Arden, Inc.* | 21,190 | 423,588 | ||||||
Prestige Brands Holdings, Inc.* | 42,620 | 421,512 | ||||||
USANA Health Sciences, Inc.* | 10,220 | 412,479 | ||||||
Medifast, Inc.* | 12,610 | 342,109 | ||||||
Vector Group Ltd. | 16,894 | 315,918 | ||||||
Universal Corp. | 6,080 | 243,747 | ||||||
Total Consumer Staples | 16,704,710 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
Industrials - 9.5% | ||||||||
Southwest Airlines Co. | 104,460 | $ | 1,365,292 | |||||
Delta Air Lines, Inc.* | 109,150 | 1,270,506 | ||||||
Caterpillar, Inc. | 11,880 | 934,718 | ||||||
United Continental Holdings, | ||||||||
Inc.* | 37,500 | 886,125 | ||||||
Continental Airlines, Inc. — | ||||||||
Class B* | 33,370 | 828,911 | ||||||
Deere & Co. | 10,100 | 704,778 | ||||||
Danaher Corp. | 16,860 | 684,685 | ||||||
Illinois Tool Works, Inc. | 13,940 | 655,459 | ||||||
JetBlue Airways Corp.* | 93,960 | 628,592 | ||||||
AMR Corp.* | 96,310 | 603,864 | ||||||
Alaska Air Group, Inc.* | 11,470 | 585,314 | ||||||
Copa Holdings S.A. — Class A | 10,710 | 577,376 | ||||||
Cummins, Inc. | 6,250 | 566,125 | ||||||
AirTran Holdings, Inc.* | 73,080 | 537,138 | ||||||
US Airways Group, Inc.* | 57,470 | 531,598 | ||||||
PACCAR, Inc. | 10,800 | 520,020 | ||||||
Eaton Corp. | 5,660 | 466,893 | ||||||
Parker Hannifin Corp. | 6,340 | 444,181 | ||||||
Ingersoll-Rand plc | 11,530 | 411,736 | ||||||
Dover Corp. | 7,850 | 409,849 | ||||||
Allegiant Travel Co. — Class A | 9,350 | 395,692 | ||||||
CNH Global N.V. | 10,530 | 385,819 | ||||||
Skywest, Inc. | 27,080 | 378,037 | ||||||
Joy Global, Inc. | 5,160 | 362,851 | ||||||
Flowserve Corp. | 3,050 | 333,731 | ||||||
Bucyrus International, Inc. — | ||||||||
Class A | 4,440 | 307,914 | ||||||
Pall Corp. | 6,910 | 287,732 | ||||||
Total Industrials | 16,064,936 | |||||||
Materials - 7.5% | ||||||||
E. I. du Pont de Nemours & Co. | 28,430 | 1,268,547 | ||||||
Potash Corporation of | ||||||||
Saskatchewan, Inc. | 8,580 | 1,235,863 | ||||||
Dow Chemical Co. | 41,970 | 1,152,496 | ||||||
Praxair, Inc. | 11,400 | 1,028,964 | ||||||
Mosaic Co. | 16,650 | 978,354 | ||||||
Syngenta AG ADR | 19,350 | 963,437 | ||||||
Monsanto Co. | 19,810 | 949,493 | ||||||
Air Products & Chemicals, Inc. | 10,210 | 845,592 | ||||||
PPG Industries, Inc. | 9,590 | 698,152 | ||||||
Agrium, Inc. | 9,170 | 687,658 | ||||||
Ecolab, Inc. | 13,480 | 683,975 | ||||||
Sherwin-Williams Co. | 7,570 | 568,810 | ||||||
Sigma-Aldrich Corp. | 9,110 | 550,062 | ||||||
Lubrizol Corp. | 5,180 | 548,925 | ||||||
CF Industries Holdings, Inc. | 5,300 | 506,150 | ||||||
Total Materials | 12,666,478 | |||||||
Total Common Stocks | ||||||||
(Cost $146,263,175) | 158,064,751 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
U.S. LONG SHORT MOMENTUM FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,1 - 5.7% | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | $3,652,118 | $ | 3,652,118 | |||||
HSBC Group | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 3,648,052 | 3,648,052 | ||||||
Morgan Stanley | ||||||||
issued 09/30/10 at 0.19% | ||||||||
due 10/01/10 | 1,507,460 | 1,507,460 | ||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | 385,143 | 385,143 | ||||||
Deutsche Bank | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 376,865 | 376,865 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $9,569,638) | 9,569,638 | |||||||
Total Investments - 99.5% | ||||||||
(Cost $155,832,813) | $ | 167,634,389 | ||||||
Cash & Other Assets, | ||||||||
Less Liabilities - 0.5% | 786,285 | |||||||
Total Net Assets - 100.0% | $ | 168,420,674 | ||||||
Unrealized | ||||||||
CONTRACTS | LOSS | |||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $14,313,600) | 252 | $ | (626,548 | ) | ||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | Repurchase Agreements — See Note 6. |
ADR — American Depositary Receipt. | |
REIT — Real Estate Investment Trust | |
plc — Public Limited Company |
10 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
U.S. LONG SHORT MOMENTUM FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 158,064,751 | ||
Repurchase agreement, at value | 9,569,638 | |||
Total investments | 167,634,389 | |||
Segregated cash with broker | 1,134,000 | |||
Cash | 25,075 | |||
Receivables: | ||||
Variation margin | 61,740 | |||
Fund shares sold | 61,174 | |||
Dividends | 243,063 | |||
Interest | 52 | |||
Total assets | 169,159,493 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 401,944 | |||
Management fees | 123,618 | |||
Custodian fees | 4,532 | |||
Transfer agent/maintenance fees | 34,338 | |||
Distribution and service fees | 66,317 | |||
Portfolio accounting fees | 13,735 | |||
Other | 94,335 | |||
Total liabilities | 738,819 | |||
Net assets | $ | 168,420,674 | ||
Net assets consist of: | ||||
Paid in capital | 256,320,947 | |||
Accumulated net investment loss | (426,040 | ) | ||
Accumulated net realized loss on sale of | ||||
investments | (98,649,261 | ) | ||
Net unrealized appreciation in value of | ||||
investments | 11,175,028 | |||
Net assets | 168,420,674 | |||
A-Class: | ||||
Net assets | $ | 27,876,301 | ||
Capital shares outstanding | 2,281,425 | |||
Net asset value per share | $12.22 | |||
Maximum offering price per share* | $12.83 | |||
C-Class: | ||||
Net assets | $ | 52,173,974 | ||
Capital shares outstanding | 4,554,931 | |||
Net asset value per share | $11.45 | |||
H-Class: | ||||
Net assets | $ | 88,370,399 | ||
Capital shares outstanding | 7,209,045 | |||
Net asset value per share | $12.26 | |||
Investments, at cost | $ | 146,263,175 | ||
Repurchase agreement, at cost | 9,569,638 | |||
Total cost | $ | 155,832,813 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding | ||||
tax of $11,951) | $ | 1,300,438 | ||
Interest | 5,422 | |||
Total investment income | 1,305,860 | |||
Expenses: | ||||
Management fees | 804,003 | |||
Transfer agent and administrative fees | 223,334 | |||
Distribution and Service Fees: | ||||
A-Class | 38,331 | |||
C-Class | 285,583 | |||
H-Class | 113,608 | |||
Portfolio accounting fees | 89,333 | |||
Trustees’ fees** | 7,155 | |||
Short sales dividend expense | 13,586 | |||
Prime broker interest expense | 4,829 | |||
Miscellaneous | 152,138 | |||
Total expenses | 1,731,900 | |||
Net investment loss | (426,040 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 7,711,505 | |||
Futures contracts | (147,732 | ) | ||
Securities sold short | (1,071,051 | ) | ||
Net realized gain | 6,492,722 | |||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | (12,587,726 | ) | ||
Futures contracts | (626,548 | ) | ||
Net unrealized depreciation | (13,214,274 | ) | ||
Net loss | (6,721,552 | ) | ||
Net decrease in net assets resulting | ||||
from operations | $ | (7,147,592 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 11 |
U.S. LONG SHORT MOMENTUM FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (426,040 | ) | $ | (1,691,200 | ) | ||
Net realized gain during the period on investments | 6,492,722 | 49,744,867 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (13,214,274 | ) | 22,166,738 | |||||
Net increase (decrease) in net assets resulting from operations | (7,147,592 | ) | 70,220,405 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,041,188 | 16,336,174 | ||||||
C-Class | 2,607,789 | 7,596,790 | ||||||
H-Class | 20,556,060 | 42,371,395 | ||||||
Redemption fees collected | ||||||||
A-Class | 1,639 | 3,166 | ||||||
C-Class | 3,070 | 5,697 | ||||||
H-Class | 4,899 | 7,927 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (11,194,679 | ) | (25,309,254 | ) | ||||
C-Class | (12,942,428 | ) | (23,736,570 | ) | ||||
H-Class | (28,075,890 | ) | (52,726,299 | ) | ||||
Net decrease from capital share transactions | (24,998,352 | ) | (35,450,974 | ) | ||||
Net increase (decrease) in net assets | (32,145,944 | ) | 34,769,431 | |||||
Net assets: | ||||||||
Beginning of period | 200,566,618 | 165,797,187 | ||||||
End of period | $ | 168,420,674 | $ | 200,566,618 | ||||
Accumulated net investment income (loss) at end of period | $ | (426,040 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 341,008 | 1,495,974 | ||||||
C-Class | 226,009 | 718,311 | ||||||
H-Class | 1,726,782 | 3,958,395 | ||||||
Shares redeemed | ||||||||
A-Class | (936,623 | ) | (2,322,899 | ) | ||||
C-Class | (1,149,895 | ) | (2,312,679 | ) | ||||
H-Class | (2,386,578 | ) | (4,887,679 | ) | ||||
Total capital share activity | (2,179,297 | ) | (3,350,577 | ) | ||||
12 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
U.S. LONG SHORT MOMENTUM FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.59 | $8.62 | $13.45 | $14.08 | $14.15 | $11.10 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.07 | ) | .01 | (.01 | ) | (.01 | ) | (.04 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.35 | ) | 4.04 | (4.84 | ) | .30 | .38 | 3.09 | ||||||||||||||||
Total from investment operations | (.37 | ) | 3.97 | (4.83 | ) | .29 | .37 | 3.05 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Redemption fees collected | — | c | — | c | — | c | .01 | — | c | — | ||||||||||||||
Net asset value, end of period | $12.22 | $12.59 | $8.62 | $13.45 | $14.08 | $14.15 | ||||||||||||||||||
Total Returnd | (2.94% | ) | 46.06% | (35.91% | ) | 1.50% | 2.75% | 27.48% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $27,876 | $36,231 | $31,925 | $49,148 | $39,804 | $30,593 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.25% | ) | (0.62% | ) | 0.13% | (0.08% | ) | (0.09% | ) | (0.33% | ) | |||||||||||||
Total expenses | 1.70% | 1.68% | 1.69% | 1.65% | 1.64% | 1.67% | ||||||||||||||||||
Operating expensese | 1.68% | 1.68% | 1.69% | 1.65% | 1.64% | 1.67% | ||||||||||||||||||
Portfolio turnover rate | 131% | 375% | 528% | 278% | 373% | 263% |
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $11.85 | $8.17 | $12.85 | $13.58 | $13.76 | $10.87 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.06 | ) | (.14 | ) | (.07 | ) | (.12 | ) | (.11 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.34 | ) | 3.82 | (4.61 | ) | .31 | .37 | 3.01 | ||||||||||||||||
Total from investment operations | (.40 | ) | 3.68 | (4.68 | ) | .19 | .26 | 2.89 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Redemption fees collected | — | c | — | c | — | c | .01 | — | c | — | ||||||||||||||
Net asset value, end of period | $11.45 | $11.85 | $8.17 | $12.85 | $13.58 | $13.76 | ||||||||||||||||||
Total Returnd | (3.38% | ) | 45.04% | (36.42% | ) | 0.81% | 2.02% | 26.59% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $52,174 | $64,918 | $57,792 | $115,136 | $118,422 | $118,083 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (1.00% | ) | (1.37% | ) | (0.66% | ) | (0.80% | ) | (0.86% | ) | (0.95% | ) | ||||||||||||
Total expenses | 2.45% | 2.43% | 2.44% | 2.41% | 2.39% | 2.41% | ||||||||||||||||||
Operating expensese | 2.43% | 2.43% | 2.44% | 2.41% | 2.39% | 2.41% | ||||||||||||||||||
Portfolio turnover rate | 131% | 375% | 528% | 278% | 373% | 263% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 13 |
U.S. LONG SHORT MOMENTUM 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.
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $12.63 | $8.65 | $13.49 | $14.12 | $14.18 | $11.12 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment lossb | (.01 | ) | (.07 | ) | (— | )f | (.02 | ) | (.02 | ) | (.03 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.36 | ) | 4.05 | (4.84 | ) | .31 | .40 | 3.09 | ||||||||||||||||
Total from investment operations | (.37 | ) | 3.98 | (4.84 | ) | .29 | .38 | 3.06 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.93 | ) | (.44 | ) | — | ||||||||||||||||
Redemption fees collected | — | c | — | c | — | c | .01 | — | c | — | ||||||||||||||
Net asset value, end of period | $12.26 | $12.63 | $8.65 | $13.49 | $14.12 | $14.18 | ||||||||||||||||||
Total Returnd | (2.93% | ) | 46.01% | (35.88% | ) | 1.50% | 2.81% | 27.52% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $88,370 | $99,418 | $76,080 | $178,949 | $140,774 | $246,029 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment loss | (0.22% | ) | (0.63% | ) | (0.01% | ) | (0.13% | ) | (0.16% | ) | (0.25%) | |||||||||||||
Total expenses | 1.70% | 1.68% | 1.68% | 1.65% | 1.65% | 1.66% | ||||||||||||||||||
Operating expensese | 1.68% | 1.68% | 1.68% | 1.65% | 1.65% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | 131% | 375% | 528% | 278% | 373% | 263% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover, have been annualized. | |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. | |
c | Redemption fees collected are less than $0.01 per share. | |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
e | Operating expenses exclude interest and dividend expense from securities sold short. | |
f | Net investment loss is less than $0.01 per share. |
14 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
INTERNATIONAL LONG SHORT SELECT FUND
(Formerly, International Opportunity Fund)
(Formerly, International Opportunity Fund)
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728006.gif)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728007.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | August 31, 2007 | |||
C-Class | August 31, 2007 | |||
H-Class | August 31, 2007 | |||
Ten Largest Long Holdings (% of Total Net Assets) | ||||
Fresenius Medical Care AG & Co. KGaA | 4.3 | % | ||
Apple, Inc. | 4.2 | % | ||
Hitachi Ltd. | 4.2 | % | ||
ACE Ltd. | 3.9 | % | ||
CNOOC Ltd. | 3.9 | % | ||
Julius Baer Group Ltd. | 3.7 | % | ||
Standard Chartered plc | 3.7 | % | ||
Sony Financial Holdings, Inc. | 3.3 | % | ||
Exxaro Resources Ltd. | 3.1 | % | ||
BNP Paribas | 3.0 | % | ||
Top Ten Total | 37.3 | % | ||
“Ten Largest Long Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 15 |
2
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
INTERNATIONAL LONG SHORT SELECT FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 84.5% | ||||||||
Financials - 21.3% | ||||||||
ACE Ltd.1 | 3,600 | $ | 209,700 | |||||
Julius Baer Group Ltd. | 5,556 | 202,257 | ||||||
Standard Chartered plc1 | 7,019 | 201,457 | ||||||
Sony Financial Holdings, Inc. | 54 | 175,936 | ||||||
BNP Paribas | 2,298 | 163,456 | ||||||
Toronto-Dominion Bank1 | 1,425 | 103,111 | ||||||
Banco Santander S.A.1 | 7,806 | 99,159 | ||||||
Total Financials | 1,155,076 | |||||||
Information Technology - 16.7% | ||||||||
Apple, Inc.1* | 807 | 228,986 | ||||||
Hitachi Ltd. | 51,565 | 225,444 | ||||||
Mastercard, Inc. — Class A | 709 | 158,816 | ||||||
Software AG | 1,300 | 157,039 | ||||||
Xerox Corp.1 | 13,200 | 136,620 | ||||||
Total Information Technology | 906,905 | |||||||
Consumer Discretionary - 11.3% | ||||||||
Kingfisher plc | 41,333 | 152,138 | ||||||
Compass Group plc1 | 17,585 | 146,553 | ||||||
Wynn Macau Ltd.* | 72,800 | 125,917 | ||||||
ProSiebenSat. Media AG1 | 4,197 | 99,739 | ||||||
Renault S.A. | 1,739 | 89,493 | ||||||
Total Consumer Discretionary | 613,840 | |||||||
Industrials - 7.8% | ||||||||
Deutsche Lufthansa AG | 6,080 | 111,785 | ||||||
Marubeni Corp. | 19,000 | 107,421 | ||||||
Amada Company Ltd. | 15,000 | 102,773 | ||||||
SembCorp Marine Ltd. | 34,000 | 101,612 | ||||||
Total Industrials | 423,591 | |||||||
Consumer Staples - 7.3% | ||||||||
Koninklijke Ahold N.V. | 11,570 | 155,981 | ||||||
Marine Harvest ASA | 147,556 | 128,599 | ||||||
Imperial Tobacco Group plc | 3,777 | 112,559 | ||||||
Total Consumer Staples | 397,139 | |||||||
Materials - 6.0% | ||||||||
Exxaro Resources Ltd. | 9,611 | 166,054 | ||||||
Osisko Mining Corp.1* | 11,100 | 158,048 | ||||||
Total Materials | 324,102 | |||||||
Energy - 5.9% | ||||||||
CNOOC Ltd. | 108,000 | 209,349 | ||||||
Royal Dutch Shell plc1 — Class A | 3,640 | 109,563 | ||||||
Total Energy | 318,912 | |||||||
Health Care - 4.3% | ||||||||
Fresenius Medical Care AG & Co. KGaA1 | 3,746 | 231,389 | ||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
Telecommunication Services - 3.9% | ||||||||
Koninklijke KPN N.V. | 6,999 | $ | 108,261 | |||||
Deutsche Telekom AG | 7,475 | 102,272 | ||||||
Total Telecommunication Services | 210,533 | |||||||
Total Common Stocks (Cost $4,046,504) | 4,581,487 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS††,2 - 22.9% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | $ | 473,867 | 473,867 | |||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 473,340 | 473,340 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 195,595 | 195,595 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 49,973 | 49,973 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 48,899 | 48,899 | ||||||
Total Repurchase Agreements (Cost $1,241,674) | 1,241,674 | |||||||
Total Long Securities - 107.4% (Cost $5,288,178) | $5,823,161 | |||||||
SHARES | ||||||||
COMMON STOCKS SOLD SHORT† - (27.1)% | ||||||||
Health Care - (2.5)% | ||||||||
William Demant Holding AS* | 1,803 | $ | (133,052 | ) | ||||
Consumer Staples - (3.3)% | ||||||||
Kao Corp. | 7,400 | (180,291 | ) | |||||
Energy - (5.8)% | ||||||||
Showa Shell Sekiyu KK | 19,100 | (145,964 | ) | |||||
Neste Oil Oyj | 10,910 | (170,466 | ) | |||||
Total Energy | (316,430 | ) | ||||||
Financials - (6.4)% | ||||||||
Banco de Sabadell S.A. | 22,587 | (113,143 | ) | |||||
Insurance Australia Group Ltd. | 32,466 | (114,197 | ) | |||||
Bankinter S.A. | 16,816 | (116,860 | ) | |||||
Total Financials | (344,200 | ) | ||||||
16 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
INTERNATIONAL LONG SHORT SELECT FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Information Technology - (9.1)% | ||||||||
STMicroelectronics N.V. | 6,100 | $ | (46,543 | ) | ||||
LSI Corp.* | 11,000 | (50,160 | ) | |||||
Intersil Corp. | 4,700 | (54,943 | ) | |||||
Solarworld AG | 7,353 | (92,232 | ) | |||||
Foxconn International Holdings Ltd.* | 146,895 | (107,915 | ) | |||||
Semiconductor Manufacturing International Corp.* | 1,986,000 | (143,340 | ) | |||||
Total Information Technology | (495,133 | ) | ||||||
Total Common Stocks Sold Short (Proceeds $1,331,353) | $ | (1,469,106 | ) | |||||
Cash, Other Assets, Less Liabilities 19.7% | 1,066,438 | |||||||
Total Net Assets - 100.0% | $ | 5,420,493 | ||||||
Country Diversification
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728008.gif)
The pie chart above reflects percentages of
the market value of Long Stocks.
the market value of Long Stocks.
Country Diversification
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728009.gif)
The pie chart above reflects percentages of
the market value of Short Stocks.
the market value of Short Stocks.
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | All or a portion of this security is pledged as short security collateral at September 30, 2010. |
2 | Repurchase Agreements — See Note 6. |
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 17 |
INTERNATIONAL LONG SHORT SELECT FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 4,581,487 | ||
Repurchase agreement, at value | 1,241,674 | |||
Total investments | 5,823,161 | |||
Segregated cash with broker | 1,139,908 | |||
Foreign currency, at value | 1,484 | |||
Receivables: | ||||
Securities sold | 113,797 | |||
Fund shares sold | 3,492 | |||
Dividends | 12,237 | |||
Interest | 55 | |||
Forward exchange | 59,896 | |||
Other assets | 898 | |||
Total assets | 7,154,928 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 1,492 | |||
Securities sold short, at value | 1,469,106 | |||
Payable for: | ||||
Securities purchased | 181,604 | |||
Fund shares redeemed | 1,839 | |||
Management fees | 3,794 | |||
Custodian fees | 1,023 | |||
Transfer agent/maintenance fees | 1,054 | |||
Distribution and service fees | 1,724 | |||
Portfolio accounting fees | 421 | |||
Interest | 8,265 | |||
Forward exchange | 59,948 | |||
Other | 4,165 | |||
Total liabilities | 1,734,435 | |||
Net assets | $ | 5,420,493 | ||
Net assets consist of: | ||||
Paid in capital | 19,561,099 | |||
Accumulated net investment loss | (190,369 | ) | ||
Accumulated net realized loss on sale of investments | (14,347,311 | ) | ||
Net unrealized appreciation in value of investments | 397,074 | |||
Net assets | 5,420,493 | |||
A-Class: | ||||
Net assets | $ | 1,085,245 | ||
Capital shares outstanding | 57,926 | |||
Net asset value per share | $18.73 | |||
Maximum offering price per share* | $19.66 | |||
C-Class: | ||||
Net assets | $ | 1,083,617 | ||
Capital shares outstanding | 59,164 | |||
Net asset value per share | $18.32 | |||
H-Class: | ||||
Net assets | $ | 3,251,631 | ||
Capital shares outstanding | 173,493 | |||
Net asset value per share | $18.74 | |||
Investments, at cost | $ | 4,046,504 | ||
Repurchase agreement, at cost | 1,241,674 | |||
Total cost | $ | 5,288,178 | ||
Securities sold short, proceeds | 1,331,353 | |||
Foreign Currency, at cost | 1,640 |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $3,956) | $ | 38,759 | ||
Interest | 144 | |||
Total investment income | 38,903 | |||
Expenses: | ||||
Management fees | 45,065 | |||
Transfer agent and administrative fees | 12,518 | |||
Distribution and Service Fees: | ||||
A-Class | 3,593 | |||
C-Class | 6,122 | |||
H-Class | 7,395 | |||
Portfolio accounting fees | 5,007 | |||
Trustees’ fees** | 642 | |||
Short sales dividend expense | 14,921 | |||
Prime broker interest expense | 21,002 | |||
Registration | 10,184 | |||
Miscellaneous | 1,996 | |||
Total expenses | 128,445 | |||
Net investment loss | (89,542 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (293,567 | ) | ||
Futures contracts | (1,725,542 | ) | ||
Foreign currency | (171,553 | ) | ||
Securities sold short | (277,328 | ) | ||
Net realized loss | (2,467,990 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 131,434 | |||
Futures contracts | 108,090 | |||
Foreign currency | 9,179 | |||
Securities sold short | (137,753 | ) | ||
Net unrealized appreciation | 110,950 | |||
Net loss | (2,357,040 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,446,582 | ) | |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INTERNATIONAL LONG SHORT SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (89,542 | ) | $ | (52,885 | ) | ||
Net realized gain (loss) during the period on investments | (2,467,990 | ) | 4,875,943 | |||||
Net unrealized appreciation (depreciation) during the period on investments | 110,950 | (320,152 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (2,446,582 | ) | 4,502,906 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (13,643 | ) | |||||
C-Class | — | (5,782 | ) | |||||
H-Class | — | (39,039 | ) | |||||
Total distributions to shareholders | — | (58,464 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 516,475 | 14,322,044 | ||||||
C-Class | 569,747 | 6,582,378 | ||||||
H-Class | 14,660,457 | 45,391,991 | ||||||
Redemption fees collected | ||||||||
A-Class | 11,765 | 39,865 | ||||||
C-Class | 3,562 | 16,020 | ||||||
H-Class | 25,235 | 69,804 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 12,778 | ||||||
C-Class | — | 5,349 | ||||||
H-Class | — | 38,899 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,720,775 | ) | (17,373,154 | ) | ||||
C-Class | (709,192 | ) | (7,795,286 | ) | ||||
H-Class | (15,880,420 | ) | (44,736,403 | ) | ||||
Net decrease from capital share transactions | (5,523,146 | ) | (3,425,715 | ) | ||||
Net increase (decrease) in net assets | (7,969,728 | ) | 1,018,727 | |||||
Net assets: | ||||||||
Beginning of period | 13,390,221 | 12,371,494 | ||||||
End of period | $ | 5,420,493 | $ | 13,390,221 | ||||
Accumulated net investment loss at end of period | $ | (190,369 | ) | $ | (100,827 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 27,944 | 775,968 | ||||||
C-Class | 28,763 | 349,679 | ||||||
H-Class | 708,466 | 2,286,872 | ||||||
Shares reinvested | ||||||||
A-Class | — | 594 | ||||||
C-Class | — | 252 | ||||||
H-Class | — | 1,804 | ||||||
Shares redeemed | ||||||||
A-Class | (264,978 | ) | (976,943 | ) | ||||
C-Class | (39,461 | ) | (398,927 | ) | ||||
H-Class | (824,773 | ) | (2,284,588 | ) | ||||
Total capital share activity | (364,039 | ) | (245,289 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 19 |
INTERNATIONAL LONG SHORT SELECT FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.49 | $13.76 | $22.93 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.17 | ) | .05 | (.05 | ) | .53 | ||||||||||
Net gain (loss) on securities (realized and unrealized) | (1.67 | ) | 6.60 | (8.84 | ) | (1.98 | ) | |||||||||
Total from investment operations | (1.84 | ) | 6.65 | (8.89 | ) | (1.45 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.33 | ) | (.41 | ) | |||||||||
Distributions from realized gains | — | — | — | (.24 | ) | |||||||||||
Total distributions | — | (.03 | ) | (.33 | ) | (.65 | ) | |||||||||
Redemption fees collected | .08 | .11 | .05 | .03 | ||||||||||||
Net asset value, end of period | $18.73 | $20.49 | $13.76 | $22.93 | ||||||||||||
Total Returnd | (8.59% | ) | 49.14% | (38.64% | ) | (5.93% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $1,085 | $6,043 | $6,818 | $13,483 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.79% | ) | 0.24% | (0.24% | ) | 3.68% | f | |||||||||
Total expenses | 2.48% | 1.70% | 1.68% | 1.74% | f | |||||||||||
Operating expensese | 1.76% | 1.70% | 1.68% | 1.74% | f | |||||||||||
Portfolio turnover rate | 331% | 430% | 278% | 160% |
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | b | |||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.11 | $13.61 | $22.84 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.19 | ) | (.30 | ) | (.19 | ) | .39 | |||||||||
Net gain (loss) on securities (realized and unrealized) | (1.65 | ) | 6.73 | (8.76 | ) | (1.96 | ) | |||||||||
Total from investment operations | (1.84 | ) | 6.43 | (8.95 | ) | (1.57 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.33 | ) | �� | (.41 | ) | ||||||||
Distributions from realized gains | — | — | — | (.24 | ) | |||||||||||
Total distributions | — | (.03 | ) | (.33 | ) | (.64 | ) | |||||||||
Redemption fees collected | .05 | .10 | .05 | .06 | ||||||||||||
Net asset value, end of period | $18.32 | $20.11 | $13.61 | $22.84 | ||||||||||||
Total Returnd | (8.90% | ) | 48.00% | (39.06% | ) | (6.29% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $1,084 | $1,405 | $1,618 | $3,603 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (2.01% | ) | (1.57% | ) | (1.00% | ) | 2.70% | f | ||||||||
Total expenses | 3.22% | 2.43% | 2.43% | 2.49% | f | |||||||||||
Operating expensese | 2.50% | 2.43% | 2.43% | 2.49% | f | |||||||||||
Portfolio turnover rate | 331% | 430% | 278% | 160% |
20 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INTERNATIONAL LONG SHORT SELECT 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.
