Rydex Energy Fund (RYEIX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811- 07584

Rydex Series Funds

(Exact name of registrant as specified in charter)

805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

Richard M. Goldman, President
Rydex Series Funds
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-301-296-5100

Date of fiscal year end: March 31

Date of reporting period: March 31, 2011

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.

M A R C H 3 1 , 2 0 1 1 RY D E X S E R I E S F U N D S A N N UA L RE P ORT TA R G E T B E TA F UN D S DOMESTIC EQUITY FUNDS NOVA FUNDRUSSELL 2000^® FUND S&P 500 FUNDINVERSE RUSSELL 2000^® STRATEGY FUND INVERSE S&P 500 STRATEGY FUNDS&P 500 PURE GROWTH FUND NASD AQ-100^® FUNDS&P 500 PURE VALUE FUND INVERSE NASDAQ-100^® STRATEGY FUNDS&P MIDCAP 400 PURE GROWTH FUND MID-CAP 1.5x STRATEGY FUNDS&P MIDCAP 400 PURE VALUE FUND INVERSE MID-CAP STRATEGY FUNDS&P SMALLCAP 600 PURE GROWTH FUND RUSSELL 2000^® 1.5x STRATEGY FUNDS&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

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
NOVA FUND	10
S&P 500 FUND	22
INVERSE S&P 500 STRATEGY FUND	34
NASDAQ-100® FUND	42
INVERSE NASDAQ-100® STRATEGY FUND	50
MID-CAP 1.5x STRATEGY FUND	58
INVERSE MID-CAP STRATEGY FUND	70
RUSSELL 2000® 1.5x STRATEGY FUND	78
RUSSELL 2000® FUND	104
INVERSE RUSSELL 2000® STRATEGY FUND	130
S&P 500 PURE GROWTH FUND	138
S&P 500 PURE VALUE FUND	146
S&P MIDCAP 400 PURE GROWTH FUND	154
S&P MIDCAP 400 PURE VALUE FUND	162
S&P SMALLCAP 600 PURE GROWTH FUND	170
S&P SMALLCAP 600 PURE VALUE FUND	178
EUROPE 1.25x STRATEGY FUND	186
JAPAN 2x STRATEGY FUND	194
STRENGTHENING DOLLAR 2x STRATEGY FUND	202
WEAKENING DOLLAR 2x STRATEGY FUND	210
REAL ESTATE FUND	218
GOVERNMENT LONG BOND 1.2x STRATEGY FUND	226
INVERSE GOVERNMENT LONG BOND STRATEGY FUND	234
HIGH YIELD STRATEGY FUND	242
INVERSE HIGH YIELD STRATEGY FUND	250
U.S. GOVERNMENT MONEY MARKET FUND	258
NOTES TO FINANCIAL STATEMENTS	267
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	284
OTHER INFORMATION	285
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	287

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER,

The U.S. enjoyed economic recovery through the 12 months ended March 31, 2011, despite the poor housing picture and slow-growing labor market. U.S. stocks emerged from the 2008-09 downturn in early 2010, slowed only at mid-year by European debt problems and the worry that expiration of U.S. government stimulus programs might lead to a double-dip recession. Concern that the recovery was not self-sustaining led the U.S. Federal Reserve (the “Fed”) to undertake a second round of quantitative easing in the last part of 2010 to keep long-term rates low and spur economic growth.

Stocks responded to the infusion of liquidity by rising nearly 25% from the end of August through March 2011, then stumbling after rising prices for oil and many other commodities accompanied concerns that inflation might get out of hand. The market’s 2011 gains proceeded to be wiped out by political unrest in the Mid East, renewed worries about the sovereign debt of peripheral European countries and a devastating earthquake and tsunami in Japan. Investor belief that these situations were under control, however, sparked a rebound that helped broad U.S. market measures finish the first quarter moderately higher, and 15% or more above the levels seen 12 months earlier.

Investors searching for higher yields increasingly took on credit risk over the past 12 months, which was reflected in good performance across most fixed income sectors, particularly investment grade corporate bonds and high-yield bonds. The yield on the benchmark 10-year Treasury has been climbing since last fall, as safe-haven buying subsided except during market shocks like the Japanese earthquake.

The Fed said in March 2011 that the economy was on firmer footing and that the run-up in commodity prices would not lead to a sustained increase in inflation. It stuck with its planned purchase of up to $600 billion in government bonds, slated to end in June 2011, and—as it has since December 2008—left short-term rates unchanged.

Many U.S. investors are preparing for the shift away from the bond-buying strategy, which they anticipate could slow or halt the stock market rally and introduce a period of volatility. Investors in global markets, meanwhile, are increasingly concerned about the potential for soaring food and energy prices to derail global economic recovery.

The accumulation of shocks, ranging from higher oil prices to turmoil in the Mid East to the effects of the natural disaster in Japan, has led to a lowering of global growth forecasts for 2011. These overseas events pounded the U.S. economy in the form of higher fuel prices, supply-chain disruptions and financial market volatility, also leading to downgrades in estimates of U.S. GDP growth for the first quarter and entire year of 2011. Continuing weakness in the housing market is still plaguing economic growth. The March labor market report showed job growth was picking up, but flat growth in wages and higher fuel and food costs kept consumers on edge. Increases in energy and food prices seem not yet to have spilled into broader inflation measures. Consumer spending is growing, although slowly, while corporate profits continue to rise impressively.

Geopolitical events and improving economic conditions have generally pushed commodity prices higher over the past 12 months. In the first quarter of 2011, the price of a barrel of oil rose above $100 for the first time since 2008. The higher price of oil as a production cost caused the prices of many metals to slip in early 2011, aided by a pullback in demand due to the Japanese quake or China’s efforts to slow lending. Gold spent much of the first quarter of 2011 in negative territory, but has turned in a spectacular climb over the past 12 months, closing out the period at a record high of $1,438 an ounce.

The dollar gained on the euro in 2010, reflecting concern about Europe’s crisis in sovereign debt, but the rally did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

2 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

U.S. economic growth, while not robust, has proven strong enough to overcome some major shocks in the first quarter of 2011. The government stimulus package and quantitative easing program have revived the economy, and optimism is growing that the recovery from the financial crisis and ensuing recession is becoming self-sustaining. The end of Fed easing could signal that the policymakers are comfortable with the strength of the expansion, and believe that house prices and joblessness may be poised to recover. For the rest of 2011, investors face interest rate risk arising from inflationary monetary policy and deteriorating credit quality in the industrialized world. Energy shortages that could put upward pressure on the prices of oil, natural gas and coal pose perhaps the largest risk to economic growth.

At Rydex|SGI, our products are designed to help investors navigate uncertain markets, including hedging or augmenting exposures to the equity or fixed-income markets, or introducing alternative assets and strategies to portfolios for overall diversification¹. Thank you for the trust you place in us.

Sincerely,
 

 

Michael Byrum 

President & Chief Investment Officer 

¹ Diversification neither assures a profit nor eliminates the risk of experiencing investment losses.

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.

Rydex|SGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 3

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Many of the Rydex|SGI 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 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 September 30, 2010 and ending March 31, 2011.

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), Rydex 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 ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		the Period2
Table 1. Based on actual Fund return 3
Nova Fund
Investor Class		1.30	%		25.78	%	$	1,000.00	$	1,257.82	$	7.32
Advisor Class		1.80	%		25.44	%		1,000.00		1,254.41		10.12
A-Class		1.55	%		25.65	%		1,000.00		1,256.49		8.72
C-Class		2.30	%		25.20	%		1,000.00		1,252.01		12.91
S&P 500 Fund
A-Class		1.55	%		16.29	%		1,000.00		1,162.94		8.36
C-Class		2.30	%		15.76	%		1,000.00		1,157.65		12.37
H-Class		1.55	%		16.26	%		1,000.00		1,162.57		8.36
Inverse S&P 500 Strategy Fund
Investor Class		1.46	%		(15.93	%)		1,000.00		840.71		6.70
Advisor Class		1.96	%		(16.14	%)		1,000.00		838.57		8.98
A-Class		1.71	%		(16.03	%)		1,000.00		839.70		7.84
C-Class		2.47	%		(16.38	%)		1,000.00		836.23		11.31
NASDAQ-100® Fund
Investor Class		1.31	%		16.71	%		1,000.00		1,167.05		7.08
Advisor Class		1.81	%		16.39	%		1,000.00		1,163.95		9.77
A-Class		1.56	%		16.63	%		1,000.00		1,166.27		8.43
C-Class		2.31	%		16.17	%		1,000.00		1,161.73		12.45
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.48	%		(16.35	%)		1,000.00		836.49		6.78
Advisor Class		1.98	%		(16.63	%)		1,000.00		833.70		9.05
A-Class		1.73	%		(16.48	%)		1,000.00		835.24		7.92
C-Class		2.48	%		(16.77	%)		1,000.00		832.29		11.33
Mid-Cap 1.5x Strategy Fund
A-Class		1.70	%		36.19	%		1,000.00		1,361.93		10.01
C-Class		2.45	%		35.74	%		1,000.00		1,357.37		14.40
H-Class		1.71	%		36.22	%		1,000.00		1,362.20		10.07
Inverse Mid-Cap Strategy Fund
A-Class		1.72	%		(20.89	%)		1,000.00		791.15		7.68
C-Class		2.46	%		(21.18	%)		1,000.00		788.20		10.97
H-Class		1.71	%		(20.87	%)		1,000.00		791.29		7.64
Russell 2000® 1.5x Strategy Fund
A-Class		1.72	%		38.92	%		1,000.00		1,389.25		10.25
C-Class		2.47	%		38.40	%		1,000.00		1,384.05		14.68
H-Class		1.72	%		38.88	%		1,000.00		1,388.82		10.24
Russell 2000® Fund
A-Class		1.57	%		24.68	%		1,000.00		1,246.83		8.79
C-Class		2.32	%		24.20	%		1,000.00		1,241.97		12.97
H-Class		1.58	%		24.65	%		1,000.00		1,246.50		8.85
Inverse Russell 2000® Strategy Fund
A-Class		1.72	%		(22.41	%)		1,000.00		775.90		7.62
C-Class		2.47	%		(22.72	%)		1,000.00		772.82		10.92
H-Class		1.72	%		(22.39	%)		1,000.00		776.08		7.62
S&P 500 Pure Growth Fund
A-Class		1.54	%		21.30	%		1,000.00		1,212.95		8.50
C-Class		2.30	%		20.80	%		1,000.00		1,208.00		12.66
H-Class		1.56	%		21.27	%		1,000.00		1,212.66		8.61
S&P 500 Pure Value Fund
A-Class		1.57	%		20.27	%		1,000.00		1,202.72		8.62
C-Class		2.31	%		19.84	%		1,000.00		1,198.44		12.66
H-Class		1.56	%		20.29	%		1,000.00		1,202.91		8.57
S&P MidCap 400 Pure Growth Fund
A-Class		1.55	%		27.41	%		1,000.00		1,274.14		8.79
C-Class		2.30	%		26.91	%		1,000.00		1,269.05		13.01
H-Class		1.55	%		27.41	%		1,000.00		1,274.11		8.79

6 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		the Period2
S&P MidCap 400 Pure Value Fund
A-Class		1.57	%		20.57	%	$	1,000.00	$	1,205.73	$	8.63
C-Class		2.32	%		20.16	%		1,000.00		1,201.65		12.73
H-Class		1.56	%		20.58	%		1,000.00		1,205.81		8.58
S&P SmallCap 600 Pure Growth Fund
A-Class		1.55	%		25.16	%		1,000.00		1,251.65		8.70
C-Class		2.30	%		24.64	%		1,000.00		1,246.36		12.88
H-Class		1.55	%		25.11	%		1,000.00		1,251.13		8.70
S&P SmallCap 600 Pure Value Fund
A-Class		1.55	%		24.22	%		1,000.00		1,242.23		8.66
C-Class		2.30	%		23.65	%		1,000.00		1,236.46		12.82
H-Class		1.56	%		24.20	%		1,000.00		1,241.98		8.72
Europe 1.25x Strategy Fund
A-Class		1.69	%		9.93	%		1,000.00		1,099.30		8.85
C-Class		2.45	%		9.45	%		1,000.00		1,094.51		12.79
H-Class		1.70	%		9.76	%		1,000.00		1,097.58		8.89
Japan 2x Strategy Fund
A-Class		1.56	%		3.53	%		1,000.00		1,035.32		7.92
C-Class		2.29	%		2.89	%		1,000.00		1,028.89		11.58
H-Class		1.55	%		3.52	%		1,000.00		1,035.25		7.86
Strengthening Dollar 2x Strategy Fund
A-Class		1.72	%		(9.85	%)		1,000.00		901.54		8.15
C-Class		2.47	%		(10.15	%)		1,000.00		898.46		11.69
H-Class		1.72	%		(9.82	%)		1,000.00		901.75		8.16
Weakening Dollar 2x Strategy Fund
A-Class		1.72	%		7.22	%		1,000.00		1,072.22		8.89
C-Class		2.47	%		6.83	%		1,000.00		1,068.33		12.74
H-Class		1.72	%		7.23	%		1,000.00		1,072.29		8.89
Real Estate Fund
A-Class		1.64	%		14.90	%		1,000.00		1,149.03		8.79
C-Class		2.39	%		14.40	%		1,000.00		1,143.99		12.78
H-Class		1.64	%		14.92	%		1,000.00		1,149.20		8.79
Government Long Bond 1.2x Strategy Fund
Investor Class		0.99	%		(14.17	%)		1,000.00		858.34		4.59
Advisor Class		1.49	%		(14.52	%)		1,000.00		854.80		6.89
A-Class		1.24	%		(14.25	%)		1,000.00		857.50		5.74
C-Class		1.98	%		(14.60	%)		1,000.00		853.97		9.15
Inverse Government Long Bond Strategy Fund
Investor Class		5.15	%		11.04	%		1,000.00		1,110.36		27.10
Advisor Class		5.62	%		10.72	%		1,000.00		1,107.21		29.53
A-Class		5.39	%		10.92	%		1,000.00		1,109.19		28.34
C-Class		6.14	%		10.47	%		1,000.00		1,104.67		32.22
High Yield Strategy Fund
A-Class		1.54	%		5.97	%		1,000.00		1,059.70		7.91
C-Class		2.29	%		5.58	%		1,000.00		1,055.83		11.74
H-Class		1.54	%		5.98	%		1,000.00		1,059.78		7.91
Inverse High Yield Strategy Fund
A-Class		1.54	%		(7.12	%)		1,000.00		928.84		7.41
C-Class		2.29	%		(7.49	%)		1,000.00		925.09		10.99
H-Class		1.54	%		(7.16	%)		1,000.00		928.43		7.40
U.S. Government Money Market Fund
Investor Class		0.18	%		0.01	%		1,000.00		1,000.05		0.90
Investor2 Class		0.18	%		0.01	%		1,000.00		1,000.05		0.90
Advisor Class		0.19	%		0.01	%		1,000.00		1,000.05		0.95
A-Class		0.19	%		0.01	%		1,000.00		1,000.05		0.95
C-Class		0.19	%		0.01	%		1,000.00		1,000.05		0.95

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		the Period2
Table 2. Based on hypothetical 5% return (before expenses)
Nova Fund
Investor Class		1.30	%		5.00	%	$	1,000.00	$	1,018.45	$	6.54
Advisor Class		1.80	%		5.00	%		1,000.00		1,015.96		9.05
A-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
S&P 500 Fund
A-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
Inverse S&P 500 Strategy Fund
Investor Class		1.46	%		5.00	%		1,000.00		1,017.65		7.34
Advisor Class		1.96	%		5.00	%		1,000.00		1,015.16		9.85
A-Class		1.71	%		5.00	%		1,000.00		1,016.40		8.60
C-Class		2.47	%		5.00	%		1,000.00		1,012.62		12.39
NASDAQ-100® Fund
Investor Class		1.31	%		5.00	%		1,000.00		1,018.40		6.59
Advisor Class		1.81	%		5.00	%		1,000.00		1,015.91		9.10
A-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85
C-Class		2.31	%		5.00	%		1,000.00		1,013.41		11.60
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.48	%		5.00	%		1,000.00		1,017.55		7.44
Advisor Class		1.98	%		5.00	%		1,000.00		1,015.06		9.95
A-Class		1.73	%		5.00	%		1,000.00		1,016.31		8.70
C-Class		2.48	%		5.00	%		1,000.00		1,012.57		12.44
Mid-Cap 1.5x Strategy Fund
A-Class		1.70	%		5.00	%		1,000.00		1,016.45		8.55
C-Class		2.45	%		5.00	%		1,000.00		1,012.72		12.29
H-Class		1.71	%		5.00	%		1,000.00		1,016.40		8.60
Inverse Mid-Cap Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
C-Class		2.46	%		5.00	%		1,000.00		1,012.67		12.34
H-Class		1.71	%		5.00	%		1,000.00		1,016.40		8.60
Russell 2000® 1.5x Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
C-Class		2.47	%		5.00	%		1,000.00		1,012.62		12.39
H-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
Russell 2000® Fund
A-Class		1.57	%		5.00	%		1,000.00		1,017.10		7.90
C-Class		2.32	%		5.00	%		1,000.00		1,013.36		11.65
H-Class		1.58	%		5.00	%		1,000.00		1,017.05		7.95
Inverse Russell 2000® Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
C-Class		2.47	%		5.00	%		1,000.00		1,012.62		12.39
H-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
S&P 500 Pure Growth Fund
A-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85
S&P 500 Pure Value Fund
A-Class		1.57	%		5.00	%		1,000.00		1,017.10		7.90
C-Class		2.31	%		5.00	%		1,000.00		1,013.41		11.60
H-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85
S&P MidCap 400 Pure Growth Fund
A-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
S&P MidCap 400 Pure Value Fund
A-Class		1.57	%		5.00	%		1,000.00		1,017.10		7.90
C-Class		2.32	%		5.00	%		1,000.00		1,013.36		11.65
H-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85

8 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		the Period2
S&P SmallCap 600 Pure Growth Fund
A-Class		1.55	%		5.00	%	$	1,000.00	$	1,017.20	$	7.80
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
S&P SmallCap 600 Pure Value Fund
A-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85
Europe 1.25x Strategy Fund
A-Class		1.69	%		5.00	%		1,000.00		1,016.50		8.50
C-Class		2.45	%		5.00	%		1,000.00		1,012.72		12.29
H-Class		1.70	%		5.00	%		1,000.00		1,016.45		8.55
Japan 2x Strategy Fund
A-Class		1.56	%		5.00	%		1,000.00		1,017.15		7.85
C-Class		2.29	%		5.00	%		1,000.00		1,013.51		11.50
H-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
Strengthening Dollar 2x Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
C-Class		2.47	%		5.00	%		1,000.00		1,012.62		12.39
H-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
Weakening Dollar 2x Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
C-Class		2.47	%		5.00	%		1,000.00		1,012.62		12.39
H-Class		1.72	%		5.00	%		1,000.00		1,016.36		8.65
Real Estate Fund
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
H-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
Government Long Bond 1.2x Strategy Fund
Investor Class		0.99	%		5.00	%		1,000.00		1,020.00		4.99
Advisor Class		1.49	%		5.00	%		1,000.00		1,017.50		7.49
A-Class		1.24	%		5.00	%		1,000.00		1,018.75		6.24
C-Class		1.98	%		5.00	%		1,000.00		1,015.06		9.95
Inverse Government Long Bond Strategy Fund
Investor Class		5.15	%		5.00	%		1,000.00		999.25		25.67
Advisor Class		5.62	%		5.00	%		1,000.00		996.91		27.98
A-Class		5.39	%		5.00	%		1,000.00		998.06		26.85
C-Class		6.14	%		5.00	%		1,000.00		994.32		30.53
High Yield Strategy Fund
A-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
C-Class		2.29	%		5.00	%		1,000.00		1,013.51		11.50
H-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
Inverse High Yield Strategy Fund
A-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
C-Class		2.29	%		5.00	%		1,000.00		1,013.51		11.50
H-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
U.S. Government Money Market Fund
Investor Class		0.18	%		5.00	%		1,000.00		1,024.03		0.91
Investor2 Class		0.18	%		5.00	%		1,000.00		1,024.03		0.91
Advisor Class		0.19	%		5.00	%		1,000.00		1,023.98		0.96
A-Class		0.19	%		5.00	%		1,000.00		1,023.98		0.96
C-Class		0.19	%		5.00	%		1,000.00		1,023.98		0.96

1	This ratio represents annualized Net Expenses, which includes interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 3.73%, 3.70%, 3.72%, and 3.72% 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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2010 to March 31, 2011.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: July 12, 1993

For the one-year period ended March 31, 2011, Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. Nova Fund Investor Class returned 21.38%, while the S&P 500 Index returned 15.65% over the same period.

Energy (4.30%), Information Technology (2.28%) and Industrials (2.27%) provided the most performance to the index during the year. Financials (0.45%), Health Care (0.48%) and Utilities (0.51%) provided the least performance to the index during the year.

Apple, Inc., Exxon Mobil Corp. and Chevron Corp. were among the stocks which provided the most performance to the index during the year. Bank of America Corp., Cisco Systems, Inc. and Hewlett-Packard Co. detracted from performance for the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

     Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	2.2	%
Apple, Inc.	1.7	%
Chevron Corp.	1.1	%
General Electric Co.	1.1	%
International Business Machines Corp.	1.0	%
Microsoft Corp.	1.0	%
JPMorgan Chase & Co.	1.0	%
AT&T, Inc.	0.9	%
Procter & Gamble Co.	0.9	%
Wells Fargo & Co.	0.9	%
Top Ten Total	11.8	%
“Ten Largest Holdings” exclude any
temporary cash or derivative investments

10 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(07/12/93)									(10/15/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
NOVA FUND		21.38	%		-1.21	%		0.48	%		20.75	%		-1.72	%		-0.06	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%

	A-Class															C-Class
	(03/31/04)															(03/14/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
NOVA FUND		21.09	%		15.34	%		-1.46	%		-2.41	%		1.90	%		1.19	%		20.22	%		19.22	%		-2.19	%		-0.54	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.45	%		4.45	%		15.65	%		15.65	%		2.62	%		3.29	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a contingent deferred sales charge (“CDSC”) of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	March 31, 2011
NOVA FUND

	Shares		Value
COMMON STOCKS† - 63.2%
INFORMATION TECHNOLOGY - 11.4%
Apple, Inc.*		4,231	$	1,474,292
International Business Machines Corp.		5,600		913,192
Microsoft Corp.		33,950		860,972
Google, Inc. — Class A*		1,150		674,142
Oracle Corp.		17,860		595,988
Intel Corp.		25,200		508,284
Cisco Systems, Inc.		25,380		435,267
QUALCOMM, Inc.		7,550		413,967
Hewlett-Packard Co.		9,990		409,290
EMC Corp.*		9,496		252,119
Texas Instruments, Inc.		5,380		185,933
Visa, Inc. — Class A		2,230		164,173
eBay, Inc.*		5,250		162,960
Corning, Inc.		7,190		148,330
Automatic Data Processing, Inc.		2,280		116,987
Cognizant Technology Solutions Corp. — Class A*		1,400		113,960
Dell, Inc.*		7,710		111,872
Mastercard, Inc. — Class A		436		109,750
Juniper Networks, Inc.*		2,460		103,517
Yahoo!, Inc.*		6,010		100,067
Applied Materials, Inc.		6,060		94,657
Broadcom Corp. — Class A		2,180		85,848
NetApp, Inc.*		1,694		81,617
Adobe Systems, Inc.*		2,320		76,931
Salesforce.com, Inc.*		540		72,133
Motorola Solutions, Inc.*		1,549		69,225
Xerox Corp.		6,430		68,480
Intuit, Inc.*		1,250		66,375
Symantec Corp.*		3,500		64,890
Altera Corp.		1,470		64,709
Citrix Systems, Inc.*		860		63,176
Western Union Co.		2,970		61,687
Analog Devices, Inc.		1,380		54,344
SanDisk Corp.*		1,090		50,238
NVIDIA Corp.*		2,670		49,288
Paychex, Inc.		1,480		46,413
Autodesk, Inc.*		1,050		46,316
Micron Technology, Inc.*		3,940		45,152
Amphenol Corp. — Class A		810		44,056
CA, Inc.		1,760		42,557
Fiserv, Inc.*		670		42,022
BMC Software, Inc.*		820		40,787
Red Hat, Inc.*		890		40,397
Fidelity National Information Services, Inc.		1,215		39,718
Western Digital Corp.*		1,060		39,527
Xilinx, Inc.		1,200		39,360
Teradata Corp.*		770		39,039
F5 Networks, Inc.*		370		37,951
KLA-Tencor Corp.		770		36,475
Linear Technology Corp.		1,040		34,975
Computer Sciences Corp.		710		34,598
Motorola Mobility Holdings, Inc.*		1,354		33,038
Microchip Technology, Inc.		865		32,879
Akamai Technologies, Inc.*		860		32,680
Electronic Arts, Inc.*		1,540		30,076
Harris Corp.		590		29,264
VeriSign, Inc.		800		28,968
FLIR Systems, Inc.		730		25,265
SAIC, Inc.*		1,350		22,842
Advanced Micro Devices, Inc.*		2,640		22,704
JDS Uniphase Corp.*		1,030		21,465
LSI Corp.*		2,830		19,244
Jabil Circuit, Inc.		900		18,387
National Semiconductor Corp.		1,107		15,874
Molex, Inc.		626		15,725
Novellus Systems, Inc.*		410		15,223
Teradyne, Inc.*		845		15,049
MEMC Electronic Materials, Inc.*		1,060		13,738
Total System Services, Inc.		750		13,515
Lexmark International, Inc. — Class A*		360		13,334
Compuware Corp.*		1,000		11,550
Novell, Inc.*		1,610		9,547
Monster Worldwide, Inc.*		600		9,540
Tellabs, Inc.		1,670		8,751
Total Information Technology				9,986,661
FINANCIALS - 10.0%
JPMorgan Chase & Co.		18,290		843,169
Wells Fargo & Co.		24,193		766,918
Berkshire Hathaway, Inc. — Class B*		7,945		664,440
Bank of America Corp.		46,470		619,445
Citigroup, Inc.*		133,410		589,672
Goldman Sachs Group, Inc.		2,390		378,743
U.S. Bancorp		8,830		233,377
American Express Co.		4,800		216,960
MetLife, Inc.		4,850		216,940
Morgan Stanley		7,100		193,972
Bank of New York Mellon Corp.		5,704		170,378
PNC Financial Services Group, Inc.		2,410		151,806
Simon Property Group, Inc.		1,359		145,630
Prudential Financial, Inc.		2,230		137,323
Travelers Companies, Inc.		1,980		117,770
Aflac, Inc.		2,160		114,005
Capital One Financial Corp.		2,100		109,116
State Street Corp.		2,310		103,811
ACE Ltd.		1,540		99,638
CME Group, Inc. — Class A		310		93,480
BB&T Corp.		3,190		87,566
Franklin Resources, Inc.		670		83,804
Chubb Corp.		1,360		83,382
Charles Schwab Corp.		4,587		82,704

12  | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
NOVA FUND

	Shares		Value
AON Corp.		1,530	$	81,029
T. Rowe Price Group, Inc.		1,190		79,040
Allstate Corp.		2,430		77,225
Equity Residential		1,350		76,153
Marsh & McLennan Companies, Inc.		2,500		74,525
SunTrust Banks, Inc.		2,460		70,946
Public Storage		636		70,539
HCP, Inc.		1,840		69,810
Ameriprise Financial, Inc.		1,130		69,020
Vornado Realty Trust		746		65,275
Progressive Corp.		3,030		64,024
Loews Corp.		1,440		62,050
Boston Properties, Inc.		650		61,652
Weyerhaeuser Co.		2,470		60,762
Discover Financial Services		2,497		60,228
Fifth Third Bancorp		4,210		58,435
Northern Trust Corp.		1,109		56,282
Host Hotels & Resorts, Inc.		3,123		54,996
Hartford Financial Services Group, Inc.		2,040		54,937
Invesco Ltd.		2,110		53,932
M&T Bank Corp.		550		48,659
AvalonBay Communities, Inc.		400		48,032
Principal Financial Group, Inc.		1,470		47,202
Lincoln National Corp.		1,450		43,558
Health Care REIT, Inc.		810		42,476
NYSE Euronext		1,200		42,204
IntercontinentalExchange, Inc.*		340		42,004
Regions Financial Corp.		5,780		41,963
ProLogis		2,620		41,868
Ventas, Inc.		748		40,616
KeyCorp		4,370		38,806
Unum Group		1,420		37,275
SLM Corp.*		2,420		37,026
CB Richard Ellis Group, Inc. — Class A*		1,340		35,778
XL Group plc — Class A		1,430		35,178
Kimco Realty Corp.		1,870		34,296
Leucadia National Corp.		905		33,974
Plum Creek Timber Company, Inc.		740		32,271
Moody’s Corp.		920		31,197
Genworth Financial, Inc. — Class A*		2,250		30,285
Comerica, Inc.		810		29,743
Huntington Bancshares, Inc.		3,960		26,294
Legg Mason, Inc.		700		25,263
Cincinnati Financial Corp.		750		24,600
Torchmark Corp.		360		23,933
Hudson City Bancorp, Inc.		2,419		23,416
American International Group, Inc.*		660		23,192
People’s United Financial, Inc.		1,660		20,883
Marshall & Ilsley Corp.		2,430		19,416
Zions Bancorporation		840		19,370
NASDAQ OMX Group, Inc.*		690		17,830
Assurant, Inc.		460		17,715
E*Trade Financial Corp.*		1,020		15,943
Apartment Investment & Management Co. — Class A		540		13,754
First Horizon National Corp.		1,210		13,564
Federated Investors, Inc. — Class B		430		11,502
Janus Capital Group, Inc.		850		10,600
Total Financials				8,746,595
ENERGY - 8.4%
Exxon Mobil Corp.		22,770		1,915,640
Chevron Corp.		9,220		990,505
Schlumberger Ltd.		6,250		582,875
ConocoPhillips		6,560		523,882
Occidental Petroleum Corp.		3,730		389,748
Apache Corp.		1,760		230,419
Halliburton Co.		4,190		208,830
Anadarko Petroleum Corp.		2,279		186,696
Devon Energy Corp.		1,960		179,869
Marathon Oil Corp.		3,260		173,791
National Oilwell Varco, Inc.		1,929		152,912
Baker Hughes, Inc.		1,990		146,126
EOG Resources, Inc.		1,230		145,767
Hess Corp.		1,380		117,590
Chesapeake Energy Corp.		3,020		101,230
Peabody Energy Corp.		1,240		89,230
Williams Companies, Inc.		2,687		83,781
Spectra Energy Corp.		2,980		80,996
Noble Energy, Inc.		810		78,286
Valero Energy Corp.		2,608		77,770
Southwestern Energy Co.*		1,600		68,752
Murphy Oil Corp.		890		65,344
Cameron International Corp.*		1,120		63,952
El Paso Corp.		3,240		58,320
Consol Energy, Inc.		1,040		55,775
Pioneer Natural Resources Co.		530		54,018
Noble Corp.		1,160		52,919
FMC Technologies, Inc.*		550		51,964
Newfield Exploration Co.*		620		47,126
Denbury Resources, Inc.*		1,837		44,823
Range Resources Corp.		740		43,260
Nabors Industries Ltd.*		1,310		39,798
EQT Corp.		680		33,932
Helmerich & Payne, Inc.		490		33,658
QEP Resources, Inc.		810		32,837
Massey Energy Co.		480		32,813
Rowan Companies, Inc.*		580		25,624
Cabot Oil & Gas Corp.		480		25,426
Sunoco, Inc.		546		24,892
Diamond Offshore Drilling, Inc.		320		24,864
Tesoro Corp.*		660		17,708
Total Energy				7,353,748

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT  | 13

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
NOVA FUND

	Shares		Value
INDUSTRIALS - 7.2%
General Electric Co.		48,760	$	977,652
United Technologies Corp.		4,230		358,070
United Parcel Service, Inc. — Class B		4,530		336,670
Caterpillar, Inc.		2,933		326,590
3M Co.		3,270		305,745
Boeing Co.		3,380		249,883
Union Pacific Corp.		2,250		221,243
Honeywell International, Inc.		3,602		215,075
Emerson Electric Co.		3,460		202,168
Deere & Co.		1,930		186,998
FedEx Corp.		1,450		135,648
CSX Corp.		1,700		133,620
General Dynamics Corp.		1,710		130,918
Danaher Corp.		2,480		128,712
Illinois Tool Works, Inc.		2,286		122,804
Norfolk Southern Corp.		1,640		113,603
Lockheed Martin Corp.		1,320		106,128
Cummins, Inc.		910		99,754
Tyco International Ltd.		2,180		97,599
Precision Castparts Corp.		660		97,139
PACCAR, Inc.		1,680		87,948
Eaton Corp.		1,562		86,597
Northrop Grumman Corp.		1,340		84,031
Raytheon Co.		1,650		83,935
Waste Management, Inc.		2,180		81,401
Ingersoll-Rand plc		1,510		72,948
Parker Hannifin Corp.		740		70,063
Rockwell Automation, Inc.		650		61,522
Fluor Corp.		810		59,665
Dover Corp.		860		56,536
CH Robinson Worldwide, Inc.		760		56,339
ITT Corp.		840		50,442
Goodrich Corp.		580		49,607
Expeditors International of Washington, Inc.		970		48,636
Joy Global, Inc.		480		47,429
Rockwell Collins, Inc.		710		46,029
Fastenal Co.		677		43,890
Southwest Airlines Co.		3,430		43,321
Republic Services, Inc. — Class A		1,410		42,356
L-3 Communications Holdings, Inc. — Class 3		520		40,721
First Solar, Inc.*		250		40,210
Roper Industries, Inc.		440		38,042
WW Grainger, Inc.		270		37,174
Textron, Inc.		1,270		34,785
Stericycle, Inc.*		390		34,581
Flowserve Corp.		260		33,488
Pall Corp.		530		30,533
Jacobs Engineering Group, Inc.*		580		29,829
Iron Mountain, Inc.		918		28,669
Pitney Bowes, Inc.		940		24,149
Masco Corp.		1,640		22,829
Quanta Services, Inc.*		990		22,206
Equifax, Inc.		560		21,756
Avery Dennison Corp.		490		20,560
Robert Half International, Inc.		670		20,502
Dun & Bradstreet Corp.		230		18,455
RR Donnelley & Sons Co.		950		17,974
Cintas Corp.		580		17,557
Snap-On, Inc.		268		16,096
Ryder System, Inc.		240		12,144
Total Industrials				6,280,974
HEALTH CARE - 7.0%
Pfizer, Inc.		36,710		745,580
Johnson & Johnson		12,560		744,180
Merck & Company, Inc.		14,160		467,422
Abbott Laboratories		7,110		348,745
Amgen, Inc.*		4,280		228,766
UnitedHealth Group, Inc.		5,020		226,904
Bristol-Myers Squibb Co.		7,820		206,683
Medtronic, Inc.		4,910		193,208
Eli Lilly & Co.		4,680		164,596
Gilead Sciences, Inc.*		3,650		154,906
Baxter International, Inc.		2,660		143,028
Express Scripts, Inc. — Class A*		2,430		135,132
Celgene Corp.*		2,130		122,539
WellPoint, Inc.		1,720		120,039
Covidien plc		2,270		117,904
Medco Health Solutions, Inc.*		1,860		104,458
Thermo Fisher Scientific, Inc.*		1,790		99,434
Allergan, Inc.		1,400		99,428
Stryker Corp.		1,550		94,240
McKesson Corp.		1,170		92,489
Genzyme Corp.*		1,200		91,380
Biogen Idec, Inc.*		1,110		81,463
Becton Dickinson and Co.		1,020		81,212
St. Jude Medical, Inc.		1,490		76,377
Agilent Technologies, Inc.*		1,580		70,752
Aetna, Inc.		1,770		66,251
Cardinal Health, Inc.		1,610		66,219
Intuitive Surgical, Inc.*		180		60,023
CIGNA Corp.		1,250		55,350
Humana, Inc.*		770		53,854
Zimmer Holdings, Inc.*		880		53,266
Boston Scientific Corp.*		7,000		50,330
AmerisourceBergen Corp. — Class A		1,260		49,846
Mylan, Inc.*		2,010		45,567
Life Technologies Corp.*		830		43,509
Edwards Lifesciences Corp.*		490		42,630
Hospira, Inc.*		770		42,504
Laboratory Corporation of America Holdings*		460		42,380
Forest Laboratories, Inc.*		1,310		42,313
Quest Diagnostics, Inc.		720		41,558
CR Bard, Inc.		390		38,731
DaVita, Inc.*		440		37,624
Varian Medical Systems, Inc.*		550		37,202

14 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
NOVA FUND

	SHARES		VALUE
Cerner Corp.*		330	$	36,696
Waters Corp.*		420		36,498
Watson Pharmaceuticals, Inc.*		580		32,486
CareFusion Corp.*		1,020		28,764
Cephalon, Inc.*		350		26,523
DENTSPLY International, Inc.		650		24,044
Coventry Health Care, Inc.*		690		22,004
Tenet Healthcare Corp.*		2,230		16,613
Patterson Companies, Inc.		440		14,164
PerkinElmer, Inc.		520		13,660
Total Health Care				6,131,474
CONSUMER DISCRETIONARY - 6.6%
Walt Disney Co.		8,720		375,745
McDonald’s Corp.		4,790		364,471
Comcast Corp. — Class A		12,750		315,180
Amazon.com, Inc.*		1,640		295,413
Home Depot, Inc.		7,530		279,062
Ford Motor Co.*		17,370		258,987
News Corp. — Class A		10,490		184,204
Time Warner, Inc.		5,020		179,214
DIRECTV — Class A*		3,640		170,352
Lowe’s Companies, Inc.		6,340		167,566
Target Corp.		3,250		162,533
NIKE, Inc. — Class B		1,760		133,232
Johnson Controls, Inc.		3,106		129,116
Viacom, Inc. — Class B		2,740		127,465
Starbucks Corp.		3,430		126,739
Priceline.com, Inc.*		225		113,949
Time Warner Cable, Inc. — Class A		1,580		112,717
Yum! Brands, Inc.		2,150		110,467
TJX Companies, Inc.		1,820		90,509
CBS Corp. — Class B		3,090		77,374
Carnival Corp.		1,980		75,953
Kohl’s Corp.		1,340		71,074
Coach, Inc.		1,360		70,774
Staples, Inc.		3,300		64,086
Omnicom Group, Inc.		1,300		63,778
Stanley Black & Decker, Inc.		769		58,905
Bed Bath & Beyond, Inc.*		1,170		56,476
McGraw-Hill Companies, Inc.		1,410		55,554
Discovery Communications, Inc. — Class A*		1,290		51,471
Starwood Hotels & Resorts Worldwide, Inc.		880		51,146
Netflix, Inc.*		200		47,466
Marriott International, Inc. — Class A		1,328		47,250
Macy’s, Inc.		1,939		47,040
Harley-Davidson, Inc.		1,080		45,889
The Gap, Inc.		2,000		45,320
Wynn Resorts Ltd.		350		44,537
Best Buy Company, Inc.		1,500		43,080
Fortune Brands, Inc.		696		43,075
Mattel, Inc.		1,600		39,888
Limited Brands, Inc.		1,210		39,785
VF Corp.		400		39,412
Ross Stores, Inc.		550		39,116
JC Penney Company, Inc.		1,088		39,070
Genuine Parts Co.		719		38,567
O’Reilly Automotive, Inc.*		650		37,349
Polo Ralph Lauren Corp. — Class A		300		37,095
Cablevision Systems Corp. — Class A		1,070		37,033
Tiffany & Co.		580		35,635
Nordstrom, Inc.		769		34,513
CarMax, Inc.*		1,039		33,352
AutoZone, Inc.*		120		32,827
Darden Restaurants, Inc.		630		30,952
Whirlpool Corp.		350		29,876
Family Dollar Stores, Inc.		580		29,766
Hasbro, Inc.		629		29,462
Interpublic Group of Companies, Inc.		2,250		28,282
Wyndham Worldwide Corp.		800		25,448
Newell Rubbermaid, Inc.		1,330		25,443
Apollo Group, Inc. — Class A*		570		23,775
Abercrombie & Fitch Co. — Class A		400		23,480
H&R Block, Inc.		1,400		23,436
International Game Technology		1,370		22,235
Scripps Networks Interactive, Inc. — Class A		420		21,038
Expedia, Inc.		920		20,847
Urban Outfitters, Inc.*		590		17,600
Gannett Company, Inc.		1,100		16,753
Goodyear Tire & Rubber Co.*		1,118		16,748
Sears Holdings Corp.*		200		16,530
Leggett & Platt, Inc.		670		16,415
GameStop Corp. — Class A*		700		15,764
DeVry, Inc.		280		15,420
Big Lots, Inc.*		350		15,201
DR Horton, Inc.		1,290		15,028
Harman International Industries, Inc.		320		14,982
Lennar Corp. — Class A		740		13,409
Pulte Group, Inc.*		1,538		11,381
AutoNation, Inc.*		290		10,257
Washington Post Co. — Class B		20		8,751
RadioShack Corp.		490		7,355
Total Consumer Discretionary				5,786,445
CONSUMER STAPLES - 6.4%
Procter & Gamble Co.		12,860		792,176
Coca-Cola Co.		10,540		699,329
Philip Morris International, Inc.		8,250		541,447
PepsiCo, Inc.		7,280		468,905
Wal-Mart Stores, Inc.		9,000		468,450
Kraft Foods, Inc. — Class A		8,029		251,789
Altria Group, Inc.		9,611		250,174

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
NOVA FUND

	Shares		Value
CVS Caremark Corp.		6,280	$	215,530
Colgate-Palmolive Co.		2,270		183,325
Walgreen Co.		4,240		170,194
Costco Wholesale Corp.		1,996		146,347
Kimberly-Clark Corp.		1,860		121,402
General Mills, Inc.		2,920		106,726
Archer-Daniels-Midland Co.		2,930		105,509
Sysco Corp.		2,680		74,236
HJ Heinz Co.		1,480		72,254
Kroger Co.		2,920		69,992
Lorillard, Inc.		670		63,657
Kellogg Co.		1,160		62,617
Reynolds American, Inc.		1,550		55,071
Mead Johnson Nutrition Co. — Class A		940		54,454
Avon Products, Inc.		1,968		53,215
Estee Lauder Companies, Inc. — Class A		530		51,071
Sara Lee Corp.		2,860		50,536
ConAgra Foods, Inc.		2,000		47,500
Whole Foods Market, Inc.		680		44,812
Clorox Co.		630		44,144
Coca-Cola Enterprises, Inc.		1,520		41,496
Safeway, Inc.		1,690		39,783
JM Smucker Co.		550		39,265
Hershey Co.		710		38,588
Dr Pepper Snapple Group, Inc.		1,030		38,275
Molson Coors Brewing Co. — Class B		730		34,230
Brown-Forman Corp. — Class B		470		32,101
McCormick & Company, Inc.		606		28,985
Campbell Soup Co.		840		27,812
Tyson Foods, Inc. — Class A		1,370		26,290
Hormel Foods Corp.		640		17,818
Constellation Brands, Inc. — Class A*		810		16,427
SUPERVALU, Inc.		970		8,662
Dean Foods Co.*		840		8,400
Total Consumer Staples				5,662,994
MATERIALS - 2.3%
Freeport-McMoRan Copper & Gold, Inc. — Class B		4,352		241,754
E. I. du Pont de Nemours & Co.		4,229		232,468
Dow Chemical Co.		5,360		202,340
Monsanto Co.		2,460		177,760
Praxair, Inc.		1,390		141,224
Newmont Mining Co.		2,260		123,351
Air Products & Chemicals, Inc.		990		89,278
Alcoa, Inc.		4,880		86,132
PPG Industries, Inc.		740		70,455
Nucor Corp.		1,450		66,729
International Paper Co.		2,020		60,964
Cliffs Natural Resources, Inc.		620		60,934
Ecolab, Inc.		1,070		54,591
CF Industries Holdings, Inc.		330		45,141
Sigma-Aldrich Corp.		560		35,638
United States Steel Co.		659		35,546
Sherwin-Williams Co.		410		34,436
Eastman Chemical Co.		320		31,782
Allegheny Technologies, Inc.		450		30,474
FMC Corp.		330		28,027
Ball Corp.		780		27,963
Vulcan Materials Co.		590		26,904
MeadWestvaco Corp.		767		23,263
International Flavors & Fragrances, Inc.		370		23,051
Owens-Illinois, Inc.*		750		22,643
Airgas, Inc.		340		22,583
Sealed Air Corp.		730		19,462
Bemis Company, Inc.		490		16,077
AK Steel Holding Corp.		510		8,048
Titanium Metals Corp.*		406		7,543
Total Materials				2,046,561
UTILITIES - 2.0%
Southern Co.		3,880		147,867
Exelon Corp.		3,040		125,370
Dominion Resources, Inc.		2,670		119,349
Duke Energy Corp.		6,100		110,715
NextEra Energy, Inc.		1,930		106,382
PG&E Corp.		1,820		80,408
American Electric Power Company, Inc.		2,210		77,659
Public Service Enterprise Group, Inc.		2,316		72,977
FirstEnergy Corp.		1,920		71,213
Consolidated Edison, Inc.		1,340		67,965
Progress Energy, Inc.		1,350		62,289
Sempra Energy		1,100		58,850
PPL Corp.		2,220		56,166
Entergy Corp.		820		55,112
Edison International		1,500		54,885
Xcel Energy, Inc.		2,220		53,036
AES Corp.*		3,040		39,520
DTE Energy Co.		780		38,189
CenterPoint Energy, Inc.		1,950		34,242
Oneok, Inc.		490		32,771
Wisconsin Energy Corp.		1,070		32,635
Ameren Corp.		1,100		30,877
Constellation Energy Group, Inc.		920		28,640
Northeast Utilities		807		27,922
NRG Energy, Inc.*		1,140		24,556
NiSource, Inc.		1,280		24,550
CMS Energy Corp.		1,160		22,782
Pinnacle West Capital Corp.		500		21,395
SCANA Corp.		520		20,472
Pepco Holdings, Inc.		1,028		19,172
TECO Energy, Inc.		990		18,572
Integrys Energy Group, Inc.		360		18,184
Nicor, Inc.		210		11,277
Total Utilities				1,765,999

16 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
NOVA FUND

	Shares		Value
TELECOMMUNICATION SERVICES — 1.9%
AT&T, Inc.		27,140	$	830,484
Verizon Communications, Inc.		12,990		500,635
American Tower Corp. — Class A*		1,830		94,831
Sprint Nextel Corp.*		13,725		63,684
CenturyLink, Inc.		1,400		58,170
Qwest Communications International, Inc.		8,001		54,647
Frontier Communications Corp.		4,560		37,483
Windstream Corp.		2,320		29,858
MetroPCS Communications, Inc.*		1,210		19,650
Total Telecommunication Services				1,689,442
Total Common Stocks
(Cost $35,410,591)				55,450,893

	Face
	Amount
REPURCHASE AGREEMENTS††,1 — 30.3%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112	$	11,218,612		11,218,612
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		10,664,700		10,664,700
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		3,955,009		3,955,009
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		710,980		710,980
Total Repurchase Agreements
(Cost $26,549,301)				26,549,301
Total Investments — 93.5%
(Cost $61,959,892)			$	82,000,194
Cash & Other Assets,
Less Liabilities — 6.5%				5,724,300
Total Net Assets — 100.0%			$	87,724,494

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED †
June 2011 S&P 500 Index Mini
Futures Contracts (Aggregate Value of Contracts $14,930,125)		226	$	114,232

	Units
EQUITY INDEX SWAP AGREEMENTS††
Credit Suisse Capital, LLC
April 2011 S&P 500 Index Swap Terminating 04/28/113 (Notional Value $45,402,050)		34,244		426,857
Goldman Sachs International April 2011 S&P 500 Index Swap, Terminating 04/27/113 (Notional Value $13,269,328)		10,008		148,449
Morgan Stanley Capital Services, Inc. April 2011 S&P 500 Index Swap, Terminating 04/26/113 (Notional Value $2,319,766)		1,750		21,704
(Total Notional Value $60,991,144)			$	597,010

*	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 March 31, 2011.
3	Total Return based on S&P 500 Index +/- financing at a variable rate.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 17

NOVA FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	55,450,893
Repurchase agreements, at value		26,549,301
Total investments		82,000,194
Segregated cash with broker		846,049
Cash		148
Unrealized appreciation on swap agreements		597,010
Receivables:
Securities sold		9,148
Fund shares sold		5,206,952
Dividends		65,080
Interest		44
Total assets		88,724,625
Liabilities:
Payable for:
Swap settlement		3,990
Variation margin		16,688
Securities purchased		42,630
Fund shares redeemed		798,440
Management fees		48,333
Custodian fees		1,804
Transfer agent/maintenance fees		16,111
Distribution and service fees		11,893
Portfolio accounting fees		6,444
Licensing fees		1,046
Other		52,752
Total liabilities		1,000,131
Net assets	$	87,724,494
Net assets consist of:
Paid in capital	$	123,117,706
Accumulated net investment loss		—
Accumulated net realized loss on investments		(56,144,756	)
Net unrealized appreciation on investments		20,751,544
Net assets	$	87,724,494
Investor Class:
Net assets	$	65,102,179
Capital shares outstanding		2,647,947
Net asset value per share	$	24.59
Advisor Class:
Net assets	$	6,318,466
Capital shares outstanding		276,119
Net asset value per share	$	22.88
A-Class:
Net assets	$	5,842,772
Capital shares outstanding		250,572
Net asset value per share	$	23.32
Maximum offering price per share*	$	24.48
C-Class:
Net assets	$	10,461,077
Capital shares outstanding		475,382
Net asset value per share	$	22.01
Investments, at cost	$	35,410,591
Repurchase agreements, at cost		26,549,301
Total cost	$	61,959,892

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	966,311
Interest		30,359
Total investment income		996,670
Expenses:
Management fees		529,891
Transfer agent and administrative fees		176,630
Distribution and service fees:
Advisor Class		36,333
A-Class		8,415
C-Class		88,347
Portfolio accounting fees		70,651
Trustees’ fees**		7,278
Miscellaneous		128,814
Total expenses		1,046,359
Net investment loss		(49,689	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,888,788
Swap agreements		5,592,873
Futures contracts		1,549,993
Net realized gain		10,031,654
Net change in unrealized appreciation (depreciation) on:
Investments		1,393,757
Swap agreements		(529,928	)
Futures contracts		34,767
Net change in unrealized appreciation (depreciation)		898,596
Net realized and unrealized gain		10,930,250
Net increase in net assets resulting from operations	$	10,880,561

** 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 ANNUAL REPORT See Notes to Financial Statements.

NOVA FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(49,689	)	$	78,731
Net realized gain on investments		10,031,654			14,811,881
Net change in unrealized appreciation (depreciation) on investments		898,596			22,856,692
Net increase in net assets resulting from operations		10,880,561			37,747,304
Distributions To Shareholders From:
Net investment income
Investor Class		(56,523	)		(400,020	)
Advisor Class		(8,341	)		(66,025	)
A-Class		(3,832	)		(25,816	)
C-Class		(10,036	)		(115,450	)
Total distributions to shareholders		(78,732	)		(607,311	)
Capital Share Transactions:
Proceeds From Sale of shares
Investor Class		259,708,644			263,372,039
Advisor Class		20,373,380			37,475,685
A-Class		10,442,997			11,892,536
C-Class		5,762,021			7,293,115
Distributions Reinvested
Investor Class		54,308			389,078
Advisor Class		8,057			62,038
A-Class		1,475			23,887
C-Class		9,479			109,992
Cost of Shares Redeemed
Investor Class		(279,712,330	)		(241,354,104	)
Advisor Class		(26,778,781	)		(42,157,841	)
A-Class		(7,025,575	)		(16,805,121	)
C-Class		(7,471,647	)		(12,273,520	)
Net increase (decrease) from capital share transactions		(24,627,972	)		8,027,784
Net increase (decrease) in net assets		(13,826,143	)		45,167,777
Net assets:
Beginning of year		101,550,637			56,382,860
End of year	$	87,724,494		$	101,550,637
Undistributed/(Accumulated) net investment income/(loss) at end of year	$	—		$	78,732
Capital share Activity:
Shares sold
Investor Class		12,737,976			15,696,593
Advisor Class		1,079,238			2,371,621
A-Class		544,055			797,509
C-Class		315,490			489,614
Shares issued from reinvestment of distributions
Investor Class		2,493			20,846
Advisor Class		397			3,549
A-Class		71			1,345
C-Class		485			6,500
Shares redeemed
Investor Class		(13,903,126	)		(14,766,800	)
Advisor Class		(1,422,686	)		(2,767,595	)
A-Class		(390,827	)		(1,033,705	)
C-Class		(422,098	)		(808,245	)
Net increase (decrease) in shares		(1,458,532	)		11,232

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 19

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.