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.50 | $13.77 | $22.94 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.17 | ) | (.03 | ) | (.03 | ) | .45 | |||||||||
Net gain (loss) on securities (realized and unrealized) | (1.67 | ) | 6.68 | (8.86 | ) | (1.95 | ) | |||||||||
Total from investment operations | (1.84 | ) | 6.65 | (8.89 | ) | (1.50 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (.03 | ) | (.33 | ) | (.41 | ) | |||||||||
Distributions from realized gains | — | — | — | (.24 | ) | |||||||||||
Total distributions | — | (.03 | ) | (.33 | ) | (.65 | ) | |||||||||
Redemption fees collected | .08 | .11 | .05 | .09 | ||||||||||||
Net asset value, end of period | $18.74 | $20.50 | $13.77 | $22.94 | ||||||||||||
Total Returnd | (8.59% | ) | 49.11% | (38.63% | ) | (5.89% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $3,252 | $5,942 | $3,936 | $13,775 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.74% | ) | (0.16% | ) | (0.16% | ) | 3.19% | f | ||||||||
Total expenses | 2.47% | 1.68% | 1.68% | 1.75% | f | |||||||||||
Operating expensese | 1.76% | 1.68% | 1.68% | 1.75% | f | |||||||||||
Portfolio turnover rate | 331% | 430% | 278% | 160% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Since commencement of operations August 31, 2007. | |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. | |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
e | Operating expenses exclude interest and dividend expense from securities sold short. | |
f | Annualized |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 21 |
FUND PROFILE (Unaudited)
September 30, 2010
ALTERNATIVE STRATEGIES ALLOCATION FUND
OBJECTIVE: Seeks to deliver a return that has a low correlation to the returns of traditional stock and bond asset classes as well as provide capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728010.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 7, 2008 | |||
C-Class | March 7, 2008 | |||
H-Class | March 7, 2008 | |||
Ten Largest Holdings (% of Total Net Assets) | ||||
RSF — Managed Futures Strategy Fund — Class A | 20.3 | % | ||
RSF — Equity Market Neutral Fund — Class A | 16.7 | % | ||
RSF — Long/Short Commodities Strategy Fund — Class A | 10.5 | % | ||
RSF — Event Driven and Distressed Strategies Fund — Class A | 9.9 | % | ||
RSF — Long Short Interest Rate Strategy Fund — Class A | 9.8 | % | ||
RSF — Alternative Strategies Fund — Class A | 9.8 | % | ||
RSF — Multi-Hedge Strategies Fund — Class A | 8.2 | % | ||
PowerShares DB G10 Currency Harvest Fund | 4.9 | % | ||
RSF — Long Short Equity Strategy Fund — Class A | 4.9 | % | ||
RSF — Real Estate Fund — Class A | 3.0 | % | ||
Top Ten Total | 98.0 | % | ||
“Holdings” exclude any temporary cash or derivative investments. | ||||
RSF — Rydex Series Funds | ||||
22 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ALTERNATIVE STRATEGIES ALLOCATION FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CURRENCY EXCHANGE TRADED FUND† - 4.9% | ||||||||
PowerShares DB G10 Currency Harvest Fund | 52,580 | $ | 1,221,959 | |||||
Total Currency Exchange Traded Fund (Cost $1,074,471) | 1,221,959 | |||||||
MUTUAL FUNDS†,2 - 94.1% | ||||||||
RSF — Managed Futures Strategy Fund* | 205,950 | 5,037,539 | ||||||
RSF — Equity Market Neutral Fund | 184,483 | 4,134,273 | ||||||
RSF — Long/Short Commodities Strategy Fund* | 105,568 | 2,604,359 | ||||||
RSF — Event Driven and Distressed Strategies Fund* | 91,104 | 2,445,234 | ||||||
RSF — Long Short Interest Rate Strategy Fund* | 94,594 | 2,426,331 | ||||||
RSF — Alternative Strategies Fund* | 92,625 | 2,419,360 | ||||||
RSF — Multi-Hedge Strategies Fund* | 97,175 | 2,046,510 | ||||||
RSF — Long Short Equity Strategy Fund* | 45,495 | 1,212,895 | ||||||
RSF — Real Estate Fund | 28,903 | 748,302 | ||||||
RSF — Commodities Strategy Fund | 16,564 | 252,765 | ||||||
Total Mutual Funds (Cost $23,043,957) | 23,327,568 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT††,1 - 1.1% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 272,163 | 272,163 | |||||
Total Repurchase Agreement (Cost $272,163) | 272,163 | |||||||
Total Investments - 100.1% (Cost $24,390,591) | $ | 24,821,690 | ||||||
Liabilities, Less Cash & Other Assets - (0.1)% | (16,820 | ) | ||||||
Total Net Assets - 100.0% | $ | 24,804,870 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 7. | |
†† | Value determined based on Level 2 inputs — See Note 7. | |
1 | Repurchase Agreements — See Note 6. | |
2 | A-Class shares of Affiliated Funds. | |
RSF — Rydex Series Funds |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 23 |
ALTERNATIVE STRATEGIES ALLOCATION FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 1,221,959 | ||
Investments, at value, in Affiliated Funds | 23,327,568 | |||
Repurchase agreement, at value | 272,163 | |||
Total investments | 24,821,690 | |||
Receivables: | ||||
Fund shares sold | 140 | |||
Total assets | 24,821,830 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 14,100 | |||
Custodian fees | 27 | |||
Distribution and service fees | 2,833 | |||
Total liabilities | 16,960 | |||
Net assets | $ | 24,804,870 | ||
Net assets consist of: | ||||
Paid in capital | 33,005,618 | |||
Undistributed net investment income | 170,465 | |||
Accumulated net realized loss on sale of investments | (8,802,312 | ) | ||
Net unrealized appreciation in value of investments | 431,099 | |||
Net assets | 24,804,870 | |||
A-Class: | ||||
Net assets | $ | 4,180,776 | ||
Capital shares outstanding | 213,562 | |||
Net asset value per share | $19.58 | |||
Maximum offering price per share* | $20.56 | |||
C-Class: | ||||
Net assets | $ | 4,518,447 | ||
Capital shares outstanding | 235,296 | |||
Net asset value per share | $19.20 | |||
H-Class: | ||||
Net assets | $ | 16,105,647 | ||
Capital shares outstanding | 822,818 | |||
Net asset value per share | $19.57 | |||
Investments, at cost | $ | 24,118,428 | ||
Repurchase agreement, at cost | 272,163 | |||
Total cost | $ | 24,390,591 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Interest | $ | 170 | ||
Total investment income | 170 | |||
Expenses: | ||||
Distribution and Service Fees: | ||||
C-Class | 20,947 | |||
Miscellaneous | 680 | |||
Total expenses | 21,627 | |||
Net investment loss | (21,457 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | (1,025,815 | ) | ||
Investment in Affiliated Funds | (338,217 | ) | ||
Net realized loss | (1,364,032 | ) | ||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 433,626 | |||
Net unrealized appreciation | 433,626 | |||
Net loss | (930,406 | ) | ||
Net decrease in net assets resulting from operations | $ | (951,863 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
24 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
ALTERNATIVE STRATEGIES ALLOCATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (21,457 | ) | $ | (45,512 | ) | ||
Net realized loss during the period on investments | (1,364,032 | ) | (769,516 | ) | ||||
Net unrealized appreciation during the period on investments | 433,626 | 2,196,621 | ||||||
Net increase (decrease) in net assets resulting from operations | (951,863 | ) | 1,381,593 | |||||
Distributions to shareholders | — | — | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 925,958 | 2,960,895 | ||||||
C-Class | 453,436 | 3,011,663 | ||||||
H-Class | 3,609,469 | 16,931,859 | ||||||
Redemption fees collected | ||||||||
A-Class | 54 | 1,867 | ||||||
C-Class | 68 | 3,336 | ||||||
H-Class | 209 | 9,800 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,086,557 | ) | (4,545,011 | ) | ||||
C-Class | (2,691,355 | ) | (4,063,013 | ) | ||||
H-Class | (5,979,049 | ) | (17,262,772 | ) | ||||
Net decrease from capital share transactions | (4,767,767 | ) | (2,951,376 | ) | ||||
Net decrease in net assets | (5,719,630 | ) | (1,569,783 | ) | ||||
Net assets: | ||||||||
Beginning of period | 30,524,500 | 32,094,283 | ||||||
End of period | $ | 24,804,870 | $ | 30,524,500 | ||||
Undistributed net investment income at end of period | $ | 170,465 | $ | 191,922 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 46,625 | 147,132 | ||||||
C-Class | 23,366 | 151,348 | ||||||
H-Class | 184,816 | 842,841 | ||||||
Shares redeemed | ||||||||
A-Class | (55,930 | ) | (225,223 | ) | ||||
C-Class | (139,494 | ) | (204,224 | ) | ||||
H-Class | (307,569 | ) | (856,182 | ) | ||||
Total capital share activity | (248,186 | ) | (144,308 | ) | ||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 25 |
2
ALTERNATIVE STRATEGIES ALLOCATION FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.16 | $19.33 | $24.84 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (— | )d | — | d | .62 | — | d | |||||||||
Net gain (loss) on securities (realized and unrealized) | (.58 | ) | .82 | (5.69 | ) | (.16 | ) | |||||||||
Total from investment operations | (.58 | ) | .82 | (5.07 | ) | (.16 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.44 | ) | — | |||||||||||
Distributions from realized gains | — | — | (.03 | ) | — | |||||||||||
Total distributions | — | — | (.47 | ) | — | |||||||||||
Redemption fees collected | — | e | .01 | .03 | — | |||||||||||
Net asset value, end of period | $19.58 | $20.16 | $19.33 | $24.84 | ||||||||||||
Total Returnf | (2.88% | ) | 4.29% | (20.39% | ) | (0.64% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $4,181 | $4,492 | $5,816 | $1,121 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.00% | ) | 0.16% | 2.82% | 0.16% | g,h | ||||||||||
Total expensesi | 0.00% | 0.00% | 0.00% | 0.00% | g | |||||||||||
Portfolio turnover rate | 86% | 79% | 88% | — |
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $19.85 | $19.17 | $24.83 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.07 | ) | (.14 | ) | .39 | (.01 | ) | |||||||||
Net gain (loss) on securities (realized and unrealized) | (.58 | ) | .81 | (5.60 | ) | (.16 | ) | |||||||||
Total from investment operations | (.65 | ) | .67 | (5.21 | ) | (.17 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.44 | ) | — | |||||||||||
Distributions from realized gains | — | — | (.03 | ) | — | |||||||||||
Total distributions | — | — | (.47 | ) | — | |||||||||||
Redemption fees collected | — | e | .01 | .02 | — | |||||||||||
Net asset value, end of period | $19.20 | $19.85 | $19.17 | $24.83 | ||||||||||||
Total Returnf | (3.27% | ) | 3.55% | (21.00% | ) | (0.68% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $4,518 | $6,975 | $7,750 | $152 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.75% | ) | (0.58% | ) | 1.77% | (0.56% | )g,h | |||||||||
Total expensesi | 0.75% | 0.75% | 0.75% | 0.68% | g | |||||||||||
Portfolio turnover rate | 86% | 79% | 88% | — |
26 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
ALTERNATIVE STRATEGIES ALLOCATION 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.
Period | Period | |||||||||||||||
Ended | Year Ended | Year Ended | Ended | |||||||||||||
September 30, | March 31, | March 31, | March 31, | |||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | b | ||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $20.15 | $19.32 | $24.84 | $25.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (— | )d | .01 | .56 | — | d | ||||||||||
Net gain (loss) on securities (realized and unrealized) | (.58 | ) | .81 | (5.63 | ) | (.16 | ) | |||||||||
Total from investment operations | (.58 | ) | .82 | (5.07 | ) | (.16 | ) | |||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | — | (.44 | ) | — | |||||||||||
Distributions from realized gains | — | — | (.03 | ) | — | |||||||||||
Total distributions | — | — | (.47 | ) | — | |||||||||||
Redemption fees collected | — | e | .01 | .02 | — | |||||||||||
Net asset value, end of period | $19.57 | $20.15 | $19.32 | $24.84 | ||||||||||||
Total Returnf | (2.88% | ) | 4.30% | (20.43% | ) | (0.64% | ) | |||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $16,106 | $19,057 | $18,528 | $3,893 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.00% | ) | 0.19% | 2.55% | 0.12% | g,h | ||||||||||
Total expensesi | 0.00% | 0.00% | 0.00% | 0.00% | g | |||||||||||
Portfolio turnover rate | 86% | 79% | 88% | — |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover, have been annualized. |
b | Since commencement of operations March 7, 2008. |
c | Net investment income (loss) was computed using average shares outstanding throughout the period. |
d | Net investment income (loss) is less than $0.01 per share. |
e | Redemption fees collected are less than $0.01 per share. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
g | Annualized |
h | Due to limited length of fund operations, ratios for this period are not indicative of future class performance. |
i | Does not include expenses of the underlying funds in which the Fund invests. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 27 |
FUND PROFILE (Unaudited)
September 30, 2010
GLOBAL 130/30 STRATEGY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728011.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 31, 2004 | |||
C-Class | September 23, 2002 | |||
H-Class | September 23, 2002 |
Ten Largest Holdings (% of Total Net Assets) | ||||
Apple, Inc. | 4.5 | % | ||
Express Scripts, Inc. — Class A | 4.0 | % | ||
Hitachi Ltd. | 3.8 | % | ||
Mastercard, Inc. — Class A | 3.0 | % | ||
Osisko Mining Corp. | 2.7 | % | ||
Rent-A-Center, Inc. — Class A | 2.6 | % | ||
Julius Baer Group Ltd. | 2.6 | % | ||
Fresenius Medical Care AG & Co. KGaA | 2.5 | % | ||
Compass Group plc | 2.3 | % | ||
Exxaro Resources Ltd. | 2.3 | % | ||
Top Ten Total | 30.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
28 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
GLOBAL 130/30 STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 100.3% | ||||||||
Information Technology - 17.0% | ||||||||
Apple, Inc.* | 1,021 | $ | 289,709 | |||||
Hitachi Ltd. | 55,700 | 243,523 | ||||||
Mastercard, Inc. — Class A | 881 | 197,344 | ||||||
Software AG | 1,187 | 143,388 | ||||||
Xerox Corp. | 13,700 | 141,795 | ||||||
AOL, Inc.* | 1,858 | 45,985 | ||||||
CoreLogic, Inc. | 1,900 | 36,404 | ||||||
Total Information Technology | 1,098,148 | |||||||
Financials - 15.2% | ||||||||
Julius Baer Group Ltd.1 | 4,641 | 168,948 | ||||||
BNP Paribas1 | 2,044 | 145,389 | ||||||
Standard Chartered plc | 4,932 | 141,556 | ||||||
Sony Financial Holdings, Inc. | 40 | 130,323 | ||||||
JPMorgan Chase & Co. | 3,160 | 120,301 | ||||||
RenaissanceRe Holdings Ltd. | 900 | 53,964 | ||||||
PNC Financial Services Group, Inc. | 1,000 | 51,910 | ||||||
Fubon Financial Holding Company Ltd. | 40,000 | 49,292 | ||||||
PartnerRe Ltd. | 600 | 48,108 | ||||||
Validus Holdings Ltd. | 1,500 | 39,540 | ||||||
Hartford Financial Services Group, Inc. | 1,500 | 34,425 | ||||||
Total Financials | 983,756 | |||||||
Industrials - 12.9% | ||||||||
Deutsche Lufthansa AG | 7,688 | 141,349 | ||||||
Marubeni Corp. | 24,000 | 135,689 | ||||||
Amada Company Ltd. | 19,000 | 130,179 | ||||||
JetBlue Airways Corp.* | 9,000 | 60,210 | ||||||
Manitowoc Company, Inc. | 4,800 | 58,128 | ||||||
East Japan Railway Co. | 800 | 48,296 | ||||||
Alaska Air Group, Inc.* | 900 | 45,927 | ||||||
Alliant Techsystems, Inc.* | 600 | 45,240 | ||||||
United Continental Holdings, Inc.1* | 1,900 | 44,897 | ||||||
Central Japan Railway Co. | 6 | 44,128 | ||||||
Asiana Airlines | 4,760 | 39,321 | ||||||
US Airways Group, Inc.* | 4,200 | 38,850 | ||||||
Total Industrials | 832,214 | |||||||
Health Care - 11.6% | ||||||||
Express Scripts, Inc. — Class A* | 5,257 | 256,016 | ||||||
Fresenius Medical Care AG & Co. KGaA | 2,621 | 161,899 | ||||||
Endo Pharmaceuticals Holdings, Inc.* | 1,700 | 56,508 | ||||||
Zimmer Holdings, Inc.* | 1,000 | 52,330 | ||||||
CR Bard, Inc. | 600 | 48,858 | ||||||
Cephalon, Inc.* | 780 | 48,703 | ||||||
AstraZeneca plc | 943 | 47,924 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Humana, Inc.* | 900 | $ | 45,216 | |||||
Kinetic Concepts, Inc.* | 900 | 32,922 | ||||||
Total Health Care | 750,376 | |||||||
Consumer Discretionary - 11.1% | ||||||||
Rent-A-Center, Inc.1 — Class A | 7,600 | 170,088 | ||||||
Compass Group plc | 18,113 | �� | 150,953 | |||||
Kingfisher plc | 37,492 | 138,000 | ||||||
Wynn Macau Ltd.* | 63,446 | 109,738 | ||||||
Gannett Company, Inc. | 4,100 | 50,143 | ||||||
Tractor Supply Co.1 | 1,050 | 41,643 | ||||||
Apollo Group, Inc. — Class A* | 665 | 34,148 | ||||||
Pulte Group, Inc.* | 2,500 | 21,900 | ||||||
Total Consumer Discretionary | 716,613 | |||||||
Energy - 9.9% | ||||||||
Royal Dutch Shell plc1 — Class A | 4,625 | 139,211 | ||||||
CNOOC Ltd. | 71,188 | 137,992 | ||||||
Forest Oil Corp.* | 4,487 | 133,264 | ||||||
Occidental Petroleum Corp.1 | 1,530 | 119,799 | ||||||
Sunoco, Inc.1 | 1,100 | 40,150 | ||||||
Stone Energy Corp.* | 2,600 | 38,298 | ||||||
World Fuel Services Corp.1 | 1,340 | 34,854 | ||||||
Total Energy | 643,568 | |||||||
Materials - 8.7% | ||||||||
Osisko Mining Corp.* | 12,300 | 175,134 | ||||||
Exxaro Resources Ltd. | 8,630 | 149,105 | ||||||
Huntsman Corp. | 4,600 | 53,176 | ||||||
Newmont Mining Co. | 800 | 50,248 | ||||||
Yamana Gold, Inc. | 4,400 | 50,162 | ||||||
Harmony Gold Mining Company Ltd. | 4,341 | 48,589 | ||||||
Nippon Paper Group, Inc. | 1,600 | 40,036 | ||||||
Total Materials | 566,450 | |||||||
Telecommunication Services - 6.4% | ||||||||
Deutsche Telekom AG | 10,716 | 146,615 | ||||||
Koninklijke KPN N.V. | 7,600 | 117,557 | ||||||
MetroPCS Communications, Inc.* | 10,900 | 114,014 | ||||||
Taiwan Mobile Company Ltd. | 19,000 | 39,276 | ||||||
Total Telecommunication Services | 417,462 | |||||||
Consumer Staples - 5.3% | ||||||||
Marine Harvest ASA | 153,772 | 134,016 | ||||||
Koninklijke Ahold N.V. | 9,514 | 128,263 | ||||||
Archer-Daniels-Midland Co. | 1,345 | 42,933 | ||||||
Empire Company Ltd. — Class A | 680 | 36,389 | ||||||
Total Consumer Staples | 341,601 | |||||||
Utilities - 2.2% | ||||||||
UGI Corp.1 | 5,000 | 143,050 | ||||||
Total Common Stocks | ||||||||
(Cost $5,427,489) | 6,493,238 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 29 |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
GLOBAL 130/30 STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS††,2 - 0.4% | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 09/30/10 at 0.20% due 10/01/10 | $8,865 | $ | 8,865 | |||||
HSBC Group | ||||||||
issued 09/30/10 at 0.20% due 10/01/10 | 8,856 | 8,856 | ||||||
Morgan Stanley | ||||||||
issued 09/30/10 at 0.19% due 10/01/10 | 3,659 | 3,659 | ||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% due 10/01/10 | 935 | 935 | ||||||
Deutsche Bank | ||||||||
issued 09/30/10 at 0.20% due 10/01/10 | 915 | 915 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $23,230) | 23,230 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $5,450,719) | $ | 6,516,468 | ||||||
Liabilities, Less Cash & Other Assets - (0.7)% | (45,690 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,470,778 |
Country Diversification
![(PIE CHART)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728012.gif)
The pie chart above reflects percentages of
the market value of Common Stocks.
the market value of Common Stocks.
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | All or a portion of this security is pledged as short security collateral at September 30, 2010. |
2 | Repurchase Agreements — See Note 6. plc — Public Limited Company |
30 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
GLOBAL 130/30 STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 6,493,238 | ||
Repurchase agreement, at value | 23,230 | |||
Total investments | 6,516,468 | |||
Foreign currency, at value | 848,309 | |||
Receivables: | ||||
Securities sold | 145,894 | |||
Fund shares sold | 4,713 | |||
Dividends | 31,497 | |||
Interest | 60 | |||
Other assets | 1,083 | |||
Total assets | 7,548,024 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 1,009,022 | |||
Payable for: | ||||
Fund shares redeemed | 48,420 | |||
Management fees | 6,549 | |||
Custodian fees | 207 | |||
Transfer agent/maintenance fees | 1,559 | |||
Distribution and service fees | 3,844 | |||
Portfolio accounting fees | 623 | |||
Interest | 463 | |||
Other | 6,559 | |||
Total liabilities | 1,077,246 | |||
Net assets | $ | 6,470,778 | ||
Net assets consist of: | ||||
Paid in capital | 15,078,731 | |||
Accumulated net investment loss | (106,735 | ) | ||
Accumulated net realized loss on sale of investments | (9,585,146 | ) | ||
Net unrealized appreciation in value of investments | 1,083,928 | |||
Net assets | 6,470,778 | |||
A-Class: | ||||
Net assets | $ | 464,143 | ||
Capital shares outstanding | 50,208 | |||
Net asset value per share | $9.24 | |||
Maximum offering price per share* | $9.70 | |||
C-Class: | ||||
Net assets | $ | 3,762,049 | ||
Capital shares outstanding | 438,550 | |||
Net asset value per share | $8.58 | |||
H-CLASS: | ||||
Net assets | $ | 2,244,586 | ||
Capital shares outstanding | 242,580 | |||
Net asset value per share | $9.25 | |||
Investments, at cost | $ | 5,427,489 | ||
Repurchase agreement, at cost | 23,230 | |||
Total cost | $ | 5,450,719 | ||
Foreign Currency, at cost | 830,130 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $21,229) | $ | 151,740 | ||
Interest | 1,252 | |||
Total investment income | 152,992 | |||
Expenses: | ||||
Management fees | 61,215 | |||
Transfer agent and administrative fees | 14,575 | |||
Distribution and Service Fees: | ||||
A-Class | 4,109 | |||
C-Class | 20,309 | |||
H-Class | 5,389 | |||
Portfolio accounting fees | 5,830 | |||
Trustees’ fees** | 472 | |||
Short sales dividend expense | 19,057 | |||
Prime broker interest expense | 52,517 | |||
Custody Fees | 22,315 | |||
Miscellaneous | 8,400 | |||
Total expenses | 214,188 | |||
Net investment loss | (61,196 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 543,051 | |||
Foreign currency | (70,902 | ) | ||
Securities sold short | (151,704 | ) | ||
Net realized gain | 320,445 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,170,005 | ) | ||
Securities sold short | 637,085 | |||
Foreign currency | 18,515 | |||
Net unrealized depreciation | (514,405 | ) | ||
Net loss | (193,960 | ) | ||
Net decrease in net assets resulting from operations | $ | (255,156 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 31 |
1
GLOBAL 130/30 STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (61,196 | ) | $ | (90,744 | ) | ||
Net realized gain during the period on investments | 320,445 | 2,117,556 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (514,405 | ) | 2,208,216 | |||||
Net increase (decrease) in net assets resulting from operations | (255,156 | ) | 4,235,028 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (2,644 | ) | |||||
C-Class | — | (3,891 | ) | |||||
H-Class | — | (3,311 | ) | |||||
Total distributions to shareholders | — | (9,846 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,434,618 | 8,877,550 | ||||||
C-Class | 209,077 | 469,690 | ||||||
H-Class | 2,441,870 | 7,059,648 | ||||||
Redemption fees collected | ||||||||
A-Class | 66 | 746 | ||||||
C-Class | 75 | 840 | ||||||
H-Class | 88 | 863 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 2,621 | ||||||
C-Class | — | 3,483 | ||||||
H-Class | — | 3,131 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,905,001 | ) | (6,726,046 | ) | ||||
C-Class | (1,071,476 | ) | (2,974,681 | ) | ||||
H-Class | (4,947,436 | ) | (7,298,408 | ) | ||||
Net decrease from capital share transactions | (6,838,119 | ) | (580,563 | ) | ||||
Net increase (decrease) in net assets | (7,093,275 | ) | 3,644,619 | |||||
Net assets: | ||||||||
Beginning of period | 13,564,053 | 9,919,434 | ||||||
End of period | $ | 6,470,778 | $ | 13,564,053 | ||||
Accumulated net investment loss at end of period | $ | (106,735 | ) | $ | (45,539 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 168,649 | 1,193,478 | ||||||
C-Class | 24,636 | 58,891 | ||||||
H-Class | 280,209 | 917,327 | ||||||
Shares reinvested | ||||||||
A-Class | — | 292 | ||||||
C-Class | — | 415 | ||||||
H-Class | — | 348 | ||||||
Shares redeemed | ||||||||
A-Class | (560,176 | ) | (848,000 | ) | ||||
C-Class | (129,835 | ) | (388,511 | ) | ||||
H-Class | (566,273 | ) | (909,120 | ) | ||||
Total capital share activity | (782,790 | ) | 25,120 | |||||
32 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
2
GLOBAL 130/30 STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
A-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.19 | $6.91 | $11.79 | $17.05 | $16.72 | $15.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.02 | ) | .12 | .10 | .05 | (.01 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .09 | 2.31 | (4.98 | ) | (2.58 | ) | 1.38 | 2.59 | ||||||||||||||||
Total from investment operations | .05 | 2.29 | (4.86 | ) | (2.48 | ) | 1.43 | 2.58 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | (.06 | ) | (.02 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | — | — | (2.76 | ) | (1.10 | ) | (.87 | ) | |||||||||||||||
Total distributions | — | (.01 | ) | (.06 | ) | (2.78 | ) | (1.10 | ) | (.87 | ) | |||||||||||||
Redemption fees collected | — | c | — | c | .04 | — | c | — | c | — | ||||||||||||||
Net asset value, end of period | $9.24 | $9.19 | $6.91 | $11.79 | $17.05 | $16.72 | ||||||||||||||||||
Total Returnd | 0.87% | 33.08% | (40.85% | ) | (15.78% | ) | 8.89% | 17.55% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $464 | $4,058 | $663 | $3,361 | $5,680 | $3,079 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.89% | ) | (0.24% | ) | 1.17% | 0.64% | 0.32% | (0.08% | ) | |||||||||||||||
Total expenses | 3.39% | 3.15% | 1.12% | 1.21% | 1.32% | 1.66% | ||||||||||||||||||
Operating expensese | 2.15% | 2.16% | 1.12% | 1.21% | 1.32% | 1.66% | ||||||||||||||||||
Portfolio turnover rate | 170% | 432% | 254% | 149% | 138% | 168% |
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
C-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $8.55 | $6.48 | $11.14 | $16.39 | $16.24 | $14.71 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.09 | ) | .04 | (.02 | ) | (.09 | ) | (.13 | ) | |||||||||||||
Net gain (loss) on securities (realized and unrealized) | .09 | 2.17 | (4.68 | ) | (2.45 | ) | 1.34 | 2.53 | ||||||||||||||||
Total from investment operations | .03 | 2.08 | (4.64 | ) | (2.47 | ) | 1.25 | 2.40 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | (.06 | ) | (.02 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | — | — | (2.76 | ) | (1.10 | ) | (.87 | ) | |||||||||||||||
Total distributions | — | (.01 | ) | (.06 | ) | (2.78 | ) | (1.10 | ) | (.87 | ) | |||||||||||||
Redemption fees collected | — | c | — | c | .04 | — | c | — | c | — | ||||||||||||||
Net asset value, end of period | $8.58 | $8.55 | $6.48 | $11.14 | $16.39 | $16.24 | ||||||||||||||||||
Total Returnd | 0.59% | 32.04% | (41.26% | ) | (16.39% | ) | 8.03% | 16.68% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $3,762 | $4,649 | $5,659 | $15,906 | $30,181 | $30,981 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.42% | ) | (1.21% | ) | 0.42% | (0.13% | ) | (0.54% | ) | (0.87% | ) | |||||||||||||
Total expenses | 4.13% | 3.98% | 1.86% | 1.97% | 2.12% | 2.40% | ||||||||||||||||||
Net Expenses | 4.13% | 3.97% | 1.86% | 1.97% | 2.12% | 2.40% | ||||||||||||||||||
Operating expensese | 2.96% | 2.96% | 1.86% | 1.97% | 2.12% | 2.40% | ||||||||||||||||||
Portfolio turnover rate | 170% | 432% | 254% | 149% | 138% | 168% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 33 |
3
GLOBAL 130/30 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.