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.28		$	11.40		$	26.13		$	30.92		$	28.89
Income (loss) from investment operations:
Net investment income (loss)a		.02			.06			.19			.40			(.15	)
Net gain (loss) on investments (realized and unrealized)		4.31			8.97			(14.83	)		(4.51	)		4.19
Total from investment operations		4.33			9.03			(14.64	)		(4.11	)		4.04
Less distributions from:
Net investment income		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	24.59		$	20.28		$	11.40		$	26.13		$	30.92
Total Returnb		21.38	%		79.36	%		(56.06	%)		(13.71	%)		13.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	65,102		$	77,268		$	32,603		$	74,674		$	113,195
Ratios to average net assets:
Net investment income		0.11	%		0.33	%		0.93	%		1.26	%		1.23	%
Total expenses		1.29	%		1.28	%		1.29	%		1.27	%		1.25	%
Portfolio turnover rate		53	%		68	%		143	%		115	%		144	%
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	18.97		$	10.73		$	24.72		$	29.44		$	27.73
Income (loss) from investment operations:
Net investment income (loss)a		(.07	)		(.01	)		.08			.23			(.28	)
Net gain (loss) on investments (realized and unrealized)		4.00			8.40			(13.98	)		(4.27	)		4.00
Total from investment operations		3.93			8.39			(13.90	)		(4.04	)		3.72
Less distributions from:
Net investment income		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	22.88		$	18.97		$	10.73		$	24.72		$	29.44
Total Returnb		20.75	%		78.35	%		(56.26	%)		(14.16	%)		13.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,318		$	11,746		$	10,853		$	19,218		$	36,441
Ratios to average net assets:
Net investment income (loss)		(0.37	%)		(0.03	%)		0.45	%		0.78	%		0.73	%
Total expenses		1.79	%		1.78	%		1.79	%		1.77	%		1.75	%
Portfolio turnover rate		53	%		68	%		143	%		115	%		144	%

20 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

NOVA 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.

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.28		$	10.88		$	24.99		$	29.67		$	27.87
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		.03			.13			.29			(.21	)
Net gain (loss) on investments (realized and unrealized)		4.08			8.52			(14.15	)		(4.29	)		4.02
Total from investment operations		4.06			8.55			(14.02	)		(4.00	)		3.81
Less distributions from:
Net investment income		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	23.32		$	19.28		$	10.88		$	24.99		$	29.67
Total Returnb		21.09	%		78.74	%		(56.13	%)		(13.92	%)		13.67	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,843		$	1,876		$	3,612		$	11,791		$	15,586
Ratios to average net assets:
Net investment income (loss)		(0.11	%)		0.18	%		0.70	%		0.97	%		0.98	%
Total expenses		1.54	%		1.54	%		1.54	%		1.52	%		1.50	%
Portfolio turnover rate		53	%		68	%		143	%		115	%		144	%
	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	18.33		$	10.42		$	24.14		$	28.91		$	27.39
Income (loss) from investment operations:
Net investment income (loss)a		(.16	)		(.09	)		(.01	)		.07			(.42	)
Net gain (loss) on investments (realized and unrealized)		3.86			8.15			(13.62	)		(4.16	)		3.95
Total from investment operations		3.70			8.06			(13.63	)		(4.09	)		3.53
Less distributions from:
Net investment income		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	22.01		$	18.33		$	10.42		$	24.14		$	28.91
Total Returnb		20.22	%		77.51	%		(56.49	%)		(14.60	%)		12.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,461		$	10,661		$	9,314		$	29,715		$	42,925
Ratios to average net assets:
Net investment income (loss)		(0.85	%)		(0.61	%)		(0.05	%)		0.24	%		0.23	%
Total expenses		2.29	%		2.28	%		2.29	%		2.27	%		2.25	%
Portfolio turnover rate		53	%		68	%		143	%		115	%		144	%

a	Net investment in come (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)

March 31, 2011

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”).

Inception: May 31, 2006

The broad-market S&P 500 Index returned 15.65% for the one-year period ended March 31, 2011, while the S&P 500 Fund H-Class returned 13.90% for the same period. The Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the S&P 500 Index.

Energy (4.30%), Information Technology (2.28%) and Industrials (2.27%) provided the most performance to the index during the year. Financials (0.45%), Health Care (0.48%) and Utilities (0.51%) provided the least performance to the index during the year.

Apple, Inc., Exxon Mobil Corp. and Chevron Corp. were among the stocks which provided the most performance to the index during the year. Bank of America Corp., Cisco Systems, Inc. and Hewlett-Packard Co. detracted from performance for the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	2.5	%
Apple, Inc.	1.9	%
Chevron Corp.	1.3	%
General Electric Co.	1.3	%
International Business Machines Corp.	1.2	%
Microsoft Corp.	1.1	%
JPMorgan Chase & Co.	1.1	%
AT&T, Inc.	1.1	%
Procter & Gamble Co.	1.0	%
Wells Fargo & Co.	1.0	%
Top Ten Total	13.5	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments

22 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class									C-Class
							(05/31/06)									(05/31/06)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION
S&P 500 FUND		13.94	%		8.51	%		1.78	%		0.76	%		12.93	%		11.93	%		0.98	%
S&P 500 INDEX		15.65	%		15.65	%		3.05	%		3.05	%		15.65	%		15.65	%		3.05	%

	H-Class
	(05/31/06)
	ONE			SINCE
	YEAR			INCEPTION
S&P 500 FUND		13.90	%		1.77	%
S&P 500 INDEX		15.65	%		3.05	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 23

SCHEDULE OF INVESTMENTS	March 31, 2011
S&P 500 FUND

	Shares		VALUE
COMMON STOCKS † - 71.2%
INFORMATION TECHNOLOGY - 12.8%
Apple, Inc.*		14,628	$	5,097,127
International Business
Machines Corp.		19,370		3,158,666
Microsoft Corp.		117,420		2,977,771
Google, Inc. — Class A*		3,980		2,333,116
Oracle Corp.		61,780		2,061,599
Intel Corp.		87,150		1,757,815
Cisco Systems, Inc.		87,780		1,505,427
QUALCOMM, Inc.		26,100		1,431,063
Hewlett-Packard Co.		34,530		1,414,694
EMC Corp.*		32,850		872,167
Texas Instruments, inc.		18,610		643,162
Visa, Inc. — Class A		7,700		566,874
eBay, Inc.*		18,140		563,066
Corning, Inc.		24,862		512,903
Automatic Data Processing, Inc.		7,880		404,323
Cognizant Technology
Solutions Corp. — Class A*		4,826		392,836
Dell, Inc.*		26,670		386,982
Mastercard, Inc. — Class A		1,529		384,880
Juniper Networks, Inc.*		8,490		357,259
Yahoo!, Inc.*		20,790		346,153
Applied Materials, Inc.		20,950		327,239
Broadcom Corp. — Class A		7,550		297,319
NetApp, Inc.*		5,836		281,178
Adobe Systems, Inc.*		8,040		266,606
Salesforce.com, Inc.*		1,880		251,130
Motorola Solutions, Inc.*		5,350		239,091
Xerox Corp.		22,216		236,600
Intuit, Inc.*		4,320		229,392
Symantec Corp.*		12,120		224,705
Altera Corp.		5,085		223,842
Citrix Systems, Inc.*		2,980		218,911
Western Union Co.		10,270		213,308
Analog Devices, Inc.		4,760		187,449
SanDisk Corp.*		3,760		173,298
NVIDIA Corp.*		9,233		170,441
Paychex, inc.		5,110		160,250
Autodesk, Inc.*		3,630		160,119
Micron Technology, Inc.*		13,619		156,074
Amphenol Corp. — Class A		2,787		151,585
CA, Inc.		6,070		146,773
Fiserv, Inc.*		2,320		145,510
BMC Software, Inc.*		2,840		141,262
Red Hat, Inc.*		3,060		138,893
Fidelity National Information
Services, Inc.		4,227		138,181
Xilinx, Inc.		4,150		136,120
Teradata Corp.*		2,670		135,369
Western Digital Corp.*		3,526		131,485
F5 Networks, Inc.*		1,280		131,290
KLA-Tencor Corp.		2,660		126,004
Linear Technology Corp.		3,600		121,068
Computer Sciences Corp.		2,460		119,876
Motorola Mobility Holdings, Inc.*		4,670		113,948
Microchip Technology, Inc.		2,991		113,688
Akamai Technologies, Inc.*		2,970		112,860
Electronic Arts, Inc.*		5,312		103,743
Harris Corp.		2,030		100,688
VeriSign, Inc.		2,750		99,578
FLIR Systems, Inc.		2,530		87,563
SAIC, Inc.*		4,656		78,780
Advanced Micro Devices, Inc.*		9,137		78,578
JDS Uniphase Corp.*		3,560		74,190
LSI Corp.*		9,780		66,504
Jabil Circuit, Inc.		3,110		63,537
Molex, Inc.		2,190		55,013
National Semiconductor Corp.		3,828		54,894
Novellus Systems, Inc.*		1,430		53,096
Teradyne, Inc.*		2,938		52,326
MEMC Electronic Materials, Inc.*		3,658		47,408
Total System Services, Inc.		2,580		46,492
Lexmark International,
Inc. — Class A*		1,250		46,300
Compuware Corp.*		3,470		40,078
Novell, Inc.*		5,580		33,089
Monster Worldwide, Inc.*		2,070		32,913
Tellabs, Inc.		5,760		30,182
Total Information Technology				34,533,699
FINANCIALS - 11.2%
JPMorgan Chase & Co.		63,260		2,916,286
Wells Fargo & Co.		83,662		2,652,085
Berkshire Hathaway,
Inc. — Class B*		27,493		2,299,239
Bank of America Corp.		160,720		2,142,398
Citigroup, Inc.*		461,400		2,039,388
Goldman Sachs Group, Inc.		8,270		1,310,547
U.S. Bancorp		30,523		806,723
American Express Co.		16,610		750,772
MetLife, Inc.		16,760		749,675
Morgan Stanley		24,540		670,433
Bank of New York Mellon Corp.		19,718		588,977
PNC Financial Services
Group, Inc.		8,340		525,337
Simon Property Group, Inc.		4,717		505,474
Prudential Financial, Inc.		7,720		475,398
Travelers Companies, Inc.		6,840		406,843
Aflac, Inc.		7,467		394,108
Capital One Financial Corp.		7,260		377,230
State Street Corp.		7,968		358,082
ACE Ltd.		5,330		344,851
CME Group, Inc. — Class A		1,056		318,437
BB&T Corp.		11,030		302,773
Franklin Resources, Inc.		2,300		287,684
Chubb Corp.		4,690		287,544
Charles Schwab Corp.		15,858		285,920

26 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
S&P 500 FUND

	Shares		Value
AON Corp.		5,290	$	280,158
T. Rowe Price Group, Inc.		4,110		272,986
Allstate Corp.		8,410		267,270
Equity Residential		4,670		263,435
Marsh & McLennan Companies, Inc.		8,638		257,499
Public Storage		2,220		246,220
SunTrust Banks, Inc.		8,510		245,428
HCP, Inc.		6,370		241,678
Ameriprise Financial, Inc.		3,910		238,823
Vornado Realty Trust		2,600		227,500
Progressive Corp.		10,480		221,442
Loews Corp.		4,990		215,019
Boston Properties, Inc.		2,257		214,076
Weyerhaeuser Co.		8,530		209,838
Discover Financial Services		8,662		208,927
Fifth Third Bancorp		14,570		202,232
Northern Trust Corp.		3,836		194,677
Host Hotels & Resorts, Inc.		10,803		190,241
Hartford Financial Services Group, Inc.		7,060		190,126
Invesco Ltd.		7,310		186,844
M&T Bank Corp.		1,910		168,978
AvalonBay Communities, Inc.		1,370		164,510
Principal Financial Group, Inc.		5,090		163,440
Lincoln National Corp.		5,006		150,380
Health Care REIT, Inc.		2,800		146,832
NYSE Euronext		4,150		145,955
Regions Financial Corp.		19,970		144,982
ProLogis		9,060		144,779
IntercontinentalExchange, Inc.*		1,170		144,542
Ventas, Inc.		2,595		140,908
KeyCorp		15,100		134,088
Unum Group		4,920		129,150
SLM Corp.*		8,370		128,061
CB Richard Ellis Group, Inc. — Class A*		4,620		123,354
XL Group plc — Class A		4,940		121,524
Kimco Realty Corp.		6,446		118,220
Leucadia National Corp.		3,140		117,876
Plum Creek Timber Company, Inc.		2,566		111,903
Moody’s Corp.		3,170		107,495
Genworth Financial, Inc. — Class A*		7,780		104,719
Comerica, Inc.		2,810		103,183
Huntington Bancshares, Inc.		13,710		91,034
Legg Mason, Inc.		2,420		87,338
Cincinnati Financial Corp.		2,590		84,952
Torchmark Corp.		1,240		82,435
Hudson City Bancorp, Inc.		8,356		80,886
American International Group, Inc.*		2,280		80,119
People’s United Financial, Inc.		5,750		72,335
Marshall & Ilsley Corp.		8,416		67,244
Zions Bancorporation		2,910		67,104
NASDAQ OMX Group, Inc.*		2,380		61,499
Assurant, Inc.		1,590		61,231
E*Trade Financial Corp.*		3,510		54,861
Apartment Investment & Management Co. — Class A		1,880		47,884
First Horizon National Corp.		4,184		46,903
Federated Investors, Inc. — Class B		1,470		39,322
Janus Capital Group, Inc.		2,950		36,786
Total Financials				30,247,435
ENERGY - 9.4%
Exxon Mobil Corp.		78,740		6,624,396
Chevron Corp.		31,880		3,424,868
Schlumberger Ltd.		21,606		2,014,976
ConocoPhillips		22,700		1,812,822
Occidental Petroleum Corp.		12,912		1,349,175
Apache Corp.		6,080		795,994
Halliburton Co.		14,499		722,630
Anadarko Petroleum Corp.		7,879		645,448
Devon Energy Corp.		6,780		622,201
Marathon Oil Corp.		11,278		601,230
National Oilwell Varco, Inc.		6,686		529,999
Baker Hughes, Inc.		6,896		506,373
EOG Resources, Inc.		4,250		503,667
Hess Corp.		4,770		406,452
Chesapeake Energy Corp.		10,436		349,815
Peabody Energy Corp.		4,300		309,428
Williams Companies, Inc.		9,309		290,255
Spectra Energy Corp.		10,298		279,900
Valero Energy Corp.		9,042		269,632
Noble Energy, Inc.		2,789		269,557
Southwestern Energy Co.*		5,520		237,194
Murphy Oil Corp.		3,060		224,665
Cameron International Corp.*		3,890		222,119
El Paso Corp.		11,193		201,474
Consol Energy, Inc.		3,590		192,532
Pioneer Natural Resources Co.		1,850		188,552
Noble Corp.		4,010		182,936
FMC Technologies, Inc.*		1,910		180,457
Newfield Exploration Co.*		2,130		161,901
Denbury Resources, Inc.*		6,373		155,501
Range Resources Corp.		2,548		148,956
Nabors Industries Ltd.*		4,538		137,864
EQT Corp.		2,370		118,263
Helmerich & Payne, Inc.		1,690		116,086
QEP Resources, Inc.		2,800		113,512
Massey Energy Co.		1,638		111,974
Rowan Companies, Inc.*		2,010		88,802
Cabot Oil & Gas Corp.		1,660		87,930
Sunoco, Inc.		1,920		87,533
Diamond Offshore Drilling, Inc.		1,100		85,470
Tesoro Corp.*		2,270		60,904
Total Energy				25,433,443

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 25

SCHEDULE OF INVESTMENTS (continued)

S&P 500 FUND March 31, 2011

	Shares		Value
INDUSTRIALS - 8.1%
General Electric Co.		168,620	$	3,380,859
United Technologies Corp.		14,620		1,237,583
United Parcel Service, Inc. — Class B		15,680		1,165,338
Caterpillar, Inc.		10,143		1,129,423
3M Co.		11,300		1,056,550
Boeing Co.		11,690		864,242
Union Pacific Corp.		7,804		767,367
Honeywell International, Inc.		12,453		743,569
Emerson Electric Co.		11,979		699,933
Deere & Co.		6,690		648,194
FedEx Corp.		5,000		467,750
CSX Corp.		5,880		462,168
General Dynamics Corp.		5,920		453,235
Danaher Corp.		8,580		445,302
Illinois Tool Works, Inc.		7,910		424,925
Norfolk Southern Corp.		5,650		391,375
Lockheed Martin Corp.		4,560		366,624
Cummins, Inc.		3,140		344,207
Tyco International Ltd.		7,520		336,670
Precision Castparts Corp.		2,280		335,570
PACCAR, Inc.		5,798		303,525
Eaton Corp.		5,410		299,930
Raytheon Co.		5,710		290,468
Northrop Grumman Corp.		4,630		290,347
Waste Management, Inc.		7,550		281,917
Ingersoll-Rand plc		5,230		252,661
Parker Hannifin Corp.		2,567		243,044
Rockwell Automation, Inc.		2,260		213,909
Fluor Corp.		2,800		206,248
CH Robinson Worldwide, Inc.		2,636		195,407
Dover Corp.		2,960		194,590
ITT Corp.		2,919		175,286
Goodrich Corp.		1,990		170,205
Expeditors International of Washington, Inc.		3,370		168,972
Joy Global, Inc.		1,660		164,025
Rockwell Collins, Inc.		2,460		159,482
Fastenal Co.		2,340		151,702
Southwest Airlines Co.		11,866		149,868
Republic Services, Inc. — Class A		4,880		146,595
L-3 Communications Holdings, Inc. — Class 3		1,800		140,958
First Solar, Inc.*		860		138,322
Roper Industries, Inc.		1,510		130,555
WW Grainger, Inc.		930		128,042
Stericycle, Inc.*		1,360		120,591
Textron, Inc.		4,380		119,968
Flowserve Corp.		880		113,344
Pall Corp.		1,830		105,426
Jacobs Engineering Group, Inc.*		2,010		103,374
Iron Mountain, Inc.		3,180		99,311
Pitney Bowes, Inc.		3,240		83,236
Masco Corp.		5,690		79,205
Quanta Services, Inc.*		3,420		76,711
Equifax, Inc.		1,950		75,757
Avery Dennison Corp.		1,700		71,332
Robert Half International, Inc.		2,320		70,992
Dun & Bradstreet Corp.		790		63,390
RR Donnelley & Sons Co.		3,280		62,058
Cintas Corp.		2,010		60,843
Snap-On, Inc.		930		55,856
Ryder System, Inc.		810		40,986
Total Industrials				21,719,322
HEALTH CARE - 7.9%
Pfizer, Inc.		126,960		2,578,558
Johnson & Johnson		43,430		2,573,228
Merck & Company, Inc.		48,960		1,616,170
Abbott Laboratories		24,583		1,205,796
Amgen, Inc.*		14,810		791,595
UnitedHealth Group, Inc.		17,370		785,124
Bristol-Myers Squibb Co.		27,030		714,403
Medtronic, Inc.		16,980		668,163
Eli Lilly & Co.		16,183		569,156
Gilead Sciences, Inc.*		12,630		536,017
Baxter International, Inc.		9,200		494,684
Express Scripts, Inc. — Class A*		8,392		466,679
Celgene Corp.*		7,380		424,571
WellPoint, Inc.		5,960		415,948
Covidien plc		7,840		407,210
Medco Health Solutions, Inc.*		6,420		360,547
Allergan, Inc.		4,850		344,447
Thermo Fisher Scientific, Inc.*		6,200		344,410
Stryker Corp.		5,340		324,672
McKesson Corp.		4,040		319,362
Genzyme Corp.*		4,150		316,023
Biogen Idec, Inc.*		3,834		281,377
Becton Dickinson and Co.		3,510		279,466
St. Jude Medical, Inc.		5,170		265,014
Agilent Technologies, Inc.*		5,480		245,394
Aetna, Inc.		6,110		228,697
Cardinal Health, Inc.		5,550		228,272
Intuitive Surgical, Inc.*		620		206,745
CIGNA Corp.		4,310		190,847
Humana, Inc.*		2,680		187,439
Zimmer Holdings, Inc.*		3,050		184,617
Boston Scientific Corp.*		24,190		173,926
AmerisourceBergen Corp. — Class A		4,350		172,086
Edwards Lifesciences Corp.*		1,820		158,340
Mylan, Inc.*		6,940		157,330
Life Technologies Corp.*		2,860		149,921
Forest Laboratories, Inc.*		4,540		146,642
Laboratory Corporation of America Holdings*		1,590		146,487
Hospira, Inc.*		2,650		146,280
Quest Diagnostics, Inc.		2,470		142,568

26 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued) March 31, 2011

S&P 500 FUND

	Shares			Value
CR Bard, Inc.		1,350		$	134,069
DaVita, Inc.*		1,520			129,975
Varian Medical Systems, Inc.*		1,910			129,192
Cerner Corp.*		1,140			126,768
Waters Corp.*		1,450			126,005
Watson Pharmaceuticals, Inc.*		2,000			112,020
CareFusion Corp.*		3,540			99,828
Cephalon, Inc.*		1,200			90,936
DENTSPLY International, Inc.		2,260			83,597
Coventry Health Care, Inc.*		2,380			75,898
Tenet Healthcare Corp.*		7,720			57,514
Patterson Companies, Inc.		1,520			48,929
PerkinElmer, Inc.		1,800			47,286
Total Health Care					21,210,228
CONSUMER DISCRETIONARY - 7.4%
Walt Disney Co.		30,160			1,299,594
McDonald’s Corp.		16,570			1,260,811
Comcast Corp. — Class A		44,090			1,089,905
Amazon.com, Inc.*		5,660			1,019,536
Home Depot, Inc.		26,020			964,301
Ford Motor Co.*		60,070			895,644
News Corp. — Class A		36,260			636,726
Time Warner, Inc.		17,350			619,395
DIRECTV — Class A*		12,600			589,680
Lowe’s Companies, Inc.		21,910			579,081
Target Corp.		11,240			562,112
NIKE, Inc. — Class B		6,080			460,256
Johnson Controls, Inc.		10,764			447,459
Viacom, Inc. — Class B		9,480			441,010
Starbucks Corp.		11,850			437,857
Priceline.com, Inc.*		780			395,023
Time Warner Cable, Inc. — Class A		5,450			388,803
Yum! Brands, Inc.		7,420			381,240
TJX Companies, Inc.		6,290			312,802
CBS Corp. — Class B		10,680			267,427
Carnival Corp.		6,850			262,766
Kohl’s Corp.		4,640			246,106
Coach, Inc.		4,700			244,588
Staples, Inc.		11,420			221,776
Omnicom Group, Inc.		4,510			221,261
Stanley Black & Decker, Inc.		2,660			203,756
Bed Bath & Beyond, Inc.*		4,050			195,494
McGraw-Hill Companies, Inc.		4,870			191,878
Discovery Communications, Inc. — Class A*		4,470			178,353
Starwood Hotels & Resorts Worldwide, Inc.		3,050			177,266
Netflix, Inc.*		700			166,131
Marriott International, Inc. — Class A		4,620			164,380
Macy’s, Inc.		6,716			162,930
Harley-Davidson, Inc.		3,740			158,913
The Gap, Inc.		6,930			157,034
Wynn Resorts Ltd.		1,210			153,972
Fortune Brands, Inc.		2,436			150,764
Best Buy Company, Inc.		5,200			149,344
Mattel, Inc.		5,540			138,112
Limited Brands, Inc.		4,200			138,096
JC Penney Company, Inc.		3,760			135,022
VF Corp.		1,370	��		134,986
Ross Stores, Inc.		1,890			134,417
Genuine Parts Co.		2,500			134,100
O’Reilly Automotive, Inc.*		2,240			128,710
Polo Ralph Lauren Corp. — Class A		1,036			128,101
Cablevision Systems Corp. — Class A		3,690			127,711
Tiffany & Co.		2,010			123,494
Nordstrom, Inc.		2,670			119,830
CarMax, Inc.*		3,580			114,918
AutoZone, Inc.*		416			113,801
Darden Restaurants, Inc.		2,190			107,595
Whirlpool Corp.		1,210			103,286
Family Dollar Stores, Inc.		2,010			103,153
Hasbro, Inc.		2,180			102,111
Interpublic Group of Companies, Inc.		7,770			97,669
Newell Rubbermaid, Inc.		4,610			88,189
Wyndham Worldwide Corp.		2,750			87,477
Abercrombie & Fitch Co. — Class A		1,390			81,593
Apollo Group, Inc. — Class A*		1,950			81,334
H&R Block, Inc.		4,850			81,189
International Game Technology		4,737			76,882
Scripps Networks Interactive, Inc. — Class A		1,439			72,080
Expedia, Inc.		3,180			72,059
Urban Outfitters, Inc.*		2,030			60,555
Gannett Company, Inc.		3,810			58,026
Goodyear Tire & Rubber Co.*		3,859			57,808
Sears Holdings Corp.*		690			57,028
Leggett & Platt, Inc.		2,320			56,840
GameStop Corp. — Class A*		2,400			54,048
DeVry, Inc.		980			53,969
Big Lots, Inc.*		1,200			52,116
Harman International Industries, Inc.		1,110			51,970
DR Horton, Inc.		4,458			51,936
Lennar Corp. — Class A		2,550			46,206
Pulte Group, Inc.*		5,340			39,516
AutoNation, Inc.*		1,020			36,077
Washington Post Co. — Class B		80			35,005
RadioShack Corp.		1,680			25,217
Total Consumer Discretionary					20,017,606
CONSUMER STAPLES - 7.3%
Procter & Gamble Co.		44,480			2,739,968
Coca-Cola Co.		36,430			2,417,131
Philip Morris International, Inc.		28,540			1,873,080
PepsiCo, Inc.		25,190			1,622,488

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued) March 31, 2011

S&P 500 FUND

	Shares		Value
Wal-Mart Stores, Inc.		31,110	$	1,619,276
Kraft Foods, Inc. — Class A		27,774		870,993
Altria Group, Inc.		33,216		864,612
CVS Caremark Corp.		21,730		745,774
Colgate-Palmolive Co.		7,840		633,158
Walgreen Co.		14,650		588,051
Costco Wholesale Corp.		6,929		508,034
Kimberly-Clark Corp.		6,420		419,033
General Mills, Inc.		10,100		369,155
Archer-Daniels-Midland Co.		10,120		364,421
Sysco Corp.		9,250		256,225
HJ Heinz Co.		5,106		249,275
Kroger Co.		10,100		242,097
Lorillard, Inc.		2,310		219,473
Kellogg Co.		4,000		215,920
Reynolds American, Inc.		5,370		190,796
Mead Johnson Nutrition Co. — Class A		3,250		188,272
Avon Products, Inc.		6,818		184,359
Estee Lauder Companies, Inc. — Class A		1,820		175,375
Sara Lee Corp.		9,880		174,580
ConAgra Foods, Inc.		6,920		164,350
Whole Foods Market, Inc.		2,340		154,206
Clorox Co.		2,190		153,453
Coca-Cola Enterprises, Inc.		5,240		143,052
Safeway, Inc.		5,850		137,709
JM Smucker Co.		1,890		134,927
Hershey Co.		2,450		133,158
Dr Pepper Snapple Group, Inc.		3,560		132,290
Molson Coors Brewing Co. — Class B		2,520		118,163
Brown-Forman Corp. — Class B		1,640		112,012
McCormick & Company, Inc.		2,110		100,921
Campbell Soup Co.		2,900		96,019
Tyson Foods, Inc. — Class A		4,740		90,961
Hormel Foods Corp.		2,200		61,248
Constellation Brands, Inc. — Class A*		2,790		56,581
SUPERVALU, Inc.		3,370		30,094
Dean Foods Co.*		2,910		29,100
Total Consumer Staples				19,579,790
MATERIALS - 2.6%
Freeport-McMoRan Copper & Gold, Inc. — Class B		15,030		834,917
E. I. du Pont de Nemours & Co.		14,640		804,761
Dow Chemical Co.		18,547		700,149
Monsanto Co.		8,520		615,655
Praxair, Inc.		4,820		489,712
Newmont Mining Co.		7,830		427,361
Air Products & Chemicals, Inc.		3,406		307,153
Alcoa, Inc.		16,880		297,932
PPG Industries, Inc.		2,550		242,786
Nucor Corp.		5,020		231,020
Cliffs Natural Resources, Inc.		2,150		211,302
International Paper Co.		6,980		210,656
Ecolab, Inc.		3,690		188,264
CF Industries Holdings, Inc.		1,130		154,573
Sigma-Aldrich Corp.		1,940		123,462
United States Steel Co.		2,280		122,983
Sherwin-Williams Co.		1,410		118,426
Eastman Chemical Co.		1,120		111,238
Allegheny Technologies, Inc.		1,570		106,320
FMC Corp.		1,140		96,820
Ball Corp.		2,690		96,436
Vulcan Materials Co.		2,048		93,389
MeadWestvaco Corp.		2,669		80,951
International Flavors & Fragrances, Inc.		1,270		79,121
Airgas, Inc.		1,190		79,040
Owens-Illinois, Inc.*		2,600		78,494
Sealed Air Corp.		2,530		67,450
Bemis Company, Inc.		1,700		55,777
AK Steel Holding Corp.		1,750		27,615
Titanium Metals Corp.*		1,426		26,495
Total Materials				7,080,258
UTILITIES - 2.3%
Southern Co.		13,432		511,894
Exelon Corp.		10,514		433,597
Dominion Resources, Inc.		9,220		412,134
Duke Energy Corp.		21,110		383,147
NextEra Energy, Inc.		6,683		368,367
PG&E Corp.		6,295		278,113
American Electric Power Company, Inc.		7,640		268,470
Public Service Enterprise Group, Inc.		8,036		253,214
FirstEnergy Corp.		6,640		246,278
Consolidated Edison, Inc.		4,640		235,341
Progress Energy, Inc.		4,660		215,012
Sempra Energy		3,820		204,370
PPL Corp.		7,686		194,456
Entergy Corp.		2,840		190,876
Edison International		5,170		189,170
Xcel Energy, Inc.		7,660		182,997
AES Corp.*		10,510		136,630
DTE Energy Co.		2,690		131,702
CenterPoint Energy, Inc.		6,746		118,460
Oneok, Inc.		1,696		113,429
Wisconsin Energy Corp.		3,710		113,155
Ameren Corp.		3,820		107,227
Constellation Energy Group, Inc.		3,170		98,682
Northeast Utilities		2,800		96,880
NiSource, Inc.		4,441		85,178
NRG Energy, Inc.*		3,930		84,652
CMS Energy Corp.		3,996		78,481
Pinnacle West Capital Corp.		1,726		73,856
SCANA Corp.		1,810		71,260
Pepco Holdings, Inc.		3,566		66,506
TECO Energy, Inc.		3,406		63,897

28 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

S&P 500 FUND

	Shares		Value
Integrys Energy Group, Inc.		1,240	$	62,632
Nicor, Inc.		720		38,664
Total Utilities				6,108,727
TELECOMMUNICATION SERVICES - 2.2%
AT&T, Inc.		93,874		2,872,544
Verizon Communications, Inc.		44,906		1,730,677
American Tower Corp. — Class A*		6,310		326,984
Sprint Nextel Corp.*		47,487		220,340
CenturyLink, Inc.		4,849		201,476
Qwest Communications International, Inc.		27,675		189,020
Frontier Communications Corp.		15,780		129,712
Windstream Corp.		8,010		103,089
MetroPCS Communications, Inc.*		4,190		68,046
Total Telecommunication Services				5,841,888
Total Common Stocks (Cost $160,150,871)				191,772,396

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 33.4%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	50,974,287		50,974,287
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		18,903,839		18,903,839
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112		16,859,558		16,859,558
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		3,398,286		3,398,286
Total Repurchase Agreements (Cost $90,135,970)				90,135,970
Total Investments — 104.6% (Cost $250,286,841)			$	281,908,366
Liabilities, Less Cash & Other Assets — (4.6)%				(12,497,560	)
Total Net Assets — 100.0%			$	269,410,806

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $32,370,625)		490	$	410,676

	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2011 S&P 500 Index Swap, Terminating 04/27/113 (Notional Value $33,279,534)		25,101	$	414,521
Credit Suisse Capital, LLC April 2011 S&P 500 Index Swap, Terminating 04/28/113 (Notional Value $6,757,986)		5,097		66,427
Morgan Stanley Capital Services, Inc. April 2011 S&P 500 Index Swap, Terminating 04/26/113 (Notional Value $5,362,641)		4,045		50,173
(Total Notional Value $45,400,161)			$	531,121

*	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 March 31, 2011.
3	Total Return based on S&P 500 Index +/- financing at a variable rate. plc — Public Limited Company REIT — Real Estate Investment Trust

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 29

S&P 500 FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2011
Assets:
Investments, at value	$	191,772,396
Repurchase agreements, at value		90,135,970
Total investments		281,908,366
Segregated cash with broker		3,468,898
Cash		220
Unrealized appreciation on swap agreements		531,121
Receivable for swap settlement		629,305
Receivables:
Securities sold		31,632
Fund shares sold		6,404,503
Dividends		127,564
Interest		159
Total assets		293,101,768
Liabilities:
Payable for:
Variation margin		77,378
Securities purchased		158,340
Fund shares redeemed		23,067,266
Management fees		131,999
Custodian fees		4,928
Transfer agent/maintenance fees		44,000
Distribution and service fees		51,048
Portfolio accounting fees		17,436
Licensing fees		2,643
Other		135,924
Total liabilities		23,690,962
Net assets	$	269,410,806
Net assets consist of:
Paid in capital	$	280,865,008
Accumulated net investment loss		—
Accumulated net realized loss on investments		(44,017,524	)
Net unrealized appreciation on investments		32,563,322
Net assets	$	269,410,806
A-Class:
Net assets	$	10,288,140
Capital shares outstanding		389,559
Net asset value per share	$	26.41
Maximum offering price per share*	$	27.73
C-Class:
Net assets	$	10,032,392
Capital shares outstanding		394,811
Net asset value per share	$	25.41
H-Class:
Net assets	$	249,090,274
Capital shares outstanding		9,438,711
Net asset value per share	$	26.39
Investments, at cost	$	160,150,871
Repurchase agreements, at cost		90,135,970
Total cost	$	250,286,841
STATEMENT OF OPERATIONS
Year Ended March 31, 2011
Investment Income:
Dividends	$	1,808,883
Interest		96,454
Other income		572
Total investment income		1,905,909
Expenses:
Management fees		1,209,099
Transfer agent and administrative fees		403,033
Distribution and service fees:
A-Class		40,436
C-Class		94,788
H-Class		338,900
Portfolio accounting fees		160,721
Trustees’ fees**		16,856
Miscellaneous		287,963
Total expenses		2,551,796
Net investment loss		(645,887	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,580,480
Swap agreements		5,214,039
Futures contracts		1,920,190
Net realized gain		9,714,709
Net change in unrealized appreciation
(depreciation) on:
Investments		771,176
Swap agreements		(1,644,584	)
Futures contracts		409,936
Net change in unrealized appreciation (depreciation)		(463,472	)
Net realized and unrealized gain		9,251,237
Net increase in net assets resulting from operations	$	8,605,350

*	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 ANNUAL REPORT See Notes to Financial Statements.

S&P 500 FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(645,887	)	$	408,186
Net realized gain on investments		9,714,709			12,709,584
Net change in unrealized appreciation (depreciation) on investments		(463,472	)		43,947,609
Net increase in net assets resulting from operations		8,605,350			57,065,379
Distributions to shareholders from:
Net investment income
A-Class		(110	)		(214,408	)
C-Class		(114	)		(58,232	)
H-Class		(1,766	)		(482,360	)
Total distributions to shareholders		(1,990	)		(755,000	)
Capital share transactions:
Proceeds from sale of shares
A-Class		69,882,666			127,800,637
C-Class		206,181,020			176,980,665
H-Class		1,555,991,786			861,487,506
Distributions reinvested
A-Class		85			209,596
C-Class		102			55,329
H-Class		1,759			471,404
Cost of shares redeemed
A-Class		(104,986,027	)		(123,598,227	)
C-Class		(208,236,521	)		(175,801,622	)
H-Class		(1,509,988,670	)		(848,417,642	)
Net increase from capital share transactions		8,846,200			19,187,646
Net increase in net assets		17,449,560			75,498,025
Net assets:
Beginning of year		251,961,246			176,463,221
End of year	$	269,410,806		$	251,961,246
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		2,964,621			6,051,794
C-Class		8,931,270			8,799,827
H-Class		65,387,409			42,212,414
Shares issued from reinvestment of distributions
A-Class		3			9,536
C-Class		4			2,580
H-Class		72			21,463
Shares redeemed
A-Class		(4,572,700	)		(5,926,421	)
C-Class		(9,045,576	)		(8,765,777	)
H-Class		(64,329,954	)		(42,711,431	)
Net decrease in shares		(664,851	)		(306,015	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 31

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007a,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		(.06	)		.07			.12			.52			.30
Net gain (loss) on investments (realized and unrealized)		3.29			7.43			(10.21	)		(1.78	)		2.53
Total from investment operations		3.23			7.50			(10.09	)		(1.26	)		2.83
Less distributions from:
Net investment income		— e			(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			(.40	)
Total distributions		—			(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	26.41		$	23.18		$	15.79		$	25.92		$	27.32
Total Returnd		13.94	%		47.55	%		(38.95	%)		(4.68	%)		11.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,288		$	46,312		$	29,409		$	2,358		$	2,063
Ratios to average net assets:
Net investment income (loss)		(0.25	%)		0.34	%		0.68	%		1.86	%		1.35	%
Total expenses		1.54	%		1.53	%		1.52	%		1.51	%		1.55	%
Portfolio turnover rate		202	%		58	%		168	%		396	%		119	%

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007a,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		(.27	)		(.08	)		(.02	)		.18			.19
Net gain (loss) on investments (realized and unrealized)		3.18			7.25			(10.05	)		(1.64	)		2.47
Total from investment operations		2.91			7.17			(10.07	)		(1.46	)		2.66
Less distributions from:
Net investment income		—e			(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			(.40	)
Total distributions		—			(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	25.41		$	22.50		$	15.44		$	25.55		$	27.15
Total Returnd		12.93	%		46.49	%		(39.43	%)		(5.45	%)		10.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,032		$	11,456		$	7,295		$	7,836		$	1,971
Ratios to average net assets:
Net investment income (loss)		(1.11	%)		(0.41	%)		(0.08	%)		0.67	%		0.84	%
Total expenses		2.29	%		2.28	%		2.28	%		2.25	%		2.25	%
Portfolio turnover rate		202	%		58	%		168	%		396	%		119	%

32 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007a,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		(.09	)		.06			.13			.39			.30
Net gain (loss) on investments (realized and unrealized)		3.31			7.44			(10.21	)		(1.66	)		2.52
Total from investment operations		3.22			7.50			(10.08	)		(1.27	)		2.82
Less distributions from:
Net investment income		—e			(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			(.40	)
Total distributions		—			(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	26.39		$	23.17		$	15.78		$	25.90		$	27.31
Total Returnd		13.90	%		47.58	%		(38.94	%)		(4.72	%)		11.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	249,090		$	194,193		$	139,759		$	78,963		$	6,374
Ratios to average net assets:
Net investment income (loss)		(0.37	%)		0.29	%		0.64	%		1.40	%		1.33	%
Total expenses		1.54	%		1.53	%		1.53	%		1.48	%		1.54	%
Portfolio turnover rate		202	%		58	%		168	%		396	%		119	%

a	For the period ended March 31, 2007, 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) per share 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 $0.01 per share.

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 33

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: January 7, 1994

For the one-year period ended March 31, 2011, Inverse S&P 500 Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the S&P 500 Index. Inverse S&P 500 Strategy Fund Investor Class returned -17.10%, while the S&P 500 Index returned 15.65% over the same period.

Energy (4.30%), Information Technology (2.28%) and Industrials (2.27%) provided the most performance to the index during the year. Financials (0.45%), Health Care (0.48%) and Utilities (0.51%) provided the least performance to the index during the year.

Apple, Inc., Exxon Mobil Corp. and Chevron Corp. were among the stocks which provided the most performance to the index during the year. Bank of America Corp., Cisco Systems, Inc. and Hewlett-Packard Co. detracted from performance for the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
In vestor Class	January 7, 1994
Advisor Class	August 5, 1998
A-Class	March 31, 2004
C-Class	March 15, 2001

The Funding vests principaly in derivative Investments such as equity index swap agreements and Futures contracts.

34 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

     ^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(01/07/94)									(08/05/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
INVERSE S&P 500 STRATEGY FUND		-17.10	%		-5.03	%		-4.41	%		-17.53	%		-5.51	%		-4.90	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%

				A-Class										C-Class
				(03/31/04)										(03/15/01)
	ONE			ONE			FIVE				FIVE	SINCE		SINCE			ONE		ONE			FIVE		TEN
	YEAR			YEAR*			YEAR				YEAR*	INCEPTION		INCEPTION*			YEAR		YEAR**			YEAR		YEAR
INVERSE S&P 500 STRATEGY FUND		-17.30	%		-21.23	%		-5.28	%	-6.18	%	-5.47	%		-6.13	%		-17.96	%	-18.78	%	-6.00	%		-5.37	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%	2.62	%	4.45	%		4.45	%		15.65	%	15.65	%	2.62	%		3.29	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS	March 31, 2011
INVERSE S&P 500 STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† — 63.5%
Freddie Mac1
0.24% due 06/01/11	$	20,000,000	$	19,996,940
0.19% due 05/31/11		15,000,000		14,998,755
Fannie Mae1
0.19% due 12/01/11		25,000,000		24,967,850
0.20% due 05/02/11		15,000,000		14,999,355
0.20% due 07/11/11		5,000,000		4,998,455
Farmer Mac2
0.21% due 06/27/11		10,000,000		9,997,830
Total Federal Agency Discount Notes (Cost $89,944,464)				89,959,185
WORLD BANK DISCOUNT NOTE†† — 10.6%
World Bank
0.21% due 04/18/11		15,000,000		14,999,865
Total World Bank Discount Note (Cost $14,998,507)				14,999,865
FEDERAL AGENCY NOTE†† — 7.0%
Federal Home Loan Bank2 0.30% due 10/14/11		10,000,000		10,003,880
Total Federal Agency Note (Cost $10,001,695)				10,003,880
REPURCHASE AGREEMENTS††.3 — 17.9%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/114		14,428,366		14,428,366
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		7,575,116		7,575,116
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		2,809,236		2,809,236
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		505,008		505,008
Total Repurchase Agreements (Cost $25,317,726)				25,317,726

	Value
Total Investments — 99.0% (Cost $140,262,392)	$	140,280,656
Cash & Other Assets, Less Liabilities — 1.0%		1,409,201
Total Net Assets — 100.0%	$	141,689,857

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $33,559,750)		508	$	(368,931	)

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Morgan Stanley Capital Services, Inc. April 2011 S&P 500 Index Swap, Terminating 04/26/115 (Notional Value $8,291,633)		6,254	$	(77,759	)
Credit Suisse Capital, LLC April 2011 S&P 500 Index Swap, Terminating 04/28/115 (Notional Value $33,791,311)		25,487		(157,902	)
Goldman Sachs International April 2011 S&P 500 Index Swap, Terminating 04/27/115 (Notional Value $66,714,023)		50,319		(774,764	)
(Total Notional Value $ 108,796,967)			$	(1,010,425	)

†	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 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 March 31, 2011.
5	Total Return based on S&P 500 Index +/- financing at a variable rate.

36 |   THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE S&P 500 STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	114,962,930
Repurchase agreements, at value		25,317,726
Total investments		140,280,656
Segregated cash with broker		4,864,035
Receivables:
Variation margin		101,948
Fund shares sold		231,663
Interest		13,908
Total assets		145,492,210
Liabilities:
Unrealized depreciation on swap agreements		1,010,425
Payable for:
Swap settlement		133,371
Fund shares redeemed		2,340,665
Management fees		123,281
Custodian fees		3,835
Transfer agent/maintenance fees		34,245
Distribution and service fees		15,717
Portfolio accounting fees		13,698
Licensing fees		2,056
Other		125,060
Total liabilities		3,802,353
Net Assets	$	141,689,857
Net Assets Consist of:
Paid in capital	$	506,797,469
Accumulated net investment loss		—
Accumulated net realized loss on investments		(363,746,520	)
Net unrealized depreciation on investments		(1,361,092	)
Net assets	$	141,689,857
Investor Class:
Net assets	$	118,410,323
Capital shares outstanding		4,154,798
Net asset value per share	$	28.50
Advisor Class:
Net assets	$	6,434,015
Capital shares outstanding		243,368
Net asset value per share	$	26.44
A-Class:
Net assets	$	5,028,850
Capital shares outstanding		187,508
Net asset value per share	$	26.82
Maximum offering price per share*	$	28.16
C-Class:
Net assets	$	11,816,669
Capital shares outstanding		462,805
Net asset value per share	$	25.53
Investments, at cost	$	114,944,666
Repurchase agreements, at cost		25,317,726
Total cost	$	140,262,392

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	533,112
Total investment income		533,112
Expenses:
Management fees		2,256,839
Transfer agent and administrative fees		626,899
Distribution and service fees:
Advisor Class		92,097
A-Class		49,444
C-Class		159,338
Portfolio accounting fees		242,404
Trustees’ fees**		29,714
Miscellaneous		444,326
Total expenses		3,901,061
Net investment loss		(3,367,949	)
Net Realized And Unrealized Gain (loss):
Net realized gain (loss) on:
Investments		(54	)
Swap agreements		(33,203,942	)
Futures contracts		(25,439,615	)
Net realized loss		(58,643,611	)
Net change in unrealized appreciation (depreciation) on:
Investments		552
Swap agreements		5,554,508
Futures contracts		(452,436	)
Net change in unrealized appreciation (depreciation)		5,102,624
Net realized and unrealized loss		(53,540,987	)
Net decrease in net assets resulting from operations	$	(56,908,936	)

** 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 ANNUAL REPORT  | 37

INVERSE S&P 500 STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(3,367,949	)	$	(2,962,824	)
Net realized loss on investments		(58,643,611	)		(136,665,271	)
Net change in unrealized appreciation (depreciation) on investments		5,102,624			15,795,098
Net decrease in net assets resulting from operations		(56,908,936	)		(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		642,700,913			942,697,042
Advisor Class		80,481,458			53,161,952
A-Class		48,429,821			78,958,664
C-Class		27,104,532			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		(649,407,835	)		(889,787,263	)
Advisor Class		(78,781,983	)		(53,392,982	)
A-Class		(69,617,663	)		(59,041,010	)
C-Class		(27,946,527	)		(61,798,174	)
Net increase (decrease) from capital share transactions		(27,037,284	)		78,756,750
Net decrease in net assets		(83,946,220	)		(45,463,311	)
Net Assets:
Beginning of year		225,636,077			271,099,388
End of year	$	141,689,857		$	225,636,077
Accumulated net investment loss at end of year	$	—		$	—
Capital Share Activity:
Shares sold
Investor Class		18,633,323			22,518,195
Advisor Class		2,527,217			1,405,215
A-Class		1,480,123			2,007,978
C-Class		886,722			1,842,781
Shares issued from reinvestment of distributions
Investor Class		—			7,784
Advisor Class		—			307
A-Class		—			1,227
C-Class		—			702
Shares redeemed
Investor Class		(19,464,630	)		(21,554,903	)
Advisor Class		(2,583,534	)		(1,406,947	)
A-Class		(2,173,401	)		(1,486,753	)
C-Class		(939,419	)		(1,724,746	)
Net increase (decrease) in shares		(1,633,599	)		1,610,840

38 |   THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	34.38		$	54.23		$	40.00		$	37.85		$	40.30
Income (loss) from investment operations:
Net investment income (loss)a		(.41	)		(.47	)		.12			.93			(.20	)
Net gain (loss) on investments (realized and unrealized)		(5.47	)		(19.32	)		14.94			2.74			(1.15	)
Total from investment operations		(5.88	)		(19.79	)		15.06			3.67			(1.35	)
Less distributions from:
Net investment income		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	28.50		$	34.38		$	54.23		$	40.00		$	37.85
Total Returnb		(17.10	%)		(36.51	%)		37.66	%		10.24	%		(3.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	118,410		$	171,423		$	217,740		$	223,044		$	293,092
Ratios to average net assets:
Net investment income (loss)		(1.22	%)		(1.16	%)		0.25	%		3.08	%		3.85	%
Total expenses		1.44	%		1.43	%		1.43	%		1.41	%		1.36	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	32.06		$	50.83		$	37.72		$	36.00		$	38.55
Income (loss) from investment operations:
Net investment income (loss)a		(.54	)		(.63	)		(.13	)		.73			(.35	)
Net gain (loss) on investments (realized and unrealized)		(5.08	)		(18.08	)		14.07			2.51			(1.10	)
Total from investment operations		(5.62	)		(18.71	)		13.94			3.24			(1.45	)
Less distributions from:
Net investment income		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	26.44		$	32.06		$	50.83		$	37.72		$	36.00
Total Returnb		(17.53	%)		(36.82	%)		36.96	%		9.56	%		(3.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,434		$	9,607		$	15,305		$	11,131		$	22,712
Ratios to average net assets:
Net investment income (loss)		(1.72	%)		(1.63	%)		(0.30	%)		2.64	%		3.34	%
Total expenses		1.93	%		1.93	%		1.93	%		1.92	%		1.87	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 39

INVERSE S&P 500 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	32.43		$	51.30		$	37.97		$	36.10		$	38.60
Income (loss) from investment operations:
Net investment income (loss)a		(.48	)		(.53	)		--c			.81			(.25	)
Net gain (loss) on investments (realized and unrealized)		(5.13	)		(18.28	)		14.16			2.58			(1.15	)
Total from investment operations		(5.61	)		(18.81	)		14.16			3.39			(1.40	)
Less distributions from:
Net investment income		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	26.82		$	32.43		$	51.30		$	37.97		$	36.10
Total Returnb		(17.30	%)		(36.68	%)		37.30	%		9.95	%		(3.53	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,029		$	28,565		$	18,381		$	9,344		$	11,388
Ratios to average net assets:
Net investment income (loss)		(1.47	%)		(1.42	%)		0.00	%		2.83	%		3.60	%
Total expenses		1.68	%		1.67	%		1.68	%		1.66	%		1.61	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	31.12		$	49.59		$	37.00		$	35.50		$	38.25
Income (loss) from investment operations:
Net investment income (loss)a		(.67	)		(.79	)		(.28	)		.58			(.55	)
Net gain (loss) on investments (realized and unrealized)		(4.92	)		(17.62	)		13.70			2.44			(1.10	)
Total from investment operations		(5.59	)		(18.41	)		13.42			3.02			(1.65	)
Less distributions from:
Net investment income		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	25.53		$	31.12		$	49.59		$	37.00		$	35.50
Total Returnb		(17.96	%)		(37.14	%)		36.27	%		9.07	%		(4.22	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,817		$	16,041		$	19,674		$	32,299		$	42,651
Ratios to average net assets:
Net investment income (loss)		(2.23	%)		(2.15	%)		(0.67	%)		2.14	%		2.85	%
Total expenses		2.44	%		2.43	%		2.43	%		2.41	%		2.36	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Less than $0.01 per share.
d	Reverse share splits — Per share amounts for the year ended March 31, 2007 have been restated to reflect a 1:5 reverse share split effective April 23, 2007.

40 |   THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX SGI SERIES FUNDS ANNUAL REPORT 41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: February 14, 1994

For the one-year period ended March 31, 2011, NASDAQ-100^® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100 Index. The NASDAQ-100 Fund Investor Class returned 18.71%, while the NASDAQ-100 Index returned 20.35% over the same period.

Information Technology (14.09%) and Consumer Discretionary (4.04%) contributed most to the performance of the index during the year, while Consumer Staples (0.33%), Materials (0.09%) and Health Care (-0.02%) contributed the least to or detracted from performance of the index.