Period | ||||||||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31, | March 31, | |||||||||||||||||||
H-Class | 2010 | a | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.19 | $6.92 | $11.79 | $17.04 | $16.72 | $15.01 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.03 | ) | .11 | .09 | .03 | (.02 | ) | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .10 | 2.31 | (4.97 | ) | (2.56 | ) | 1.39 | 2.60 | ||||||||||||||||
Total from investment operations | .06 | 2.28 | (4.86 | ) | (2.47 | ) | 1.42 | 2.58 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net investment income | — | (.01 | ) | (.06 | ) | (.02 | ) | — | — | |||||||||||||||
Distributions from realized gains | — | — | — | (2.76 | ) | (1.10 | ) | (.87 | ) | |||||||||||||||
Total distributions | — | (.01 | ) | (.06 | ) | (2.78 | ) | (1.10 | ) | (.87 | ) | |||||||||||||
Redemption fees collected | — | c | — | c | .05 | — | c | — | c | — | ||||||||||||||
Net asset value, end of period | $9.25 | $9.19 | $6.92 | $11.79 | $17.04 | $16.72 | ||||||||||||||||||
Total Returnd | 0.98% | 32.89% | (40.77% | ) | (15.73% | ) | 8.83% | 17.55% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $2,245 | $4,857 | $3,597 | $13,192 | $41,562 | $53,323 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82% | ) | (0.30% | ) | 1.12% | 0.57% | 0.18% | (0.11% | ) | |||||||||||||||
Total expenses | 3.46% | 3.17% | 1.11% | 1.23% | 1.38% | 1.64% | ||||||||||||||||||
Operating expensese | 2.18% | 2.17% | 1.11% | 1.23% | 1.38% | 1.64% | ||||||||||||||||||
Portfolio turnover rate | 170% | 432% | 254% | 149% | 138% | 168% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) was computed using average shares outstanding throughout the period. | |
c | Redemption fees collected are less than $0.01 per share. | |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
e | Operating expenses exclude interest and dividend expense from securities sold short. |
34 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
EQUITY MARKET NEUTRAL FUND
(Formerly, Global Market Neutral Fund)
OBJECTIVE: Seeks to provide long-term absolute returns regardless of market conditions, while maintaining a low correlation to and mitigating the risks of the global equity market.
Holdings Diversification (Market Exposure as % of Net Assets)
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728013.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | March 30, 2009 | |||
C-Class | March 30, 2009 | |||
H-Class | March 30, 2009 | |||
Ten Largest Long Holdings (% of Total Net Assets) | ||||
Public Power Corp.S.A. | 1.8 | % | ||
Deluxe Corp. | 1.8 | % | ||
Hitachi Ltd. | 1.8 | % | ||
Stone Energy Corp. | 1.7 | % | ||
Whirlpool Corp. | 1.7 | % | ||
PDL BioPharma, Inc. | 1.7 | % | ||
Navistar International Corp. | 1.7 | % | ||
Sunoco, Inc. | 1.6 | % | ||
Elpida Memory, Inc. | 1.5 | % | ||
Oshkosh Corp. | 1.5 | % | ||
Top Ten Total | 16.8 | % | ||
“Ten Largest Long Holdings” exclude any temporary cash or derivative investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
EQUITY MARKET NEUTRAL FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS† - 96.5% | ||||||||
Industrials - 18.3% | ||||||||
Deluxe Corp.1 | 12,700 | $ | 242,951 | |||||
Navistar International Corp.1* | 5,000 | 218,200 | ||||||
Oshkosh Corp.1* | 7,400 | 203,500 | ||||||
Marubeni Corp.1 | 28,000 | 158,304 | ||||||
Atlas Air Worldwide Holdings, Inc.1* | 2,700 | 135,810 | ||||||
US Airways Group, Inc.1* | 13,900 | 128,575 | ||||||
Hong Leong Asia Ltd. | 49,000 | 123,711 | ||||||
NACCO Industries, Inc.1 — Class A | 1,400 | 122,346 | ||||||
ITOCHU Corp.1 | 13,000 | 118,967 | ||||||
SK Holdings Company Ltd.1 | 1,122 | 116,593 | ||||||
China COSCO Holdings Company Ltd. — Class H | 101,500 | 114,727 | ||||||
CSR Ltd. | 57,854 | 100,630 | ||||||
Alaska Air Group, Inc.1* | 1,900 | 96,957 | ||||||
Mitsui & Company Ltd.1 | 5,000 | 74,385 | ||||||
Seaboard Corp.1 | 37 | 65,527 | ||||||
United Continental Holdings, Inc.1* | 2,700 | 63,801 | ||||||
Huber & Suhner AG | 971 | 56,426 | ||||||
Saab AB1 — Class B | 3,878 | 56,218 | ||||||
RR Donnelley & Sons Co. | 3,300 | 55,968 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 39,000 | 52,198 | ||||||
JA Solar Holdings Company Ltd. — ADR1 ADR* | 3,900 | 36,387 | ||||||
Air China Ltd. — Class H | 26,000 | 35,922 | ||||||
Continental Airlines, Inc.1 — Class B* | 1,400 | 34,776 | ||||||
Total Industrials | 2,412,879 | |||||||
Consumer Discretionary - 17.5% | ||||||||
Whirlpool Corp.1 | 2,800 | 226,689 | ||||||
American Greetings Corp.1 — Class A | 10,500 | 195,195 | ||||||
Kesko Oyj1 — Class B | 3,874 | 181,803 | ||||||
ITT Educational Services, Inc.1* | 1,900 | 133,513 | ||||||
Pace plc | 40,483 | 110,978 | ||||||
Corinthian Colleges, Inc.1* | 15,000 | 105,300 | ||||||
Jones Apparel Group, Inc.1 | 5,300 | 104,092 | ||||||
Quebecor, Inc.1 — Class B | 2,600 | 87,054 | ||||||
Daiichikosho Company Ltd.1 | 5,300 | 82,530 | ||||||
Sumitomo Rubber Industries Ltd.1 | 8,400 | 82,003 | ||||||
Cooper Tire & Rubber Co.1 | 3,700 | 72,631 | ||||||
Priceline.com, Inc.1* | 200 | 69,668 | ||||||
Dex One Corp.1* | 5,400 | 66,312 | ||||||
TomTom N.V.1* | 8,313 | 57,747 | ||||||
Career Education Corp.1* | 2,600 | 55,822 | ||||||
Bon-Ton Stores, Inc.1 | 5,400 | 54,918 | ||||||
Valassis Communications, Inc.1* | 1,600 | 54,224 | ||||||
Apollo Group, Inc.1 — Class A* | 1,000 | 51,350 | ||||||
Plastic Omnium S.A. | 952 | 50,621 | ||||||
Toyo Tire & Rubber Company Ltd. | 24,000 | 50,021 | ||||||
Jarden Corp.1 | 1,600 | 49,808 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Promotora de Informaciones S.A. | 21,168 | $ | 47,620 | |||||
Goodyear Tire & Rubber Co.1* | 4,200 | 45,150 | ||||||
PGM Holdings K. K.1 | 64 | 40,783 | ||||||
Hermes International | 149 | 34,028 | ||||||
Dorel Industries, Inc.1 — Class B | 1,000 | 33,424 | ||||||
TRW Automotive Holdings Corp.1* | 800 | 33,248 | ||||||
Dillard’s, Inc.1 — Class A | 1,400 | 33,096 | ||||||
D’ieteren S.A. | 59 | 33,022 | ||||||
Gannett Company, Inc.1 | 2,700 | 33,021 | ||||||
Federal-Mogul Corp.1* | 1,700 | 32,147 | ||||||
Total Consumer Discretionary | 2,307,818 | |||||||
Energy - 12.8% | ||||||||
Stone Energy Corp.1* | 15,400 | 226,842 | ||||||
Sunoco, Inc.1 | 5,800 | 211,700 | ||||||
Transocean Ltd.1* | 3,100 | 199,299 | ||||||
Valero Energy Corp. | 10,900 | 190,859 | ||||||
Exterran Holdings, Inc.1* | 6,400 | 145,344 | ||||||
Idemitsu Kosan Company Ltd.1 | 1,400 | 120,069 | ||||||
Chesapeake Energy Corp.1 | 5,000 | 113,250 | ||||||
Caltex Australia Ltd.1 | 8,363 | 96,896 | ||||||
Murphy Oil Corp.1 | 1,400 | 86,688 | ||||||
TGS Nopec Geophysical Company ASA1 | 5,400 | 77,641 | ||||||
Cal Dive International, Inc.1* | 9,400 | 51,418 | ||||||
Tesoro Corp.1 | 3,700 | 49,432 | ||||||
Nexen, Inc.1 | 2,400 | 48,285 | ||||||
Gulfmark Offshore, Inc.1 — Class A* | 1,200 | 36,864 | ||||||
Encana Corp.1 | 1,200 | 36,260 | ||||||
Total Energy | 1,690,847 | |||||||
Materials - 11.9% | ||||||||
Norddeutsche Affinerie AG1 | 3,336 | 158,988 | ||||||
Nufarm Ltd. | 41,876 | 146,082 | ||||||
Newmont Mining Co.1 | 2,300 | 144,463 | ||||||
Xstrata plc1 | 4,850 | 92,840 | ||||||
Ashland, Inc.1 | 1,900 | 92,663 | ||||||
Gold Fields Ltd.1 | 6,025 | 91,301 | ||||||
Domtar Corp.1 | 1,300 | 83,954 | ||||||
Barrick Gold Corp.1 | 1,800 | 83,186 | ||||||
OneSteel Ltd. | 29,097 | 82,383 | ||||||
West Fraser Timber Company Ltd.1 | 2,100 | 77,150 | ||||||
Harmony Gold Mining Company Ltd. | 5,953 | 66,632 | ||||||
Boliden AB1 | 4,239 | 64,219 | ||||||
Metalurgica Gerdau S.A. — Class A | 3,900 | 62,819 | ||||||
Nippon Paper Group, Inc. | 2,300 | 57,552 | ||||||
Centerra Gold, Inc.1 | 3,500 | 56,468 | ||||||
Tokuyama Corp.1 | 8,000 | 40,630 | ||||||
Rhodia S.A. | 1,588 | 38,052 | ||||||
Ferrexpo plc | 7,571 | 36,669 |
36 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
EQUITY MARKET NEUTRAL FUND
Market | ||||||||
Shares | Value | |||||||
OSAKA Titanium Technologies Co. | 700 | $ | 32,784 | |||||
International Paper Co.1 | 1,500 | 32,625 | ||||||
Mitsui Chemicals, Inc. | 12,000 | 32,341 | ||||||
Total Materials | 1,573,801 | |||||||
Health Care - 11.4% | ||||||||
PDL BioPharma, Inc.1 | 42,400 | 223,024 | ||||||
Humana, Inc.1* | 3,900 | 195,936 | ||||||
Community Health Systems, Inc.1* | 5,700 | 176,529 | ||||||
Amedisys, Inc.1* | 6,000 | 142,800 | ||||||
Kindred Healthcare, Inc.1* | 10,900 | 141,918 | ||||||
Draegerwerk AG & Company KGaA | 1,255 | 114,660 | ||||||
Miraca Holdings, Inc.1 | 3,000 | 106,187 | ||||||
Kinetic Concepts, Inc.* | 2,700 | 98,766 | ||||||
AGFA-Gevaert N.V.1 | 11,286 | 83,246 | ||||||
Toho Holdings Company Ltd. | 5,000 | 70,492 | ||||||
KYORIN Holdings, Inc.1 | 4,000 | 62,143 | ||||||
Smith & Nephew plc* | 6,352 | 57,927 | ||||||
Medipal Holdings Corp. | 2,600 | 33,043 | ||||||
Total Health Care | 1,506,671 | |||||||
Information Technology - 11.2% | ||||||||
Hitachi Ltd.1 | 54,000 | 236,090 | ||||||
Elpida Memory, Inc.1* | 17,900 | 205,833 | ||||||
UBISOFT Entertainment1* | 11,767 | 131,010 | ||||||
Amkor Technology, Inc.1* | 17,900 | 117,603 | ||||||
Kakaku.com, Inc.1 | 15 | 86,872 | ||||||
Micron Technology, Inc.1* | 10,800 | 77,868 | ||||||
Net 1 UEPS Technologies, Inc.1* | 6,700 | 77,452 | ||||||
InterDigital, Inc.1* | 2,200 | 65,142 | ||||||
Konami Corp. | 2,800 | 49,437 | ||||||
Micro Focus International plc | 8,110 | 48,631 | ||||||
Symantec Corp.1* | 3,200 | 48,544 | ||||||
OpenTable, Inc.1* | 700 | 47,656 | ||||||
NTT Data Corp.1 | 13 | 41,094 | ||||||
Trina Solar Ltd.1 ADR* | 1,300 | 39,234 | ||||||
Ulvac, Inc. | 2,000 | 35,599 | ||||||
LG Display Company Ltd.1 ADR | 2,000 | 34,880 | ||||||
MicroStrategy, Inc.1 — Class A* | 400 | 34,644 | ||||||
Research In Motion Ltd.1* | 700 | 34,083 | ||||||
Seagate Technology plc1* | 2,800 | 32,984 | ||||||
MercadoLibre, Inc.1* | 400 | 28,872 | ||||||
Total Information Technology | 1,473,528 | |||||||
Financials - 5.8% | ||||||||
Catlin Group Ltd.1 | 30,851 | 164,978 | ||||||
Morgan Stanley1 | 3,300 | 81,444 | ||||||
PHH Corp.1* | 3,400 | 71,604 | ||||||
Commerzbank AG1 | 8,563 | 70,984 | ||||||
Protective Life Corp.1 | 3,200 | 69,632 | ||||||
SNS REAAL N.V.1 | 16,314 | 66,840 | ||||||
Assured Guaranty Ltd.1 | 3,200 | 54,752 | ||||||
Altisource Portfolio Solutions S.A.1* | 1,633 | 50,851 | ||||||
Greentown China Holdings Ltd. | 37,000 | 40,248 | ||||||
American International Group, Inc.1* | 900 | 35,190 |
Market | ||||||||
Shares | Value | |||||||
Lancashire Holdings Ltd. | 3,647 | $ | 31,798 | |||||
PNC Financial Services Group, Inc.1 | 600 | 31,146 | ||||||
Total Financials | 769,467 | |||||||
Consumer Staples - 3.6% | ||||||||
Morinaga Milk Industry Company Ltd. | 27,000 | 115,781 | ||||||
Cermaq ASA1 | 8,200 | 90,987 | ||||||
Megmilk Snow Brand Company Ltd.1 | 3,700 | 69,449 | ||||||
Shenguan Holdings Group Ltd. | 58,000 | 68,025 | ||||||
Nisshin Oillio Group Ltd.1 | 10,000 | 45,637 | ||||||
Gruma SAB de CV — Class B* | 26,200 | 37,406 | ||||||
Pilgrim’s Pride Corp.1* | 5,700 | 32,034 | ||||||
Leroy Seafood Group ASA1 | 811 | 19,170 | ||||||
Total Consumer Staples | 478,489 | |||||||
Utilities - 2.8% | ||||||||
Public Power Corp.S.A.1 | 15,616 | 243,358 | ||||||
Constellation Energy Group, Inc.1 | 4,000 | 128,960 | ||||||
Total Utilities | 372,318 | |||||||
Telecommunication Services - 1.2% | ||||||||
LG Uplus Corp.1 | 11,630 | 75,164 | ||||||
Nippon Telegraph & Telephone Corp.1 | 1,100 | 48,026 | ||||||
Telecomunicacoes de Sao Paulo S.A.1 ADR | 1,600 | 39,088 | ||||||
Total Telecommunication Services | 162,278 | |||||||
Total Common Stocks (Cost $12,461,495) | 12,748,096 | |||||||
Total Long Securities - 96.5% (Cost $12,461,495) | 12,748,096 | |||||||
COMMON STOCKS SOLD SHORT † - (92.8)% | ||||||||
Telecommunication Services - (1.5)% | ||||||||
TPG Telecom Ltd. | 20,927 | $ | (30,738 | ) | ||||
Clearwire Corp.* | 21,200 | (171,508 | ) | |||||
Total Telecommunication Services | (202,246 | ) | ||||||
Consumer Staples - (4.0)% | ||||||||
Tootsie Roll Industries, Inc. | 2,932 | (72,948 | ) | |||||
Illovo Sugar Ltd. | 20,584 | (74,436 | ) | |||||
Green Mountain Coffee Roasters, Inc.* | 2,800 | (87,332 | ) | |||||
Yakult Honsha Company Ltd. | 4,200 | (129,695 | ) | |||||
Oriflame Cosmetics S.A. | 2,312 | (148,576 | ) | |||||
Total Consumer Staples | (512,987 | ) | ||||||
Financials - (6.3)% | ||||||||
China Life Insurance Company Ltd. | 8,000 | (31,602 | ) | |||||
Macquarie Group Ltd. | 906 | (31,754 | ) | |||||
China Everbright Ltd. | 14,000 | (33,345 | ) | |||||
Hong Kong Exchanges and Clearing Ltd. | 1,700 | (33,479 | ) |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 37 |
SCHEDULE OF INVESTMENTS (Unaudited) (continued)
September 30, 2010
EQUITY MARKET NEUTRAL FUND
Market | ||||||||
Shares | Value | |||||||
Nomura Holdings, Inc. | 7,800 | $ | (37,746 | ) | ||||
Poly Hong Kong Investments Ltd. | 41,000 | (43,965 | ) | |||||
Promise Company Ltd. | 6,050 | (45,365 | ) | |||||
Zions Bancorporation | 2,400 | (51,264 | ) | |||||
MBIA, Inc.* | 5,300 | (53,265 | ) | |||||
Norwegian Property ASA | 30,955 | (53,430 | ) | |||||
Forestar Group, Inc.* | 3,800 | (64,790 | ) | |||||
Greenhill & Company, Inc. | 1,200 | (95,184 | ) | |||||
EFG International AG | 11,207 | (129,452 | ) | |||||
St. Joe Co.* | 5,400 | (134,298 | ) | |||||
Total Financials | (838,939 | ) | ||||||
Information Technology - (10.6)% | ||||||||
Aruba Networks, Inc.* | 1,500 | (32,010 | ) | |||||
Mitsumi Electric Company Ltd. | 2,600 | (39,863 | ) | |||||
Cavium Networks, Inc.* | 1,500 | (43,140 | ) | |||||
Keyence Corp. | 200 | (43,505 | ) | |||||
Red Hat, Inc.* | 1,300 | (53,300 | ) | |||||
Advantest Corp. | 2,700 | (53,719 | ) | |||||
SolarWinds, Inc.* | 3,200 | (55,232 | ) | |||||
Yaskawa Electric Corp. | 8,000 | (64,491 | ) | |||||
Cree, Inc.* | 1,200 | (65,148 | ) | |||||
Intermec, Inc.* | 5,800 | (71,108 | ) | |||||
TiVo, Inc.* | 10,300 | (93,318 | ) | |||||
Rambus, Inc.* | 4,500 | (93,780 | ) | |||||
Ciena Corp.* | 6,500 | (101,205 | ) | |||||
Concur Technologies, Inc.* | 2,200 | (108,768 | ) | |||||
NetSuite, Inc.* | 4,700 | (110,779 | ) | |||||
Imagination Technologies Group plc* | 19,866 | (119,499 | ) | |||||
Formfactor, Inc.* | 14,900 | (128,140 | ) | |||||
SuccessFactors, Inc.* | 5,600 | (140,616 | ) | |||||
Total Information Technology | (1,417,621 | ) | ||||||
Health Care - (11.0)% | ||||||||
Savient Pharmaceuticals, Inc.* | 1,400 | (32,018 | ) | |||||
Cochlear Ltd. | 679 | (46,093 | ) | |||||
Straumann Holding AG | 225 | (50,216 | ) | |||||
Sinopharm Group Co. | 13,200 | (54,526 | ) | |||||
Emeritus Corp.* | 3,200 | (54,592 | ) | |||||
Intuitive Surgical, Inc.* | 200 | (56,748 | ) | |||||
Shandong Weigao Group Medical Polymer Company Ltd. | 20,000 | (56,967 | ) | |||||
Quality Systems, Inc. | 900 | (59,679 | ) | |||||
Myriad Genetics, Inc.* | 4,400 | (72,204 | ) | |||||
Illumina, Inc.* | 1,800 | (88,560 | ) | |||||
Salix Pharmaceuticals Ltd.* | 2,300 | (91,356 | ) | |||||
Allos Therapeutics, Inc.* | 22,700 | (107,144 | ) | |||||
Pharmasset, Inc.* | 3,900 | (115,050 | ) | |||||
Nichi-iko Pharmaceutical Company Ltd. | 3,800 | (131,909 | ) | |||||
Volcano Corp.* | 5,300 | (137,694 | ) | |||||
Auxilium Pharmaceuticals, Inc.* | 6,000 | (148,680 | ) | |||||
athenahealth, Inc.* | 5,200 | (171,704 | ) | |||||
Total Health Care | (1,475,140 | ) | ||||||
Market | ||||||||
Shares | Value | |||||||
Energy - (12.1)% | ||||||||
Dart Energy Ltd.* | 8,144 | $ | (9,286 | ) | ||||
InterOil Corp.* | 500 | (34,220 | ) | |||||
Saras SpA | 24,468 | (48,239 | ) | |||||
Paladin Energy Ltd.* | 14,970 | (51,932 | ) | |||||
Paramount Resources Ltd.* | 2,900 | (57,386 | ) | |||||
Comstock Resources, Inc.* | 2,700 | (60,723 | ) | |||||
McMoRan Exploration Co.* | 3,900 | (67,119 | ) | |||||
Massey Energy Co. | 2,200 | (68,244 | ) | |||||
BPZ Resources, Inc.* | 18,000 | (68,940 | ) | |||||
Sevan Marine ASA* | 70,000 | (71,661 | ) | |||||
Atlas Energy, Inc.* | 2,600 | (74,464 | ) | |||||
Patriot Coal Corp.* | 7,200 | (82,152 | ) | |||||
Range Resources Corp. | 2,200 | (83,886 | ) | |||||
Legacy Oil + Gas, Inc.* | 7,700 | (84,416 | ) | |||||
EQT Corp. | 2,400 | (86,544 | ) | |||||
Goodrich Petroleum Corp.* | 6,000 | (87,420 | ) | |||||
Niko Resources Ltd. | 900 | (88,574 | ) | |||||
Overseas Shipholding Group, Inc. | 4,100 | (140,712 | ) | |||||
Heritage Oil plc | 33,827 | (157,723 | ) | |||||
Bourbon S.A. | 3,993 | (163,025 | ) | |||||
Total Energy | (1,586,666 | ) | ||||||
Materials - (13.2)% | ||||||||
Seabridge Gold, Inc.* | 1,200 | (34,102 | ) | |||||
Sumitomo Metal Industries Ltd. | 19,000 | (48,021 | ) | |||||
Alumina Ltd. | 29,151 | (50,986 | ) | |||||
African Minerals Ltd.* | 10,128 | (62,688 | ) | |||||
Northam Platinum Ltd. | 10,575 | (69,791 | ) | |||||
Monsanto Co. | 1,500 | (71,895 | ) | |||||
Mirabela Nickel Ltd.* | 46,181 | (76,310 | ) | |||||
Sociedad Quimica y Minera de Chile S.A. ADR | 1,600 | (77,184 | ) | |||||
Silver Standard Resources, Inc.* | 4,500 | (89,659 | ) | |||||
Mosaic Co. | 1,600 | (94,016 | ) | |||||
James Hardie Industries SE | 17,490 | (94,646 | ) | |||||
Outokumpu Oyj | 4,914 | (97,617 | ) | |||||
Ivanhoe Mines Ltd.* | 4,400 | (103,233 | ) | |||||
Novagold Resources, Inc.* | 12,200 | (105,886 | ) | |||||
Fibria Celulose S.A. ADR* | 6,600 | (114,114 | ) | |||||
Shin-Etsu Chemical Company Ltd. | 2,500 | (121,728 | ) | |||||
Vulcan Materials Co. | 3,300 | (121,836 | ) | |||||
Mitsubishi Chemical Holdings Corp. | 28,000 | (142,205 | ) | |||||
Texas Industries, Inc. | 5,100 | (160,752 | ) | |||||
Total Materials | (1,736,669 | ) | ||||||
Industrials - (13.9)% | ||||||||
Regus plc | 26,520 | (33,330 | ) | |||||
Vestas Wind Systems A* | 891 | (33,576 | ) | |||||
Granite Construction, Inc. | 1,500 | (34,110 | ) | |||||
Lindab International AB | 2,501 | (36,237 | ) | |||||
Groupe Eurotunnel S.A. | 5,108 | (43,437 | ) | |||||
HEICO Corp. | 1,100 | (50,204 | ) | |||||
Trevi Finanziaria SpA | 3,638 | (51,536 | ) | |||||
Resources Connection, Inc. | 3,800 | (52,288 | ) |
38 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
September 30, 2010
EQUITY MARKET NEUTRAL FUND
Market | ||||||||
Shares | Value | |||||||
Ener1, Inc.* | 17,200 | $ | (63,296 | ) | ||||
USG Corp.* | 6,700 | (88,373 | ) | |||||
NKT Holding A | 1,922 | (95,072 | ) | |||||
Fastenal Co. | 2,000 | (106,380 | ) | |||||
NGK Insulators Ltd. | 7,000 | (116,296 | ) | |||||
Mori Seiki Company Ltd. | 13,900 | (129,368 | ) | |||||
Japan Steel Works Ltd. | 14,000 | (131,808 | ) | |||||
Hitachi Construction Machinery Company Ltd. | 6,200 | (134,048 | ) | |||||
Fanuc Ltd. | 1,100 | (140,061 | ) | |||||
Wienerberger AG | 9,048 | (148,836 | ) | |||||
Terex Corp.* | 6,800 | (155,856 | ) | |||||
OKUMA Corp. | 29,000 | (160,136 | ) | |||||
Total Industrials | (1,804,248 | ) | ||||||
Consumer Discretionary - (20.2)% | ||||||||
Capella Education Co.* | 400 | (31,048 | ) | |||||
ArvinMeritor, Inc.* | 2,000 | (31,080 | ) | |||||
Toho Company Ltd. | 2,000 | (32,173 | ) | |||||
J Crew Group, Inc.* | 1,000 | (33,620 | ) | |||||
Beneteau S.A. | 2,108 | (37,708 | ) | |||||
KB Home | 3,500 | (39,655 | ) | |||||
JD Group Ltd. | 6,356 | (43,543 | ) | |||||
Start Today Company Ltd. | 16 | (44,636 | ) | |||||
Buffalo Wild Wings, Inc.* | 1,000 | (47,890 | ) | |||||
Collective Brands, Inc.* | 3,200 | (51,648 | ) | |||||
Asatsu-DK, Inc. | 2,500 | (53,992 | ) | |||||
Sol Melia S.A. | 6,342 | (56,896 | ) | |||||
Esprit Holdings Ltd. | 10,600 | (57,516 | ) | |||||
WMS Industries, Inc.* | 1,600 | (60,912 | ) | |||||
Unibet Group plc | 3,575 | (65,511 | ) | |||||
Gaylord Entertainment Co.* | 2,200 | (67,100 | ) | |||||
Urban Outfitters, Inc.* | 2,200 | (69,168 | ) |
Market | ||||||||
Shares | Value | |||||||
Aristocrat Leisure Ltd. | 21,913 | $ | (74,748 | ) | ||||
Ctrip.com International Ltd. ADR* | 1,700 | (81,175 | ) | |||||
Vail Resorts, Inc.* | 2,200 | (82,544 | ) | |||||
Carphone Warehouse Group plc* | 20,442 | (87,590 | ) | |||||
Orient-Express Hotels Ltd.* | 8,100 | (90,315 | ) | |||||
Barratt Developments plc | 59,996 | (93,168 | ) | |||||
bwin Interactive Entertainment AG | 1,991 | (103,276 | ) | |||||
Sky Deutschland AG* | 76,408 | (106,781 | ) | |||||
Rieter Holding AG | 375 | (107,718 | ) | |||||
Geox SpA | 19,325 | (109,542 | ) | |||||
MDC Holdings, Inc. | 3,900 | (113,217 | ) | |||||
Liberty Media Corp.- Capital* | 2,300 | (119,738 | ) | |||||
Mitsubishi Motors Corp.* | 95,000 | (124,034 | ) | |||||
Domino’s Pizza UK & IRL plc | 18,062 | (133,248 | ) | |||||
MGM Resorts International* | 12,400 | (139,872 | ) | |||||
Virgin Media, Inc. | 6,200 | (142,724 | ) | |||||
Tokyo Broadcasting System Holdings, Inc. | 11,500 | (147,943 | ) | |||||
Total Consumer Discretionary | (2,681,729 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $12,069,302) | $ | (12,256,245 | ) | |||||
RIGHT SOLD SHORT†† - 0.0% | ||||||||
Sky Deutschland AG* | 76,408 | $ | (104 | ) | ||||
Total Right Sold Short | ||||||||
(Proceeds $0) | $ | (104 | ) | |||||
Cash & Other Assets, | ||||||||
Less Liabilities - 96.3% | 12,716,411 | |||||||
Total Net Assets - 100.0% | $ | 13,208,158 |
Country Diversification
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728014.gif)
The pie chart above reflects percentages of
the market value of Long Stocks.
the market value of Long Stocks.