Apple, Inc., QUALCOMM, Inc. and Baidu, Inc. were among the stocks which provided the most performance to the index, while Cisco Systems, Inc., Teva Pharmaceutical Industries Ltd. and Research In Motion Ltd. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	18.0	%
QUALCOMM, Inc.	4.4	%
Google, Inc. — Class A	3.6	%
Microsoft Corp.	3.0	%
Oracle Corp.	2.8	%
Amazon.com, Inc.	2.2	%
Intel Corp.	1.6	%
Baidu, Inc. ADR	1.5	%
Starbucks Corp.	1.5	%
Teva Pharmaceutical Industries Ltd. ADR	1.5	%
Top Ten Total	40.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments

42 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(02/14/94)									(09/22/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
NASDAQ-100® FUND		18.71	%		6.08	%		3.16	%		18.03	%		5.54	%		2.63	%
NASDAQ-100 INDEX***		20.35	%		7.20	%		4.49	%		20.35	%		7.20	%		4.49	%

	A-Class																		C-Class
	(03/31/04)																		(03/26/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
NASDAQ-100® FUND		18.34	%		12.73	%		5.79	%		4.76	%		6.36	%		5.63	%		17.57	%		16.57	%		5.04	%		2.08	%
NASDAQ-100 INDEX***		20.35	%		20.35	%		7.20	%		7.20	%		7.78	%		7.78	%		20.35	%		20.35	%		7.20	%		4.49	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The NASDAQ-100 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS	March 31, 2011
NASDAQ-100® FUND

	Shares		Value
COMMON STOCKS† — 87.5%
INFORMATION TECHNOLOGY — 55.7%
Apple, Inc.*		378,830	$	132,003,313
QUALCOMM, Inc.		584,470		32,046,490
Google, Inc. — Class A*		44,990		26,373,588
Microsoft Corp.		852,550		21,620,668
Oracle Corp.		621,080		20,725,440
Intel Corp.		566,560		11,427,515
Baidu, Inc. ADR*		82,070		11,310,067
Cisco Systems, Inc.		582,250		9,985,587
eBay, Inc.*		285,480		8,861,299
Research In Motion Ltd.*		153,170		8,664,827
Cognizant Technology Solutions Corp. — Class A*		87,410		7,115,174
Intuit, Inc.*		115,360		6,125,616
Altera Corp.		132,669		5,840,089
NetApp, Inc.*		111,420		5,368,216
Automatic Data Processing, Inc.		103,430		5,306,993
Broadcom Corp. — Class A		130,384		5,134,522
Adobe Systems, Inc.*		146,230		4,848,987
Citrix Systems, Inc.*		65,720		4,827,791
Symantec Corp.*		235,290		4,362,277
CA, Inc.		144,430		3,492,317
Micron Technology, Inc.*		301,100		3,450,606
Activision Blizzard, Inc.		311,230		3,414,193
Fiserv, Inc.*		53,870		3,378,726
Xilinx, Inc.		102,100		3,348,880
SanDisk Corp.*		70,930		3,269,164
Paychex, Inc.		101,160		3,172,378
Applied Materials, Inc.		201,160		3,142,119
NVIDIA Corp.*		168,200		3,104,972
Check Point Software Technologies Ltd.*		60,690		3,098,225
Yahoo!, Inc.*		185,570		3,089,740
Autodesk, Inc.*		69,850		3,081,083
BMC Software, Inc.*		61,230		3,045,580
Dell, Inc.*		209,360		3,037,814
Linear Technology Corp.		89,390		3,006,186
Marvell Technology Group Ltd.*		183,010		2,845,806
KLA-Tencor Corp.		59,740		2,829,884
F5 Networks, Inc.*		22,860		2,344,750
Infosys Technologies Ltd. ADR		31,710		2,273,607
Maxim Integrated Products, Inc.		86,020		2,202,112
Lam Research Corp.*		37,610		2,130,983
Akamai Technologies, Inc.*		55,021		2,090,798
Electronic Arts, Inc.*		99,360		1,940,501
Seagate Technology plc*		133,160		1,917,504
Flextronics International Ltd.*		243,080		1,815,808
Microchip Technology, Inc.		46,180		1,755,302
VeriSign, Inc.		48,220		1,746,046
FLIR Systems, Inc.		48,930		1,693,467
Total Information Technology				407,667,010
CONSUMER DISCRETIONARY — 14.2%
Amazon.com, Inc.*		88,280		15,901,876
Starbucks Corp.		305,790		11,298,941
Comcast Corp. — Class A		427,720		10,573,238
DIRECTV — Class A*		169,760		7,944,768
Priceline.com, Inc.*		15,330		7,763,725
News Corp. — Class A		420,950		7,391,882
Wynn Resorts Ltd.		39,840		5,069,640
Bed Bath & Beyond, Inc.*		100,990		4,874,787
Netflix, Inc.*		14,860		3,526,724
Mattel, Inc.		117,560		2,930,771
Staples, Inc.		143,220		2,781,332
Sears Holdings Corp.*		33,580		2,775,387
Virgin Media, Inc.		97,110		2,698,687
Liberty Media Corp — Interactive*		162,240		2,602,330
Ross Stores, Inc.		35,510		2,525,471
O’Reilly Automotive, Inc.*		41,480		2,383,441
Dollar Tree, Inc.*		38,900		2,159,728
Garmin Ltd.		56,900		1,926,634
Ctrip.com International Ltd. ADR*		45,060		1,869,539
Expedia, Inc.		79,090		1,792,179
Apollo Group, Inc. — Class A*		42,650		1,778,932
Urban Outfitters, Inc.*		47,850		1,427,366
Total Consumer Discretionary				103,997,378
HEALTH CARE — 11.2%
Teva Pharmaceutical Industries Ltd. ADR		212,220		10,647,077
Gilead Sciences, Inc.*		230,890		9,798,972
Celgene Corp.*		137,580		7,914,977
Express Scripts, Inc. — Class A*		138,980		7,728,678
Genzyme Corp.*		95,760		7,292,124
Amgen, Inc.*		128,130		6,848,548
Biogen Idec, Inc.*		77,210		5,666,442
Intuitive Surgical, Inc.*		11,450		3,818,117
Vertex Pharmaceuticals, Inc.*		63,030		3,021,028
Mylan, Inc.*		130,910		2,967,730
Life Technologies Corp.*		53,710		2,815,478
Cerner Corp.*		24,490		2,723,288
Illumina, Inc.*		36,930		2,587,685
Henry Schein, Inc.*		27,010		1,895,292
Warner Chilcott plc — Class A		74,210		1,727,609
Cephalon, Inc.*		21,750		1,648,215
DENTSPLY International, Inc.		40,230		1,488,108
QIAGEN N.V.*		69,550		1,394,477
Total Health Care				81,983,845
INDUSTRIALS — 3.3%
PACCAR, Inc.		120,520		6,309,222
CH Robinson Worldwide, Inc.		48,420		3,589,375
First Solar, Inc.*		22,180		3,567,431
Expeditors International of Washington, Inc.		61,420		3,079,599
Joy Global, Inc.		30,280		2,991,967
Fastenal Co.		41,550		2,693,686
Stericycle, Inc.*		26,450		2,345,321
Total Industrials				24,576,601

44 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
NASDAQ-100® FUND

	Shares		Value
TELECOMMUNICATION SERVICES — 1.6%
Vodafone Group plc ADR		223,758	$	6,433,043
Millicom International Cellular S.A.		31,100		2,990,887
NII Holdings, Inc.*		48,620		2,025,995
Total Telecommunication Services				11,449,925
CONSUMER STAPLES — 1.2%
Costco Wholesale Corp.		67,790		4,970,363
Whole Foods Market, Inc.		53,640		3,534,876
Total Consumer Staples				8,505,239
MATERIALS - 0.3%
Sigma-Aldrich Corp.		34,530		2,197,489
Total Common Stocks
(Cost $295,866,455)				640,377,487

	FACE
	AMOUNT
FEDERAL AGENCY DISCOUNT NOTES†† — 2.7%
Fannie Mae1
0.22% due 07/18/11	$	10,000,000		9,996,700
Freddie Mac1
0.23% due 08/09/11		10,000,000		9,995,310
Total Federal Agency Discount Notes
(Cost $19,985,094)				19,992,010
REPURCHASE AGREEMENTS††,2 — 9.0%
HSBC Group
issued 03/31/11 at 0.07%
due 04/01/11		34,896,199		34,896,199
Credit Suisse Group
issued 03/31/11 at 0.05%
due 04/01/113		15,562,769		15,562,769
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06%
due 04/01/11		12,941,273		12,941,273
Deutsche Bank
issued 03/31/11 at 0.05%
due 04/01/11		2,326,413		2,326,413
Total Repurchase Agreements
(Cost $65,726,654)				65,726,654
Total Investments — 99.2%
(Cost $381,578,203)			$	726,096,151
Cash & Other Assets,
Less Liabilities — 0.8%				5,776,156
Total Net Assets — 100.0%			$	731,872,307

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED †
June 2011 NASDAQ-100 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $28,389,390)		607	$	8,823

	Units
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International
April 2011 NASDAQ-100 Index
Swap, Terminating 04/27/114
(Notional Value $26,774,532)		11,447	$	413,113
Morgan Stanley Capital Services, Inc.
April 2011 NASDAQ-100 Index
Swap, Terminating 04/26/114
(Notional Value $23,954,025)		10,241		232,324
Credit Suisse Capital, LLC
April 2011 NASDAQ-100 Index
Swap, Terminating 04/28/114
(Notional Value $12,777,895)		5,463		125,099
(Total Notional Value $63,506,452)			$	770,536

*	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	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	Repurchase Agreements—See Note 7.
3	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
4	Total Return based on NASDAQ-100 Index +/- financing at a variable rate. ADR — American Depositary Receipt plc — Public Limited Company

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 45

NASDAQ-100^® FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	660,369,497
Repurchase agreements, at value		65,726,654
Total investments		726,096,151
Segregated cash with broker		3,857,940
Unrealized appreciation on swap agreements		770,536
Receivable for swap settlement		431,312
Receivables:
Variation margin		8,933
Fund shares sold		2,037,718
Dividends		164,804
Interest		114
Total assets		733,367,508
Liabilities:
Payable for:
Fund shares redeemed		300,224
Management fees		440,566
Custodian fees		16,447
Transfer agent/maintenance fees		146,855
Distribution and service fees		44,721
Portfolio accounting fees		45,296
Licensing fees		68,315
Other		432,777
Total liabilities		1,495,201
Net assets	$	731,872,307
Net assets consist of:
Paid in capital	$	537,027,896
Accumulated net investment loss		—
Accumulated net realized loss on investments		(150,452,896	)
Net unrealized appreciation on investments		345,297,307
Net assets	$	731,872,307
Investor Class:
Net assets	$	579,925,264
Capital shares outstanding		38,066,314
Net asset value per share	$	15.23
Advisor Class:
Net assets	$	120,276,613
Capital shares outstanding		8,428,160
Net asset value per share	$	14.27
A-Class:
Net assets	$	19,806,196
Capital shares outstanding		1,364,312
Net asset value per share	$	14.52
Maximum offering price per share*	$	15.24
C-Class:
Net assets	$	11,864,234
Capital shares outstanding		864,820
Net asset value per share	$	13.72
Investments, at cost	$	315,851,549
Repurchase agreements, at cost		65,726,654
Total cost	$	381,578,203

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $30,393)	$	4,761,448
Interest		119,352
Total investment income		4,880,800
Expenses:
Management fees		4,575,228
Transfer agent and administrative fees		1,525,076
Distribution and service fees:
Advisor Class		203,173
A-Class		28,678
C-Class		114,350
Portfolio accounting fees		492,437
Trustees’ fees**		62,415
Miscellaneous		1,307,932
Total expenses		8,309,289
Net investment loss		(3,428,489	)
Net Realized AND Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		57,670,200
Swap agreements		5,611,367
Futures contracts		7,016,028
Net realized gain		70,297,595
Net change in unrealized appreciation (depreciation) on:
Investments		34,086,764
Swap agreements		691,701
Futures contracts		(15,937	)
Net change in unrealized appreciation (depreciation)		34,762,528
Net realized and unrealized gain		105,060,123
Net increase in net assets resulting from operations	$	101,631,634

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

46 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

NASDAQ-100^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(3,428,489	)	$	(3,604,566	)
Net realized gain on investments		70,297,595			15,245,004
Net change in unrealized appreciation (depreciation) on investments		34,762,528			216,908,868
Net increase in net assets resulting from operations		101,631,634			228,549,306
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		860,487,604			750,255,904
Advisor Class		441,307,154			155,543,357
A-Class		67,791,746			30,156,587
C-Class		21,551,470			24,010,905
Cost of shares redeemed
Investor Class		(940,995,522	)		(781,927,624	)
Advisor Class		(348,748,232	)		(164,471,567	)
A-Class		(64,453,774	)		(20,940,455	)
C-Class		(23,664,570	)		(21,740,962	)
Net increase (decrease) from capital share transactions		13,275,876			(29,113,855	)
Net increase in net assets		114,907,510			199,435,451
Net assets:
Beginning of year		616,964,797			417,529,346
End of year	$	731,872,307		$	616,964,797
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		63,709,336			71,031,032
Advisor Class		35,761,441			15,143,129
A-Class		5,034,771			2,796,536
C-Class		1,782,827			2,450,071
Shares redeemed
Investor Class		(70,201,212	)		(74,294,680	)
Advisor Class		(28,810,838	)		(16,008,249	)
A-Class		(4,903,901	)		(1,964,731	)
C-Class		(1,964,626	)		(2,253,969	)
Net increase (decrease) in shares		407,798			(3,100,861	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 47

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.83		$	8.15		$	11.81		$	11.78		$	11.34
Income (loss) from investment operations:
Net investment lossa		(.07	)		(.07	)		(.06	)		(.06	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		2.47			4.75			(3.60	)		.09			.50
Total from investment operations		2.40			4.68			(3.66	)		.03			.44
Net asset value, end of period	$	15.23		$	12.83		$	8.15		$	11.81		$	11.78
Total Returnb		18.71	%		57.42	%		(30.99	%)		0.25	%		3.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	579,925		$	571,761		$	389,944		$	617,923		$	635,744
Ratios to average net assets:
Net investment loss		(0.50	%)		(0.63	%)		(0.59	%)		(0.50	%)		(0.52	%)
Total expenses		1.31	%		1.30	%		1.30	%		1.28	%		1.22	%
Portfolio turnover rate		39	%		34	%		55	%		57	%		71	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.09		$	7.72		$	11.23		$	11.26		$	10.90
Income (loss) from investment operations:
Net investment lossa		(.12	)		(.12	)		(.11	)		(.12	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		2.30			4.49			(3.40	)		.09			.47
Total from investment operations		2.18			4.37			(3.51	)		(.03	)		.36
Net asset value, end of period	$	14.27		$	12.09		$	7.72		$	11.23		$	11.26
Total Returnb		18.03	%		56.61	%		(31.26	%)		(0.27	%)		3.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	120,277		$	17,859		$	18,078		$	15,184		$	9,349
Ratios to average net assets:
Net investment loss		(1.00	%)		(1.13	%)		(1.11	%)		(0.99	%)		(1.07	%)
Total expenses		1.80	%		1.80	%		1.79	%		1.78	%		1.73	%
Portfolio turnover rate		39	%		34	%		55	%		57	%		71	%

48 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.27		$	7.82		$	11.35		$	11.36		$	10.96
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.09	)		(.08	)		(.09	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		2.36			4.54			(3.45	)		.08			.48
Total from investment operations		2.25			4.45			(3.53	)		(.01	)		.40
Net asset value, end of period	$	14.52		$	12.27		$	7.82		$	11.35		$	11.36
Total Returnb		18.34	%		56.91	%		(31.10	%)		(0.09	%)		3.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,806		$	15,128		$	3,140		$	6,044		$	3,686
Ratios to average net assets:
Net investment loss		(0.81	%)		(0.86	%)		(0.82	%)		(0.76	%)		(0.73	%)
Total expenses		1.56	%		1.55	%		1.55	%		1.54	%		1.46	%
Portfolio turnover rate		39	%		34	%		55	%		57	%		71	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.67		$	7.49		$	10.95		$	11.02		$	10.73
Income (loss) from investment operations:
Net investment lossa		(.19	)		(.16	)		(.15	)		(.18	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		2.24			4.34			(3.31	)		.11			.45
Total from investment operations		2.05			4.18			(3.46	)		(.07	)		.29
Net asset value, end of period	$	13.72		$	11.67		$	7.49		$	10.95		$	11.02
Total Returnb		17.57	%		(55.81	%)		(31.60	%)		(0.64	%)		2.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,864		$	12,216		$	6,368		$	10,343		$	10,032
Ratios to average net assets:
Net investment loss		(1.52	%)		(1.63	%)		(1.59	%)		(1.50	%)		(1.55	%)
Total expenses		2.31	%		2.30	%		2.30	%		2.28	%		2.22	%
Portfolio turnover rate		39	%		34	%		55	%		57	%		71	%

^a   Net investment loss per share was computed using average shares outstanding throughout the period.

^b   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 ANNUAL REPORT | 49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: September 3, 1998

For the one-year period ended March 31, 2011, with the NASDAQ-100 Index up 20.35%, the Inverse NASDAQ-100^® Fund Investor Class returned -20.90% over the same time period. For the same one-year period, Inverse NASDAQ-100^® Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index.

Information Technology (14.09%) and Consumer Discretionary (4.04%) contributed most to the performance of the index during the year, while Consumer Staples (0.33%), Materials (0.09%) and Health Care (-0.02%) contributed the least to or detracted from performance of the index.

Apple, Inc., QUALCOMM, Inc. and Baidu, Inc. were among the stocks which provided the most performance to the index, while Cisco Systems, Inc., Teva Pharmaceutical Industries Ltd. and Research In Motion Ltd. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

50 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(09/03/98)									(08/01/03)
	ONE			FIVE			TEN			ONE			FIVE			SINCE
	YEAR			YEAR			YEAR			YEAR			YEAR			INCEPTION
INVERSE NASDAQ-100® STRATEGY FUND		-20.90	%		-10.01	%		-9.24	%		-21.39	%		-10.50	%		-10.74	%
NASDAQ-100 INDEX***		20.35	%		7.20	%		4.49	%		20.35	%		7.20	%		8.92	%

	A-Class																					C-Class
	(03/31/04)																					(03/07/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
INVERSE NASDAQ-100® STRATEGY FUND		-21.11	%		-24.87	%		-10.23	%		-11.10	%		-9.44	%		-10.07	%		-21.66	%		-22.44	%		-10.90	%		-10.17	%
NASDAQ-100 INDEX***		20.35	%		20.35	%		7.20	%		7.20	%		7.78	%		7.78	%		20.35	%		20.35	%		7.20	%		4.49	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The NASDAQ-100 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS March 31, 2011

INVERSE NASDAQ-100® STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† — 27.0%
Freddie Mac1 0.23% due 08/09/11	$	10,000,000	$	9,995,310
Total Federal Agency Discount Notes (Cost $9,991,694)				9,995,310
REPURCHASE AGREEMENTS††,2 — 73.2%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		14,397,217		14,397,217
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/113		6,381,594		6,381,594
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		5,339,215		5,339,215
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		959,815		959,815
Total Repurchase Agreements (Cost $27,077,841)				27,077,841
Total Investments — 100.2% (Cost $37,069,535)			$	37,073,151
Liabilities, Less Cash & Other Assets — (0.2)%				(72,479	)
Total Net Assets — 100.0%			$	37,000,672

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $13,329,450)		285	$	(173,780	)

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Morgan Stanley Capital Services, Inc. April 2011 NASDAQ-100 Index Swap, Terminating 04/26/114 (Notional Value $527,373)		225	$	(5,135	)
Credit Suisse Capital, LLC April 2011 NASDAQ-100 Index Swap, Terminating 04/28/114 (Notional Value $4,224,077)		1,806		(41,145	)
Goldman Sachs International April 2011 NASDAQ-100 Index Swap, Terminating 04/27/114 (Notional Value $18,846,860)		8,058		(290,048	)
(Total Notional Value $23,598,310)			$	(336,328	)

†	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	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
4	Total Return based on NASDAQ-100 Index +/- financing at a variable rate.

52 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	9,995,310
Repurchase agreements, at value		27,077,841
Total investments		37,073,151
Segregated cash with broker		921,681
Receivables:
Fund shares sold		238,231
Interest		47
Total assets		38,233,110
Liabilities:
Unrealized depreciation on swap agreements		336,328
Payable for:
Swap settlement		7,719
Variation margin		24,226
Fund shares redeemed		806,331
Management fees		25,707
Custodian fees		800
Transfer agent/maintenance fees		7,141
Distribution and service fees		1,781
Portfolio accounting fees		2,856
Licensing fees		2,369
Other		17,180
Total liabilities		1,232,438
Net Assets	$	37,000,672
NET ASSETS CONSIST OF:
Paid in capital	$	129,645,232
Accumulated net investment loss		—
Accumulated net realized loss on investments		(92,138,068	)
Net unrealized depreciation on investments		(506,492	)
Net assets	$	37,000,672
Investor Class:
Net assets	$	32,978,209
Capital shares outstanding		2,765,560
Net asset value per share	$	11.92
Advisor Class:
Net assets	$	642,207
Capital shares outstanding		56,183
Net asset value per share	$	11.43
A-Class:
Net assets	$	945,706
Capital shares outstanding		81,106
Net asset value per share	$	11.66
Maximum offering price per share*	$	12.24
C-Class:
Net assets	$	2,434,550
Capital shares outstanding		228,213
Net asset value per share	$	10.67
Investments, at cost	$	9,991,694
Repurchase agreements, at cost		27,077,841
Total cost	$	37,069,535

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	46,654
Total investment income		46,654
Expenses:
Management fees		241,086
Transfer agent and administrative fees		66,968
Distribution and service fees:
Advisor Class		3,618
A-Class		2,654
C-Class		17,199
Portfolio accounting fees		26,787
Trustees’ fees**		3,005
Miscellaneous		56,534
Total expenses		417,851
Net investment loss		(371,197	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(6,089,515	)
Futures contracts		(1,214,827	)
Net realized loss		(7,304,342	)
Net change in unrealized appreciation (depreciation) on:
Investments		3,616
Swap agreements		1,052,542
Futures contracts		(173,643	)
Net change in unrealized appreciation (depreciation)		882,515
Net realized and unrealized loss		(6,421,827	)
Net decrease in net assets resulting from operations	$	(6,793,024	)

** 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 ANNUAL REPORT | 53

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(371,197	)	$	(444,051	)
Net realized loss on investments		(7,304,342	)		(20,372,903	)
Net change in unrealized appreciation (depreciation) on investments		882,515			1,493,832
Net decrease in net assets resulting from operations		(6,793,024	)		(19,323,122	)
Distributions To Shareholders		—			—
Capital Share Transactions:
Proceeds From Sale Of Shares
Investor Class		260,086,564			263,519,478
Advisor Class		27,365,708			13,001,544
A-Class		4,601,753			8,874,805
C-Class		9,852,417			9,150,986
Cost Of Shares Redeemed
Investor Class		(242,454,552	)		(259,836,615	)
Advisor Class		(27,271,613	)		(11,961,791	)
A-Class		(4,482,661	)		(9,179,789	)
C-Class		(8,856,521	)		(8,808,360	)
Net increase from capital share transactions		18,841,095			4,760,258
Net increase (decrease) in net assets		12,048,071			(14,562,864	)
Net Assets:
Beginning of year		24,952,601			39,515,465
End of year	$	37,000,672		$	24,952,601
Accumulated net investment loss at end of year	$	—		$	—
Capital Share Activity:
Shares sold
Investor Class		18,840,855			14,461,941
Advisor Class		2,019,121			732,358
A-Class		320,094			465,562
C-Class		786,039			536,740
Shares redeemed
Investor Class		(17,478,115	)		(14,401,266	)
Advisor Class		(2,025,955	)		(688,875	)
A-Class		(309,462	)		(488,378	)
C-Class		(694,263	)		(534,150	)
Net increase in shares		1,458,314			83,932

54 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE NASDAQ-100^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.07		$	25.09		$	21.27		$	21.67		$	21.80
Income (loss) from investment operations:
Net investment income (loss)a		(.18	)		(.25	)		(.06	)		.59			(.11	)
Net gain (loss) on investments (realized and unrealized)		(2.97	)		(9.77	)		4.25			(.30	)		.54
Total from investment operations		(3.15	)		(10.02	)		4.19			.29			.43
Less distributions from:
Net investment income		—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	11.92		$	15.07		$	25.09		$	21.27		$	21.67
Total Returnb		(20.90	%)		(39.94	%)		19.48	%		1.92	%		2.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	32,978		$	21,137		$	33,672		$	59,819		$	104,617
Ratios to average net assets:
Net investment income (loss)		(1.30	%)		(1.35	%)		(0.26	%)		2.98	%		3.79	%
Total expenses		1.47	%		1.47	%		1.46	%		1.47	%		1.40	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.54		$	24.37		$	20.77		$	21.28		$	21.51
Income (loss) from investment operations:
Net investment income (loss)a		(.24	)		(.32	)		(.06	)		.51			(.22	)
Net gain (loss) on investments (realized and unrealized)		(2.87	)		(9.51	)		4.03			(.33	)		.55
Total from investment operations		(3.11	)		(9.83	)		3.97			.18			.33
Less distributions from:
Net investment income		—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	11.43		$	14.54		$	24.37		$	20.77		$	21.28
Total Returnb		(21.39	%)		(40.34	%)		18.88	%		1.43	%		1.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	642		$	916		$	476		$	3,744		$	11,436
Ratios to average net assets:
Net investment income (loss)		(1.80	%)		(1.84	%)		(0.29	%)		2.56	%		3.29	%
Total expenses		1.97	%		1.97	%		1.97	%		1.98	%		1.90	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 55

INVERSE NASDAQ-100^® 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.78		$	24.67		$	20.97		$	21.43		$	21.61
Income (loss) from investment operations:
Net investment income (loss)a		(.21	)		(.26	)		(.22	)		.52			(.16	)
Net gain (loss) on investments (realized and unrealized)		(2.91	)		(9.63	)		4.29			(.29	)		.54
Total from investment operations		(3.12	)		(9.89	)		4.07			.23			.38
Less distributions from:
Distributions from net investment income		—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	11.66		$	14.78		$	24.67		$	20.97		$	21.43
Total Returnb		(21.11	%)		(40.09	%)		19.18	%		1.65	%		1.79	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	946		$	1,041		$	2,301		$	1,784		$	4,086
Ratios to average net assets:
Net investment income (loss)		(1.54	%)		(1.37	%)		(0.92	%)		2.61	%		3.55	%
Total expenses		1.72	%		1.71	%		1.71	%		1.72	%		1.64	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.62		$	22.91		$	19.63		$	20.27		$	20.63
Income (loss) from investment operations:
Net investment income (loss)a		(.29	)		(.39	)		(.25	)		.38			(.32	)
Net gain (loss) on investments (realized and unrealized)		(2.66	)		(8.90	)		3.90			(.33	)		.52
Total from investment operations		(2.95	)		(9.29	)		3.65			.05			.20
Less distributions from:
Net investment income		—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	10.67		$	13.62		$	22.91		$	19.63		$	20.27
Total Returnb		(21.66	%)		(40.55	%)		18.35	%		0.85	%		1.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,435		$	1,858		$	3,066		$	7,633		$	17,834
Ratios to average net assets:
Net investment income (loss)		(2.29	%)		(2.33	%)		(1.19	%)		2.05	%		2.79	%
Total expenses		2.47	%		2.47	%		2.47	%		2.48	%		2.40	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

56 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 57

PERFRMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

MID-CAP 1.5x STRATEGY FUND

OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for midcap securities on a daily basis. The Fund’s current benchmark is 150% of the S&P MidCap 400^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: August 16, 2001

For the year ended March 31, 2011, the Mid-Cap 1.5x Strategy Fund H-Class returned 38.04%. Over the year, its benchmark, the S&P MidCap 400 Index turned in a 26.95% return. The Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index.