Country Diversification
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728015.gif)
The pie chart above reflects percentages of
the market value of Short Stocks.
the market value of Short Stocks.
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 7. | |
†† | Value determined based on Level 2 inputs — See Note 7. | |
1 | All or a portion of this security is pledged as short security collateral at September 30, 2010. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 39 |
EQUITY MARKET NEUTRAL FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 12,748,096 | ||
Total investments | 12,748,096 | |||
Cash | 13,571,732 | |||
Receivables: | ||||
Securities sold | 3,004,747 | |||
Fund shares sold | 94,043 | |||
Dividends | 50,160 | |||
Interest | 267 | |||
Forward exchange | 4,063,054 | |||
Other assets | 3,633 | |||
Total assets | 33,535,732 | |||
Liabilities: | ||||
Foreign currency, at value | 1,123,695 | |||
Securities sold short, at value | 12,256,349 | |||
Payable for: | ||||
Securities purchased | 2,788,695 | |||
Fund shares redeemed | 40,748 | |||
Management fees | 13,586 | |||
Custodian fees | 8,204 | |||
Transfer agent/maintenance fees | 2,830 | |||
Distribution and service fees | 3,301 | |||
Portfolio accounting fees | 1,132 | |||
Interest | 14,423 | |||
Forward exchange | 4,065,823 | |||
Other | 8,788 | |||
Total liabilities | 20,327,574 | |||
Net Assets | $ | 13,208,158 | ||
Net Assets Consist Of: | ||||
Paid in capital | 15,040,060 | |||
Accumulated net investment loss | (355,447 | ) | ||
Accumulated net realized loss on sale of | ||||
investments | (1,563,435 | ) | ||
Net unrealized appreciation in value of investments | 86,980 | |||
Net assets | 13,208,158 | |||
A-Class: | ||||
Net assets | $ | 8,072,496 | ||
Capital shares outstanding | 360,197 | |||
Net asset value per share | $22.41 | |||
Maximum offering price per share* | $23.53 | |||
C-class: | ||||
Net assets | $ | 877,923 | ||
Capital shares outstanding | 39,664 | |||
Net asset value per share | $22.13 | |||
H-class: | ||||
Net assets | $ | 4,248,003 | ||
Capital shares outstanding | 189,679 | |||
Net asset value per share | $22.40 | |||
Institutional Class: | ||||
Net assets | $ | 9,736 | ||
Capital shares outstanding | 434 | |||
Net asset value per share | $22.43 | |||
Investments, at cost | $ | 12,461,495 | ||
Total cost | $ | 12,461,495 | ||
Securities sold short, proceeds | 12,069,302 | |||
Foreign currency sold short, proceeds | 1,111,121 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends (net of foreign withholding tax of $10,579) | $ | 155,552 | ||
Interest | 953 | |||
Total investment income | 156,505 | |||
Expenses: | ||||
Management fees | 94,103 | |||
Transfer agent and administrative fees | 19,605 | |||
Distribution and Service Fees: | ||||
A-Class | 12,998 | |||
C-Class | 3,699 | |||
H-Class | 5,671 | |||
Portfolio accounting fees | 7,842 | |||
Trustees’ fees** | 588 | |||
Short sales dividend expense | 104,741 | |||
Prime broker interest expense | 140,248 | |||
Custody Fees | 26,376 | |||
Miscellaneous | 11,239 | |||
Total expenses | 427,110 | |||
Net investment loss | (270,605 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 2,150,434 | |||
Foreign currency | (78,708 | ) | ||
Securities sold short | (2,278,536 | ) | ||
Net realized loss | (206,810 | ) | ||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | (2,299,156 | ) | ||
Securities sold short | 2,367,472 | |||
Foreign currency | (12,506 | ) | ||
Net unrealized appreciation | 55,810 | |||
Net loss | (151,000 | ) | ||
Net decrease in net assets resulting from operations | $ | (421,605 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
EQUITY MARKET NEUTRAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (Decrease) In Net Assets From Operations: | ||||||||
Net investment loss | $ | (270,605 | ) | $ | (593,679 | ) | ||
Net realized loss during the period on investments | (206,810 | ) | (864,564 | ) | ||||
Net unrealized appreciation during the period on investments | 55,810 | 63,256 | ||||||
Net decrease in net assets resulting from operations | (421,605 | ) | (1,394,987 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (65,915 | ) | |||||
C-Class | — | (2,923 | ) | |||||
H-Class | — | (22,855 | ) | |||||
Institutional Class | — | — | ||||||
Return of Capital | ||||||||
A-Class | — | (25,544 | ) | |||||
C-Class | — | (1,133 | ) | |||||
H-Class | — | (8,857 | ) | |||||
Institutional Class | — | — | ||||||
Total distributions to shareholders | — | (127,227 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 3,335,038 | 11,062,126 | ||||||
C-Class | 433,695 | 846,753 | ||||||
H-Class | 4,772,088 | 7,180,728 | ||||||
Institutional Class* | 10,000 | — | ||||||
Redemption fees collected | ||||||||
A-Class | 156 | 439 | ||||||
C-Class | 13 | 10 | ||||||
H-Class | 71 | 153 | ||||||
Institutional Class* | 0 | 0 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 91,459 | ||||||
C-Class | — | 3,816 | ||||||
H-Class | — | 30,124 | ||||||
Institutional Class* | — | — | ||||||
Cost of shares redeemed | ||||||||
A-Class | (6,940,942 | ) | (9,190,187 | ) | ||||
C-Class | (224,352 | ) | (108,764 | ) | ||||
H-Class | (5,318,425 | ) | (5,606,218 | ) | ||||
Institutional Class* | — | — | ||||||
Net increase (decrease) from capital share transactions | (3,932,658 | ) | 4,310,439 | |||||
Net increase (decrease) in net assets | (4,354,263 | ) | 2,788,225 | |||||
Net assets: | ||||||||
Beginning of period | 17,562,421 | 14,774,196 | ||||||
End of period | $ | 13,208,158 | $ | 17,562,421 | ||||
Accumulated net investment loss at end of period | $ | (355,447 | ) | $ | (84,842 | ) | ||
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 41 |
EQUITY MARKET NEUTRAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Capital Share Activity: | ||||||||
Shares sold | ||||||||
A-Class | 142,667 | 452,824 | ||||||
C-Class | 18,883 | 34,948 | ||||||
H-Class | 204,210 | 294,717 | ||||||
Institutional Class* | 434 | — | ||||||
Shares reinvested | ||||||||
A-Class | — | 3,840 | ||||||
C-Class | — | 161 | ||||||
H-Class | — | 1,265 | ||||||
Institutional Class* | — | — | ||||||
Shares redeemed | ||||||||
A-Class | (300,623 | ) | (380,418 | ) | ||||
C-Class | (9,833 | ) | — | |||||
H-Class | (230,182 | ) | (289 | ) | ||||
Institutional Class* | — | — | ||||||
Total capital share activity | 174,444 | 407,048 | ||||||
* | Since the commencement of operations: May 3, 2010. |
42 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
EQUITY MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||
Ended | Year Ended | Ended | ||||||||||
September 30, | March 31, | March 31, | ||||||||||
A-Class | 2010 | b | 2010 | 2009 | c | |||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $22.98 | $24.94 | $25.00 | |||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)d | (.41 | ) | (.77 | ) | — | e | ||||||
Net loss on securities (realized and unrealized) | (.16 | ) | (1.04 | ) | (.06 | ) | ||||||
Total from investment operations | (.57 | ) | (1.81 | ) | (.06 | ) | ||||||
Less distributions: | ||||||||||||
Distributions from realized gains | — | (.11 | ) | — | ||||||||
Return of capital | — | (.04 | ) | — | ||||||||
Total distributions | — | (.15 | ) | — | ||||||||
Redemption fees collected | — | g | — | g | — | |||||||
Net asset value, end of period | $22.41 | $22.98 | $24.94 | |||||||||
Total Returnf | (2.23% | ) | (7.27% | ) | (0.24% | ) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $8,072 | $11,909 | $11,023 | |||||||||
Ratios to average net assets: | ||||||||||||
Net investment loss | (4.26% | ) | (3.19% | ) | (1.86% | )i,j | ||||||
Total expenses | 5.41% | 4.87% | 2.00% | i,j | ||||||||
Operating expensesh | 2.29% | 2.26% | 2.00% | i,j | ||||||||
Portfolio turnover rate | 546% | 287% | 91% |
Period | Period | |||||||||||
Ended | Year Ended | Ended | ||||||||||
September 30, | March 31, | March 31, | ||||||||||
C-Class | 2010 | b | 2010 | 2009 | c | |||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $22.79 | $24.95 | $25.00 | |||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)d | (.45 | ) | (.97 | ) | — | e | ||||||
Net loss on securities (realized and unrealized) | (.21 | ) | (1.04 | ) | (.05 | ) | ||||||
Total from investment operations | (.66 | ) | (2.01 | ) | (.05 | ) | ||||||
Less distributions: | ||||||||||||
Distributions from realized gains | — | (.11 | ) | — | ||||||||
Return of capital | — | (.04 | ) | — | ||||||||
Total distributions | — | (.15 | ) | — | ||||||||
Redemption fees collected | — | g | — | g | — | |||||||
Net asset value, end of period | $22.13 | $22.79 | $24.95 | |||||||||
Total Returnf | (2.64% | ) | (8.07% | ) | (0.20% | ) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $878 | $698 | $ | — | a | |||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | (4.75% | ) | (4.14% | ) | 0.14% | i,j | ||||||
Total expenses | 6.16% | 5.99% | 1.75% | i,j | ||||||||
Operating expensesh | 3.04% | 2.91% | 1.75% | i,j | ||||||||
Portfolio turnover rate | 546% | 287% | 91% |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 43 |
EQUITY MARKET NEUTRAL 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.
Period Ended | Year Ended | Period Ended | ||||||||||
September 30, | March 31, | March 31, | ||||||||||
H-Class | 2010 | b | 2010 | 2009 | c | |||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $22.98 | $24.94 | $25.00 | |||||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)d | (.38 | ) | (.76 | ) | — | e | ||||||
Net loss on securities (realized and unrealized) | (.20 | ) | (1.05 | ) | (.06 | ) | ||||||
Total from investment operations | (.58 | ) | (1.81 | ) | (.06 | ) | ||||||
Less distributions: | ||||||||||||
Distributions from realized gains | — | (.11 | ) | — | ||||||||
Return of capital | — | (.04 | ) | — | ||||||||
Total distributions | — | (.15 | ) | — | ||||||||
Redemption fees collected | — | g | — | g | — | |||||||
Net asset value, end of period | $22.40 | $22.98 | $24.94 | |||||||||
Total Returnf | (2.27% | ) | (7.27% | ) | (0.24% | ) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $4,248 | $4,955 | $3,751 | |||||||||
Ratios to average net assets: | ||||||||||||
Net investment loss | (3.92% | ) | (3.16% | ) | (1.86% | )i,j | ||||||
Total expenses | 5.41% | 4.88% | 2.00% | i,j | ||||||||
Operating expensesh | 2.29% | 2.00% | 2.00% | i,j | ||||||||
Portfolio turnover rate | 546% | 287% | 91% |
Period Ended | ||||
September 30, | ||||
Institutional Class | 2010 | b,c | ||
Per Share Data | ||||
Net asset value, beginning of period | $25.00 | |||
Income (loss) from investment operations: | ||||
Net investment lossd | (.31 | ) | ||
Net loss on securities (realized and unrealized) | (2.26 | ) | ||
Total from investment operations | (2.57 | ) | ||
Redemption fees collected | — | g | ||
Net asset value, end of period | $22.43 | |||
Total Returnf | (2.65% | ) | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (in thousands) | $10 | |||
Ratios to average net assets: | ||||
Net investment loss | (3.16% | ) | ||
Total expenses | 5.59% | |||
Operating expensesh | 2.06% | |||
Portfolio turnover rate | 546% |
a | Less than $1,000 in Net Assets. |
b | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Since commencement of operations: March 30, 2009 — Equity Market Neutral Fund A-Class, C-Class and H-Class. May 3, 2010 — Institutional Class. |
d | Net investment income (loss) was computed using average shares outstanding throughout the period. |
e | Net investment income is less than $0.01 per share. |
f | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
g | Redemption fees collected are less than $.01 per share. |
h | Operating expenses exclude dividends and interest expense. |
i | Annualized. |
j | Due to limited length of fund operations, ratios for this period are not indicative of future class performance. |
44 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
1
FUND PROFILE (Unaudited)
September 30, 2010
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
OBJECTIVE: Seeks to provide investment results that correspond to the performance of a specific benchmark that seeks to track the universe of event driven hedge funds (i.e., funds that seek to profit from the potential mispricings of securities in connection with specific corporate or market events). The Fund’s current benchmark is the Credit Suisse Event Driven Liquid Index (the “Underlying Index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728016.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2010 | |||
C-Class | June 30, 2010 | |||
H-Class | June 30, 2010 | |||
The Fund invests principally in derivative investments such as index swap agreements. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 45 |
2
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
FACE | MARKET | |||||||
SHARES | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† – 52.9% | ||||||||
Freddie Mac1 0.35% due 06/21/11 | $ | 3,000,000 | $ | 2,995,617 | ||||
Farmer Mac2 0.36% due 05/31/11 | 2,000,000 | 1,997,446 | ||||||
Fannie Mae1 0.30% due 03/01/11 | 1,000,000 | 999,287 | ||||||
Total Federal Agency Discount Notes (Cost $5,986,230) | 5,992,350 | |||||||
REPURCHASE AGREEMENTS††,3 - 46.5% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/108 | 2,077,903 | 2,077,903 | ||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 1,270,767 | 1,270,767 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 1,269,352 | 1,269,352 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 524,525 | 524,525 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 131,131 | 131,131 | ||||||
Total Repurchase Agreements (Cost $5,273,678) | 5,273,678 | |||||||
Total Investments - 99.4% (Cost $11,259,908) | $ | 11,266,028 | ||||||
Cash & Other Assets, Less Liabilities - 0.6% | 67,059 | |||||||
Total Net Assets - 100.0% | $ | 11,333,087 |
UNREALIZED | ||||||||
UNITS | GAIN | |||||||
EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Credit Suisse Capital LLC Russell 2000 October 2010 Index Swap, Terminating 10/29/105 (Notional Market Value | ||||||||
$1,727,544) | 2,555 | 20,990 | ||||||
Credit Suisse Capital LLC October 2010 Credit Suisse Arbitrage Liquid Index Swap, Terminating 10/29/106 (Notional Market Value | ||||||||
$4,223,651) | 3,924 | 12,993 | ||||||
Credit Suisse Capital LLC October 2010 Leveraged Equity Index (Custom Credit Suisse Index) Swap, Terminating 10/29/107 (Notional Market Value | ||||||||
$464,192) | 323 | 1,993 | ||||||
(Total Notional Market Value $6,415,387) | $ | 35,976 | ||||||
CORPORATE BOND INDEX SWAP AGREEMENT†† | ||||||||
Credit Suisse Capital LLC October 2010 ishares iBoxx High Yield Corporate Bond Fund Index Terminating 10/29/104 (Notional Market Value | ||||||||
$7,187,333) | 80,135 | $ | 64,342 | |||||
†† | Value determined based on Level 2 inputs — See Note 7. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 6. |
4 | Total Return based on ishares iBoxx High Yield Corporate Bond Fund Index +/– financing at a variable rate. |
5 | Total Return based on Russell 2000 Index +/– financing at a variable rate. |
6 | Total Return based on Credit Suisse Merger Arbitrage Liquid Index +/– financing at a variable rate. |
7 | Total Return based on Leverage Equity Index (Custom Credit Suisse Index) +/– financing at a variable rate. |
8 | All or a portion of this security is pledged as swap collateral at September 30, 2010. |
46 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 5,992,350 | ||
Repurchase agreement, at value | 5,273,678 | |||
Total investments | 11,266,028 | |||
Unrealized appreciation on swap agreements | 100,318 | |||
Receivables: | ||||
Fund shares sold | 24,415 | |||
Interest | 28 | |||
Other assets | 1,037 | |||
Total assets | 11,391,826 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 31,403 | |||
Management fees | 8,227 | |||
Custodian fees | 302 | |||
Transfer agent/maintenance fees | 2,285 | |||
Distribution and service fees | 2,491 | |||
Portfolio accounting fees | 914 | |||
Licensing fees | 9,647 | |||
Other | 3,470 | |||
Total liabilities | 58,739 | |||
Net assets | $ | 11,333,087 | ||
Net assets consist of: | ||||
Paid in capital | 10,561,313 | |||
Accumulated net investment loss | (45,460 | ) | ||
Undistributed net realized gain on sale of investments | 710,796 | |||
Net unrealized appreciation in value of investments | 106,438 | |||
Net assets | 11,333,087 | |||
A-Class: | ||||
Net assets | $ | 8,519,087 | ||
Capital shares outstanding | 317,428 | |||
Net asset value per share | $26.84 | |||
Maximum offering price per share* | $28.18 | |||
C-Class: | ||||
Net assets | $ | 336,351 | ||
Capital shares outstanding | 12,571 | |||
Net asset value per share | $26.76 | |||
H-Class: | ||||
Net assets | $ | 2,466,907 | ||
Capital shares outstanding | 91,921 | |||
Net asset value per share | $26.84 | |||
Institutional Class: | ||||
Net assets | $ | 10,742 | ||
Capital shares outstanding | 400 | |||
Net asset value per share | $26.85 | |||
Investments, at cost | $ | 5,986,230 | ||
Repurchase agreement, at cost | 5,273,678 | |||
Total cost | $ | 11,259,908 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010†
Investment Income: | ||||
Interest | $ | 7,188 | ||
Total investment income | 7,188 | |||
Expenses: | ||||
Management fees | 24,806 | |||
Transfer agent and administrative fees | 6,890 | |||
Distribution and Service Fees: | ||||
A-Class | 5,574 | |||
C-Class | 534 | |||
H-Class | 1,176 | |||
Portfolio accounting fees | 2,756 | |||
Trustees’ fees** | 24 | |||
Licensing fees | 9,647 | |||
Miscellaneous | 4,356 | |||
Total expenses | 55,763 | |||
Less expenses waived by Advisor | (3,115 | ) | ||
Net expenses | 52,648 | |||
Net investment loss | (45,460 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Swap Agreements | 710,796 | |||
Net realized gain | 710,796 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 6,120 | |||
Swap Agreements | 100,318 | |||
Net unrealized appreciation | 106,438 | |||
Net realized and unrealized gain | 817,234 | |||
Net increase in net assets resulting from operations | $ | 771,774 | ||
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
† | Since commencement of operations: June 30, 2010. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 47 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||
September 30, | ||||
2010 | * | |||
Increase (Decrease) In Net Assets From Operations: | ||||
Net investment loss | $ | (45,460 | ) | |
Net realized gain during the period on investments | 710,796 | |||
Net unrealized appreciation during the period on investments | 106,438 | |||
Net increase in net assets resulting from operations | 771,774 | |||
Distributions to shareholders | — | |||
Capital share transactions: | ||||
Proceeds from sale of shares | ||||
A-Class | 11,380,011 | |||
C-Class | 371,537 | |||
H-Class | 2,930,803 | |||
Institutional Class | 10,000 | |||
Redemption fees collected | ||||
A-Class | 144 | |||
C-Class | 0 | |||
H-Class | 26 | |||
Institutional Class | 0 | |||
Cost of shares redeemed | ||||
A-Class | (3,493,535 | ) | ||
C-Class | (43,841 | ) | ||
H-Class | (593,832 | ) | ||
Institutional Class | — | |||
Net increase from capital share transactions | 10,561,313 | |||
Net increase in net assets | 11,333,087 | |||
Net assets: | ||||
Beginning of period | — | |||
End of period | $ | 11,333,087 | ||
Accumulated net investment loss at end of period | $ | (45,460 | ) | |
Capital share activity: | ||||
Shares sold | ||||
A-Class | 451,394 | |||
C-Class | 14,253 | |||
H-Class | 115,137 | |||
Institutional Class | 400 | |||
Shares redeemed | ||||
A-Class | (133,966 | ) | ||
C-Class | (1,682 | ) | ||
H-Class | (23,216 | ) | ||
Institutional Class | — | |||
Total capital share activity | 422,320 | |||
* | Since the commencement of operations: June 30, 2010. |
48 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
A-Class | C-Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.11 | ) | (.15 | ) | ||||
Net gain on securities (realized and unrealized) | 1.95 | 1.91 | ||||||
Total from investment operations | 1.84 | 1.76 | ||||||
Redemption fees collected | — | f | — | f | ||||
Net asset value, end of period | $26.84 | $26.76 | ||||||
Total Returnd | 7.36% | 7.04% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $8,519 | $336 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.64% | ) | (2.38% | ) | ||||
Total expenses | 2.01% | 2.76% | ||||||
Net expensese | 1.90% | 2.65% | ||||||
Portfolio turnover rate | — | — | ||||||
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
H-Class | Institutional Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.11 | ) | (.09 | ) | ||||
Net gain on securities (realized and unrealized) | 1.95 | 1.94 | ||||||
Total from investment operations | 1.84 | 1.85 | ||||||
Redemption fees collected | — | f | — | f | ||||
Net asset value, end of period | $26.84 | $26.85 | ||||||
Total Returnd | 7.36% | 7.40% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $2,467 | $11 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.63% | ) | (1.38% | ) | ||||
Total expenses | 2.01% | 1.76% | ||||||
Net expensese | 1.90% | 1.65% | ||||||
Portfolio turnover rate | — | — |
a | Since commencement of operations June 30, 2010. |
b | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment loss was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
f | Redemption fees collected are less than $.01. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 49 |
FUND PROFILE (Unaudited)
September 30, 2010
ALTERNATIVE STRATEGIES FUND
OBJECTIVE: Seeks to provide investment results that correspond to the performance of a specific benchmark that seeks to track the performance of a broad range of investable hedge fund alternatives. The Fund’s current benchmark is the Merrill Lynch Factor Model (the “Underlying Benchmark”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728019.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2010 | |||
C-Class | June 30, 2010 | |||
H-Class | June 30, 2010 | |||
The Fund invests principally in derivative investments such as futures contracts. |
50 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ALTERNATIVE STRATEGIES FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 67.4% | ||||||||
Freddie Mac1 0.32% due 06/21/11 | 2,000,000 | $ | 1,997,078 | |||||
Farmer Mac2 0.36% due 05/31/11 | 1,000,000 | 998,723 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $2,992,831) | 2,995,801 | |||||||
REPURCHASE AGREEMENTS††,3 - 26.5% | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 449,731 | 449,731 | ||||||
HSBC Group | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 449,230 | 449,230 | ||||||
Morgan Stanley | ||||||||
issued 09/30/10 at 0.19% | ||||||||
due 10/01/10 | 185,632 | 185,632 | ||||||
Credit Suisse Group | ||||||||
issued 09/30/10 at 0.18% | ||||||||
due 10/01/10 | 47,427 | 47,427 | ||||||
Deutsche Bank | ||||||||
issued 09/30/10 at 0.20% | ||||||||
due 10/01/10 | 46,408 | 46,408 | ||||||
Total Repurchase Agreements (Cost $1,178,428) | 1,178,428 | |||||||
Total Investments - 93.9% (Cost $4,171,259) | $ | 4,174,229 | ||||||
Cash & Other Assets, Less Liabilities - 6.1% | 272,853 | |||||||
Total Net Assets - 100.0% | $ | 4,447,082 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,187,010) | 22 | $ | 88,631 | |||||
December 2010 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $568,000) | 10 | 24,837 | ||||||
December 2010 MSCI EAFE Index Mini Futures (Aggregate Market Value of Contracts $388,550) | 5 | 21,394 | ||||||
(Total Aggregate Market Value of Contracts $2,143,560) | $ | 134,862 | ||||||
FUTURES CONTRACTS SOLD SHORT† | ||||||||
December 2010 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $470,890) | 7 | (31,476 | ) | |||||
December 2010 MSCI Index Mini Futures Contracts (Aggregate Market Value of Contracts $851,562) | 5 | (46,888 | ) | |||||
(Total Aggregate Market Value of Contracts $1,322,452) | $ | (78,364 | ) | |||||
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 6. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 51 |
ALTERNATIVE STRATEGIES FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 2,995,801 | ||
Repurchase agreement, at value | 1,178,428 | |||
Total investments | 4,174,229 | |||
Segregated cash with broker | 296,500 | |||
Receivables: | ||||
Fund shares sold | 1 | |||
Interest | 6 | |||
Other assets | 616 | |||
Total assets | 4,471,352 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 2,140 | |||
Fund shares redeemed | 10,104 | |||
Management fees | 3,398 | |||
Custodian fees | 125 | |||
Transfer agent/maintenance fees | 944 | |||
Distribution and service fees | 960 | |||
Portfolio accounting fees | 378 | |||
Licensing fees | 4,733 | |||
Other | 1,488 | |||
Total liabilities | 24,270 | |||
Net assets | $ | 4,447,082 | ||
Net assets consist of: | ||||
Paid in capital | 4,248,167 | |||
Accumulated net investment loss | (19,464 | ) | ||
Undistributed net realized gain on sale of investments | 158,911 | |||
Net unrealized appreciation in value of investments | 59,468 | |||
Net assets | 4,447,082 | |||
A-Class: | ||||
Net assets | $ | 3,053,974 | ||
Capital shares outstanding | 116,938 | |||
Net asset value per share | $26.12 | |||
Maximum offering price per share* | $27.42 | |||
C-Class: | ||||
Net assets | $ | 38,253 | ||
Capital shares outstanding | 1,467 | |||
Net asset value per share | $26.08 | |||
H-Class: | ||||
Net assets | $ | 1,344,402 | ||
Capital shares outstanding | 51,476 | |||
Net asset value per share | $26.12 | |||
Institutional Class: | ||||
Net assets | $ | 10,453 | ||
Capital shares outstanding | 400 | |||
Net asset value per share | $26.13 | |||
Investments, at cost | $ | 2,992,831 | ||
Repurchase agreement, at cost | 1,178,428 | |||
Total cost | $ | 4,171,259 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010†
Investment Income: | ||||
Interest | $ | 3,008 | ||
Total investment income | 3,008 | |||
Expenses: | ||||
Management fees | 10,650 | |||
Transfer agent and administrative fees | 2,958 | |||
Distribution and Service Fees: | ||||
A-Class | 2,114 | |||
C-Class | 55 | |||
H-Class | 824 | |||
Portfolio accounting fees | 1,183 | |||
Trustees’ fees** | 11 | |||
Licensing fees | 4,733 | |||
Miscellaneous | 1,869 | |||
Total expenses | 24,397 | |||
Less expenses waived by Advisor | (1,925 | ) | ||
Net expenses | 22,472 | |||
Net investment loss | (19,464 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Futures contracts | 158,911 | |||
Net realized gain | 158,911 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | 2,970 | |||
Futures contracts | 56,498 | |||
Net unrealized appreciation | 59,468 | |||
Net realized and unrealized gain | 218,379 | |||
Net increase in net assets resulting from operations | $ | 198,915 | ||
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
† | Since commencement of operations: June 30, 2010. |
52 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ALTERNATIVE STRATEGIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||
September 30, | ||||
2010 | * | |||
Increase (Decrease) In Net Assets From Operations: | ||||
Net investment loss | $ | (19,464 | ) | |
Net realized gain during the period on investments | 158,911 | |||
Net unrealized appreciation during the period on investments | 59,468 | |||
Net increase in net assets resulting from operations | 198,915 | |||
Distributions to Shareholders | — | |||
Capital share transactions: | ||||
Proceeds from sale of shares | ||||
A-Class | 3,751,701 | |||
C-Class | 37,577 | |||
H-Class | 1,824,636 | |||
Institutional Class | 10,000 | |||
Redemption fees | ||||
A-Class | 0 | |||
C-Class | 0 | |||
H-Class | 0 | |||
Institutional Class | 0 | |||
Cost of shares redeemed | ||||
A-Class | (844,376 | ) | ||
C-Class | — | |||
H-Class | (531,371 | ) | ||
Institutional Class | — | |||
Net increase from capital share transactions | 4,248,167 | |||
Net increase in net assets | 4,447,082 | |||
Net assets: | ||||
Beginning of period | — | |||
End of period | $ | 4,447,082 | ||
Accumulated net investment loss at end of period | $ | (19,464 | ) | |
Capital share activity: | ||||
Shares sold | ||||
A-Class | 149,659 | |||
C-Class | 1,467 | |||
H-Class | 72,222 | |||
Institutional Class | 400 | |||
Shares redeemed | ||||
A-Class | (32,721 | ) | ||
C-Class | — | |||
H-Class | (20,746 | ) | ||
Institutional Class | — | |||
Total capital share activity | 170,281 | |||
* | Since the commencement of operations: June 30, 2010. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 53 |
ALTERNATIVE STRATEGIES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
A-Class | C-Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.11 | ) | (.15 | ) | ||||
Net gain on securities (realized and unrealized) | 1.23 | 1.23 | ||||||
Total from investment operations | 1.12 | 1.08 | ||||||
Redemption fees collected | — | f | — | f | ||||
Net asset value, end of period | $26.12 | $26.08 | ||||||
Total Returnd | 4.48% | 4.28% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $3,054 | $38 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.64% | ) | (2.39% | ) | ||||
Total expenses | 2.06% | 2.81% | ||||||
Net expensese | 1.90% | 2.65% | ||||||
Portfolio turnover rate | — | — | ||||||
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
H-Class | Institutional Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.11 | ) | (.09 | ) | ||||
Net gain on securities (realized and unrealized) | 1.23 | 1.22 | ||||||
Total from investment operations | 1.12 | 1.13 | ||||||
Redemption fees collected | — | f | — | f | ||||
Net asset value, end of period | $26.12 | $26.13 | ||||||
Total Returnd | 4.48% | 4.52% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $1,344 | $10 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.64% | ) | (1.38% | ) | ||||
Total expenses | 2.06% | 1.81% | ||||||
Net expensese | 1.90% | 1.64% | ||||||
Portfolio turnover rate | — | — |
a | Since commencement of operations June 30, 2010. |
b | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment loss was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
f | Redemption fees collected are less than $.01. |
54 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
FUND PROFILE (Unaudited)
September 30, 2010
LONG SHORT EQUITY STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond to the performance of a specific benchmark that seeks to track the performance of the universe of long/short equity hedge funds (i.e., funds that buy equities that are expected to increase in value and sell short equities that are expected to decrease in value). The Fund’s current benchmark is the Credit Suisse Long/Short Liquid Index (the “Underlying Index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728017.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2010 | |||
C-Class | June 30, 2010 | |||
H-Class | June 30, 2010 | |||
The Fund invests principally in futures contracts and exchange traded funds. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
LONG SHORT EQUITY STRATEGY FUND
Face | Market | |||||||
Amount | Value | |||||||
FEDERAL AGENCY DISCOUNT NOTES †† - 51.9% | ||||||||
Freddie Mac1 0.32% due 06/21/11 | $ | 1,000,000 | $ | 998,539 | ||||
Farmer Mac2 0.36% due 05/31/11 | 500,000 | 499,361 | ||||||
Total Federal Agency Discount Notes (Cost $1,496,416) | 1,497,900 | |||||||
REPURCHASE AGREEMENTS††,3 - 26.6% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 293,091 | 293,091 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 292,765 | 292,765 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 120,977 | 120,977 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 30,909 | 30,909 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 30,244 | 30,244 | ||||||
Total Repurchase Agreements (Cost $767,986) | 767,986 | |||||||
Total Long Investments - 78.5% (Cost $2,264,402) | $ | 2,265,886 | ||||||
Shares | ||||||||
EXCHANGE TRADED FUND SOLD SHORT† - (8.9%) | ||||||||
Financial Select Sector SPDR Fund | 18,000 | (258,300 | ) | |||||
Total Exchange Traded Fund Sold Short (Proceeds $264,236) | (258,300 | ) | ||||||
Cash & Other Assets, Less Liabilities - 30.4% | 878,574 | |||||||
Total Net Assets - 100.0% | $ | 2,886,160 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $647,460) | 12 | $ | 42,998 | |||||
December 2010 NASDAQ-100 Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $918,505) | 23 | 19,984 | ||||||
(Total Aggregate Market Value of Contracts $1,565,965) | $ | 62,982 | ||||||
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 6. |
56 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
LONG SHORT EQUITY STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 1,497,900 | ||
Repurchase agreement, at value | 767,986 | |||
Total investments | 2,265,886 | |||
Segregated cash with broker | 906,258 | |||
Receivables: | ||||
Other assets | 271 | |||
Total assets | 3,172,415 | |||
Liabilities: | ||||
Securities sold short, at value | 258,300 | |||
Payable for: | ||||
Variation margin | 4,555 | |||
Fund shares redeemed | 16,378 | |||
Management fees | 2,121 | |||
Custodian fees | 78 | |||
Transfer agent/maintenance fees | 589 | |||
Distribution and service fees | 603 | |||
Portfolio accounting fees | 236 | |||
Licensing fees | 2,442 | |||
Interest | 75 | |||
Other | 878 | |||
Total liabilities | 286,255 | |||
Net assets | $ | 2,886,160 | ||
Net assets consist of: | ||||
Paid in capital | 2,716,210 | |||
Accumulated net investment loss | (15,676 | ) | ||
Undistributed net realized gain on sale of investments | 115,224 | |||
Net unrealized appreciation in value of investments | 70,402 | |||
Net assets | 2,886,160 | |||
A-Class: | ||||
Net assets | $ | 1,805,484 | ||
Capital shares outstanding | 67,719 | |||
Net asset value per share | $26.66 | |||
Maximum offering price per share* | $27.99 | |||
C-Class: | ||||
Net assets | $ | 66,878 | ||
Capital shares outstanding | 2,513 | |||
Net asset value per share | $26.61 | |||
H-Class: | ||||
Net assets | $ | 1,003,127 | ||
Capital shares outstanding | 37,626 | |||
Net asset value per share | $26.66 | |||
Institutional Class: | ||||
Net assets | $ | 10,671 | ||
Capital shares outstanding | 400 | |||
Net asset value per share | $26.68 | |||
Investments, at cost | $ | 1,496,416 | ||
Repurchase agreement, at cost | 767,986 | |||
Total cost | $ | 2,264,402 | ||
Securities sold short, proceeds | 264,236 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010†
Investment Income: | ||||
Interest | $ | 1,510 | ||
Total investment income | 1,510 | |||
Expenses: | ||||
Management fees | 6,280 | |||
Transfer agent and administrative fees | 1,744 | |||
Distribution and Service Fees: | ||||
A-Class | 1,166 | |||
C-Class | 51 | |||
H-Class | 559 | |||
Portfolio accounting fees | 698 | |||
Trustees’ fees** | 6 | |||
Short sales dividend expense | 3,806 | |||
Prime broker interest expense | 119 | |||
Licensing fees | 2,442 | |||
Miscellaneous | 1,103 | |||
Total expenses | 17,974 | |||
Less expenses waived by Advisor | (788 | ) | ||
Net expenses | 17,186 | |||
Net investment loss | (15,676 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 15,393 | |||
Futures contracts | 99,968 | |||
Securities sold short | (137 | ) | ||
Net realized gain | 115,224 | |||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | 1,484 | |||
Futures contracts | 62,982 | |||
Securities sold short | 5,936 | |||
Net unrealized appreciation | 70,402 | |||
Net realized and unrealized gain | 185,626 | |||
Net increase in net assets resulting from operations | $ | 169,950 | ||
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
† | Since the commencement of operations: June 30, 2010. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 57 |
LONG SHORT EQUITY STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||
September 30, | ||||
2010 | * | |||
Increase (Decrease) In Net Assets From Operations: | ||||
Net investment loss | $ | (15,676 | ) | |
Net realized gain during the period on investments | 115,224 | |||
Net unrealized appreciation during the period on investments | 70,402 | |||
Net increase in net assets resulting from operations | 169,950 | |||
Distributions to shareholders | — | |||
Capital share transactions: | ||||
Proceeds from sale of shares | ||||
A-Class | 2,248,058 | |||
C-Class | 71,882 | |||
H-Class | 1,315,695 | |||
Institutional Class | 10,000 | |||
Redemption fees collected | ||||
A-Class | 1 | |||
C-Class | 0 | |||
H-Class | 0 | |||
Institutional Class | 0 | |||
Cost of shares redeemed | ||||
A-Class | (560,157 | ) | ||
C-Class | (6,075 | ) | ||
H-Class | (363,194 | ) | ||
Institutional Class | — | |||
Net increase from capital share transactions | 2,716,210 | |||
Net increase in net assets | 2,886,160 | |||
Net assets: | ||||
Beginning of period | — | |||
End of period | $ | 2,886,160 | ||
Accumulated net investment loss at end of period | $ | (15,676 | ) | |
Capital share activity: | ||||
Shares sold | ||||
A-Class | 89,329 | |||
C-Class | 2,750 | |||
H-Class | 51,857 | |||
Institutional Class | 400 | |||
Shares redeemed | ||||
A-Class | (21,610 | ) | ||
C-Class | (237 | ) | ||
H-Class | (14,231 | ) | ||
Institutional Class | — | |||
Total capital share activity | 108,258 | |||
* | Since the commencement of operations: June 30, 2010. |
58 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
LONG SHORT EQUITY STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
A-Class | C-Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.15 | ) | (.19 | ) | ||||
Net gain on securities (realized and unrealized) | 1.81 | 1.80 | ||||||
Total from investment operations | 1.66 | 1.61 | ||||||
Redemption fees collected | — | g | — | g | ||||
Net asset value, end of period | $26.66 | $26.61 | ||||||
Total Returnd | 6.64% | 6.44% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $1,805 | $67 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (2.23% | ) | (3.07% | ) | ||||
Total expenses | 2.56% | 3.41% | ||||||
Net expensese | 2.45% | 3.29% | ||||||
Operating expensesf | 1.90% | 2.64% | ||||||
Portfolio turnover rate | 528% | 528% |
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
H-Class | Institutional Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.15 | ) | (.13 | ) | ||||
Net gain on securities (realized and unrealized) | 1.81 | 1.81 | ||||||
Total from investment operations | 1.66 | 1.68 | ||||||
Redemption fees collected | — | g | — | g | ||||
Net asset value, end of period | $26.66 | $26.68 | ||||||
Total Returnd | 6.64% | 6.72% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $1,003 | $11 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (2.26% | ) | (1.99% | ) | ||||
Total expenses | 2.59% | 2.31% | ||||||
Net expensese | 2.47% | 2.21% | ||||||
Operating expensesf | 1.89% | 1.65% | ||||||
Portfolio turnover rate | 528% | 528% |
a | Since commencement of operations June 30, 2010. |
b | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized |
c | Net investment loss was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Net expense information reflects the expense ratios after voluntary expense waivers. |
f | Operating expenses exclude interest and dividend expense from securities sold short. |
g | Redemption fees collected are less than $.01. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 59 |
FUND PROFILE (Unaudited)
September 30, 2010
LONG SHORT INTEREST RATE STRATEGY FUND
OBJECTIVE: Seeks to maximize total return by taking advantage of price movements in the U.S. Treasury bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0728018.gif)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2010 | |||
C-Class | June 30, 2010 | |||
H-Class | June 30, 2010 | |||
The Fund invests principally in derivative investments such as futures contracts. |
60 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
LONG SHORT INTEREST RATE STRATEGY FUND
Face | Market | |||||||
Amount | Value | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 61.7% | ||||||||
Freddie Mac1 | ||||||||
0.25% due 06/07/11 | $ | 3,000,000 | $ | 2,995,851 | ||||
0.30% due 06/21/11 | 3,000,000 | 2,995,617 | ||||||
Fannie Mae1 | ||||||||
0.30% due 03/01/11 | 2,000,000 | 1,998,574 | ||||||
0.23% due 06/01/11 | 2,000,000 | 1,997,300 | ||||||
Farmer Mac2 | ||||||||
0.36% due 05/31/11 | 1,000,000 | 998,723 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $10,980,196) | 10,986,065 | |||||||
REPURCHASE AGREEMENTS††,3 - 36.6% | ||||||||
Mizuho Financial Group, Inc. issued 09/30/10 at 0.20% due 10/01/10 | 2,486,338 | 2,486,338 | ||||||
HSBC Group issued 09/30/10 at 0.20% due 10/01/10 | 2,483,570 | 2,483,570 | ||||||
Morgan Stanley issued 09/30/10 at 0.19% due 10/01/10 | 1,026,269 | 1,026,269 | ||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 262,203 | 262,203 | ||||||
Deutsche Bank issued 09/30/10 at 0.20% due 10/01/10 | 256,567 | 256,567 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,514,947) | 6,514,947 | |||||||
Total Investments - 98.3% | ||||||||
(Cost $17,495,143) | $ | 17,501,012 | ||||||
Cash & Other Assets, Less Liabilities - 1.7% | 298,432 | |||||||
Total Net Assets - 100.0% | $ | 17,799,444 | ||||||
Unrealized | ||||||||
Contracts | Gain (Loss) | |||||||
FUTURES CONTRACTS PURCHASED† | ||||||||
December 2010 U.S. 5 Year | ||||||||
Treasury Note | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $6,647,695) | 55 | $ | 62,797 | |||||
December 2010 U.S. 10 Year | ||||||||
Note Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $4,033,500) | 32 | 41,059 | ||||||
December 2010 U.S. Long Bond | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $2,005,313) | 15 | 12,790 | ||||||
December 2010 U.S. 2 Year | ||||||||
Note Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $7,023,000) | 32 | 11,046 | ||||||
December 2010 Ultra Long-Term | ||||||||
U.S. Treasury Bond Futures | ||||||||
Contracts (Aggregate Market | ||||||||
Value of Contracts $564,875) | 4 | (2,006 | ) | |||||
(Total Aggregate Market Value of | ||||||||
Contracts $20,274,383) | $ | 125,686 | ||||||
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
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 is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 6. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 61 |
LONG SHORT INTEREST RATE STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investments, at value | $ | 10,986,065 | ||
Repurchase agreement, at value | 6,514,947 | |||
Total investments | 17,501,012 | |||
Segregated cash with broker | 158,700 | |||
Receivables: | ||||
Variation margin | 1,374 | |||
Fund shares sold | 194,918 | |||
Interest | 36 | |||
Total assets | 17,856,040 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 35,257 | |||
Management fees | 9,980 | |||
Custodian fees | 439 | |||
Transfer agent/maintenance fees | 3,327 | |||
Distribution and service fees | 3,624 | |||
Portfolio accounting fees | 1,330 | |||
Other | 2,639 | |||
Total liabilities | 56,596 | |||
Net assets | $ | 17,799,444 | ||
Net assets consist of: | ||||
Paid in capital | 17,554,985 | |||
Accumulated net investment loss | (37,019 | ) | ||
Undistributed net realized gain on sale of investments | 149,923 | |||
Net unrealized appreciation in value of investments | 131,555 | |||
Net assets | 17,799,444 | |||
A-Class: | ||||
Net assets | $ | 8,640,400 | ||
Capital shares outstanding | 336,910 | |||
Net asset value per share | $25.65 | |||
Maximum offering price per share* | $26.93 | |||
C-Class: | ||||
Net assets | $ | 750,164 | ||
Capital shares outstanding | 29,305 | |||
Net asset value per share | $25.60 | |||
H-Class: | ||||
Net assets | $ | 8,398,615 | ||
Capital shares outstanding | 327,485 | |||
Net asset value per share | $25.65 | |||
Institutional Class: | ||||
Net assets | $ | 10,265 | ||
Capital shares outstanding | 400 | |||
Net asset value per share | $25.66 | |||
Investments, at cost | $ | 10,980,196 | ||
Repurchase agreement, at cost | 6,514,947 | |||
Total cost | $ | 17,495,143 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010†
Investment Income: | ||||
Interest | $ | 6,979 | ||
Total investment income | 6,979 | |||
Expenses: | ||||
Management fees | 21,634 | |||
Transfer agent and administrative fees | 7,211 | |||
Distribution and Service Fees: | ||||
A-Class | 4,362 | |||
C-Class | 608 | |||
H-Class | 2,691 | |||
Portfolio accounting fees | 2,885 | |||
Trustees’ fees** | 1,026 | |||
Miscellaneous | 3,581 | |||
Total expenses | 43,998 | |||
Net investment loss | (37,019 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Futures contracts | 149,923 | |||
Net realized gain | 149,923 | |||
Net unrealized appreciation (depreciation) | ||||
during the period on: | ||||
Investment securities | 5,869 | |||
Futures contracts | 125,686 | |||
Net unrealized appreciation | 131,555 | |||
Net realized and unrealized gain | 281,478 | |||
Net increase in net assets resulting from operations | $ | 244,459 | ||
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
** | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
† | Since the commencement of operations: June 30, 2010. |
62 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
1
LONG SHORT INTEREST RATE STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | ||||
September 30, | ||||
2010 | * | |||
Increase (Decrease) In Net Assets From Operations: | ||||
Net investment loss | $ | (37,019 | ) | |
Net realized gain during the period on investments | 149,923 | |||
Net unrealized appreciation during the period on investments | 131,555 | |||
Net increase in net assets resulting from operations | 244,459 | |||
Distributions to shareholders | — | |||
Capital share transactions: | ||||
Proceeds from sale of shares | ||||
A-Class | 9,841,407 | |||
C-Class | 747,159 | |||
H-Class | 9,606,887 | |||
Institutional Class | 10,000 | |||
Redemption fees collected | ||||
A-Class | 207 | |||
C-Class | 11 | |||
H-Class | 171 | |||
Institutional Class | 0 | |||
Cost of shares redeemed | ||||
A-Class | (1,367,718 | ) | ||
C-Class | (361 | ) | ||
H-Class | (1,282,778 | ) | ||
Institutional Class | — | |||
Net increase from capital share transactions | 17,554,985 | |||
Net increase in net assets | 17,799,444 | |||
Net assets: | ||||
Beginning of period | — | |||
End of period | $ | 17,799,444 | ||
Accumulated net investment loss at end of period | $ | (37,019 | ) | |
Capital Share Activity: | ||||
Shares sold | ||||
A-Class | 390,729 | |||
C-Class | 29,319 | |||
H-Class | 378,156 | |||
Institutional Class | 400 | |||
Shares redeemed | ||||
A-Class | (53,819 | ) | ||
C-Class | (14 | ) | ||
H-Class | (50,671 | ) | ||
Institutional Class | — | |||
Total capital share activity | 694,100 | |||
* | Since the commencement of operations: June 30, 2010. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 63 |
2
LONG SHORT INTEREST RATE STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
A-Class | C-Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.08 | ) | (.12 | ) | ||||
Net gain on securities (realized and unrealized) | .73 | .72 | ||||||
Total from investment operations | .65 | .60 | ||||||
Redemption fees collected | — | e | — | e | ||||
Net asset value, end of period | $25.65 | $25.60 | ||||||
Total Returnd | 2.60% | 2.40% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $8,640 | $750 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.27% | ) | (2.02% | ) | ||||
Total expenses | 1.51% | 2.26% | ||||||
Portfolio turnover rate | — | — | ||||||
Period Ended | Period Ended | |||||||
September 30, | September 30, | |||||||
2010 | a,b | 2010 | a,b | |||||
H-Class | Institutional Class | |||||||
Per Share Data | ||||||||
Net asset value, beginning of period | $25.00 | $25.00 | ||||||
Income (loss) from investment operations: | ||||||||
Net investment lossc | (.08 | ) | (.06 | ) | ||||
Net gain on securities (realized and unrealized) | .73 | .72 | ||||||
Total from investment operations | .65 | .66 | ||||||
Redemption fees collected | — | e | — | e | ||||
Net asset value, end of period | $25.65 | $25.66 | ||||||
Total Returnd | 2.60% | 2.64% | ||||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $8,399 | $10 | ||||||
Ratios to average net assets: | ||||||||
Net investment loss | (1.27% | ) | (1.02% | ) | ||||
Total expenses | 1.51% | 1.26% | ||||||
Portfolio turnover rate | — | — |
a | Since commencement of operations June 30, 2010. |
b | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment loss was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Redemption fees collected are less than $.01. |
64 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
3
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the NAV, with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge, except for the U.S. Government Money Market Fund. 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% CDSC if shares are redeemed within 18 months of purchase.
At September 30, 2010, the Trust consisted of fifty-nine separate funds. This report covers the Alternatives Funds (the “Funds”), while the other Funds are contained in separate reports.
The Alternative Strategies Allocation Fund is a “fund of funds,” which means that the Fund seeks to achieve its investment objective by investing primarily in other Rydex mutual funds (the “underlying funds”) instead of individual securities.
As of September 30, 2010, only A-Class, C-Class, H-Class and Institutional Class shares had been issued in the Funds.
Security Global Investors, LLC. (“SGI”) serves as investment sub-adviser to the International Long Short Select Fund, Global 130/30 Strategy Fund and Equity Market Neutral Fund and is responsible for the day-to-day management of each Fund’s portfolio. SGI manages the day-to-day investment and reinvestment of the assets of the International Long Short Select Fund, Global 130/30 Strategy Fund and Equity Market Neutral Fund, in accordance with the investment objectives, policies, and limitations of each Fund, subject to the general supervision and control of the Advisor and the Board and the officers of the Trust.
Prior to June 8, 2010, the International Long Short Select Fund was sub-advised by Valu-Trac Investment Management Limited (“Valu-Trac”) pursuant to the terms of a sub-advisory agreement dated January 18, 2008, between the Advisor and Valu-Trac (the Valu-Trac Sub Advisory Agreement”).
American Independence Financial Services, LLC, serves as investment sub-adviser to the Long Short Interest Rate Strategy Fund. The Sub-Advisor constructs and provides the Advisor with the Long Short Interest Rate Strategy Fund’s investment model via our electronic signal.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, LLC (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 65 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Debt securities with a maturity greater than 60 days are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a security is valued at the reported bid price, at the close of business. Short-term debt securities, with a maturity of 60 days or less and repurchase agreements are valued at amortized cost, which approximates market value.
Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
Structured notes are valued in accordance with the terms of their agreement at the value of the underlying index close, usually 4:00 p.m. adjusted for any interest accruals and financing charges. If the securities comprising the underlying index cease trading before a Fund’s close of business, the index will be fair valued with the use of an appropriate market indicator.
Investments, for which market quotations are not readily available, are fair valued as determined in good faith by Rydex Investments under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related-markets.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually.
Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. When a Fund engages in a short sale of an equity or fixed income security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and record this as an expense. Short dividends or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short or incur rebate charges to borrow certain securities.
E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, that Fund will realize a loss in the amount of the cost of the option. When a Fund enters into a closing sale transaction, that Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, that Fund will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security purchased by that Fund upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked to-market to reflect the current value of the option written. When a written option expires, or if a Fund enters into a closing purchase transaction, that Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
F. The Trust may enter into stock and bond index futures contracts and options on such futures contracts. Futures
66 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
G. The Trust may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are used to obtain exposure to a market without owning or taking physical custody of securities or commodities. Fluctuations in value of the structured notes are recorded as unrealized gains and losses in the accompanying financial statements. Coupon payments are recorded as income while net payments are recorded as net realized gains or losses.
H. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
I. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. At September 30, 2010, none of the Funds held forward currency contracts.
J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
K. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements.
L. 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 fees related to A-Class shares and H-Class shares and service and distribution fees related to C-Class shares, are charged directly to such 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.
M. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 67 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
2. Financial Instruments
As part of its investment strategy, the Trust may utilize short sales and a variety of derivative instruments including options, futures, options on futures, structured notes, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
A short sale is a transaction in which a Fund sells an equity or fixed income security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of structured notes. Structured notes are leveraged, thereby providing an exposure to the underlying benchmark greater than the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in, which may make it difficult for that Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless Rydex Investments believes that the issuer is creditworthy, a Fund does bear
the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
In conjunction with the use of short sales, options, futures, options on futures, structured notes and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, structured notes, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counter-party credit risk.
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency
68 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
risk may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
Emerging markets, which consist of countries that have an emerging stock market as defined by Standard & Poor’s®, countries or markets with low- to middle-income economies as classified by the World Bank, and other countries or markets with similar characteristics as determined by Rydex Investments, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile. As a result, the securities of emerging market issuers may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in securities of developed foreign countries. In addition, the risks associated
with investing in a narrowly defined geographic area are generally more pronounced with respect to investments in emerging market countries. The Fund may also be subject to this risk with respect to its investments in derivatives or other securities or financial instruments whose returns are related to the returns of emerging market securities.
The Fund may invest in financial instruments involving counterparties for the purpose of attempting to gain exposure to a particular group of securities, index or asset class without actually purchasing those securities or investments, or to hedge a position. Such financial instruments include, among others, total return, index, interest rate swaps, and structured notes. The Fund will use short-term counterparty agreements to exchange the returns (or differentials in rates of return) earned or realized in particular predetermined investments or instruments. The Fund will not enter into any agreement with a counterparty unless the Advisor believes that the other party to the transaction is creditworthy. The use of swap agreements, structured notes and other similar instruments involves risks that are different from those associated with ordinary portfolio securities transactions. For example, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of your investment in the Fund to decrease. In addition, the Fund may enter into swap agreements with a limited number of counterparties, and may invest in commodity-linked structured notes issued by a limited number of issuers that will act as counterparties, which may increase the Fund’s exposure to counterparty credit risk. Swap agreements and structured notes also may be considered to be illiquid.
Because the value of a credit or equity-linked derivative investment typically is based upon the price movements of the credit instrument, equity security or credit or equity index, or some other readily measurable economic variable, the value of credit or equity-linked derivative instruments may be affected by changes in overall market movements, volatility of the benchmark, changes in interest rates, or factors affecting a particular industry or security, such as international economic, political and regulatory developments or significant changes in the credit-worthiness of an issuer.
3. Derivative Investment Holdings Categorized by Risk Exposure
U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 69 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations.