Information Technology (5.86%), Industrials (5.23%) and Consumer Discretionary (3.41%) provided the most performance to the index during the year. Telecommunication Services (0.10%) and Consumer Staples (1.18%) were the smallest contributors to performance.

F5 Networks, Inc., Netflix, Inc. and Chipotle Mexican Grill, Inc. — Class A were among the stocks which provided the most performance to the index during the year. Cree, Inc., Strayer Education, Inc. and ITT Educational Services, Inc. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

     Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	March 31, 2004
C-Class	August 20, 2001
H-Class	August 16, 2001

Ten Largest Holdings
(% of Total Net Assets)
Cimarex Energy Co.	0.6	%
Vertex Pharmaceuticals, Inc.	0.6	%
BorgWarner, Inc.	0.5	%
Lubrizol Corp.	0.5	%
Chipotle Mexican Grill,
Inc. — Class A	0.5	%
Pride International, Inc.	0.5	%
New York Community
Bancorp, Inc.	0.5	%
Green Mountain Coffee
Roasters, Inc.	0.5	%
Bucyrus International,
Inc. — Class A	0.5	%
AMETEK, Inc.	0.4	%
Top Ten Total	5.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

58 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class															C-Class
							(03/31/04)															(08/20/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
MID-CAP1.5x STRATEGY FUND		38.12	%		31.56	%		2.01	%		1.02	%		6.78	%		6.04	%		37.15	%		36.15	%		1.25	%		5.76	%
S&P MIDCAP 400 INDEX		26.95	%		26.95	%		6.07	%		6.07	%		8.79	%		8.79	%		26.95	%		26.95	%		6.07	%		8.83	%

				H-Class
				(08/16/01)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
MID-CAP1.5x STRATEGY FUND		38.04	%		1.98	%		6.31	%
S&P MIDCAP400 INDEX		26.95	%		6.07	%		8.68	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS	March 31, 2011
MID-CAP 1.5x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 73.7%
FINANCIALS — 14.4%
New York Community Bancorp, Inc.		13,520	$	233,355
Macerich Co.		4,030		199,606
AMB Property Corp.		5,240		188,483
SL Green Realty Corp.		2,440		183,488
Affiliated Managers Group, Inc.*		1,610		176,086
Nationwide Health Properties, Inc.		3,910		166,292
Rayonier, Inc.		2,510		156,398
Federal Realty Investment Trust		1,900		154,964
Reinsurance Group of America, Inc. — Class A		2,440		153,183
Everest Re Group Ltd.		1,680		148,142
UDR, Inc.		5,640		137,447
MSCI, Inc. — Class A*		3,700		136,234
Realty Income Corp.		3,890		135,955
Alexandria Real Estate Equities, Inc.		1,710		133,329
Jones Lang LaSalle, Inc.		1,330		132,654
Camden Property Trust		2,160		122,731
Essex Property Trust, Inc.		989		122,636
Raymond James Financial, Inc.		3,120		119,309
Eaton Vance Corp.		3,680		118,643
Liberty Property Trust		3,540		116,466
W.R. Berkley Corp.		3,580		115,312
Cullen		1,890		111,548
HCC Insurance Holdings, Inc.		3,550		111,151
Regency Centers Corp.		2,530		110,004
Duke Realty Corp.		7,810		109,418
Waddell & Reed Financial, Inc. — Class A		2,660		108,023
SEI Investments Co.		4,490		107,221
Arthur J Gallagher & Co.		3,361		102,208
Old Republic International Corp.		8,020		101,774
Senior Housing Properties Trust		4,390		101,146
East West Bancorp, Inc.		4,600		101,016
Jefferies Group, Inc.		3,960		98,762
Fidelity National Financial, Inc. — Class A		6,920		97,780
Commerce Bancshares, Inc.		2,390		96,652
BRE Properties, Inc.		2,000		94,360
Transatlantic Holdings, Inc.		1,930		93,933
Weingarten Realty Investors		3,730		93,474
Brown & Brown, Inc.		3,620		93,396
Taubman Centers, Inc.		1,730		92,693
Mack-Cali Realty Corp.		2,690		91,191
Hospitality Properties Trust		3,820		88,433
First Niagara Financial Group, Inc.		6,480		87,998
City National Corp.		1,460		83,293
American Financial Group, Inc.		2,370		82,997
Associated Banc-Corp.		5,360		79,596
Highwoods Properties, Inc.		2,220		77,722
TCF Financial Corp.		4,830		76,604
Corporate Office Properties Trust		2,070		74,810
SVB Financial Group*		1,308		74,464
Apollo Investment Corp.		6,050		72,963
Bank of Hawaii Corp.		1,480		70,774
Protective Life Corp.		2,650		70,358
Valley National Bancorp		5,000		69,800
Omega Healthcare Investors, Inc.		3,090		69,031
Fulton Financial Corp.		6,160		68,438
StanCorp Financial Group, Inc.		1,420		65,490
Hanover Insurance Group, Inc.		1,400		63,350
Prosperity Bancshares, Inc.		1,450		62,016
Washington Federal, Inc.		3,480		60,343
Aspen Insurance Holdings Ltd.		2,180		60,081
Synovus Financial Corp.		24,290		58,296
FirstMerit Corp.		3,370		57,492
First American Financial Corp.		3,240		53,460
Greenhill & Company, Inc.		790		51,974
Potlatch Corp.		1,240		49,848
Webster Financial Corp.		2,260		48,432
NewAlliance Bancshares, Inc.		3,250		48,230
Unitrin, Inc.		1,530		47,246
Westamerica Bancorporation		900		46,233
Mercury General Corp.		1,100		43,043
Cathay General Bancorp		2,430		41,432
Trustmark Corp.		1,760		41,219
Astoria Financial Corp.		2,560		36,787
BancorpSouth, Inc.		2,270		35,072
International Bancshares Corp.		1,630		29,894
Equity One, Inc.		1,480		27,780
Cousins Properties, Inc.		3,210		26,803
PacWest Bancorp		1,006		21,881
Total Financials				7,290,146
INFORMATION TECHNOLOGY — 12.0%
Lam Research Corp.*		3,820		216,441
Atmel Corp.*		14,130		192,592
Trimble Navigation Ltd.*		3,780		191,041
Rovi Corp.*		3,490		187,239
Skyworks Solutions, Inc.*		5,740		186,091
Riverbed Technology, Inc.*		4,670		175,826
Avnet, Inc.*		4,720		160,905
Cree, Inc.*		3,380		156,021
ANSYS, Inc.*		2,840		153,900
Informatica Corp.*		2,930		153,034
Factset Research Systems, Inc.		1,430		149,764
Arrow Electronics, Inc.*		3,550		148,674
Polycom, Inc.*		2,710		140,514
TIBCO Software, Inc.*		5,120		139,520
Alliance Data Systems Corp.*		1,580		135,706
Rackspace Hosting, Inc.*		3,040		130,264
Equinix, Inc.*		1,420		129,362
Synopsys, Inc.*		4,669		129,098
MICROS Systems, Inc.*		2,500		123,575
Global Payments, Inc.		2,470		120,832

60 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
MID-CAP 1.5x STRATEGY FUND

	Shares		Value
Varian Semiconductor Equipment Associates, Inc.*		2,320	$	112,914
Solera Holdings, Inc.		2,180		111,398
Gartner, Inc.*		2,640		110,009
Cypress Semiconductor Corp.*		5,370		104,071
Ingram Micro, Inc. — Class A*		4,930		103,678
NCR Corp.*		4,950		93,258
Vishay Intertechnology, Inc.*		5,110		90,651
Jack Henry & Associates, Inc.		2,664		90,283
National Instruments Corp.		2,750		90,117
Lender Processing Services, Inc.		2,750		88,522
Broadridge Financial Solutions, Inc.		3,880		88,037
ADTRAN, Inc.		2,000		84,920
Parametric Technology Corp.*		3,650		82,089
Cadence Design Systems, Inc.*		8,300		80,925
Concur Technologies, Inc.*		1,436		79,626
Ciena Corp.*		2,940		76,322
Tech Data Corp.*		1,440		73,238
Diebold, Inc.		2,040		72,338
International Rectifier Corp.*		2,163		71,509
Fairchild Semiconductor International, Inc. — Class A*		3,910		71,162
Itron, Inc.*		1,250		70,550
Zebra Technologies Corp. — Class A*		1,720		67,493
AOL, Inc.*		3,310		64,644
QLogic Corp.*		3,260		60,473
CoreLogic, Inc.		3,220		59,570
Silicon Laboratories, Inc.*		1,360		58,766
NeuStar, Inc. — Class A*		2,280		58,322
DST Systems, Inc.		1,100		58,102
Plantronics, Inc.		1,510		55,296
RF Micro Devices, Inc.*		8,540		54,741
Convergys Corp.*		3,780		54,281
Quest Software, Inc.*		1,960		49,764
Mentor Graphics Corp.*		3,390		49,596
Semtech Corp.*		1,960		49,039
Intersil Corp. — Class A		3,860		48,057
Digital River, Inc.*		1,210		45,290
Fair Isaac Corp.		1,240		39,196
SRA International, Inc. — Class A*		1,330		37,719
ValueClick, Inc.*		2,510		36,295
Acxiom Corp.*		2,490		35,732
Integrated Device Technology, Inc.*		4,670		34,418
ACI Worldwide, Inc.*		1,030		33,784
Mantech International Corp. — Class A*		700		29,680
Advent Software, Inc.*		998		28,613
Total Information Technology				6,074,887
INDUSTRIALS — 11.4%
Bucyrus International, Inc. — Class A		2,520		230,454
AMETEK, Inc.		4,970		218,034
KBR, Inc.		4,680		176,764
Kansas City Southern*		3,180		173,151
AGCO Corp.*		2,920		160,512
Manpower, Inc.		2,530		159,086
Donaldson Company, Inc.		2,380		145,870
Hubbell, Inc. — Class B		1,870		132,826
Timken Co.		2,510		131,273
Gardner Denver, Inc.		1,610		125,628
Terex Corp.*		3,370		124,825
SPX Corp.		1,560		123,849
J.B. Hunt Transport Services, Inc.		2,700		122,634
Nordson Corp.		1,060		121,964
Pentair, Inc.		3,040		114,882
URS Corp.*		2,490		114,665
BE Aerospace, Inc.*		3,160		112,275
IDEX Corp.		2,550		111,308
Aecom Technology Corp.*		3,670		101,769
Waste Connections, Inc.		3,520		101,341
Wabtec Corp.		1,480		100,388
Oshkosh Corp.*		2,810		99,418
Kennametal, Inc.		2,540		99,060
Lincoln Electric Holdings, Inc.		1,300		98,696
Thomas & Betts Corp.*		1,620		96,341
MSC Industrial Direct Co. — Class A		1,390		95,173
Kirby Corp.*		1,660		95,101
Shaw Group, Inc.*		2,630		93,128
Trinity Industries, Inc.		2,470		90,575
Harsco Corp.		2,500		88,225
Regal-Beloit Corp.		1,190		87,858
Graco, Inc.		1,860		84,611
Carlisle Companies, Inc.		1,886		84,021
Corrections Corporation of America*		3,380		82,472
Copart, Inc.*		1,850		80,161
Acuity Brands, Inc.		1,340		78,377
Towers Watson & Co. — Class A		1,410		78,199
Lennox International, Inc.		1,400		73,612
Alliant Techsystems, Inc.		1,030		72,790
Alaska Air Group, Inc.*		1,110		70,396
Clean Harbors, Inc.*		710		70,049
Crane Co.		1,430		69,255
Valmont Industries, Inc.		660		68,884
Landstar System, Inc.		1,480		67,606
Con-way, Inc.		1,700		66,793
Woodward, Inc.		1,830		63,245
Huntington Ingalls Industries, Inc.*		1,510		62,665
United Rentals, Inc.*		1,880		62,566
Watsco, Inc.		870		60,648
Alexander & Baldwin, Inc.		1,280		58,432
GATX Corp.		1,440		55,670
FTI Consulting, Inc.*		1,430		54,812
Herman Miller, Inc.		1,770		48,657
Brink’s Co.		1,440		47,678

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 61

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
MID-CAP 1.5x STRATEGY FUND

	Shares		Value
HNI Corp.		1,390	$	43,868
Corporate Executive Board Co.		1,060		42,792
Deluxe Corp.		1,590		42,199
Rollins, Inc.		1,960		39,788
JetBlue Airways Corp.*		6,260		39,250
Werner Enterprises, Inc.		1,370		36,264
Mine Safety Appliances Co.		960		35,203
Korn*		1,440		32,069
AirTran Holdings, Inc.*		4,190		31,216
Granite Construction, Inc.		1,050		29,505
Total Industrials				5,780,826
CONSUMER DISCRETIONARY - 10.3%
BorgWarner, Inc.*		3,460		275,727
Chipotle Mexican Grill, Inc. — Class A*		960		261,475
Dollar Tree, Inc.*		3,870		214,862
Advance Auto Parts, Inc.		2,480		162,738
PetSmart, Inc.		3,640		149,058
Fossil, Inc.*		1,560		146,094
NVR, Inc.*		180		136,080
Tractor Supply Co.		2,250		134,685
Phillips-Van Heusen Corp.		2,070		134,612
Gentex Corp.		4,410		133,403
Williams-Sonoma, Inc.		3,250		131,625
Panera Bread Co. — Class A*		970		123,190
Tupperware Brands Corp.		1,940		115,837
Dick’s Sporting Goods, Inc.*		2,740		109,545
Sotheby’s		2,070		108,882
LKQ Corp.*		4,510		108,691
Mohawk Industries, Inc.*		1,740		106,401
Deckers Outdoor Corp.*		1,190		102,518
American Eagle Outfitters, Inc.		6,050		96,135
Foot Locker, Inc.		4,800		94,656
Polaris Industries, Inc.		1,050		91,371
Toll Brothers, Inc.*		4,490		88,767
Service Corporation International		7,430		82,176
Chico’s FAS, Inc.		5,490		81,801
Hanesbrands, Inc.*		2,980		80,579
Warnaco Group, Inc.*		1,350		77,207
Guess?, Inc.		1,960		77,126
Under Armour, Inc. — Class A*		1,090		74,175
John Wiley & Sons, Inc. — Class A		1,448		73,616
Brinker International, Inc.		2,760		69,828
Ascena Retail Group, Inc.*		2,140		69,357
Rent-A-Center, Inc. — Class A		1,960		68,424
Aeropostale, Inc.*		2,720		66,150
Lamar Advertising Co. — Class A*		1,780		65,753
WMS Industries, Inc.*		1,780		62,923
Bally Technologies, Inc.*		1,660		62,831
DreamWorks Animation SKG, Inc. — Class A*		2,220		62,005
Aaron’s, Inc.		2,230		56,553
Saks, Inc.*		4,980		56,324
Cheesecake Factory, Inc.*		1,850		55,667
ITT Educational Services, Inc.*		760		54,834
Strayer Education, Inc.		410		53,501
Wendy’s — Class A		9,980		50,199
Timberland Co. — Class A*		1,190		49,135
ANN, Inc.*		1,680		48,905
Life Time Fitness, Inc.*		1,300		48,503
Career Education Corp.*		1,940		44,077
Thor Industries, Inc.		1,310		43,715
Collective Brands, Inc.*		1,930		41,649
Office Depot, Inc.*		8,570		39,679
Meredith Corp.		1,130		38,330
Matthews International Corp. — Class A		920		35,466
New York Times Co. — Class A*		3,682		34,869
Regis Corp.		1,780		31,577
Bob Evans Farms, Inc.		940		30,644
MDC Holdings, Inc.		1,170		29,659
American Greetings Corp. — Class A		1,240		29,264
99 Cents Only Stores*		1,450		28,420
KB Home		2,230		27,741
International Speedway Corp. — Class A		910		27,118
Eastman Kodak Co.*		8,320		26,874
Ryland Group, Inc.		1,367		21,735
Scholastic Corp.		730		19,739
Scientific Games Corp. — Class A*		1,960		17,130
Boyd Gaming Corp.*		1,730		16,210
Harte-Hanks, Inc.		1,200		14,280
Barnes & Noble, Inc.		1,210		11,120
Total Consumer Discretionary				5,183,220
HEALTH CARE - 8.0%
Vertex Pharmaceuticals, Inc.*		6,320		302,918
Perrigo Co.		2,570		204,366
Henry Schein, Inc.*		2,840		199,283
Hologic, Inc.*		8,070		179,154
Beckman Coulter, Inc.		2,140		177,770
Mettler-Toledo International, Inc.*		1,000		172,000
Universal Health Services, Inc. — Class B		3,010		148,724
ResMed, Inc.*		4,740		142,200
Endo Pharmaceuticals Holdings, Inc.*		3,630		138,521
IDEXX Laboratories, Inc.*		1,770		136,679
Allscripts Healthcare Solutions, Inc.*		5,850		122,791
Community Health Systems, Inc.*		2,867		114,651

62 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
MID-CAP 1.5x STRATEGY FUND

	Shares		Value
Omnicare, Inc.		3,620	$	108,564
Kinetic Concepts, Inc.*		1,940		105,575
United Therapeutics Corp.*		1,570		105,221
Covance, Inc.*		1,870		102,326
Cooper Companies, Inc.		1,440		100,008
Gen-Probe, Inc.*		1,490		98,861
Pharmaceutical Product Development, Inc.		3,560		98,648
Mednax, Inc.*		1,480		98,583
Health Net, Inc.*		2,890		94,503
Lincare Holdings, Inc.		2,980		88,387
Health Management Associates, Inc. — Class A*		7,790		84,911
Techne Corp.		1,150		82,340
Hill-Rom Holdings, Inc.		1,950		74,061
Bio-Rad Laboratories, Inc. — Class A*		600		72,084
Teleflex, Inc.		1,240		71,895
VCA Antech, Inc.*		2,670		67,231
Charles River Laboratories International, Inc.*		1,750		67,165
LifePoint Hospitals, Inc.*		1,590		63,886
Owens & Minor, Inc.		1,960		63,661
STERIS Corp.		1,840		63,554
Masimo Corp.		1,840		60,904
Medicis Pharmaceutical Corp. — Class A		1,820		58,313
WellCare Health Plans, Inc.*		1,310		54,954
Thoratec Corp.*		1,810		46,933
Immucor, Inc.*		2,170		42,923
Kindred Healthcare, Inc.*		1,220		29,134
Total Health Care				4,043,682
MATERIALS — 5.1%
Lubrizol Corp.		1,980		265,241
Albemarle Corp.		2,830		169,149
Ashland, Inc.		2,440		140,934
Reliance Steel & Aluminum Co.		2,308		133,356
Steel Dynamics, Inc.		6,740		126,510
Martin Marietta Materials, Inc.		1,410		126,435
Valspar Corp.		2,970		116,127
Sonoco Products Co.		3,100		112,313
Aptargroup, Inc.		2,070		103,769
Compass Minerals International, Inc.		1,020		95,401
RPM International, Inc.		4,020		95,395
Cabot Corp.		2,020		93,506
Packaging Corporation of America		3,170		91,581
Rock-Tenn Co. — Class A		1,220		84,607
Cytec Industries, Inc.		1,530		83,186
Scotts Miracle-Gro Co. — Class A		1,410		81,569
Temple-Inland, Inc.		3,350		78,390
Greif, Inc. — Class A		960		62,794
Commercial Metals Co.		3,540		61,136
Carpenter Technology Corp.		1,360		58,086
Silgan Holdings, Inc.		1,510		57,591
Olin Corp.		2,460		56,383
Sensient Technologies Corp.		1,550		55,552
Intrepid Potash, Inc.*		1,370		47,703
NewMarket Corp.		300		47,466
Louisiana-Pacific Corp.*		4,090		42,945
Minerals Technologies, Inc.		560		38,371
Worthington Industries, Inc.		1,720		35,982
Total Materials				2,561,478
ENERGY — 4.9%
Cimarex Energy Co.		2,649		305,271
Pride International, Inc.*		5,480		235,366
Arch Coal, Inc.		5,030		181,281
Plains Exploration & Production Co.*		4,330		156,876
Oceaneering International, Inc.*		1,670		149,382
SM Energy Co.		1,960		145,412
Patterson-UTI Energy, Inc.		4,770		140,190
Forest Oil Corp.*		3,510		132,783
Southern Union Co.		3,860		110,473
Superior Energy Services, Inc.*		2,440		100,040
Frontier Oil Corp.		3,270		95,876
Tidewater, Inc.		1,590		95,162
Dril-Quip, Inc.*		1,070		84,562
Atwood Oceanics, Inc.*		1,740		80,788
Unit Corp.*		1,230		76,199
Patriot Coal Corp.*		2,820		72,841
Bill Barrett Corp.*		1,450		57,870
Helix Energy Solutions Group, Inc.*		3,280		56,416
Quicksilver Resources, Inc.*		3,750		53,662
Exterran Holdings, Inc.*		1,960		46,511
Comstock Resources, Inc.*		1,480		45,791
Northern Oil and Gas, Inc.*		1,680		44,856
Overseas Shipholding Group, Inc.		830		26,676
Total Energy				2,494,284
UTILITIES — 4.3%
National Fuel Gas Co.		2,550		188,700
OGE Energy Corp.		3,020		152,691
NSTAR		3,200		148,064
Energen Corp.		2,230		140,758
MDU Resources Group, Inc.		5,840		134,145
Alliant Energy Corp.		3,430		133,530
UGI Corp.		3,440		113,176
N.V. Energy, Inc.		7,290		108,548
DPL, Inc.		3,690		101,143
Aqua America, Inc.		4,270		97,740
AGL Resources, Inc.		2,410		96,014
Atmos Energy Corp.		2,800		95,480
Questar Corp.		5,470		95,452
Westar Energy, Inc.		3,510		92,734
Great Plains Energy, Inc.		4,200		84,084
Hawaiian Electric Industries, Inc.		2,930		72,664
Vectren Corp.		2,530		68,816

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 63

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
MID-CAP 1.5x STRATEGY FUND

	Shares		Value
Cleco Corp.		1,890	$	64,808
WGL Holdings, Inc.		1,580		61,620
IDACORP, Inc.		1,530		58,293
Black Hills Corp.		1,210		40,462
PNM Resources, Inc.		2,680		39,986
Total Utilities				2,188,908
CONSUMER STAPLES - 2.9%
Green Mountain Coffee Roasters, Inc.*		3,590		231,950
Church & Dwight Company, Inc.		2,210		175,341
Energizer Holdings, Inc.*		2,180		155,129
Hansen Natural Corp.*		2,150		129,495
Smithfield Foods, Inc.*		5,130		123,428
Corn Products International, Inc.		2,360		122,295
Ralcorp Holdings, Inc.*		1,700		116,331
Alberto-Culver Co. — Class B		2,650		98,765
BJ’s Wholesale Club, Inc.*		1,690		82,506
Flowers Foods, Inc.		2,330		63,446
Ruddick Corp.		1,320		50,939
Lancaster Colony Corp.		590		35,754
Universal Corp.		730		31,784
Tootsie Roll Industries, Inc.		771		21,851
Total Consumer Staples				1,439,014
TELECOMMUNICATION SERVICES - 0.4%
Telephone & Data Systems, Inc.		2,830		95,371
tw telecom, Inc. — Class A*		4,660		89,472
Total Telecommunication Services				184,843
Total Common Stocks (Cost $32,276,786)				37,241,288
WARRANT††,1 - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		510		87
Total Warrant (Cost $—)				87

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 27.5%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112	$	7,511,938	7,511,938
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		4,453,938	4,453,938

	Face
	Amount		Value
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11	$	1,651,745	$	1,651,745
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		296,929		296,929
Total Repurchase Agreements (Cost $13,914,550)				13,914,550
Total Investments – 101.2% (Cost $46,191,336)			$	51,155,925
Liabilities, Less Cash & Other Assets – (1.2)%				(586,238	)
Total Net Assets – 100.0%			$	50,569,687

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED†
June 2011 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $888,840)		9	$	145

	Units
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2011 S&P MidCap 400 Index Swap, Terminating 04/27/113 (Notional Value $33,415,831)		33,786	$	784,872
Credit Suisse Capital, LLC April 2011 S&P MidCap 400 Index Swap, Terminating 04/28/113 (Notional Value $3,100,632)		3,135		60,020
Morgan Stanley Capital Services, Inc. April 2011 S&P MidCap 400 Index Swap, Terminating 04/26/113 (Notional Value $1,035,334)		1,047		19,815
(Total Notional Value $37,551,797)			$	864,707

*	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 March 31, 2011.
3	Total Return based on S&P MidCap 400 Index +/- financing at a variable rate.