Certain Funds seek to gain exposure to their respective benchmarks by investing in currency, and financial-linked derivative instruments, including futures and options on futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives:
Approximate percentage of Fund’s | ||||
Fund | net assets on a daily basis | |||
U.S. Long Short Momentum Fund | 10% | |||
Event Driven and Distressed Strategies Fund | 120% | |||
Alternative Strategies Fund | 80% | |||
Long Short Equity Strategy Fund | 55% | |||
Long Short Interest Rate Strategy Fund | 115% |
The following is a summary of the location of derivative investments on the Fund’s Statements of Assets and Liabilities as of September 30, 2010:
Location on the Statements of Assets and Liabilities | ||||
Derivative Investments Type | Asset Derivatives | Liability Derivatives | ||
Equity contracts | Variation Margin | Variation Margin | ||
Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements | |||
Corporate Bond Contracts | Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements |
The following is a summary of the location of derivative investments on the Fund’s Statements of Assets and Liabilities as of September 30, 2010:
Asset Derivative Investments Value | ||||||||||||||||
Swaps | ||||||||||||||||
Futures | Corporate | Futures | Total Value at | |||||||||||||
Equity | Bond | Interest Rate | September 30, | |||||||||||||
Fund | Contracts* | Contracts | Contracts* | 2010 | ||||||||||||
U.S. Long Short Momentum Fund | $ | — | $ | — | $ | — | $ | — | ||||||||
International Long Short Select Fund | — | — | — | — | ||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | ||||||||||||
Global 130/30 Strategy Fund | — | — | — | — | ||||||||||||
Equity Market Neutral Fund | — | — | — | — | ||||||||||||
Event Driven and Distressed Strategies Fund | — | 100,318 | — | 100,318 | ||||||||||||
Alternative Strategies Fund | 134,862 | — | — | 134,862 | ||||||||||||
Long Short Equity Strategy Fund | 62,982 | — | — | 62,982 | ||||||||||||
Long Short Interest Rate Strategy Fund | — | — | 127,692 | 127,692 | ||||||||||||
Liability Derivative Investments Value | ||||||||||||||||
Swaps | ||||||||||||||||
Futures | Corporate | Futures | Total Value at | |||||||||||||
Equity | Bond | Interest Rate | September 30, | |||||||||||||
Fund | Contracts* | Contracts | Contracts* | 2010 | ||||||||||||
U.S. Long Short Momentum Fund | $ | 626,548 | $ | — | $ | — | $ | 626,548 | ||||||||
International Long Short Select Fund | — | — | — | — | ||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | ||||||||||||
Global 130/30 Strategy Fund | — | — | — | — | ||||||||||||
Equity Market Neutral Fund | — | — | — | — | ||||||||||||
Event Driven and Distressed Strategies Fund | — | — | — | — | ||||||||||||
Alternative Strategies Fund | 78,364 | 78,364 | ||||||||||||||
Long Short Equity Strategy Fund | — | — | — | — | ||||||||||||
Long Short Interest Rate Strategy Fund | — | — | 2,006 | 2,006 | ||||||||||||
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
70 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the location of derivative investments on the Fund’s Statements of Operations as of September 30, 2010:
Derivative Investment Type | Location of Gain (Loss) on Derivatives | |
Equity contracts | Net Realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts and swap agreements | ||
Currency Contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts | ||
Credit Contracts | Net realized gain (loss) on swap agreements | |
Change in net unrealized appreciation (depreciation) on swap agreements | ||
Corporate Bond Contracts | Net realized gain (loss) on swap agreements | |
Change in net unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of September 30, 2010:
Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Credit | Swaps | Futures | Total Value at | ||||||||||||||||||||||
Equity | Equity | Currency | Default | Corporate Bond | Interest Rate | September 30, | ||||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Contracts | 2010 | |||||||||||||||||||||
U.S. Long Short Momentum Fund | $ | (147,732 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (147,732 | ) | ||||||||||||
International Long Short Select Fund | (1,571,055 | ) | — | (154,487 | ) | — | — | — | (1,725,542 | ) | ||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Global 130/30 Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Equity Market Neutral Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Event Driven and Distressed Strategies Fund | — | 347,817 | — | 7,195 | 355,784 | — | 710,796 | |||||||||||||||||||||
Alternative Strategies Fund | 158,911 | — | — | — | — | — | 158,911 | |||||||||||||||||||||
Long Short Equity Strategy Fund | 99,968 | — | — | — | — | — | 99,968 | |||||||||||||||||||||
Long Short Interest Rate Strategy Fund | — | — | — | — | — | 149,923 | 149,923 | |||||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||||||
Futures | Swaps | Futures | Credit | Swaps | Futures | Total Value at | ||||||||||||||||||||||
Equity | Equity | Currency | Default | Corporate Bond | Interest Rate | September 30, | ||||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Contracts | 2010 | |||||||||||||||||||||
U.S. Long Short Momentum Fund | $ | 626,548 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 626,548 | ||||||||||||||
International Long Short Select Fund | 15,568 | — | 92,522 | — | — | — | 108,090 | |||||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Global 130/30 Strategy Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Equity Market Neutral Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
Event Driven and Distressed Strategies Fund | — | 35,976 | — | — | 64,342 | — | 100,318 | |||||||||||||||||||||
Alternative Strategies Fund | 56,498 | — | — | — | — | — | 56,498 | |||||||||||||||||||||
Long Short Equity Strategy Fund | 62,982 | — | — | — | — | — | 62,982 | |||||||||||||||||||||
Long Short Interest Rate Strategy Fund | — | — | — | — | — | 125,686 | 125,686 | |||||||||||||||||||||
4. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the U.S. Long Short Momentum Fund, Event Driven and Distressed Strategies Fund, Alternative Strategies Fund, Long Short Equity Strategy Fund and the International Long Short Select Fund, 0.75% of the average daily net assets of the Long Short Interest Rate Strategy Fund, 1.05% of the average daily net assets of the Global 130/30 Strategy Fund, and 1.20% of the average daily net assets of the Equity Market Neutral Fund. The Alternative Strategies Allocation Fund does not pay Rydex Investments a management fee.
The Advisor has contractually agreed to reduce fees and/or reimburse expenses for the Event Driven and Distressed Strategies Fund, Alternatives Strategies Fund, and Long Short Equity Strategy Fund to the extent necessary to keep net operating expenses for A-Class, C-Class, H-Class, and Institutional Class Shares (excluding interest, taxes, brokerage commissions, Acquired Fund Fees and Expenses, dividends on securities sold short, and extraordinary expenses (“Excluded Expenses”)) from exceeding 1.90%, 2.65%, 1.90%, and 1.65%, respectively, of the Fund’s A-Class, C-Class, H-Class, and Institutional Class Shares average daily net assets until July 31, 2011. The Total Annual Fund Operating Expenses After Fee
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 71 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Waiver and/or Expense Reimbursement includes Excluded Expenses and, thus, from time to time may be higher than 1.90%, 2.65%, 1.90%, and 1.65%, respectively. This Agreement may be terminated: (i) by the Board, for any reason at any time, or (ii) by the Advisor, upon ninety (90) days’ prior written notice to the Trust, effective as of the close of the business on the last day of the then-current one-year period.
Rydex Investments provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund.
Rydex Investments provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each Fund.
Rydex Investments engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which the Distributor 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 the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
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 0.75% of the Alternative Strategies Allocation Fund and 1.00% of the remaining Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing on-going services to the shareholder. The annual distribution fee of 0.75% for the Funds reimburses the Distributor for paying the shareholder’s financial advisor an ongoing sales commission. The Distributor advances the first year’s service and distribution fees to the financial advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record.
For the year ended September 30, 2010, the Distributor retained sales charges of $321,536 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
5. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision has been recorded.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2007 – 2010), and has concluded that no provision for income tax was required in the Funds’ financial statements.
Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for losses deferred due to wash sales, losses deferred due to post-October losses, unsettled short sales and excise tax regulations.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
At September 30, 2010, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an access 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:
72 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Tax Unrealized | Tax Unrealized | Net Unrealized | ||||||||||||||
Fund Name | Tax Cost | Gain | Loss | Gain (Loss | ) | |||||||||||
U.S. Long Short Momentum Fund | $ | 156,045,515 | $ | 13,838,453 | $ | (2,249,579 | ) | $ | 11,588,874 | |||||||
International Long Short Select Fund | 5,288,178 | 543,132 | (8,149 | ) | 534,983 | |||||||||||
Alternative Strategies Allocation Fund | 25,178,699 | 467,818 | (824,827 | ) | (357,009 | ) | ||||||||||
Global 130/30 Strategy Fund | 5,450,722 | 1,103,805 | (38,059 | ) | 1,065,746 | |||||||||||
Equity Market Neutral Fund | 12,504,620 | 1,029,497 | (786,021 | ) | 243,476 | |||||||||||
Event Driven and Distressed Strategies Fund | 11,259,908 | 6,120 | — | 6,120 | ||||||||||||
Alternative Strategies Fund | 4,171,259 | 2,970 | — | 2,970 | ||||||||||||
Long Short Equity Strategy Fund | 2,265,936 | — | (50 | ) | (50 | ) | ||||||||||
Long Short Interest Rate Strategy Fund | 17,495,143 | 5,869 | — | 5,869 |
6. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Fund’s 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.
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Mizuho Financial Group, Inc. | 0.20% due 10/01/10 | $ | 726,809,144 | $ | 726,809,144 | $ | 726,813,182 | |||||||||
HSBC Group | 0.20% due 10/01/10 | 726,000,000 | 726,000,000 | 726,004,033 | ||||||||||||
Morgan Stanley | 0.19% due 10/01/10 | 300,000,000 | 300,000,000 | 300,001,583 | ||||||||||||
Credit Suisse Group | 0.18% due 10/01/10 | 218,789,532 | 218,789,532 | 218,790,626 | ||||||||||||
Deutsche Bank | 0.20% due 10/01/10 | 75,000,000 | 75,000,000 | 75,000,417 | ||||||||||||
$ | 2,046,598,676 | $ | 2,046,609,841 | |||||||||||||
Security Type | Maturity Dates | Range of Rates | Par Value | Market Value | ||||||||||||
U.S. Treasury Bills | 11/26/10 - 09/22/11 | 0.00% | $ | 966,195,000 | $ | 964,510,820 | ||||||||||
U.S. Treasury Bonds | 11/15/24 - 11/15/39 | 4.38% - 7.50 | % | 643,266,700 | 740,520,142 | |||||||||||
U.S. Tip Note | 4/15/14 | 1.25% | 280,933,500 | 306,000,050 | ||||||||||||
U.S. Treasury Note | 10/31/16 | 3.13% | 67,765,000 | 76,500,110 | ||||||||||||
$ | 2,087,531,122 | |||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
7. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 | — | quoted prices in active markets for identical securities. |
Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
Level 3 | — | significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 73 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2010:
Level 1 | Level 1 | Level 2 | Level 2 | |||||||||||||||||
Investments | Other Financial | Investments | Other Financial | |||||||||||||||||
Fund | In Securities | Instruments | * | In Securities | Instruments | * | Total | |||||||||||||
Assets | ||||||||||||||||||||
U.S Long Short Momentum Fund | $ | 158,064,751 | $ | — | $ | 9,569,638 | $ | — | $ | 167,634,389 | ||||||||||
International Long Short Select Fund | 4,581,487 | — | 1,241,674 | — | 5,823,161 | |||||||||||||||
Alternative Strategies Allocation Fund | 24,549,527 | — | 272,163 | — | 24,821,690 | |||||||||||||||
Global 130/30 Strategy Fund | 6,493,238 | — | 23,230 | — | 6,516,468 | |||||||||||||||
Equity Market Neutral Fund | 12,748,096 | — | — | — | 12,748,096 | |||||||||||||||
Event Driven and Distressed Strategies Fund | — | — | 11,266,028 | 100,318 | 11,366,346 | |||||||||||||||
Alternative Strategies Fund | — | 56,498 | 4,174,229 | — | 4,230,727 | |||||||||||||||
Long Short Equity Strategy Fund | — | 62,982 | 2,265,886 | — | 2,328,868 | |||||||||||||||
Long Short Interest Rate Strategy Fund | — | 125,686 | 17,501,012 | — | 17,626,698 | |||||||||||||||
Level 1 | Level 1 | Level 2 | Level 2 | |||||||||||||||||
Investments | Other Financial | Investments | Other Financial | |||||||||||||||||
Fund | In Securities | Instruments | * | In Securities | Instruments | * | Total | |||||||||||||
Liabilities | ||||||||||||||||||||
U.S Long Short Momentum Fund | $ | — | $ | 626,548 | $ | — | $ | — | $ | 626,548 | ||||||||||
International Long Short Select Fund | 1,469,106 | — | — | — | 1,469,106 | |||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | |||||||||||||||
Global 130/30 Strategy Fund | — | — | — | — | — | |||||||||||||||
Equity Market Neutral Fund | 12,256,245 | — | 104 | — | 12,256,349 | |||||||||||||||
Event Driven and Distressed Strategies Fund | — | — | — | — | — | |||||||||||||||
Alternative Strategies Fund | — | — | — | — | — | |||||||||||||||
Long Short Equity Strategy Fund | 258,300 | — | — | — | 258,300 | |||||||||||||||
Long Short Interest Rate Strategy Fund | — | — | — | — | — |
* | Other financial instruments may include forward foreign currency contracts, futures and/or swaps, which are reported as unrealized gain/loss at period end. |
8. Securities Transactions
For the period ended September 30, 2010, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
U.S. Long Short | International | Alternative | Global 130/30 | Equity | ||||||||||||||||
Momentum | Long Short Select | Strategies | Strategy | Market Neutral | ||||||||||||||||
Fund | Fund | Allocation Fund | Fund | Fund | ||||||||||||||||
Purchases | $ | 220,268,298 | $ | 13,861,775 | $ | 23,435,871 | $ | 19,933,477 | $ | 2,814,202 | ||||||||||
Sales | $ | 254,393,498 | $ | 16,528,894 | $ | 28,326,223 | $ | 27,357,641 | $ | 3,385,463 | ||||||||||
Event Driven and | Alternative | Long Short Equity | Long Short | |||||||||||||||||
Distressed Strategies | Strategies | Strategy | Interest Rate | |||||||||||||||||
Fund | Fund | Fund | Strategy Fund | |||||||||||||||||
Purchases | $ | — | $ | — | $ | (355,041 | ) | $ | — | |||||||||||
Sales | $ | — | $ | — | $ | (75,550 | ) | $ | — |
9. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 331/3% of a Fund’s net assets, 331/3% of a Fund’s assets held by the Custodian or 331/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2011. As of and for the period ended September 30, 2010, the Funds did not have any outstanding borrowings under this agreement.
10. New Share Class
On May 3, 2010, the Equity Market Neutral Fund introduced the I-Class share class. On June 22, 2010, the I-Class Shares were renamed Institutional Class Shares. Accordingly, all references to I-Class Shares in the Prospectuses and SAIs are
74 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
now replaced with Institutional Class Shares. All fees and expenses associated with the share class remain the same and are not affected by the name change.
11. Name Changes
On May 25, 2010, the Global Market Neutral Fund changed its Fund name to the Equity Market Neutral Fund. On May 28, 2010, the All-Cap Opportunity Fund changed its Fund name to the U.S. Long Short Momentum Fund. On June 7, 2010, the International Opportunity Fund changed its Fund name to International Long Short Select Fund. The name changes did not have any impact on the Funds’ investment objectives, tickers, or CUSIPS.
12. Redemption Fees
Effective September 13, 2010, the 1% short-term trading fee that applies to the firm’s alternative suite of mutual funds was removed. Rydex Investments believes the removal of the fee is in the best interest of current shareholders. It is important to note the funds are not intended for short term trading and we will continue to monitor for harmful trading activity in the funds. To that end, Rydex Investments is not actively promoting the elimination of the redemption fee to clients via written communications as we don’t want to encourage short-term trading on these products from active trading clients, which could potentially damage long-term performance for other shareholders. A supplement to the prospectuses was filed on September 13, 2010.
13. Guggenheim Acquisition
Guggenheim SBC Holdings, LLC (“Guggenheim SBC Holdings”), an investor group managed by Guggenheim Partners, LLC (“Guggenheim”), acquired control of Security Benefit Corporation (“SBC”), the parent company of Rydex Advisors, LLC (formerly PADCO Advisors, Inc.), the Funds’ investment adviser (the “Investment Adviser”), pursuant to an agreement entered between SBC and Guggenheim SBC Holdings. Under the agreement, Guggenheim SBC Holdings received a 100% ownership stake in SBC and consequently acquired control of the Investment Adviser (the “Purchase Transaction”). Guggenheim is a global, independent, privately held, diversified financial services firm with more than $100 billion in assets under supervision. The Purchase Transaction is not expected to result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The Purchase Transaction closed on July 30, 2010.
Under the Investment Company Act of 1940, the closing of the Purchase Transaction had the effect of terminating the Funds’ investment advisory agreements with the Investment Advisers and any investment sub-advisory agreements entered on behalf of a Fund (together, the “Previous Agreements”). New investment advisory and sub-advisory agreements (“New Agreements”) were approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreements are substantially identical to the corresponding Previous Agreements, except with respect to the date of execution.
14. Distributor and Transfer Agent Change
Effective July 30, 2010, the Funds’ distributor, Rydex Distributors, Inc., a Maryland corporation, became Rydex Distributors, LLC, a Kansas limited liability company, and Rydex Fund Services, Inc., the Funds’ transfer agent, became Rydex Fund Services, LLC, a Kansas limited liability company.
15. New Accounting Pronouncements
Effective March 31, 2010, the Funds adopted the Financial Accounting Standards Board ASU 2010-06, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements, which are reflected in Note 7.
16. Subsequent Events
At a Meeting of the Board of Trustees of Rydex Series Funds (the “Board”) held on August 25, 2010, the Board approved the closing and subsequent liquidation of the Global 130/30 Strategy Fund (the “Fund”). Accordingly, the Fund is expected to cease operations, liquidate its assets, and distribute the liquidation proceeds to the shareholders of record on or about October 15, 2010 (the “Liquidation Date”). Effective on or about October 1, 2010, the Fund will be closed to new share-holders and additional purchases by existing shareholders. The planned liquidation of the Fund may cause the Fund to increase its cash holdings and deviate from its investment objective and strategies stated in the Fund’s Prospectuses.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 75 |
OTHER INFORMATION (Unaudited)
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended December 31 is available without charge, upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Proxy Results
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Rydex Advisors, LLC. A description of the number of shares voted is as follows:
Fund | Shares For | Shares Against | Shares Abstained | |||||||||
U.S Long Short Momentum Fund | 8,232,176 | 271,333 | 316,202 | |||||||||
International Long Short Select Fund | 432,838 | 4,132 | 4,201 | |||||||||
Alternative Strategies Allocation Fund | 835,869 | 29,477 | 24,853 | |||||||||
Global 130/30 Strategy Fund | 853,485 | 2,961 | 3,936 | |||||||||
Equity Market Neutral Fund | 718,597 | — | 557 |
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds voted on whether to approve a new investment sub-advisory agreement between Rydex Series Funds and Security Global Investors, LLC. A description of the number of shares voted is as follows:
Fund | Shares For | Shares Against | Shares Abstained | |||||||||
International Long Short Select Fund | 431,964 | 6,384 | 2,823 | |||||||||
Global 130/30 Strategy Fund | 852,927 | 3,519 | 3,936 | |||||||||
Equity Market Neutral Fund | 718,598 | — | 557 |
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds also voted on whether to approve a change to a fundamental investment policy on borrowing money, consistent with applicable law. A description of the number of shares voted is as follows:
Fund | Shares For | Shares Against | Shares Abstained | |||||||||
U.S Long Short Momentum Fund | 8,054,118 | 438,236 | 327,355 | |||||||||
International Long Short Select Fund | 431,998 | 5,999 | 3,175 | |||||||||
Alternative Strategies Allocation Fund | 806,227 | 40,457 | 43,513 | |||||||||
Global 130/30 Strategy Fund | 847,791 | 7,942 | 4,651 | |||||||||
Equity Market Neutral Fund | 718,598 | — | 557 |
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to share-holders, without charge and upon request, by calling 1-800-820-0888.
76 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
INDEPENDENT TRUSTEES
Length of Service | ||||
Name, Position and | As Trustee | Number of | ||
Year of Birth | (Year Began) | Funds Overseen | ||
John O. Demaret | Rydex Series Funds — 1997 | 144 | ||
Trustee, Chairman of the | Rydex Variable Trust — 1998 | |||
Board (1940) | Rydex Dynamic Funds — 1999 | |||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Retired | ||||
Corey A. Colehour | Rydex Series Funds — 1993 | 144 | ||
Trustee (1945) | Rydex Variable Trust — 1998 | |||
Rydex Dynamic Funds — 1999 | ||||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) | ||||
J. Kenneth Dalton | Rydex Series Funds — 1995 | 144 | ||
Trustee (1941) | Rydex Variable Trust — 1998 | |||
Rydex Dynamic Funds — 1999 | ||||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group | ||||
Werner E. Keller | Rydex Series Funds — 2005 | 144 | ||
Trustee (1940) | Rydex Variable Trust — 2005 | |||
Rydex Dynamic Funds — 2005 | ||||
Rydex ETF Trust — 2005 | ||||
Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds — 2005 | 144 | ||
Trustee (1960) | Rydex Variable Trust — 2005 | |||
Rydex Dynamic Funds — 2005 | ||||
Rydex ETF Trust — 2005 | ||||
Principal Occupations During Past Five Years: President, Global Trends Investments | ||||
Patrick T. McCarville | Rydex Series Funds — 1997 | 144 | ||
Trustee (1942) | Rydex Variable Trust — 1998 | |||
Rydex Dynamic Funds — 1999 | ||||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc. | ||||
Roger Somers | Rydex Series Funds — 1993 | 144 | ||
Trustee (1944) | Rydex Variable Trust — 1998 | |||
Rydex Dynamic Funds — 1999 | ||||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 77 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) |
78 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS (concluded)
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present) |
* | Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Rydex Investments. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 79 |
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SEPTEMBER 30, 2010
RYDEX SERIES FUNDS SEMI - ANNUAL REPORT
ASSET ALLOCATION FUNDS
ALL - ASSET CONSERVATIVE STRATEGY FUND
ALL - ASSET MODERATE STRATEGY FUND
ALL - ASSET AGGRESSIVE STRATEGY FUND
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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, LLC.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER:
Uncertainty over the strength of the U.S. economic recovery and what steps the Federal Reserve might take, if any, to deal with the situation highlighted the six months ending September 30. Stocks bounced back in the July-September period from losses in the second quarter, based partly on relief that the U.S. may be dealing with a prolonged period of slow growth rather than a sharp economic contraction.
The U.S. economy has been out of recession since July 2009, according to a September report from the National Bureau of Economic Research, although employment, income expectations and existing home sales have yet to rebound. Stocks are now roughly where they were six months ago.
U.S. GDP in the second quarter was 1.7%, widely viewed to be insufficient to move the unemployment rate below its current 9.6% before the end of 2010, and significantly lower than the 3.7% GDP in the first quarter. Economists said consumers are not spending at a rate to cause companies to ramp up production, and thus hiring, with confidence. By late September, many investors were widely anticipating that the Federal Reserve, in response to tepid growth, was prepared to start another round of quantitative easing—bond purchases designed to push down long-term interest rates and kick-start private borrowing.
That prospect was welcomed by investors, who sent equities higher in September, the S&P 500® Index* having its best September performance since 1939. For the third quarter, U.S. equity indices were up between 10-15% compared with drops of from 1-3% for the past six months. The technology sector was the main contributor to quarterly performance in the S&P 500 and the Russell 2000® Index, as growth style stocks outperformed value in the third quarter by three percentage points. Emerging markets continued to outperform, with investors continuing to pour money into emerging markets equities funds—$50 billion so far in 2010. Emerging markets are being viewed as less risky than in the recent past, particularly since nations in that sector are not confronting the fiscal debt issues facing many countries in the developed world, and are enjoying healthy economic growth.
Corporations continued to borrow aggressively, based on investor demand for bonds and low interest rates, driving hefty investment-grade bond sales as well as sales of high-yield bonds (where issuance through the third quarter has already surpassed the previous annual record). Various bond indices were up both for the third quarter and six months, led by indices for U.S. Government bond prices and corporate high yield bonds. The expectation of quantitative easing also lifted Treasury prices, despite concerns of a building price bubble in bonds. The Bank of America U.S. Government Index was up almost 3% for the third quarter, while the yield on the benchmark 10-year note closed out September at about 2.5%, down from its 2010 peak of just above 4% in April. U.S. debt also benefited as a safe haven from resurgent worries about the economic health of European nations, including more recently Ireland and Portugal.
Investors have also been flocking to gold, driving the price of an ounce of the metal to a non-inflation-adjusted record of around $1,300. Economists said gold’s appeal was both as a hedge against further financial market instability and to assuage investors worried about the inflationary impact of additional Fed easing and massive levels of government debt. Efforts by central banks around the world to boost their economies by keeping their currencies weaker, thus helping exports, may also be contributing to the rise in the price of gold, which is attractive as an alternative store of value. Continuing economic sluggishness in the U.S. caused the dollar to weaken against the euro and yen throughout the summer, as analysts said the economies behind those currencies are in something of a standoff over which has the worst outlook. The third quarter was good for other commodities, in part a response to strong demand in China, crop failures in Russia and the potential for further monetary easing. Grain prices began to fall late
2 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
in the quarter, as high U.S. yields were expected to offset concerns about shortages in some crops like wheat. High inventory and slack demand combined to keep the price of a barrel of oil stuck in a narrow range, although it traded toward the high end ($82) of the range by September.
In contrast to the second quarter, when worries about European sovereign debt and a possible double-dip recession in the U.S. loomed large, stocks in countries around the world had strong gains in the third quarter. The MSCI EAFE Index* was up 15% for the third quarter and the MSCI EAFE Emerging Markets Index* was up 18%. The latter index was among the best-performing indices for the past six months, up 6%. Markets in Southeast Asia, including Indonesia and Philippines, were at all-time highs, while India and South Korea also flirted with record highs. The domestic stock market of China, which this year is expected to overtake Japan as the world’s second-largest economy, pared its loss for the year, gaining 11% in the third quarter, as investors think the government may be reducing its efforts to rein in the economy. The STOXX 50®* Index also offset year-to-date losses with a 7% rise in the third quarter, despite a weak outlook issued by the European Central Bank. The Nikkei-225 Stock Average Index*, off 11% for the year, rose 6% in September, helped in part by foreign exchange market intervention designed to hold down the value of the yen.
Rydex|SGI has a full lineup of fundamental alpha, target beta and alternative investment products designed to provide investors with the tools needed to participate in all types of markets and market environments. Contact us if you wish to learn more, and thanks for the trust you place in us.
Sincerely,
![-s- Michael Byrum](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666504.gif)
Michael Byrum
President & Chief Investment Officer
* Indices are defined as follows:
Standard & Poor’s 500 Index (S&P 500) – a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
Nikkei-225 Stock Average Index – a price-weighted index of 225 blue-chip companies traded on the Tokyo Stock Exchange.
MSCI EAFE Index (Europe, Australasia, Far East) – a market-capitalization index designed to measure equity market performance in developed markets, excluding the U.S. & Canada. Consists in 2010 of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
MSCI EAFE Emerging Markets – a market-capitalization index designed to measure equity market performance in emerging markets. Consists in 2010 of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The STOXX 50 Index – Europe’s leading Blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The STOXX 50 Index is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products worldwide.
Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.
Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2010 and ending September 30, 2010.
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.
Certain retirement plans such as IRA, SEP, Roth IRA and 403(b) accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
4 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||||||
Expense | Fund | account value | Account Value | Paid During | ||||||||||||||||
Ratio | 1 | Return | March 31, 2010 | September 30, 2010 | the Period2 | |||||||||||||||
Table 1. Based on actual Fund return3 | ||||||||||||||||||||
All-Asset Conservative Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 1.88% | $ | 1,000.00 | $ | 1,018.79 | $ | — | ||||||||||||
C-Class | 0.75% | 1.53% | 1,000.00 | 1,015.28 | 3.79 | |||||||||||||||
H-Class | 0.00% | 1.88% | 1,000.00 | 1,018.77 | — | |||||||||||||||
All-Asset Moderate Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 0.61% | 1,000.00 | 1,006.10 | — | |||||||||||||||
C-Class | 0.75% | 0.21% | 1,000.00 | 1,002.09 | 3.76 | |||||||||||||||
H-Class | 0.00% | 0.61% | 1,000.00 | 1,006.10 | — | |||||||||||||||
All-Asset Aggressive Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 0.22% | 1,000.00 | 1,002.15 | — | |||||||||||||||
C-Class | 0.75% | (0.22% | ) | 1,000.00 | 997.78 | 3.76 | ||||||||||||||
H-Class | 0.00% | 0.11% | 1,000.00 | 1,001.08 | — | |||||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||||||
All-Asset Conservative Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
C-Class | 0.75% | 5.00% | 1,000.00 | 1,021.31 | 3.80 | |||||||||||||||
H-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
All-Asset Moderate Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
C-Class | 0.75% | 5.00% | 1,000.00 | 1,021.31 | 3.80 | |||||||||||||||
H-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
All-Asset Aggressive Strategy Fund | ||||||||||||||||||||
A-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — | |||||||||||||||
C-Class | 0.75% | 5.00% | 1,000.00 | 1,021.31 | 3.80 | |||||||||||||||
H-Class | 0.00% | 5.00% | 1,000.00 | 1,025.07 | — |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by the number of days in the current fiscal year. |
3 | Actual cumulative return at net asset value for the period March 31, 2010 to September 30, 2010. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 5 |
FUND PROFILE (Unaudited)
September 30, 2010
ALL-ASSET CONSERVATIVE STRATEGY FUND
OBJECTIVE: Primarily seeks preservation of capital and, secondarily, seeks long-term growth of capital.
Inception: June 30, 2006
Industry Diversification (Market Exposure as % of Net Assets)
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“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2006 | |||
C-Class | June 30, 2006 | |||
H-Class | June 30, 2006 |
Ten Largest Holdings (% of Total Net Assets) | ||||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 19.0 | % | ||
RSF — Rydex|SGI U.S. Long Short Momentum Fund | 9.7 | % | ||
Rydex|SGI Income Fund High Yield Fund | 8.0 | % | ||
RSF — Rydex|SGI Equity Market Neutral Fund | 6.1 | % | ||
Rydex|SGI Equity Fund® Large Cap Value Fund | 5.1 | % | ||
Rydex|SGI Equity Fund® Large Cap Concentrated | ||||
Growth Fund | 5.0 | % | ||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund | 5.0 | % | ||
Rydex|SGI Equity Fund® Global Fund | 3.3 | % | ||
RSF — Rydex|SGI S&P 500 Fund | 3.1 | % | ||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund | 2.8 | % | ||
Top Ten Total | 67.1 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
RSF — Rydex Series Funds |
6 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ALL-ASSET CONSERVATIVE STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†,2 — 79.6% | ||||||||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 695,468 | $ | 2,969,646 | |||||
RSF — Rydex|SGI U.S. Long Short Momentum Fund* | 124,808 | 1,525,153 | ||||||
Rydex|SGI Income Fund High Yield Fund | 98,652 | 1,248,940 | ||||||
RSF — Rydex|SGI Equity Market Neutral Fund* | 42,439 | 951,051 | ||||||
Rydex|SGI Equity Fund® Large Cap Value Fund | 121,565 | 792,602 | ||||||
Rydex|SGI Equity Fund® Large Cap Concentrated Growth Fund* | 103,615 | 790,581 | ||||||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund* | 30,726 | 788,110 | ||||||
Rydex|SGI Equity Fund® Global Fund | 49,254 | 518,155 | ||||||
RSF — Rydex|SGI S&P 500 Fund | 21,141 | 480,108 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund* | 17,646 | 435,319 | ||||||
RSF — Rydex|SGI Managed Futures Strategy Fund* | 13,474 | 329,565 | ||||||
RSF — Rydex|SGI Event Driven and Distressed Strategies Fund* | 10,724 | 287,832 | ||||||
RSF — Rydex|SGI Multi-Hedge Strategies Fund* | 13,594 | 286,295 | ||||||
Rydex|SGI Equity Fund® Mid Cap Growth Fund* | 33,242 | 244,660 | ||||||
Rydex|SGI Equity Fund® Mid Cap Value Fund | 8,214 | 242,724 | ||||||
RSF — Rydex|SGI Long Short Equity Strategy Fund* | 5,341 | 142,394 | ||||||
RSF — Rydex|SGI Alternative Strategies Fund* | 5,443 | 142,180 | ||||||
RSF — Rydex|SGI Real Estate Fund | 4,844 | 125,412 | ||||||
Rydex|SGI Equity Fund® Small Cap Growth Fund* | 6,949 | 85,120 | ||||||
Rydex|SGI Equity Fund® Small Cap Value Fund* | 5,686 | 81,596 | ||||||
RSF — Rydex|SGI Commodities Strategy Fund | 1,145 | 17,466 | ||||||
Total Mutual Funds (Cost $11,273,538) | 12,484,909 | |||||||
FACE | MARKET | ||||||||
AMOUNT | VALUE | ||||||||
REPURCHASE AGREEMENT††,1 — 20.4% | |||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | 3,203,953 | $ | 3,203,953 | ||||||
Total Repurchase Agreement (Cost $3,203,953) | 3,203,953 | ||||||||
Total Investments — 100.0% (Cost $14,477,491) | $ | 15,688,862 | |||||||
�� | |||||||||
Cash & Other Assets, Less Liabilities — 0.0% | 2,710 | ||||||||
Total Net Assets — 100.0% | $ | 15,691,572 | |||||||
Unrealized | |||||||||
CONTRACTS | GAIN (LOSS) | ||||||||
FUTURES CONTRACTS PURCHASED† | |||||||||
December 2010 MSCI EAFE Index Mini Futures Contracts (Aggregate Market Value of | |||||||||
Contracts $77,710) | 1 | $ | 4,279 | ||||||
December 2010 Ultra Long-Term U.S. Treasury Bond Futures Contracts (Aggregate Market Value of | |||||||||
Contracts $847,313) | 6 | (3,009 | ) | ||||||
(Total Aggregate Market Value of Contracts $925,023) | $ | 1,270 | |||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | Repurchase Agreement — See Note 6. |
2 | A-Class shares of Affiliated Funds. |
RSF — Rydex Series Funds |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 7 |
ALL-ASSET CONSERVATIVE STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investment securities in affiliated funds, at value | $ | 12,484,909 | ||
Repurchase agreement, at value | 3,203,953 | |||
Total investments | 15,688,862 | |||
Segregated cash with broker | 29,000 | |||
Receivables: | ||||
Fund shares sold | 1,065 | |||
Interest from affiliated funds | 16 | |||
Total assets | 15,718,943 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 327 | |||
Fund shares redeemed | 21,133 | |||
Distribution and service fees | 5,911 | |||
Total liabilities | 27,371 | |||
Net assets | $ | 15,691,572 | ||
Net assets consist of: | ||||
Paid in capital | 16,386,460 | |||
Undistributed net investment income | 200,817 | |||
Accumulated net realized loss on sale of investments | (2,108,346 | ) | ||
Net unrealized appreciation in value of investments | 1,212,641 | |||
Net assets | 15,691,572 | |||
A-Class: | ||||
Net assets | $ | 2,741,115 | ||
Capital shares outstanding | 266,096 | |||
Net asset value per share | $10.30 | |||
Maximum offering price per share* | $10.81 | |||
C-Class: | ||||
Net assets | $ | 9,898,294 | ||
Capital shares outstanding | 993,167 | |||
Net asset value per share | $9.97 | |||
H-Class: | ||||
Net assets | $ | 3,052,163 | ||
Capital shares outstanding | 296,057 | |||
Net asset value per share | $10.31 | |||
Investments, at cost | $ | 11,273,538 | ||
Repurchase agreement, at cost | 3,203,953 | |||
Total cost | $ | 14,477,491 |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 99,299 | ||
Interest | 1,517 | |||
Total investment income | 100,816 | |||
Expenses: | ||||
Distribution and Service Fees: | ||||
C-Class | 35,361 | |||
Total expenses | 35,361 | |||
Net investment income | 65,455 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 305,125 | |||
Futures contracts | 56,085 | |||
Net realized gain | 361,210 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (197,353 | ) | ||
Futures contracts | 1,270 | |||
Net unrealized depreciation | (196,083 | ) | ||
Net realized and unrealized gain | 165,127 | |||
Net increase in net assets resulting from operations | $ | 230,582 | ||
8 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
3
ALL-ASSET CONSERVATIVE STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (decrease) in net assets from operations: | ||||||||
Net investment income | $ | 65,455 | $ | 124,197 | ||||
Net realized gain during the period on investments | 361,210 | 639,724 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (196,083 | ) | 1,448,397 | |||||
Net increase in net assets resulting from operations | 230,582 | 2,212,318 | ||||||
Distributions to shareholders from:1 | ||||||||
Net investment income | ||||||||
A-Class | — | (46,919 | ) | |||||
C-Class | — | (154,231 | ) | |||||
H-Class | — | (57,560 | ) | |||||
Net realized gain | ||||||||
A-Class | — | (2,025 | ) | |||||
C-Class | — | (6,656 | ) | |||||
H-Class | — | (2,484 | ) | |||||
Total distributions to shareholders | — | (269,875 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 532,781 | 2,771,441 | ||||||
C-Class | 2,566,110 | 6,862,753 | ||||||
H-Class | 480,491 | 2,804,609 | ||||||
Redemption fees collected | ||||||||
A-Class | 297 | 691 | ||||||
C-Class | 1,002 | 1,905 | ||||||
H-Class | 420 | 881 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 44,175 | ||||||
C-Class | — | 148,390 | ||||||
H-Class | — | 55,860 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (643,235 | ) | (2,700,284 | ) | ||||
C-Class | (2,279,950 | ) | (3,641,473 | ) | ||||
H-Class | (2,143,496 | ) | (1,748,551 | ) | ||||
Net increase (decrease) from capital share transactions | (1,485,580 | ) | 4,600,397 | |||||
Net increase (decrease) in net assets | (1,254,998 | ) | 6,542,840 | |||||
Net assets: | ||||||||
Beginning of period | 16,946,570 | 10,403,730 | ||||||
End of period | $ | 15,691,572 | $ | 16,946,570 | ||||
Undistributed net investment income at end of period | $ | 200,817 | $ | 135,362 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 52,804 | 297,040 | ||||||
C-Class | 263,175 | 730,691 | ||||||
H-Class | 47,387 | 285,678 | ||||||
Shares reinvested | ||||||||
A-Class | — | 4,444 | ||||||
C-Class | — | 15,345 | ||||||
H-Class | — | 5,620 | ||||||
Shares redeemed | ||||||||
A-Class | (64,099 | ) | (287,337 | ) | ||||
C-Class | (234,585 | ) | (385,038 | ) | ||||
H-Class | (212,448 | ) | (179,433 | ) | ||||
Total capital share activity | (147,766 | ) | 487,010 | |||||
1 | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 9 |
4
ALL-ASSET CONSERVATIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $10.11 | $ 8.64 | $10.74 | $10.70 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .06 | .12 | .28 | .26 | .20 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .13 | 1.52 | (2.08 | ) | .12 | .56 | ||||||||||||||
Total from investment operations | .19 | 1.64 | (1.80 | ) | .38 | .76 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.16 | ) | (.14 | ) | (.22 | ) | (.09 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.16 | ) | (.14 | ) | — | ||||||||||||
Total distributions | — | (.17 | ) | (.30 | ) | (.36 | ) | (.09 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .02 | .03 | ||||||||||||
Net asset value, end of period | $10.30 | $10.11 | $ 8.64 | $10.74 | $10.70 | |||||||||||||||
Total Returne | 1.88% | 19.02% | (17.05% | ) | 3.70% | 7.94% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $2,741 | $2,805 | $2,274 | $4,431 | $782 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 1.28% | 1.27% | 2.84% | 2.39% | 2.47% | f | ||||||||||||||
Total expensesg | 0.00% | 0.00% | 0.00% | 0.01% | 0.01% | f | ||||||||||||||
Portfolio turnover rate | 63% | 174% | 230% | 119% | 105% |
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.82 | $8.46 | $10.60 | $10.65 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .03 | .05 | .28 | .17 | .08 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .12 | 1.48 | (2.12 | ) | .12 | .63 | ||||||||||||||
Total from investment operations | .15 | 1.53 | (1.84 | ) | .29 | .71 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.16 | ) | (.14 | ) | (.22 | ) | (.09 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.16 | ) | (.14 | ) | — | ||||||||||||
Total distributions | — | (.17 | ) | (.30 | ) | (.36 | ) | (.09 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .02 | .03 | ||||||||||||
Net asset value, end of period | $9.97 | $9.82 | $ 8.46 | $10.60 | $10.65 | |||||||||||||||
Total Returne | 1.53% | 18.12% | (17.65% | ) | 2.86% | 7.44% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $9,898 | $9,474 | $5,107 | $5,074 | $2,804 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.54% | 0.58% | 2.87% | 1.53% | 1.05% | f | ||||||||||||||
Total expensesg | 0.75% | 0.75% | 0.75% | 0.75% | 0.76% | f | ||||||||||||||
Portfolio turnover rate | 63% | 174% | 230% | 119% | 105% |
10 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ALL-ASSET CONSERVATIVE 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.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
H-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $10.12 | $ 8.65 | $10.75 | $10.71 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .06 | .12 | .31 | .25 | .15 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .13 | 1.52 | (2.11 | ) | .13 | .62 | ||||||||||||||
Total from investment operations | .19 | 1.64 | (1.80 | ) | .38 | .77 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.16 | ) | (.14 | ) | (.22 | ) | (.09 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.16 | ) | (.14 | ) | — | ||||||||||||
Total distributions | — | (.17 | ) | (.30 | ) | (.36 | ) | (.09 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .02 | .03 | ||||||||||||
Net asset value, end of period | $10.31 | $10.12 | $ 8.65 | $10.75 | $10.71 | |||||||||||||||
Total Returne | 1.88% | 19.00% | (17.03% | ) | 3.69% | 8.04% | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $3,052 | $4,667 | $3,022 | $7,014 | $3,634 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 1.25% | 1.28% | 3.14% | 2.28% | 1.93% | f | ||||||||||||||
Total expensesg | 0.00% | 0.00% | 0.00% | 0.01% | 0.01% | f | ||||||||||||||
Portfolio turnover rate | 63% | 174% | 230% | 119% | 105% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: June 30, 2006. |
c | Net investment income was computed using average shares outstanding throughout the period. |
d | Redemption fees collected are less than $0.01 per share. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Annualized |
g | Does not include expenses of the underlying funds in which the Funds invest. |
h | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 11 |
FUND PROFILE (Unaudited)
September 30, 2010
ALL-ASSET MODERATE STRATEGY FUND
OBJECTIVE: Primarily seeks growth of capital and, secondarily, seeks preservation of capital.
Inception: June 30, 2006
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666506.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2006 | |||
C-Class | June 30, 2006 | |||
H-Class | June 30, 2006 |
Ten Largest Holdings (% of Total Net Assets) | ||||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 18.3 | % | ||
RSF — Rydex|SGI U.S. Long Short Momentum Fund | 14.9 | % | ||
Rydex|SGI Equity Fund® Large Cap Concentrated Growth Fund | 7.9 | % | ||
Rydex|SGI Equity Fund® Large Cap Value Fund | 7.8 | % | ||
Rydex|SGI Equity Fund® Global Fund | 7.4 | % | ||
RSF — Rydex|SGI Equity Market Neutral Fund | 6.1 | % | ||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund | 3.1 | % | ||
Rydex|SGI Equity Fund® Mid Cap Growth Fund | 2.5 | % | ||
Rydex|SGI Equity Fund® Mid Cap Value Fund | 2.4 | % | ||
RSF — Rydex|SGI Multi-Hedge Strategies Fund | 2.2 | % | ||
Top Ten Total | 72.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
RSF — Rydex Series Funds |
12 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ALL-ASSET MODERATE STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†,2 — 87.7% | ||||||||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 1,296,743 | $ | 5,537,094 | |||||
RSF — Rydex|SGI U.S. Long Short Momentum Fund* | 369,367 | 4,513,663 | ||||||
Rydex|SGI Equity Fund® Large Cap Concentrated Growth Fund* | 315,372 | 2,406,285 | ||||||
Rydex|SGI Equity Fund® Large Cap Value Fund | 361,858 | 2,359,316 | ||||||
Rydex|SGI Equity Fund® Global Fund* | 214,975 | 2,261,534 | ||||||
RSF — Rydex|SGI Equity Market Neutral Fund* | 83,011 | 1,860,270 | ||||||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund* | 36,961 | 948,057 | ||||||
Rydex|SGI Equity Fund® Mid Cap Growth Fund* | 103,861 | 764,415 | ||||||
Rydex|SGI Equity Fund® Mid Cap Value Fund | 25,133 | 742,671 | ||||||
RSF — Rydex|SGI Multi-Hedge Strategies Fund* | 31,998 | 673,874 | ||||||
Rydex|SGI Income Fund High Yield Fund | 49,679 | 628,939 | ||||||
RSF — Rydex|SGI Event Driven and Distressed Strategies Fund* | 21,295 | 571,558 | ||||||
RSF — Rydex|SGI Real Estate Fund | 19,104 | 494,593 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund* | 19,591 | 483,313 | ||||||
RSF — Rydex|SGI Managed Futures Strategy Fund* | 15,577 | 381,014 | ||||||
Rydex|SGI Equity Fund® Small Cap Growth Fund* | 27,415 | 335,835 | ||||||
Rydex|SGI Equity Fund® Small Cap Value Fund* | 22,600 | 324,316 | ||||||
RSF — Rydex|SGI Long Short Equity Strategy Fund* | 10,626 | 283,292 | ||||||
RSF — Rydex|SGI Alternative Strategies Fund* | 10,829 | 282,859 | ||||||
RSF — Rydex|SGI S&P 500 Fund | 12,379 | 281,129 | ||||||
RSF — Rydex|SGI Nova Fund | 15,071 | 280,013 | ||||||
RSF — Rydex|SGI Commodities Strategy Fund | 16,749 | 255,593 | ||||||
Total Mutual Funds (Cost $23,657,016) | 26,669,633 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 — 12.2% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $3,704,956 | $ | 3,704,956 | |||||
Total Repurchase Agreement (Cost $3,704,956) | 3,704,956 | |||||||
Total Investments — 99.9% (Cost $27,361,972) | $ | 30,374,589 | ||||||
Cash & Other Assets, Less Liabilities — 0.1% | 30,809 | |||||||
Total Net Assets — 100.0% | $ | 30,405,398 | ||||||
Unrealized | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURE CONTRACTS PURCHASED† | ||||||||
December 2010 MSCI EAFE Index Mini Futures Contracts (Aggregate Market Value of Contracts $155,420) | 2 | $ | 8,557 | |||||
December 2010 Ultra Long-Term U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $1,129,750) | 8 | (4,012 | ) | |||||
(Total Aggregate Market Value of Contracts $1,285,170) | $ | 4,545 | ||||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | Repurchase Agreement — See Note 6. |
2 | A-Class shares of Affiliated Funds. |
RSF — Rydex Series Funds |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 13 |
ALL-ASSET MODERATE STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investment securities in affiliated funds, at value | $ | 26,669,633 | ||
Repurchase agreement, at value | 3,704,956 | |||
Total investments | 30,374,589 | |||
Segregated cash with broker | 44,000 | |||
Receivables: | ||||
Fund shares sold | 594 | |||
Interest from affiliated funds | 18 | |||
Total assets | 30,419,201 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 1,030 | |||
Fund shares redeemed | 2,145 | |||
Distribution and service fees | 10,628 | |||
Total liabilities | 13,803 | |||
Net Assets | $ | 30,405,398 | ||
Net assets consist of: | ||||
Paid in capital | 35,941,334 | |||
Undistributed net investment income | 268,981 | |||
Accumulated net realized loss on sale of investments | (8,822,079 | ) | ||
Net unrealized appreciation in value of investments | 3,017,162 | |||
Net assets | 30,405,398 | |||
A-Class: | ||||
Net assets | $ | 8,493,549 | ||
Capital shares outstanding | 858,217 | |||
Net asset value per share | $9.90 | |||
Maximum offering price per share* | $10.39 | |||
C-Class: | ||||
Net assets | $ | 17,252,050 | ||
Capital shares outstanding | 1,801,012 | |||
Net asset value per share | $9.58 | |||
H-Class: | ||||
Net assets | $ | 4,659,799 | ||
Capital shares outstanding | 470,743 | |||
Net asset value per share | $9.90 | |||
Investments, at cost | $ | 23,657,016 | ||
Repurchase agreement, at cost | 3,704,956 | |||
Total cost | $ | 27,361,972 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 122,083 | ||
Interest | 1,131 | |||
Total investment income | 123,214 | |||
Expenses: | ||||
Distribution and Service Fees: | ||||
C-Class | 69,301 | |||
Total expenses | 69,301 | |||
Net investment income | 53,913 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 903,960 | |||
Futures contracts | 71,352 | |||
Net realized gain | 975,312 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (1,094,964 | ) | ||
Futures contracts | 4,545 | |||
Net unrealized depreciation | (1,090,419 | ) | ||
Net realized and unrealized loss | (115,107 | ) | ||
Net decrease in net assets resulting from operations | $ | (61,194 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
14 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ALL-ASSET MODERATE STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income | $ | 53,913 | $ | 187,448 | ||||
Net realized gain during the period on investments | 975,312 | 1,774,617 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (1,090,419 | ) | 5,927,044 | |||||
Net increase (decrease) in net assets resulting from operations | (61,194 | ) | 7,889,109 | |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM:1 | ||||||||
Net investment income | ||||||||
A-Class | — | (181,973 | ) | |||||
C-Class | — | (353,869 | ) | |||||
H-Class | — | (114,562 | ) | |||||
Net realized gain | ||||||||
A-Class | — | (7,728 | ) | |||||
C-Class | — | (15,027 | ) | |||||
H-Class | — | (4,865 | ) | |||||
Total distributions to shareholders | — | (678,024 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 659,422 | 6,093,317 | ||||||
C-Class | 2,053,290 | 6,542,120 | ||||||
H-Class | 498,244 | 5,480,540 | ||||||
Redemption fees collected | ||||||||
A-Class | 551 | 6,784 | ||||||
C-Class | 1,160 | 13,624 | ||||||
H-Class | 371 | 4,711 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 163,536 | ||||||
C-Class | — | 349,382 | ||||||
H-Class | — | 112,274 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (2,081,597 | ) | (6,164,594 | ) | ||||
C-Class | (4,334,723 | ) | (9,138,829 | ) | ||||
H-Class | (3,504,400 | ) | (5,569,956 | ) | ||||
Net decrease from capital share transactions | (6,707,682 | ) | (2,107,091 | ) | ||||
Net increase (decrease) in net assets | (6,768,876 | ) | 5,103,994 | |||||
NET ASSETS: | ||||||||
Beginning of period | 37,174,274 | 32,070,280 | ||||||
End of period | $ | 30,405,398 | $ | 37,174,274 | ||||
Undistributed net investment income at end of period | $ | 268,981 | $ | 215,068 | ||||
CAPITAL SHARE ACTIVITY: | ||||||||
Shares sold | ||||||||
A-Class | 66,652 | 668,414 | ||||||
C-Class | 216,645 | 739,428 | ||||||
H-Class | 51,110 | 574,958 | ||||||
Shares reinvested | ||||||||
A-Class | — | 16,964 | ||||||
C-Class | — | 37,241 | ||||||
H-Class | — | 11,622 | ||||||
Shares redeemed | ||||||||
A-Class | (215,614 | ) | (674,704 | ) | ||||
C-Class | (467,285 | ) | (1,026,637 | ) | ||||
H-Class | (358,832 | ) | (599,341 | ) | ||||
Total capital share activity | (707,324 | ) | (252,055 | ) | ||||
1 | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 15 |
ALL-ASSET MODERATE STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.84 | $7.93 | $10.18 | $10.56 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .04 | .09 | .20 | .17 | .18 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .02 | 1.99 | (2.31 | ) | (.24 | ) | .79 | |||||||||||||
Total from investment operations | .06 | 2.08 | (2.11 | ) | (.07 | ) | .97 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomei | — | (.17 | ) | (.02 | ) | (.12 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsi | — | (.01 | ) | (.12 | ) | (.19 | ) | (.32 | ) | |||||||||||
Total distributions | — | (.18 | ) | (.14 | ) | (.31 | ) | (.42 | ) | |||||||||||
Redemption fees collected | .00 | d | .01 | .00 | d | .00 | d | .01 | ||||||||||||
Net asset value, end of period | $9.90 | $9.84 | $ 7.93 | $10.18 | $10.56 | |||||||||||||||
Total Returne | 0.61% | 26.34% | (20.85% | ) | (0.75% | ) | 9.90% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $8,494 | $9,907 | $7,907 | $10,214 | $9,719 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.75% | 0.94% | 2.14% | 1.58% | 2.26% | f | ||||||||||||||
Total expensesh | 0.00% | 0.00% | 0.00% | 0.01% | 0.00% | f | ||||||||||||||
Portfolio turnover rate | 59% | 170% | 220% | 125% | 66% | |||||||||||||||
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.56 | $7.77 | $10.05 | $10.50 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (— | )g | .02 | .11 | .10 | .11 | ||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .02 | 1.94 | (2.25 | ) | (.24 | ) | .80 | |||||||||||||
Total from investment operations | .02 | 1.96 | (2.14 | ) | (.14 | ) | .91 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomei | — | (.17 | ) | (.02 | ) | (.12 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsi | — | (.01 | ) | (.12 | ) | (.19 | ) | (.32 | ) | |||||||||||
Total distributions | — | (.18 | ) | (.14 | ) | (.31 | ) | (.42 | ) | |||||||||||
Redemption fees collected | .00 | d | .01 | .00 | d | .00 | d | .01 | ||||||||||||
Net asset value, end of period | $9.58 | $9.56 | $ 7.77 | $10.05 | $10.50 | |||||||||||||||
Total Returne | 0.21% | 25.33% | (21.42% | ) | (1.43% | ) | 9.29% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $17,252 | $19,607 | $17,885 | $30,282 | $18,551 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.00% | ) | 0.17% | 1.22% | 0.90% | 1.34% | f | |||||||||||||
Total expensesh | 0.75% | 0.75% | 0.75% | 0.76% | 0.75% | f | ||||||||||||||
Portfolio turnover rate | 59% | 170% | 220% | 125% | 66% |
16 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ALL-ASSET MODERATE 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.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
H-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.84 | $7.94 | $10.18 | $10.56 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .04 | .08 | .16 | .13 | .18 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .02 | 1.99 | (2.26 | ) | (.20 | ) | .79 | |||||||||||||
Total from investment operations | .06 | 2.07 | (2.10 | ) | (.07 | ) | .97 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomei | — | (.17 | ) | (.02 | ) | (.12 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsi | — | (.01 | ) | (.12 | ) | (.19 | ) | (.32 | ) | |||||||||||
Total distributions | — | (.18 | ) | (.14 | ) | (.31 | ) | (.42 | ) | |||||||||||
Redemption fees collected | .00 | d | .01 | .00 | d | .00 | d | .01 | ||||||||||||
Net asset value, end of period | $9.90 | $9.84 | $ 7.94 | $10.18 | $10.56 | |||||||||||||||
Total Returne | 0.61% | 26.18% | (20.75% | ) | (0.75% | ) | 9.90% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $4,660 | $7,660 | $6,279 | $11,359 | $8,623 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.73% | 0.92% | 1.73% | 1.22% | 2.32% | f | ||||||||||||||
Total expensesh | 0.00% | 0.00% | 0.00% | 0.01% | 0.00% | f | ||||||||||||||
Portfolio turnover rate | 59% | 170% | 220% | 125% | 66% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: June 30, 2006. |
c | Net investment income was computed using average shares outstanding throughout the period. |
d | Redemption fees collected are less than $0.01 per share. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Annualized |
g | Net investment loss is less than $0.01 per share. |
h | Does not include expenses of the underlying funds in which the Funds invest. |
i | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 17 |
FUND PROFILE (Unaudited)
September 30, 2010
ALL-ASSET AGGRESSIVE STRATEGY FUND
OBJECTIVE: Seeks growth of capital.