64 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

MID-CAP 1.5x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	37,241,375
Repurchase agreements, at value		13,914,550
Total investments		51,155,925
Segregated cash with broker		532,918
Unrealized appreciation on swap agreements		864,707
Receivable for swap settlement		233,416
Receivables:
Securities sold		308,897
Fund shares sold		120,022
Dividends		28,776
Interest		22
Total assets		53,244,683
Liabilities:
Payable for:
Variation margin		23,114
Securities purchased		162,662
Fund shares redeemed		2,378,574
Management fees		46,289
Custodian fees		1,440
Transfer agent/maintenance fees		12,858
Distribution and service fees		16,365
Portfolio accounting fees		5,143
Licensing fees		716
Other		27,835
Total liabilities		2,674,996
Net assets	$	50,569,687
Net assets consist of:
Paid in capital	$	59,729,754
Accumulated net investment loss		—
Accumulated net realized loss on investments		(14,989,508	)
Net unrealized appreciation on investments		5,829,441
Net assets	$	50,569,687
A-Class:
Net assets	$	1,876,866
Capital shares outstanding		50,533
Net asset value per share	$	37.14
Maximum offering price per share*	$	38.99
C-Class:
Net assets	$	6,045,352
Capital shares outstanding		176,461
Net asset value per share	$	34.26
H-Class:
Net assets	$	42,647,469
Capital shares outstanding		1,149,005
Net asset value per share	$	37.12
Investments, at cost	$	32,276,786
Repurchase agreements, at cost		13,914,550
Total cost	$	46,191,336

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	261,552
Interest		18,087
Total investment income		279,639
Expenses:
Management fees		317,193
Transfer agent and administrative fees		88,109
Distribution and service fees:
A-Class		2,934
C-Class		47,851
H-Class		73,212
Portfolio accounting fees		35,243
Trustees’ fees**		3,148
Miscellaneous		65,903
Total expenses		633,593
Net investment loss		(353,954	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		687,929
Swap agreements		4,018,534
Futures contracts		(882,323	)
Net realized gain		3,824,140
Net change in unrealized appreciation (depreciation) on:
Investments		1,698,987
Swap agreements		(292,960	)
Futures contracts		(92,016	)
Net change in unrealized appreciation (depreciation)		1,314,011
Net realized and unrealized gain		5,138,151
Net increase in net assets resulting from operations	$	4,784,197

** 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 ANNUAL REPORT | 65

MID-CAP 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(353,954	)	$	(160,250	)
Net realized gain on investments		3,824,140			3,461,477
Net change in unrealized appreciation (depreciation) on investments		1,314,011			5,812,914
Net increase in net assets resulting from operations		4,784,197			9,114,141
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		1,553,048			4,303,723
C-Class		16,167,502			12,820,669
H-Class		368,792,421			180,310,582
Cost of shares redeemed
A-Class		(1,666,271	)		(4,338,121	)
C-Class		(15,672,167	)		(13,909,187	)
H-Class		(359,850,110	)		(166,937,942	)
Net increase from capital share transactions		9,324,423			12,249,724
Net increase in net assets		14,108,620			21,363,865
Net assets:
Beginning of year		36,461,067			15,097,202
End of year	$	50,569,687		$	36,461,067
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		51,004			191,775
C-Class		563,073			710,630
H-Class		12,089,650			8,541,819
Shares redeemed
A-Class		(58,734	)		(214,540	)
C-Class		(549,462	)		(784,596	)
H-Class		(12,087,163	)		(8,225,083	)
Net increase in shares		8,368			220,005

66 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

MID-CAP 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.89		$	13.33		$	32.39		$	41.56		$	40.14
Income (loss) from investment operations:
Net investment income (loss)a		(.26	)		(.16	)		—b			.23			.05
Net gain (loss) on investments (realized and unrealized)		10.51			13.72			(17.74	)		(7.46	)		2.74
Total from investment operations		10.25			13.56			(17.74	)		(7.23	)		2.79
Less distributions from:
Net investment income		—			—			—			(.26	)		—
Net realized gains		—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	37.14		$	26.89		$	13.33		$	32.39		$	41.56
Total Returnc		38.12	%		101.73	%		(54.70	%)		(18.29	%)		7.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,877		$	1,567		$	1,080		$	1,571		$	2,806
Ratios to average net assets:
Net investment income (loss)		(0.88	%)		(0.79	%)		0.01	%		0.57	%		0.13	%
Total expenses		1.70	%		1.69	%		1.68	%		1.67	%		1.67	%
Portfolio turnover rate		211	%		219	%		204	%		226	%		296	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	24.98		$	12.47		$	30.73		$	39.82		$	38.81
Income (loss) from investment operations:
Net investment lossa		(.43	)		(.27	)		(.17	)		(.08	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		9.71			12.78			(16.77	)		(7.07	)		2.61
Total from investment operations		9.28			12.51			(16.94	)		(7.15	)		2.38
Less distributions from:
Net investment income		—			—			—			(.26	)		—
Net realized gains		—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	34.26		$	24.98		$	12.47		$	30.73		$	39.82
Total Returnc		37.15	%		100.32	%		(55.06	%)		(18.90	%)		6.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,045		$	4,069		$	2,954		$	8,388		$	17,112
Ratios to average net assets:
Net investment loss		(1.59	%)		(1.43	%)		(0.72	%)		(0.20	%)		(0.62	%)
Total expenses		2.44	%		2.44	%		2.43	%		2.42	%		2.41	%
Portfolio turnover rate		211	%		219	%		204	%		226	%		296	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 67

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.89		$	13.33		$	32.40		$	41.58		$	40.17
Income (loss) from investment operations:
Net investment income (loss)a		(.28	)		(.15	)		.01			.25			.06
Net gain (loss) on investments (realized and unrealized)		10.51			13.71			(17.76	)		(7.49	)		2.72
Total from investment operations		10.23			13.56			(17.75	)		(7.24	)		2.78
Less distributions from:
Net investment income		—			—			—			(.26	)		—
Net realized gains		—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	37.12		$	26.89		$	13.33		$	32.40		$	41.58
Total Returnc		38.04	%		101.73	%		(54.71	%)		(18.31	%)		7.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	42,647		$	30,825		$	11,063		$	11,763		$	24,918
Ratios to average net assets:
Net investment income (loss)		(0.91	%)		(0.73	%)		0.06	%		0.61	%		0.16	%
Total expenses		1.70	%		1.68	%		1.68	%		1.67	%		1.67	%
Portfolio turnover rate		211	%		219	%		204	%		226	%		296	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

68 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 69

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)	March 31, 2011
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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: February 20, 2004

For the year ended March 31, 2011, Inverse Mid-Cap Strategy Fund H-Class returned -25.56%. Over the year, its benchmark, the S&P MidCap 400 Index turned in a 26.95% return. Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index.

Information Technology (5.86%), Industrials (5.23%) and Consumer Discretionary (3.41%) provided the most performance to the index during the year. Telecommunication Services (0.10%) and Consumer Staples (1.18%) were the smallest contributors to performance.

F5 Networks, Inc., Netflix, Inc. and Chipotle Mexican Grill, Inc. — Class A were among the stocks which provided the most performance to the index during the year. Cree, Inc., Strayer Education, Inc. and ITT Educational Services, Inc. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

70 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

     

     

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

										A-Class												C-Class
										(03/31/04)												(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
IINVERSE MID-CAP STRATEGY FUND		-25.54	%		-29.06	%		-9.51	%		-10.38	%		-10.33	%		-10.95	%	��	-26.09	%		-26.82	%		-10.20	%		-11.12	%
S&P MIDCAP 400 INDEX		26.95	%		26.95	%		6.07	%		6.07	%		8.79	%		8.79	%		26.95	%		26.95	%		6.07	%		8.84	%

				H-Class
				(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
INVERSE MID-CAP STRATEGY FUND		-25.56	%		-9.53	%		-10.44	%
S&P MIDCAP 400 INDEX		26.95	%		6.07	%		8.84	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 71

SCHEDULE OF INVESTMENTS March 31, 2011

INVERSE MID-CAP STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 97.5%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	1,050,575	$	1,050,575
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112		879,037		879,037
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		389,606		389,606
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		70,038		70,038
Total Repurchase Agreements (Cost $2,389,256)				2,389,256
Total Investments — 97.5% (Cost $2,389,256)			$	2,389,256
Cash & Other Assets, Less Liabilities — 2.5%				60,791
Total Net Assets — 100.0%			$	2,450,047

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT††
June 2011 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $197,520)		2	$	(107	)

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Morgan Stanley Capital Services, Inc. April 2011 S&P MidCap 400 Index Swap, Terminating 04/26/113 (Notional Value $195,418)		198	$	(3,751	)
Goldman Sachs International April 2011 S&P MidCap 400 Index Swap, Terminating 04/27/113 (Notional Value $650,049)		657		(15,375	)
Credit Suisse Capital, LLC April 2011 S&P MidCap 400 Index Swap, Terminating 04/28/113 (Notional Value $1,393,110)		1,409		(26,678	)
(Total Notional Value $2,238,577)			$	(45,804	)

†	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 March 31, 2011.
3	Total Return based on S&P MidCap 400 Index +/- financing at a variable rate.

72 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE MID-CAP STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Repurchase agreements, at value	$	2,389,256
Total investments		2,389,256
Segregated cash with broker		125,416
Receivables:
Variation margin		1,291
Fund shares sold		549
Interest		4
Total assets		2,516,516
Liabilities:
Unrealized depreciation on swap agreements		45,804
Payable for:
Swap settlement		13,039
Fund shares redeemed		201
Management fees		2,714
Custodian fees		85
Transfer agent/maintenance fees		754
Distribution and service fees		976
Portfolio accounting fees		302
Licensing fees		41
Other		2,553
Total liabilities		66,469
Net assets	$	2,450,047
Net assets consist of:
Paid in capital	$	15,724,409
Accumulated net investment loss		—
Accumulated net realized loss on investments		(13,228,451	)
Net unrealized depreciation on investments		(45,911	)
Net assets	$	2,450,047
A-Class:
Net assets	$	268,087
Capital shares outstanding		13,154
Net asset value per share	$	20.38
Maximum offering price per share*	$	21.40
C-Class:
Net assets	$	337,238
Capital shares outstanding		17,527
Net asset value per share	$	19.24
H-Class:
Net assets	$	1,844,722
Capital shares outstanding		90,599
Net asset value per share	$	20.36
Repurchase agreements, at cost		2,389,256
Total cost	$	2,389,256

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	6,550
Total investment income		6,550
Expenses:
Management fees		37,641
Transfer agent and administrative fees		10,456
Distribution and service fees:
A-Class		1,109
C-Class		4,501
H-Class		8,221
Portfolio accounting fees		4,182
Trustees’ fees**		494
Miscellaneous		7,515
Total expenses		74,119
Net investment loss		(67,569	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		164
Swap agreements		(889,945	)
Futures contracts		(518,489	)
Net realized loss		(1,408,270	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		124,782
Futures contracts		(603	)
Net change in unrealized appreciation (depreciation)		124,179
Net realized and unrealized loss		(1,284,091	)
Net decrease in net assets resulting from operations	$	(1,351,660	)

** 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 ANNUAL REPORT | 73

INVERSE MID-CAP STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(67,569	)	$	(84,936	)
Net realized loss on investments		(1,408,270	)		(4,520,733	)
Net change in unrealized appreciation (depreciation) on investments		124,179			163,417
Net decrease in net assets resulting from operations		(1,351,660	)		(4,442,252	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		686,044			3,321,246
C-Class		1,570,414			3,242,403
H-Class		41,475,130			56,497,756
Cost of shares redeemed
A-Class		(1,036,384	)		(2,621,482	)
C-Class		(1,354,262	)		(3,059,874	)
H-Class		(41,431,048	)		(57,174,748	)
Net increase (decrease) from capital share transactions		(90,106	)		205,301
Net decrease in net assets		(1,441,766	)		(4,236,951	)
Net assets:
Beginning of year		3,891,813			8,128,764
End of year	$	2,450,047		$	3,891,813
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		25,274			96,465
C-Class		61,434			94,397
H-Class		1,626,446			1,600,220
Shares redeemed
A-Class		(38,915	)		(79,043	)
C-Class		(54,193	)		(91,190	)
H-Class		(1,641,534	)		(1,646,993	)
Net decrease in shares		(21,488	)		(26,144	)

74 | THE RYDEX| SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE MID-CAP STRATEGY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.37		$	48.21		$	37.07		$	33.78		$	37.03
Income (loss) from investment operations:
Net investment income (loss)a		(.39	)		(.52	)		(.22	)		.81			1.35
Net gain (loss) on investments (realized and unrealized)		(6.60	)		(20.32	)		11.40			3.11			(1.81	)
Total from investment operations		(6.99	)		(20.84	)		11.18			3.92			(.46	)
Less distributions from:
Net investment income		—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	20.38		$	27.37		$	48.21		$	37.07		$	33.78
Total Returnb		(25.54	%)		(43.23	%)		30.14	%		11.83	%		(1.35	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	268		$	733		$	452		$	906		$	477
Ratios to average net assets:
Net investment income (loss)		(1.54	%)		(1.56	%)		(0.55	%)		2.35	%		3.52	%
Total expenses		1.69	%		1.69	%		1.68	%		1.66	%		1.65	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.03		$	46.24		$	35.82		$	32.89		$	36.43
Income (loss) from investment operations:
Net investment income (loss)a		(.55	)		(.75	)		(.41	)		.60			1.05
Net gain (loss) on investments (realized and unrealized)		(6.24	)		(19.46	)		10.87			2.96			(1.80	)
Total from investment operations		(6.79	)		(20.21	)		10.46			3.56			(.75	)
Less distributions from:
Net investment income		—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	19.24		$	26.03		$	46.24		$	35.82		$	32.89
Total Returnb		(26.09	%)		(43.71	%)		29.18	%		11.05	%		(2.19	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	337		$	268		$	327		$	1,478		$	801
Ratios to average net assets:
Net investment income (loss)		(2.29	%)		(2.30	%)		(1.07	%)		1.83	%		2.81	%
Total expenses		2.44	%		2.43	%		2.43	%		2.41	%		2.40	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. THE RYDEX| SGI SERIES FUNDS ANNUAL REPORT | 75

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.35		$	48.21		$	37.07		$	33.78		$	37.04
Income (loss) from investment operations:
Net investment income (loss)a		(.40	)		(.55	)		(.27	)		.78			1.35
Net gain (loss) on investments (realized and unrealized)		(6.59	)		(20.31	)		11.45			3.14			(1.82	)
Total from investment operations		(6.99	)		(20.86	)		11.18			3.92			(.47	)
Less distributions from:
Net investment income		—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	20.36		$	27.35		$	48.21		$	37.07		$	33.78
Total Returnb		(25.56	%)		(43.27	%)		30.14	%		11.83	%		(1.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,845		$	2,891		$	7,350		$	46,630		$	15,531
Ratios to average net assets:
Net investment income (loss)		(1.53	%)		(1.55	%)		(0.62	%)		2.26	%		3.51	%
Total expenses		1.69	%		1.68	%		1.70	%		1.65	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

76 | THE RYDEX| SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX| SGI SERIES FUNDS ANNUAL REPORT | 77

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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 150% of the Russell 2000 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: November 1, 2000

For the one-year period ended March 31, 2011, Russell 2000^® 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index. Russell 2000^® 1.5x Strategy Fund H-Class returned 36.02%, while the Russell 2000 Index returned 25.80% over the same period.

The biggest performance contributors to the index during the period were Information Technology (7.78%), Industrials (4.49%) and Energy (3.21%). Telecommunication Services (0.29%), Consumer Staples (0.55%) and Utilities (0.69%) provided the least performance to the index during the year.

Riverbed Technology, Inc., VeriFone Systems, Inc. and TIBCO Software, Inc. were among the stocks which provided the most performance to the index during the year. Corinthian Colleges, Inc., Human Genome Sciences, Inc. and TiVo, Inc. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	March 31, 2004
C-Class	January 23, 2001
H-Class	November 1, 2000

Ten Largest Holdings
(% of Total Net Assets)
Riverbed Technology, Inc.	0.1	%
VeriFone Systems, Inc.	0.1	%
TIBCO Software, Inc.	0.1	%
Brigham Exploration Co.	0.1	%
Rackspace Hosting, Inc.	0.1	%
Nordson Corp.	0.1	%
Sotheby’s	0.1	%
American Capital Ltd.	0.1	%
AMERIGROUP Corp.	0.1	%
Deckers Outdoor Corp.	0.1	%
Top Ten Total	1.0	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

78 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class																		C-Class
	(03/31/04)																		(01/23/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
RUSSELL 2000® 1.5x STRATEGY FUND		36.17	%		29.70	%		-0.85	%		-1.81	%		4.62	%		3.90	%		35.11	%		34.11	%		-1.62	%		5.26	%
RUSSELL 2000 INDEX		25.80	%		25.80	%		3.36	%		3.36	%		6.63	%		6.63	%		25.80	%		25.80	%		3.36	%		7.91	%

	H-Class
	(11/01/00)
	ONE			FIVE			TEN
	YEAR			YEAR			YEAR
RUSSELL 2000® 1.5x STRATEGY FUND		36.02	%		-0.89	%		6.05	%
RUSSELL 2000 INDEX		25.80	%		3.36	%		7.91	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 79

SCHEDULE OF INVESTMENTS	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 9.0%
FINANCIALS - 1.8%
American Capital Ltd.*		1,069	$	10,583
Stifel Financial Corp.*		113		8,112
Highwoods Properties, Inc.		226		7,912
BioMed Realty Trust, Inc.		409		7,779
CBL & Associates Properties, Inc.		434		7,560
Signature Bank *		133		7,501
SVB Financial Group*		129		7,344
Apollo Investment Corp.		599		7,224
MFA Financial, Inc.		870		7,134
Home Properties, Inc.		117		6,897
National Retail Properties, Inc.		263		6,872
Tanger Factory Outlet Centers		260		6,822
Alterra Capital Holdings Ltd.		300		6,702
American Campus Communities, Inc.		201		6,633
Omega Healthcare Investors, Inc.		293		6,546
Kilroy Realty Corp.		168		6,523
Entertainment Properties Trust		139		6,508
ProAssurance Corp.*		100		6,337
Mid-America Apartment Communities, Inc.		96		6,163
Post Properties, Inc.		155		6,084
LaSalle Hotel Properties		225		6,075
Washington Real Estate Investment Trust		189		5,876
Prosperity Bancshares, Inc.		136		5,817
Extra Space Storage, Inc.		276		5,716
FirstMerit Corp.		328		5,596
MGIC Investment Corp.*		628		5,583
DiamondRock Hospitality Co.		485		5,417
First American Financial Corp.		326		5,379
CNO Financial Group, Inc.*		698		5,242
Iberiabank Corp.		82		4,931
NewAlliance Bancshares, Inc.		332		4,927
Platinum Underwriters Holdings Ltd.		129		4,914
Equity Lifestyle Properties, Inc.		83		4,785
Potlatch Corp.		119		4,784
Colonial Properties Trust		243		4,678
American Capital Agency Corp.		160		4,662
Delphi Financial Group, Inc. — Class A		150		4,606
Trustmark Corp.		196		4,590
Westamerica Bancorporation		86		4,418
Ezcorp, Inc. — Class A*		139		4,363
Healthcare Realty Trust, Inc.		192		4,358
Webster Financial Corp.		200		4,286
Northwest Bancshares, Inc.		341		4,276
Portfolio Recovery Associates, Inc.*		50		4,256
Cash America International, Inc.		90		4,145
Umpqua Holdings Corp.		362		4,141
Medical Properties Trust, Inc.		356		4,119
Cathay General Bancorp		240		4,092
Whitney Holding Corp.		300		4,086
Knight Capital Group, Inc. — Class A*		296		3,966
Hatteras Financial Corp.		140		3,937
Montpelier Re Holdings Ltd.		222		3,923
Astoria Financial Corp.		270		3,880
FNB Corp.		364		3,837
National Health Investors, Inc.		80		3,834
PHH Corp.*		173		3,766
Susquehanna Bancshares, Inc.		400		3,740
UMB Financial Corp.		100		3,736
Redwood Trust, Inc.		240		3,732
Wintrust Financial Corp.		101		3,712
DCT Industrial Trust, Inc.		666		3,696
Alexander’s, Inc.		9		3,663
Sovran Self Storage, Inc.		90		3,559
EastGroup Properties, Inc.		79		3,474
RLI Corp.		60		3,459
Glacier Bancorp, Inc.		226		3,401
PS Business Parks, Inc.		58		3,361
Starwood Property Trust, Inc.		150		3,345
First Financial Bankshares, Inc.		65		3,339
First Cash Financial Services, Inc.*		86		3,320
DuPont Fabros Technology, Inc.		135		3,274
MB Financial, Inc.		156		3,270
World Acceptance Corp.*		50		3,260
Argo Group International Holdings Ltd.		98		3,238
Sunstone Hotel Investors, Inc.*		314		3,200
United Bankshares, Inc.		120		3,182
Tower Group, Inc.		130		3,124
U-Store-It Trust		296		3,114
Old National Bancorp		286		3,066
National Penn Bancshares, Inc.		394		3,050
International Bancshares Corp.		165		3,026
First Financial Bancorp		180		3,004
Prospect Capital Corp.		245		2,991
KBW, Inc.		113		2,959
Franklin Street Properties Corp.		210		2,955
Texas Capital Bancshares, Inc.*		112		2,911
Selective Insurance Group, Inc.		168		2,906
Strategic Hotels & Resorts, Inc.*		446		2,877
Capstead Mortgage Corp.		223		2,850
Hancock Holding Co.		86		2,824
Radian Group, Inc.		413		2,813
Provident Financial Services, Inc.		190		2,812
Lexington Realty Trust		300		2,805
iStar Financial, Inc.*		296		2,717
First Midwest Bancorp, Inc.		230		2,712
MF Global Holdings Ltd.*		327		2,708
Employers Holdings, Inc.		130		2,686
CVB Financial Corp.		284		2,644
Anworth Mortgage Asset Corp.		372		2,637

80 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Invesco Mortgage Capital, Inc.		120	$	2,622
Pebblebrook Hotel Trust		118		2,614
Greenlight Capital Re Ltd.— Class A*		92		2,595
Ocwen Financial Corp.*		234		2,579
Infinity Property & Casualty Corp.		43		2,558
Hersha Hospitality Trust — Class A		423		2,513
Community Bank System, Inc.		103		2,500
Investment Technology Group, Inc.*		136		2,474
PrivateBancorp, Inc. — Class A		160		2,446
Glimcher Realty Trust		263		2,433
Government Properties Income Trust		90		2,417
NBT Bancorp, Inc.		106		2,416
Sterling Bancshares, Inc.		280		2,411
Park National Corp.		36		2,406
Pennsylvania Real Estate Investment Trust		168		2,397
LTC Properties, Inc.		84		2,381
optionsXpress Holdings, Inc.		130		2,380
Cousins Properties, Inc.		285		2,380
Dollar Financial Corp.*		114		2,366
American Equity Investment Life Holding Co.		180		2,362
First Industrial Realty Trust, Inc.*		198		2,354
Sun Communities, Inc.		65		2,317
PacWest Bancorp		105		2,284
Inland Real Estate Corp.		236		2,251
First Commonwealth Financial Corp.		328		2,247
Columbia Banking System, Inc.		117		2,243
Fifth Street Finance Corp.		168		2,243
MarketAxess Holdings, Inc.		92		2,226
Navigators Group, Inc.*		43		2,215
BlackRock Kelso Capital Corp.		217		2,198
Acadia Realty Trust		116		2,195
Pico Holdings, Inc.*		73		2,194
Forestar Group, Inc.*		115		2,187
Investors Real Estate Trust		230		2,185
Investors Bancorp, Inc.*		146		2,174
Piper Jaffray Companies, Inc.*		52		2,154
Oritani Financial Corp.		166		2,105
Associated Estates Realty Corp.		131		2,080
Equity One, Inc.		108		2,027
Horace Mann Educators Corp.		120		2,016
Brookline Bancorp, Inc.		185		1,948
Bank of the Ozarks, Inc.		44		1,923
National Financial Partners Corp.*		130		1,917
First Potomac Realty Trust		119		1,874
City Holding Co.		53		1,874
Independent Bank Corp.		69		1,864
FelCor Lodging Trust, Inc.*		299		1,833
S&T Bancorp, Inc.		84		1,812
Oriental Financial Group, Inc.		144		1,807
Primerica, Inc.		70		1,786
Meadowbrook Insurance Group,Inc.		172		1,780
Evercore Partners, Inc. — Class A		51		1,749
Nelnet, Inc. — Class A		80		1,746
BGC Partners, Inc. — Class A		185		1,719
Credit Acceptance Corp.*		24		1,703
Enstar Group Ltd.*		17		1,698
Getty Realty Corp.		73		1,670
Boston Private Financial Holdings, Inc.		236		1,669
Safety Insurance Group, Inc.		36		1,660
Pinnacle Financial Partners, Inc.*		100		1,654
Western Alliance Bancorporation*		200		1,644
Internet Capital Group, Inc.*		115		1,633
Tejon Ranch Co.*		44		1,617
Cohen & Steers, Inc.		54		1,603
Chemical Financial Corp.		80		1,594
MCG Capital Corp.		245		1,593
Universal Health Realty Income Trust		39		1,581
Banco Latinoamericano de Comercio Exterior S.A. — Class E		90		1,571
Ramco-Gershenson Properties Trust		124		1,554
Home Bancshares, Inc.		68		1,547
United Fire & Casualty Co.		75		1,516
Harleysville Group, Inc.		45		1,491
Flushing Financial Corp.		100		1,490
Ashford Hospitality Trust, Inc.		135		1,488
Artio Global Investors, Inc.— Class A		92		1,487
Compass Diversified Holdings		99		1,459
WesBanco, Inc.		70		1,450
Education Realty Trust, Inc.		180		1,445
Retail Opportunity Investments Corp.		132		1,444
Sabra Healthcare REIT, Inc.		82		1,444
Trustco Bank Corp.		242		1,435
Flagstone Reinsurance Holdings S.A.		157		1,415
Virtus Investment Partners, Inc.*		24		1,414
Simmons First National Corp.— Class A		51		1,382
Renasant Corp.		81		1,375
AMERISAFE, Inc.*		62		1,371
Cypress Sharpridge Investments, Inc.		108		1,369
Urstadt Biddle Properties, Inc.— Class A		71		1,350
Danvers Bancorp, Inc.		62		1,328
Walter Investment Management Corp.		81		1,307
Amtrust Financial Services, Inc.		68		1,297
Duff & Phelps Corp. — Class A		81		1,294
Sandy Spring Bancorp, Inc.		70		1,292