Inception: June 30, 2006
Industry Diversification (Market Exposure as % of Net Assets)
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-111634/g06664g0666507.gif)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | ||||
A-Class | June 30, 2006 | |||
C-Class | June 30, 2006 | |||
H-Class | June 30, 2006 |
Ten Largest Holdings (% of Total Net Assets) | ||||
RSF — Rydex|SGI U.S. Long Short Momentum Fund | 17.0 | % | ||
Rydex|SGI Equity Fund® Global Fund | 11.2 | % | ||
Rydex|SGI Equity Fund® Large Cap Value Fund | 10.2 | % | ||
Rydex|SGI Equity Fund® Large Cap Concentrated Growth Fund | 10.1 | % | ||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 9.8 | % | ||
RSF — Rydex|SGI Equity Market Neutral Fund | 6.2 | % | ||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund | 3.4 | % | ||
Rydex|SGI Equity Fund® Mid Cap Growth Fund | 3.1 | % | ||
Rydex|SGI Equity Fund® Mid Cap Value Fund | 3.1 | % | ||
RSF — Rydex|SGI Multi-Hedge Strategies Fund | 2.5 | % | ||
Top Ten Total | 76.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. |
RSF — Rydex Series Funds |
18 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2010
ALL-ASSET AGGRESSIVE STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†,2 — 93.2% | ||||||||
RSF — Rydex|SGI U.S. Long Short Momentum Fund* | 216,343 | $ | 2,643,707 | |||||
Rydex|SGI Equity Fund® Global Fund | 166,664 | 1,753,304 | ||||||
Rydex|SGI Equity Fund® Large Cap Value Fund | 241,214 | 1,572,716 | ||||||
Rydex|SGI Equity Fund® Large Cap Concentrated Growth Fund* | 205,382 | 1,567,063 | ||||||
Rydex|SGI Income Fund U.S. Intermediate Bond Fund | 355,143 | 1,516,459 | ||||||
RSF — Rydex|SGI Equity Market Neutral Fund* | 42,562 | 953,818 | ||||||
RSF — Rydex|SGI Long Short Interest Rate Strategy Fund* | 20,383 | 522,823 | ||||||
Rydex|SGI Equity Fund® Mid Cap Growth Fund* | 65,847 | 484,632 | ||||||
Rydex|SGI Equity Fund® Mid Cap Value Fund | 16,155 | 477,379 | ||||||
RSF — Rydex|SGI Multi-Hedge Strategies Fund* | 18,635 | 392,452 | ||||||
RSF — Rydex|SGI Nova Fund | 19,973 | 371,090 | ||||||
RSF — Rydex|SGI S&P 500 Fund | 14,181 | 322,049 | ||||||
RSF — Rydex|SGI Real Estate Fund | 11,720 | 303,435 | ||||||
RSF — Rydex|SGI Event Driven and Distressed Strategies Fund* | 11,227 | 301,341 | ||||||
Rydex|SGI Equity Fund® Small Cap Growth Fund* | 20,040 | 245,486 | ||||||
Rydex|SGI Equity Fund® Small Cap Value Fund* | 16,470 | 236,345 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund* | 6,608 | 163,011 | ||||||
RSF — Rydex|SGI Managed Futures Strategy Fund* | 6,313 | 154,409 | ||||||
RSF — Rydex|SGI Long Short Equity Strategy Fund* | 5,611 | 149,576 | ||||||
RSF — Rydex|SGI Alternative Strategies Fund* | 5,703 | 148,960 | ||||||
RSF — Rydex|SGI Commodities Strategy Fund | 9,642 | 147,138 | ||||||
Total Mutual Funds (Cost $12,881,809) | 14,427,193 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT††,1 — 6.7% | ||||||||
Credit Suisse Group issued 09/30/10 at 0.18% due 10/01/10 | $ | 1,029,685 | $ | 1,029,685 | ||||
Total Repurchase Agreement (Cost $1,029,685) | 1,029,685 | |||||||
Total Investments — 99.9% (Cost $13,911,494) | $ | 15,456,878 | ||||||
Cash & Other Assets, Less Liabilities — 0.1% | 14,597 | |||||||
Total Net Assets — 100.0% | $ | 15,471,475 | ||||||
Unrealized | ||||||||
CONTRACTS | GAIN | |||||||
FUTURE CONTRACTS PURCHASED† | ||||||||
December 2010 MSCI EAFE Index Mini Futures Contracts (Aggregate Market Value of | ||||||||
Contracts $621,680) | 8 | $ | 34,230 | |||||
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 7. |
†† | Value determined based on Level 2 inputs — See Note 7. |
1 | Repurchase Agreement — See Note 6. |
2 | A-Class shares of Affiliated Funds. |
RSF — Rydex Series Funds |
See Notes to Financial Statements. | THE RYDEX |SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 19 |
ALL-ASSET AGGRESSIVE STRATEGY FUND
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
AND LIABILITIES (Unaudited)
September 30, 2010
Assets: | ||||
Investment securities in affiliated funds, at value | $ | 14,427,193 | ||
Repurchase agreement, at value | 1,029,685 | |||
Total investments | 15,456,878 | |||
Segregated cash with broker | 64,000 | |||
Receivables: | ||||
Fund shares sold | 8,136 | |||
Interest from affiliated funds | 5 | |||
Total assets | 15,529,019 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 7,120 | |||
Fund shares redeemed | 46,588 | |||
Distribution and service fees | 3,836 | |||
Total liabilities | 57,544 | |||
Net assets | $ | 15,471,475 | ||
Net assets consist of: | ||||
Paid in capital | 18,130,396 | |||
Undistributed net investment income | 59,446 | |||
Accumulated net realized loss on sale of investments | (4,297,981 | ) | ||
Net unrealized appreciation in value of investments | 1,579,614 | |||
Net assets | 15,471,475 | |||
A-Class: | ||||
Net assets | $ | 6,430,407 | ||
Capital shares outstanding | 690,858 | |||
Net asset value per share | $9.31 | |||
Maximum offering price per share* | $9.77 | |||
C-Class: | ||||
Net assets | $ | 6,339,655 | ||
Capital shares outstanding | 705,202 | |||
Net asset value per share | $8.99 | |||
H-Class: | ||||
Net assets | $ | 2,701,413 | ||
Capital shares outstanding | 290,344 | |||
Net asset value per share | $9.30 | |||
Investments, at cost | $ | 12,881,809 | ||
Repurchase agreement, at cost | 1,029,685 | |||
Total cost | $ | 13,911,494 |
STATEMENT OF
OPERATIONS (Unaudited)
OPERATIONS (Unaudited)
Period Ended September 30, 2010
Investment Income: | ||||
Dividends | $ | 27,627 | ||
Interest | 423 | |||
Total investment income | 28,050 | |||
Expenses: | ||||
Distribution and Service Fees: | ||||
C-Class | 24,499 | |||
Total expenses | 24,499 | |||
Net investment income | 3,551 | |||
Net Realized and Unrealized Gain (loss): | ||||
Net realized gain (loss) during the period on: | ||||
Investment securities | 224,583 | |||
Futures contracts | (194 | ) | ||
Net realized gain | 224,389 | |||
Net unrealized appreciation (depreciation) during the period on: | ||||
Investment securities | (329,068 | ) | ||
Futures contracts | 34,230 | |||
Net unrealized depreciation | (294,838 | ) | ||
Net realized and unrealized loss | (70,449 | ) | ||
Net decrease in net assets resulting from operations | $ | (66,898 | ) | |
* | Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%). |
20 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
ALL-ASSET AGGRESSIVE STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
Period Ended | Year | |||||||
September 30, | Ended | |||||||
2010 | March 31, | |||||||
(Unaudited) | 2010 | |||||||
Increase (decrease) in net assets from operations: | ||||||||
Net investment income | $ | 3,551 | $ | 39,936 | ||||
Net realized gain during the period on investments | 224,389 | 1,891,926 | ||||||
Net unrealized appreciation (depreciation) during the period on investments | (294,838 | ) | 2,476,505 | |||||
Net increase (decrease) in net assets resulting from operations | (66,898 | ) | 4,408,367 | |||||
Distributions to shareholders from:1 | ||||||||
Net investment income | ||||||||
A-Class | — | (70,250 | ) | |||||
C-Class | — | (70,882 | ) | |||||
H-Class | — | (37,616 | ) | |||||
Net realized gain | ||||||||
A-Class | — | (6,272 | ) | |||||
C-Class | — | (6,329 | ) | |||||
H-Class | — | (3,358 | ) | |||||
Total distributions to shareholders | — | (194,707 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 587,950 | 2,124,848 | ||||||
C-Class | 528,543 | 2,646,769 | ||||||
H-Class | 543,352 | 1,506,274 | ||||||
Redemption fees collected | ||||||||
A-Class | 121 | 796 | ||||||
C-Class | 128 | 776 | ||||||
H-Class | 62 | 436 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 45,349 | ||||||
C-Class | — | 73,772 | ||||||
H-Class | — | 40,849 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (618,881 | ) | (2,799,013 | ) | ||||
C-Class | (1,221,299 | ) | (1,875,260 | ) | ||||
H-Class | (1,432,010 | ) | (2,124,552 | ) | ||||
Net decrease from capital share transactions | (1,612,034 | ) | (358,956 | ) | ||||
Net increase (decrease) in net assets | (1,678,932 | ) | 3,854,704 | |||||
Net assets: | ||||||||
Beginning of period | 17,150,407 | 13,295,703 | ||||||
End of period | $ | 15,471,475 | $ | 17,150,407 | ||||
Undistributed net investment income at end of period | $ | 59,446 | $ | 55,895 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 64,004 | 243,697 | ||||||
C-Class | 59,972 | 316,405 | ||||||
H-Class | 59,420 | 176,531 | ||||||
Shares reinvested | ||||||||
A-Class | — | 5,005 | ||||||
C-Class | — | 8,383 | ||||||
H-Class | — | 4,509 | ||||||
Shares redeemed | ||||||||
A-Class | (68,224 | ) | (325,847 | ) | ||||
C-Class | (138,932 | ) | (225,023 | ) | ||||
H-Class | (160,011 | ) | (254,656 | ) | ||||
Total capital share activity | (183,771 | ) | (50,996 | ) | ||||
1 | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
See Notes to Financial Statements. | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 21 |
ALL-ASSET AGGRESSIVE STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
A-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.29 | $6.98 | $9.69 | $10.28 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .02 | .05 | .12 | .11 | .24 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | .00 | 2.37 | (2.60 | ) | (.48 | ) | .77 | |||||||||||||
Total from investment operations | .02 | 2.42 | (2.48 | ) | (.37 | ) | 1.01 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.10 | ) | (.22 | ) | (.06 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.01 | ) | (.16 | ) | (.64 | ) | |||||||||||
Total distributions | — | (.11 | ) | (.23 | ) | (.22 | ) | (.74 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .00 | d | .01 | |||||||||||
Net asset value, end of period | $9.31 | $9.29 | $6.98 | $ 9.69 | $10.28 | |||||||||||||||
Total Returne | 0.22% | 34.67% | (25.81% | ) | (3.77% | ) | 10.37% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $6,430 | $6,457 | $5,389 | $8,596 | $13,854 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.35% | 0.55% | 1.40% | 1.01% | 3.11% | f | ||||||||||||||
Total expensesg | 0.00% | 0.00% | 0.02% | 0.01% | 0.00% | f | ||||||||||||||
Portfolio turnover rate | 68% | 185% | 278% | 120% | 92% |
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
C-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.01 | $6.82 | $9.56 | $10.22 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.02 | ) | (.02 | ) | .05 | .06 | (.03 | ) | ||||||||||||
Net gain (loss) on securities (realized and unrealized) | .00 | 2.32 | (2.56 | ) | (.50 | ) | .98 | |||||||||||||
Total from investment operations | (.02 | ) | 2.30 | (2.51 | ) | (.44 | ) | .95 | ||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.10 | ) | (.22 | ) | (.06 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.01 | ) | (.16 | ) | (.64 | ) | |||||||||||
Total distributions | — | (.11 | ) | (.23 | ) | (.22 | ) | (.74 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .00 | d | .01 | |||||||||||
Net asset value, end of period | $8.99 | $9.01 | $6.82 | $ 9.56 | $10.22 | |||||||||||||||
Total Returne | (0.22% | ) | 33.72% | (26.48% | ) | (4.48% | ) | 9.76% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $6,340 | $7,063 | $4,667 | $6,178 | $6,537 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.40% | ) | (0.21% | ) | 0.59% | 0.60% | (0.34% | )f | ||||||||||||
Total expensesg | 0.75% | 0.75% | 0.77% | 0.76% | 0.75% | f | ||||||||||||||
Portfolio turnover rate | 68% | 185% | 278% | 120% | 92% |
22 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
ALL-ASSET AGGRESSIVE 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.
Period | Period | |||||||||||||||||||
Ended | Year Ended | Year Ended | Year Ended | Ended | ||||||||||||||||
September 30, | March 31, | March 31, | March 31, | March 31 | ||||||||||||||||
H-Class | 2010a | 2010 | 2009 | 2008 | 2007b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.29 | $6.97 | $9.69 | $10.29 | $10.00 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment incomec | .02 | .04 | .11 | .08 | .15 | |||||||||||||||
Net gain (loss) on securities (realized and unrealized) | (.01 | ) | 2.39 | (2.60 | ) | (.46 | ) | .87 | ||||||||||||
Total from investment operations | .01 | 2.43 | (2.49 | ) | (.38 | ) | 1.02 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net investment incomeh | — | (.10 | ) | (.22 | ) | (.06 | ) | (.10 | ) | |||||||||||
Distributions from realized gainsh | — | (.01 | ) | (.01 | ) | (.16 | ) | (.64 | ) | |||||||||||
Total distributions | — | (.11 | ) | (.23 | ) | (.22 | ) | (.74 | ) | |||||||||||
Redemption fees collected | .00 | d | .00 | d | .00 | d | .00 | d | .01 | |||||||||||
Net asset value, end of period | $9.30 | $9.29 | $6.97 | $ 9.69 | $10.29 | |||||||||||||||
Total Returne | 0.11% | 34.86% | (25.92% | ) | (3.87% | ) | 10.84% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $2,701 | $3,630 | $3,240 | $4,447 | $6,486 | |||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income | 0.35% | 0.53% | 1.22% | 0.80% | 1.94% | f | ||||||||||||||
Total expensesg | 0.00% | 0.00% | 0.02% | 0.01% | 0.00% | f | ||||||||||||||
Portfolio turnover rate | 68% | 185% | 278% | 120% | 92% |
a | Unaudited figures for the period ended September 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: June 30, 2006. |
c | Net investment income was computed using average shares outstanding throughout the period. |
d | Redemption fees collected are less than $0.01 per share. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
f | Annualized |
g | Does not include expenses of the underlying funds in which the Funds invest. |
h | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 23 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Institutional Class shares, and Y-Class shares. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class shares. A-Class shares are sold at net asset value, plus the applicable front-end sales charge, except for U.S. Government Money Market Fund. 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% CDSC if shares are redeemed within 18 months of purchase.
At September 30, 2010, the Trust consisted of fifty-eight separate Funds. This report covers the Asset Allocation Funds (the “Funds”), while the other Funds are contained in separate reports.
Each Fund is a “fund of funds,” which means that it seeks to achieve its investment objective by investing primarily in a combination of funds within the same group of affiliated investment companies (the SGI Funds and the Rydex family of mutual funds) and exchange-traded funds (“ETFs”) (collectively, the “underlying funds”) instead of in individual securities. The SGI Funds are advised by Security Investors, LLC and Security Global Investors, LLC (collectively, “Security Global Investors”). Rydex Investments and Security Global Investors are subsidiaries of Security Benefit Corporation.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, LLC (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual
results could differ from these estimates. All time references are based on Eastern Time.
A. Open-end investment companies are valued at their Net Asset Value per share (“NAV”) as of the close of business, usually 4:00 p.m. on the valuation date. ETFs and closed-end investment companies are valued at the last quoted sales price. Debt securities with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities with a maturity of 60 days at acquisition or less and repurchase agreements are valued at amortized cost, which approximates market value.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis.
C. 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 related to C-Class shares, are charged directly to such class. 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.
D. Distributions of net investment income and net realized capital gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
E. The Funds may also purchase American Depository Receipts, U.S. Government securities, Commercial Paper and enter into repurchase agreements.
F. Throughout the normal course of business, the Funds and the underlying funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
24 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
2. Financial Instruments
As part of their investment strategies, the underlying funds may utilize short sales and a variety of derivative instruments including options, futures, options on futures, structured notes, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts reflected in the underlying funds’ NAVs.
A short sale is a transaction in which an underlying fund sells an equity or fixed income security it does not own. If the security sold short goes down in price between the time the underlying fund sells the security and closes its short position, that underlying fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, that underlying fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that an underlying fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that an underlying fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of structured notes. Structured securities are leveraged, thereby providing an exposure to the underlying benchmark greater than the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes an underlying fund invests in which may make it difficult for that underlying fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes
unless Rydex Investments believes that the issuer is creditworthy, an underlying fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the underlying funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. An underlying fund may enter into credit default swaps in which that underlying fund or its counterparty act as guarantors. By acting as the guarantor of a swap, that underlying fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.
In conjunction with the use of short sales, options, futures, options on futures, and swap agreements, the underlying funds are required to maintain collateral in various forms. The underlying funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each underlying fund. The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, and swap agreements include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 25 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
3. Derivative Investment Holdings Categorized by Risk Exposure
U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations.
Certain Funds seek to gain exposure to their respective benchmarks by investing in currency, and financial-linked derivative instruments, including futures and options on futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives:
Approximate percentage of Fund’s | ||||
Fund | net assets on a daily basis | |||
All-Asset Conservative Strategy Fund | 6% | |||
All-Asset Moderate Strategy Fund | 4% | |||
All-Asset Aggressive Strategy Fund | 4% |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2010:
Location on the Statements of Assets and Liabilities | ||||||||
Derivative Investments Type | Asset Derivatives | Liability Derivatives | ||||||
Interest rate contracts | Variation Margin | Variation Margin | ||||||
Equity contracts | Variation Margin | Variation Margin |
The following table sets forth the fair value of the Fund’s derivative contracts by primary risk exposure as of September 30, 2010:
Asset Derivative Investments Value | ||||||||||||
Futures | Futures | |||||||||||
Equity | Interest Rate | Total Value at | ||||||||||
Fund | Contracts* | Contracts* | September 30, 2010 | |||||||||
All-Asset Conservative Strategy Fund | $ | 4,279 | $ | — | $ | 4,279 | ||||||
All-Asset Moderate Strategy Fund | 8,557 | — | 8,557 | |||||||||
All-Asset Aggressive Strategy Fund | 34,230 | — | 34,230 |
Liability Derivative Investments Value | ||||||||||||
Futures | Futures | |||||||||||
Equity | Interest Rate | Total Value at | ||||||||||
Fund | Contracts* | Contracts* | September 30, 2010 | |||||||||
All-Asset Conservative Strategy Fund | $ | — | $ | (3,009 | ) | $ | (3,009 | ) | ||||
All-Asset Moderate Strategy Fund | — | (4,012 | ) | (4,012 | ) | |||||||
All-Asset Aggressive Strategy Fund | — | — | — |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
26 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations as of September 30, 2010:
Derivative Investment Type | Location of Gain (Loss) on Derivatives | |
Interest rate contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts | ||
Equity contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of September 30, 2010:
Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||
Futures | Futures | |||||||||||
Equity | Interest Rate | Total Value at | ||||||||||
Fund | Contracts | Contracts | September 30, 2010 | |||||||||
All-Asset Conservative Strategy Fund | $ | (1,048 | ) | $ | 57,133 | $ | 56,085 | |||||
All-Asset Moderate Strategy Fund | (2,096 | ) | 73,448 | 71,352 | ||||||||
All-Asset Aggressive Strategy Fund | (8,382 | ) | 8,188 | (194 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||
Futures | Futures | |||||||||||
Equity | Interest Rate | Total Value at | ||||||||||
Fund | Contracts | Contracts | September 30, 2010 | |||||||||
All-Asset Conservative Strategy Fund | $ | 4,279 | $ | (3,009 | ) | $ | 1,270 | |||||
All-Asset Moderate Strategy Fund | 8,557 | (4,012 | ) | 4,545 | ||||||||
All-Asset Aggressive Strategy Fund | 34,230 | — | 34,230 |
4. Fees And Other Transactions With Affiliates
Rydex Investments manages the investment and reinvestment of the assets of each of the Funds in accordance with the investment objectives, policies, and limitations of each Fund, however, the Funds do not pay Rydex Investments a management fee. As part of its agreement with the Trust, Rydex Investments will pay all expenses of the Funds, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses.
Each Fund indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other expenses) of the underlying funds in which the Fund invests.
Rydex Investments provides transfer agent, accounting services and administrative services to the Funds. However, the related fees are paid by Rydex Investments, as noted above.
The Funds have not adopted a Distribution Plan or a Shareholder Services Plan with respect to A-Class shares and H-Class shares. Instead, the Funds invest in underlying funds that have a distribution plan that allows the underlying funds to pay distribution fees to the Distributor and other firms that provide distribution services (“Service Providers”). The underlying funds will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 under the 1940 Act, as amended. If a Service Provider provides distribution or shareholder services, the Distributor will, in turn, pay the Service Provider for the services it provides at an annual rate not to exceed 0.25% of the average daily net assets of a Fund.
The Funds have adopted a Distribution and Shareholder Services Plan applicable to their C-Class shares that allows the Funds to pay annual distribution and service fees of 0.75% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual 0.50% distribution fee reimburses the Distributor for paying the shareholder’s financial advisor an ongoing sales commission. The Distributor advances the first year’s service and distribution fees to the financial advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
For the year ended September 30, 2010, the Distributor retained sales charges of $321,536 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
5. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (fiscal years 2007-2010), and has concluded that no provision for income tax is required in the Funds’ financial statements.
Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
The Funds’ tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.
At September 30, 2010, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Tax | Tax | Net | ||||||||||||||
Unrealized | Unrealized | Unrealized | ||||||||||||||
Fund | Tax Cost | Gain | Loss | Gain | ||||||||||||
All-Asset Conservative Strategy Fund | $ | 14,593,743 | $ | 1,159,610 | $ | (64,491 | ) | $ | 1,095,119 | |||||||
All-Asset Moderate Strategy Fund | 28,040,775 | 2,478,073 | (144,259 | ) | 2,333,814 | |||||||||||
All-Asset Aggressive Strategy Fund | 14,452,031 | 1,089,437 | (84,590 | ) | 1,004,847 |
6. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. Repurchase Agreements are valued at amortized cost, which approximates market value.
The repurchase agreements executed by the joint account and outstanding at September 30, 2010, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Credit Suisse Group | 0.18% due 10/01/10 | $ | 116,949,665 | $ | 116,949,665 | $ | 116,950,250 | |||||||||
$ | 116,949,665 | $ | 116,950,250 | |||||||||||||
At September 30, 2010, the collateral for the repurchase agreements in the joint account was as follows:
Security Type | Maturity Dates | Range of Rates | Par Value | Market Value | ||||||||||||
U.S. Treasury Bills | 09/22/11 | 0.00% | $ | 119,588,900 | $ | 119,288,732 | ||||||||||
$ | 119,288,732 | |||||||||||||||
28 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
7. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 | — | quoted prices in active markets for identical securities. |
Level 2 | — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
Level 3 | — | significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2010:
Level 1 | Level 1 | Level 2 | Level 2 | |||||||||||||||||
Investments | Other Financial | Investments | Other Financial | |||||||||||||||||
Fund | In Securities | Instruments | * | In Securities | Instruments | * | Total | |||||||||||||
Assets | ||||||||||||||||||||
All-Asset Conservative Strategy Fund | $ | 12,484,909 | $ | 1,270 | $ | 3,203,953 | $ | — | $ | 15,690,132 | ||||||||||
All-Asset Moderate Strategy Fund | 26,669,633 | 4,545 | 3,704,956 | — | 30,379,134 | |||||||||||||||
All-Asset Aggressive Strategy Fund | 14,427,193 | 34,230 | 1,029,685 | — | 15,491,108 | |||||||||||||||
Liabilities | ||||||||||||||||||||
All-Asset Conservative Strategy Fund | — | — | — | — | — | |||||||||||||||
All-Asset Moderate Strategy Fund | — | — | — | — | — | |||||||||||||||
All-Asset Aggressive Strategy Fund | — | — | — | — | — |
* | Other financial instruments may include forward foreign currency contracts, futures and/or swaps, which are reported as unrealized gain/loss at period end. |
The Funds adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Funds’ disclosures about transfers in and out of all Levels of the fair value hierarchy on a gross basis and the reasons for the transfers, as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy. Effective interim and annual periods beginning after December 15, 2010, purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 roll forward rather than as one net number.
At the period ended September 30, 2010, there were no securities transferred from Level 1 to Level 2 or from Level 2 to Level 1.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
8. Securities Transactions
For the period ended September 30, 2010, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
All-Asset | All-Asset | All-Asset | ||||||||||
Conservative Strategy Fund | Moderate Strategy Fund | Aggressive Strategy Fund | ||||||||||
Purchases | $ | 8,798,686 | $ | 18,636,588 | $ | 10,513,180 | ||||||
Sales | $ | 11,725,223 | $ | 28,096,938 | $ | 12,644,932 |
9. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 331/3% of a Fund’s net assets, 331/3% of a Fund’s assets held by the Custodian or 331/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2011. As of and for the year ended September 30, 2010, the Funds did not have any outstanding borrowings under this agreement.
10. Redemption Fees
Effective September 13, 2010, the 1% short-term trading fee that applies to the firm’s alternative suite of mutual funds was removed. Rydex Investments believes the removal of the fee is in the best interest of current shareholders. It is important to note the funds are not intended for short term trading and we will continue to monitor for harmful trading activity in the funds. To that end, Rydex Investments is not actively promoting the elimination of the redemption fee to clients via written communications as we don’t want to encourage short-term trading on these products from active trading clients, which could potentially damage long-term performance for other shareholders. A supplement to the prospectuses was filed on September 13, 2010.
11. Guggenheim Acquisition
Guggenheim SBC Holdings, LLC (“Guggenheim SBC Holdings”), an investor group managed by Guggenheim Partners, LLC (“Guggenheim”), acquired control of Security Benefit Corporation (“SBC”), the parent company of Rydex Advisors, LLC (formerly PADCO Advisors, Inc.), the Funds’ investment adviser (the “Investment Adviser”), pursuant to an agreement entered between SBC and Guggenheim SBC Holdings. Under the agreement, Guggenheim SBC Holdings received a 100% ownership stake in SBC and consequently acquired control of the Investment Adviser (the “Purchase Transaction”). Guggenheim is a global, independent, privately held, diversified financial services firm with more than $100 billion in assets under supervision. The Purchase Transaction is not expected to result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The Purchase Transaction closed on July 30, 2010.
Under the Investment Company Act of 1940, the closing of the Purchase Transaction had the effect of terminating the Funds’ investment advisory agreements with the Investment Advisers and any investment sub-advisory agreements entered on behalf of a Fund (together, the “Previous Agreements”). New investment advisory and sub-advisory agreements (“New Agreements”) were approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreements are substantially identical to the corresponding Previous Agreements, except with respect to the date of execution.
12. Distributor and Transfer Agent Change
Effective July 30, 2010, the Funds’ distributor, Rydex Distributors, Inc., a Maryland corporation, became Rydex Distributors, LLC, a Kansas limited liability company, and Rydex Fund Services, Inc., the Funds’ transfer agent, became Rydex Fund Services, LLC, a Kansas limited liability company.
13. New Accounting Pronouncements
Effective March 31, 2010, the Funds adopted the Financial Accounting Standards Board ASU 2010-06, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements, which are reflected in Note 7.
30 | | | THE RYDEX | SGI SERIES 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 September 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.
Proxy Results
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Rydex Advisors, LLC. A description of the number of shares voted is as follows:
Shares | Shares | Shares | ||||||||||
Fund | For | Against | Abstained | |||||||||
All-Asset Conservative Strategy Fund | 879,539 | 32,958 | 93,398 | |||||||||
All-Asset Moderate Strategy Fund | 1,957,160 | 101,501 | 153,065 | |||||||||
All-Asset Aggressive Strategy Fund | 844,883 | 16,899 | 118,241 |
At a special meeting of shareholders held on June 18, 2010, the shareholders of the Funds also voted on whether to approve a change to a fundamental investment policy on borrowing money, consistent with applicable law. A description of the number of shares voted is as follows:
Shares | Shares | Shares | ||||||||||
Fund | For | Against | Abstained | |||||||||
All-Asset Conservative Strategy Fund | 860,823 | 47,373 | 97,698 | |||||||||
All-Asset Moderate Strategy Fund | 1,930,207 | 127,388 | 154,130 | |||||||||
All-Asset Aggressive Strategy Fund | 835,094 | 18,248 | 126,681 |
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 31 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
INDEPENDENT TRUSTEES
Name, Position and | Length of Service As Trustee | Number of | ||
Year of Birth | (Year Began) | Funds Overseen | ||
John O. Demaret | Rydex Series Funds – 1997 | 144 | ||
Trustee, Chairman of the | Rydex Variable Trust – 1998 | |||
Board (1940) | Rydex Dynamic Funds – 1999 | |||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Retired | ||||
Corey A. Colehour | Rydex Series Funds – 1993 | 144 | ||
Trustee (1945) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) | ||||
J. Kenneth Dalton | Rydex Series Funds – 1995 | 144 | ||
Trustee (1941) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group | ||||
Werner E. Keller | Rydex Series Funds – 2005 | 144 | ||
Trustee (1940) | Rydex Variable Trust – 2005 | |||
Rydex Dynamic Funds – 2005 | ||||
Rydex ETF Trust – 2005 | ||||
Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 144 | ||
Trustee (1960) | Rydex Variable Trust – 2005 | |||
Rydex Dynamic Funds – 2005 | ||||
Rydex ETF Trust – 2005 | ||||
Principal Occupations During Past Five Years: President, Global Trends Investments | ||||
Patrick T. McCarville | Rydex Series Funds – 1997 | 144 | ||
Trustee (1942) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc. | ||||
Roger Somers | Rydex Series Funds – 1993 | 144 | ||
Trustee (1944) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||
32 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS | ||
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) |
THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT | | | 33 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS — concluded | ||
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration Rydex Investments (2001 to present) |
* | Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Rydex Investments. |
34 | | | THE RYDEX | SGI SERIES FUNDS SEMI-ANNUAL REPORT |
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Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable
Item 11. Controls and Procedures.
(a) Based on their evaluation on December 6, 2010, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex Series Funds (the “Trust”) believe that there were no significant deficiencies in the design or operation of the internal controls of the Trust or Rydex Advisors, LLC (“RA” or the “Advisor”), the investment advisor and manager of the Trust, or Rydex Distributors, LLC. (“RD”), which acts as distributor for the
Trust, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) which would have adversely affected the ability of the Trust or RA on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report.
There was no fraud, whether or not material, involving officers or employees of RA, RD or the Trust who have a significant role in the Trust’s internal controls, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come to the attention of the Advisor or the officers of the Trust, including its President and Treasurer.
(b) There were no significant changes in the Trust’s or RA’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Rydex Series Funds | ||||
By (Signature and Title)* | /s/ Richard M. Goldman | |||
Richard M. Goldman, President | ||||
Date December 6, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Richard M. Goldman | |||
Date December 6, 2010 | ||||
By (Signature and Title)* | /s/ Nick Bonos | |||
Date December 6, 2010 |
* Print the name and title of each signing officer under his or her signature. |