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 81

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Capital Southwest Corp.		14	$	1,281
PennantPark Investment Corp.		106		1,264
Provident New York Bancorp		120		1,238
SCBT Financial Corp.		37		1,231
NorthStar Realty Finance Corp.		230		1,231
FBL Financial Group, Inc. — Class A		40		1,229
CNA Surety Corp.*		48		1,212
Dime Community Bancshares, Inc.		82		1,210
Hilltop Holdings, Inc.*		119		1,195
PMI Group, Inc.*		442		1,193
Lakeland Financial Corp.		52		1,179
WSFS Financial Corp.		25		1,178
TowneBank		75		1,174
Hercules Technology Growth Capital, Inc.		106		1,166
Nara Bancorp, Inc.*		120		1,154
Safeguard Scientifics, Inc.*		56		1,140
Parkway Properties, Inc.		67		1,139
Newcastle Investment Corp.*		187		1,129
Maiden Holdings Ltd.		150		1,123
Citizens Republic Bancorp, Inc.*		1,239		1,103
Financial Engines, Inc.*		40		1,102
1st Source Corp.		55		1,102
MVC Capital, Inc.		80		1,098
Community Trust Bancorp, Inc.		39		1,079
Oppenheimer Holdings, Inc. — Class A		32		1,072
GFI Group, Inc.		212		1,064
FPIC Insurance Group, Inc.*		27		1,023
Encore Capital Group, Inc.*		43		1,019
Cedar Shopping Centers, Inc.		167		1,007
SY Bancorp, Inc.		40		1,006
West Coast Bancorp*		290		1,006
Westwood Holdings Group, Inc.		25		1,006
Cardinal Financial Corp.		86		1,003
First Financial Corp.		30		997
Phoenix Companies, Inc.*		366		996
Calamos Asset Management, Inc. — Class A		60		995
StellarOne Corp.		70		994
Hudson Valley Holding Corp.		45		990
CapLease, Inc.		180		986
Southside Bancshares, Inc.		46		984
eHealth, Inc.*		74		984
NewStar Financial, Inc.*		90		983
Colony Financial, Inc.		52		979
National Western Life Insurance Co. — Class A		6		973
Chesapeake Lodging Trust		55		958
Beneficial Mutual Bancorp, Inc.*		111		957
Triangle Capital Corp.		52		939
Kite Realty Group Trust		174		924
PennyMac Mortgage Investment Trust		50		920
International. FCStone, Inc.*		36		915
TradeStation Group, Inc.*		130		913
HFF, Inc. — Class A*		60		902
Washington Trust Bancorp, Inc.		38		902
Advance America Cash Advance Centers, Inc.		170		901
Resource Capital Corp.		136		896
Univest Corporation of Pennsylvania		50		886
Main Street Capital Corp.		48		886
Southwest Bancorp, Inc.		61		866
TICC Capital Corp.		79		859
Global Indemnity plc — Class A*		39		857
Northfield Bancorp, Inc.		62		856
Saul Centers, Inc.		19		846
Two Harbors Investment Corp.		80		838
Berkshire Hills Bancorp, Inc.		40		834
Tompkins Financial Corp.		20		831
United Financial Bancorp, Inc.		50		826
Westfield Financial, Inc.		91		824
Gladstone Capital Corp.		72		814
Sterling Bancorp — Class N		81		811
Winthrop Realty Trust		66		809
Center Financial Corp.*		110		807
Citizens, Inc.*		110		803
Territorial Bancorp, Inc.		40		797
Abington Bancorp, Inc.		65		795
First Busey Corp.		156		792
Cogdell Spencer, Inc.		133		790
GAMCO Investors, Inc. — Class A		17		788
Apollo Commercial Real Estate Finance, Inc.		48		785
Consolidated-Tomoka Land Co.		24		778
OceanFirst Financial Corp.		55		767
Arrow Financial Corp.		31		767
Heartland Financial USA, Inc.		44		748
Enterprise Financial Services Corp.		53		746
RAIT Financial Trust		299		736
American Safety Insurance Holdings Ltd.*		34		729
Citizens & Northern Corp.		43		723
SeaBright Holdings, Inc.		70		717
Baldwin & Lyons, Inc. — Class B		30		703
Eagle Bancorp, Inc.*		50		702
CoBiz Financial, Inc.		101		702
Trico Bancshares		43		701
First Community Bancshares, Inc.		49		695
Camden National Corp.		20		685
Bancfirst Corp.		16		683
Ameris Bancorp		67		681
United Community Banks, Inc.*		287		680
Union First Market Bankshares Corp.		60		675
Monmouth Real Estate Investment Corp. — Class A		82		673
Bancorp, Inc.*		72		665
Washington Banking Co.		47		663
State Auto Financial Corp.		36		656

82 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
First Merchants Corp.		79	$	653
MainSource Financial Group, Inc.		65		651
First Bancorp		49		650
NGP Capital Resources Co.		67		646
Republic Bancorp, Inc. — Class A		33		643
Epoch Holding Corp.		40		631
Ames National Corp.		33		630
Suffolk Bancorp		30		629
Bryn Mawr Bank Corp.		30		617
Dynex Capital, Inc.		61		614
Arlington Asset Investment Corp. — Class A		20		609
Kennedy-Wilson Holdings, Inc.*		56		608
Lakeland Bancorp, Inc.		58		602
Pacific Continental Corp.		59		601
Bank of Marin Bancorp		16		597
CNB Financial Corp.		41		595
ViewPoint Financial Group		45		585
Penns Woods Bancorp, Inc.		15		584
Agree Realty Corp.		26		584
Presidential Life Corp.		61		581
Bank Mutual Corp.		136		575
Farmer Mac — Class C		30		573
OmniAmerican Bancorp, Inc.*		36		570
Centerstate Banks, Inc.		80		560
Diamond Hill Investment Group, Inc.		7		560
FBR Capital Markets Corp.*		156		558
Great Southern Bancorp, Inc.		26		558
First Financial Holdings, Inc.		49		554
Avatar Holdings, Inc.*		28		554
BankFinancial Corp.		60		551
SWS Group, Inc.		90		546
Stewart Information Services Corp.		52		545
Harris & Harris Group, Inc.*		101		543
Gladstone Investment Corp.		70		543
Excel Trust, Inc.		46		542
Home Federal Bancorp, Inc.		46		542
MPG Office Trust, Inc.*		146		542
ESSA Bancorp, Inc.		40		528
Financial Institutions, Inc.		30		525
State Bancorp, Inc.		50		520
German American Bancorp, Inc.		30		516
1st United Bancorp, Inc.*		73		512
Capital City Bank Group, Inc.		40		507
Orrstown Financial Services, Inc.		18		504
First Interstate Bancsystem, Inc. — Class A		37		503
Sierra Bancorp		45		503
ESB Financial Corp.		34		502
Solar Capital Ltd.		21		501
National Bankshares, Inc.		17		491
National Interstate Corp.		23		480
Gladstone Commercial Corp.		26		474
First of Long Island Corp.		17		472
LaBranche & Company, Inc.*		120		472
Rockville Financial, Inc.*		45		469
Tower Bancorp, Inc.		21		468
Peapack Gladstone Financial Corp.		35		464
Kearny Financial Corp.		46		461
JMP Group, Inc.		53		456
One Liberty Properties, Inc.		30		452
Sanders Morris Harris Group, Inc.		56		449
Terreno Realty Corp.		26		448
CreXus Investment Corp.		39		445
Cowen Group, Inc. — Class A*		111		445
Metro Bancorp, Inc.*		36		445
First Bancorp, Inc.		29		442
Bancorp Rhode Island, Inc.		14		432
Bridge Bancorp, Inc.		19		425
Chatham Lodging Trust		26		423
Medallion Financial Corp.		48		422
Meridian Interstate Bancorp, Inc.*		30		422
Gleacher & Company, Inc.*		242		421
Penson Worldwide, Inc.*		62		416
Kansas City Life Insurance Co.		13		416
THL Credit, Inc.		30		410
Donegal Group, Inc. — Class A		30		401
Hanmi Financial Corp.*		320		397
Virginia Commerce Bancorp, Inc.*		69		396
Mission West Properties, Inc.		60		394
Heritage Financial Corp.*		27		383
First Marblehead Corp.*		173		381
Clifton Savings Bancorp, Inc.		32		380
West Bancorporation, Inc.		47		375
Alliance Financial Corp.		11		367
Peoples Bancorp, Inc.		30		361
American National Bankshares, Inc.		16		360
Thomas Properties Group, Inc.*		106		355
Crawford & Co. — Class B		71		338
Roma Financial Corp.		30		332
Ladenburg Thalmann Financial Services, Inc.*		286		329
UMH Properties, Inc.		33		328
Marlin Business Services Corp.*		26		321
Taylor Capital Group, Inc.*		30		315
Hallmark Financial Services*		37		310
Wilshire Bancorp, Inc.		60		294
Home Bancorp, Inc.*		19		291
Merchants Bancshares, Inc.		10		265
Fox Chase Bancorp, Inc.		19		264
BofI Holding, Inc.*		17		264
Asset Acceptance Capital Corp.*		49		263
CompuCredit Holdings Corp.*		40		263
First BanCorp*		52		260
Asta Funding, Inc.		30		257
Universal Insurance Holdings, Inc.		47		255
Primus Guaranty Ltd.*		50		254
Golub Capital BDC, Inc.		16		252
MidWestOne Financial Group, Inc.		17		252
Midsouth Bancorp, Inc.		17		246

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 83

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Encore Bancshares, Inc.*		20	$	243
Flagstar Bancorp, Inc.*		154		231
NASB Financial, Inc.		13		210
Life Partners Holdings, Inc.		25		201
EMC Insurance Group, Inc.		8		199
Kaiser Federal Financial Group, Inc.		16		197
Century Bancorp, Inc. — Class A		6		161
California First National Bancorp		10		153
Pzena Investment Management, Inc. — Class A		20		141
First South Bancorp, Inc.		26		130
Green Bankshares, Inc.*		40		112
Rodman & Renshaw Capital Group, Inc.*		46		94
Porter Bancorp, Inc.		11		87
Heritage Financial Group, Inc.		6		76
Waterstone Financial, Inc.*		24		74
Doral Financial Corp.*		60		66
Total Financials				768,224
INFORMATION TECHNOLOGY - 1.7%
Riverbed Technology, Inc.*		392		14,759
VeriFone Systems, Inc.*		267		14,672
TIBCO Software, Inc.*		522		14,224
Rackspace Hosting, Inc.*		298		12,769
Acme Packet, Inc.*		140		9,934
Ariba, Inc.*		278		9,491
Jack Henry & Associates, Inc.		272		9,218
Netlogic Microsystems, Inc.*		196		8,236
Parametric Technology Corp.*		366		8,231
Aruba Networks, Inc.*		240		8,122
ADTRAN, Inc.		188		7,982
SuccessFactors, Inc.*		204		7,974
Concur Technologies, Inc.*		126		6,987
InterDigital, Inc.		140		6,679
Veeco Instruments, Inc.*		128		6,508
Anixter International, Inc.		90		6,290
GSI Commerce, Inc.*		214		6,264
Wright Express Corp.*		120		6,221
Cavium Networks, Inc.*		138		6,200
TriQuint Semiconductor, Inc.*		480		6,197
Fortinet, Inc.*		132		5,808
Omnivision Technologies, Inc.*		160		5,685
Finisar Corp.*		230		5,658
Progress Software Corp.*		193		5,614
CACI International, Inc. — Class A*		90		5,519
Microsemi Corp.*		266		5,509
Plantronics, Inc.		149		5,456
RF Micro Devices, Inc.*		833		5,340
OpenTable, Inc.*		50		5,317
MKS Instruments, Inc.		159		5,295
Lawson Software, Inc.*		428		5,179
Hittite Microwave Corp.*		81		5,165
CommVault Systems, Inc.*		128		5,105
Cymer, Inc.*		90		5,092
Arris Group, Inc.*		396		5,045
Coherent, Inc.*		85		4,939
Quest Software, Inc.*		190		4,824
Semtech Corp.*		192		4,804
Mentor Graphics Corp.*		328		4,799
Universal Display Corp.*		86		4,733
Ultimate Software Group, Inc.*		80		4,700
Plexus Corp.*		133		4,663
SAVVIS, Inc.*		125		4,636
Digital River, Inc.*		121		4,529
Cirrus Logic, Inc.*		215		4,521
TTM Technologies, Inc.*		248		4,504
IPG Photonics Corp.*		77		4,441
Taleo Corp. — Class A*		122		4,349
MAXIMUS, Inc.		52		4,221
Littelfuse, Inc.		73		4,168
Fair Isaac Corp.		130		4,109
Unisys Corp.*		130		4,059
j2 Global Communications, Inc.*		137		4,043
MicroStrategy, Inc. — Class A*		30		4,034
FEI Co.*		119		4,013
Viasat, Inc.*		100		3,984
Blackboard, Inc.*		109		3,950
JDA Software Group, Inc.*		130		3,934
Benchmark Electronics, Inc.*		202		3,832
Blackbaud, Inc.		140		3,814
Diodes, Inc.*		110		3,747
Sapient Corp.*		326		3,733
Rofin-Sinar Technologies, Inc.*		94		3,713
SRA International, Inc. — Class A*		130		3,687
Integrated Device Technology, Inc.*		500		3,685
ValueClick, Inc.*	��	252		3,644
ACI Worldwide, Inc.*		110		3,608
Netgear, Inc.*		111		3,601
Entegris, Inc.*		409		3,587
Blue Coat Systems, Inc.*		126		3,548
Cabot Microelectronics Corp.*		66		3,449
Take-Two Interactive Software, Inc.*		220		3,381
Cognex Corp.		119		3,362
Terremark Worldwide, Inc.*		176		3,344
TiVo, Inc.*		358		3,136
Constant Contact, Inc.*		88		3,071
Power Integrations, Inc.		80		3,066
Acxiom Corp.*		213		3,057
Websense, Inc.*		133		3,055
Tessera Technologies, Inc.*		163		2,976
Synaptics, Inc.*		110		2,972
Scansource, Inc.*		77		2,925
Euronet Worldwide, Inc.*		150		2,900
L-1 Identity Solutions, Inc. — Class1*		246		2,898
DealerTrack Holdings, Inc.*		126		2,893
Stratasys, Inc.*		61		2,867

84 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Aspen Technology, Inc.*		190	$	2,848
Brooks Automation, Inc.*		206		2,828
Sanmina-SCI Corp.*		250		2,803
Mantech International Corp. — Class A*		66		2,798
Harmonic, Inc.*		298		2,795
Advent Software, Inc.*		96		2,752
Netscout Systems, Inc.*		100		2,732
Checkpoint Systems, Inc.*		120		2,698
Emulex Corp.*		252		2,689
DG FastChannel, Inc.*		83		2,674
Earthlink, Inc.		338		2,647
Bottomline Technologies, Inc.*		105		2,640
STEC, Inc.*		126		2,531
Sourcefire, Inc.*		92		2,531
SolarWinds, Inc.*		106		2,487
Sonus Networks, Inc.*		652		2,452
SYNNEX Corp.*		74		2,422
Brightpoint, Inc.*		222		2,406
Insight Enterprises, Inc.*		140		2,384
Manhattan Associates, Inc.*		72		2,356
Comtech Telecommunications Corp.		86		2,337
Loral Space & Communications, Inc.*		30		2,326
Tyler Technologies, Inc.*		97		2,300
Rogers Corp.*		51		2,298
DTS, Inc.*		49		2,285
Infinera Corp.*		272		2,282
MTS Systems Corp.		50		2,278
LogMeln, Inc.*		54		2,277
Synchronoss Technologies, Inc.*		65		2,259
VirnetX Holding Corp.		113		2,250
Amkor Technology, Inc.*		328		2,211
Silicon Image, Inc.*		246		2,207
Ancestry.com, Inc.*		62		2,198
CSG Systems International, Inc.*		110		2,193
NIC, Inc.		175		2,180
Micrel, Inc.		160		2,157
Silicon Graphics International Corp.*		100		2,140
Lattice Semiconductor Corp.*		360		2,124
Avid Technology, Inc.*		95		2,119
Heartland Payment Systems, Inc.		120		2,104
RightNow Technologies, Inc.*		67		2,097
Park Electrochemical Corp.		65		2,096
Syntel, Inc.		40		2,089
Applied Micro Circuits Corp.*		201		2,086
Kulicke & Soffa Industries, Inc.*		223		2,085
Ultratech, Inc.*		70		2,058
Electronics for Imaging, Inc.*		139		2,045
Forrester Research, Inc.		53		2,029
Kenexa Corp.*		73		2,014
Volterra Semiconductor Corp.*		81		2,011
Newport Corp.*		112		1,997
Ebix, Inc.*		84		1,987
Pegasystems, Inc.		52		1,973
FARO Technologies, Inc.*		49		1,960
comScore, Inc.*		66		1,948
Power-One, Inc.*		217		1,899
ATMI, Inc.*		100		1,888
Advanced Energy Industries, Inc.*		115		1,880
Powerwave Technologies, Inc.*		410		1,849
Radiant Systems, Inc.*		104		1,841
Standard Microsystems Corp.*		74		1,825
Ceva, Inc.*		67		1,791
Black Box Corp.		50		1,757
TeleTech Holdings, Inc.*		90		1,744
Oclaro, Inc.*		151		1,738
Hypercom Corp.*		144		1,732
OSI Systems, Inc.*		46		1,726
United Online, Inc.		273		1,721
LivePerson, Inc.*		136		1,719
Entropic Communications, Inc.*		202		1,707
Tekelec*		210		1,705
Epicor Software Corp.*		153		1,694
Quantum Corp.*		670		1,688
Opnet Technologies, Inc.		43		1,677
Cardtronics, Inc.*		82		1,669
Zoran Corp.*		160		1,662
Measurement Specialties, Inc.*		48		1,635
NetSuite, Inc.*		56		1,628
Formfactor, Inc.*		158		1,627
Interactive Intelligence, Inc.*		41		1,587
Mercury Computer Systems, Inc.*		75		1,587
Intermec, Inc.*		146		1,575
Sycamore Networks, Inc.		64		1,564
Electro Scientific Industries, Inc.*		90		1,562
Photronics, Inc.*		174		1,561
Ixia*		98		1,556
Rubicon Technology, Inc.*		55		1,522
MIPS Technologies, Inc. — Class A*		141		1,479
Methode Electronics, Inc.		122		1,474
EPIQ Systems, Inc.		100		1,436
Accelrys, Inc.*		175		1,400
iGate Corp.		73		1,370
Maxwell Technologies, Inc.*		79		1,364
Monolithic Power Systems, Inc.*		96		1,362
LTX-Credence Corp.*		148		1,351
Vocus, Inc.*		50		1,293
Ciber, Inc.*		192		1,286
Sigma Designs, Inc.*		99		1,282
Super Micro Computer, Inc.*		78		1,251
TNS, Inc.*		80		1,246
Oplink Communications, Inc.*		63		1,228
SMART Modular Technologies WWH, Inc.*		156		1,212
Magma Design Automation, Inc.*		177		1,207
Daktronics, Inc.		110		1,183
Move, Inc.*		484		1,157

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 85

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
ShoreTel, Inc.*		140	$	1,152
CTS Corp.		106		1,145
Cass Information Systems, Inc.		29		1,139
Cohu, Inc.		72		1,106
Nanometrics, Inc.*		60		1,085
VASCO Data Security International, Inc.*		79		1,085
Knot, Inc.*		90		1,085
Rudolph Technologies, Inc.*		99		1,083
ExlService Holdings, Inc.*		51		1,079
Internap Network Services Corp.*		163		1,071
Travelzoo, Inc.*		16		1,065
S1 Corp.*		159		1,062
EMS Technologies, Inc.*		53		1,042
Monotype Imaging Holdings, Inc.*		70		1,015
Echelon Corp.*		100		1,013
Limelight Networks, Inc.*		141		1,010
Xyratex Ltd.*		90		1,006
Aviat Networks, Inc.*		190		982
Extreme Networks*		280		980
Kopin Corp.*		211		968
RealNetworks, Inc.*		258		960
Imation Corp.*		86		958
THQ, Inc.*		210		958
IXYS Corp.*		70		940
Infospace, Inc.*		108		935
Anaren, Inc.*		46		925
Anadigics, Inc.*		206		923
MoneyGram International, Inc.*		262		899
Electro Rent Corp.		52		893
Saba Software, Inc.*		90		883
LoopNet, Inc.*		62		877
Intevac, Inc.*		70		870
Axcelis Technologies, Inc.*		326		864
Seachange International, Inc.*		90		855
Globecomm Systems, Inc.*		69		851
Symmetricom, Inc.*		138		846
Digi International, Inc.*		80		845
Smith Micro Software, Inc.*		90		842
UTStarcom, Inc.*		358		841
Perficient, Inc.*		70		841
Mindspeed Technologies, Inc.*		99		838
Pericom Semiconductor Corp.*		80		830
Spansion, Inc. — Class A*		44		821
PROS Holdings, Inc.*		56		816
Pulse Electronics Corp.		134		811
Wave Systems Corp. — Class A*		256		801
SS&C Technologies Holdings, Inc.*		39		796
Multi-Fineline Electronix, Inc.*		28		790
DemandTec, Inc.*		60		790
ModusLink Global Solutions, Inc.		142		775
Keynote Systems, Inc.		41		761
support.com, Inc.*		146		758
Dice Holdings, Inc.*		50		755
Gerber Scientific, Inc.*		80		749
Integrated Silicon Solution, Inc.*		80		742
Actuate Corp.*		142		738
Virtusa Corp.*		39		730
Liquidity Services, Inc.*		40		714
Cray, Inc.*		110		710
Spectrum Control, Inc.*		36		708
AXT, Inc.*		97		695
Ultra Clean Holdings*		67		693
Immersion Corp.*		90		688
Computer Task Group, Inc.*		51		678
KIT Digital, Inc.*		56		674
Zygo Corp.*		46		673
Lionbridge Technologies, Inc.*		195		669
Supertex, Inc.*		30		668
Exar Corp.*		110		662
Bel Fuse, Inc. — Class B		29		638
Integral Systems, Inc.*		52		633
Zix Corp.*		166		611
Calix, Inc.*		30		609
KVH Industries, Inc.*		40		605
Conexant Systems, Inc.*		250		595
QuinStreet, Inc.*		26		591
Radisys Corp.*		68		589
GSI Technology, Inc.*		64		582
Digimarc Corp.*		20		578
Openwave Systems, Inc.*		262		561
NCI, Inc. — Class A*		23		561
TeleCommunication Systems, Inc. — Class A*		136		560
Novatel Wireless, Inc.*		100		546
FSI International, Inc.*		124		543
DSP Group, Inc.*		70		539
Richardson Electronics Ltd.		40		527
American Software, Inc. — Class A		70		517
Global Cash Access Holdings, Inc.*		156		510
Marchex, Inc. — Class A		64		504
X-Rite, Inc.*		104		494
Renaissance Learning, Inc.		42		494
Advanced Analogic Technologies, Inc.*		129		488
PDF Solutions, Inc.*		73		485
Rimage Corp.		30		485
MoSys, Inc.*		80		481
PC-Telephone, Inc.*		60		460
Deltek, Inc.*		60		456
DDi Corp.		43		455
TechTarget, Inc.*		51		454
PLX Technology, Inc.*		119		434
BigBand Networks, Inc.*		161		411
FalconStor Software, Inc.*		90		409
Stamps.com, Inc.		30		401
Rosetta Stone, Inc.*		30		396
Echo Global Logistics, Inc.*		30		394
Mattson Technology, Inc.*		156		381
Comverge, Inc.*		80		373
TeleNav, Inc.*		30		356
Guidance Software, Inc.*		42		352

86 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Hackett Group, Inc.*		90	$	346
Agilysys, Inc.*		60		344
SRS Labs, Inc.*		40		342
Network Equipment Technologies, Inc.*		90		339
NVE Corp.*		6		338
Meru Networks, Inc.*		16		325
Opnext, Inc.*		127		309
Online Resources Corp.*		79		299
Convio, Inc.*		25		290
Tessco Technologies, Inc.		25		287
Viasystems Group, Inc.*		10		273
PC Connection, Inc.*		30		266
Alpha & Omega Semiconductor Ltd.*		20		254
Trident Microsystems, Inc.*		219		252
Network Engines, Inc.*		110		223
CDC Corp. — Class A*		86		219
Tier Technologies, Inc. — Class B*		36		198
Hutchinson Technology, Inc.*		66		186
QAD, Inc. — Class A*		17		183
Presstek, Inc.*		88		183
Local.com Corp.*		46		179
MaxLinear, Inc. — Class A*		21		172
ePlus, Inc.*		6		160
SPS Commerce, Inc.*		10		155
Ikanos Communications, Inc.*		90		103
QAD, Inc. — Class B*		4		41
Stream Global Services, Inc.*		10		30
Total Information Technology				744,489
INDUSTRIALS - 1.4%
Nordson Corp.		109		12,542
Acuity Brands, Inc.		136		7,955
GrafTech International Ltd.*		376		7,757
Clean Harbors, Inc.*		75		7,399
Genesee & Wyoming, Inc. — Class A*		125		7,275
CLARCOR, Inc.		160		7,189
Alaska Air Group, Inc.*		108		6,849
EMCOR Group, Inc.*		212		6,566
Moog, Inc. — Class A*		142		6,519
Watsco, Inc.		93		6,483
Woodward, Inc.		186		6,428
United Rentals, Inc.*		191		6,356
Esterline Technologies Corp.*		89		6,294
Actuant Corp. — Class A		215		6,235
EnerSys*		154		6,121
Hexcel Corp.*		306		6,025
Dollar Thrifty Automotive Group, Inc.*		90		6,006
HEICO Corp.		94		5,877
Avis Budget Group, Inc.*		320		5,731
Teledyne Technologies, Inc.*		110		5,688
United Stationers, Inc.		80		5,684
Atlas Air Worldwide Holdings, Inc.*		81		5,647
Belden, Inc.		148		5,557
Robbins & Myers, Inc.		120		5,519
JetBlue Airways Corp.*		848		5,317
Brady Corp. — Class A		146		5,211
Herman Miller, Inc.		184		5,058
Curtiss-Wright Corp.		143		5,025
Brink’s Co.		150		4,967
Geo Group, Inc.*		186		4,769
Chart Industries, Inc.*		86		4,733
AO Smith Corp.		106		4,700
Tetra Tech, Inc.*		190		4,691
Middleby Corp.*		50		4,661
Old Dominion Freight Line, Inc.*		130		4,562
HNI Corp.		144		4,545
Triumph Group, Inc.		50		4,422
HUB Group, Inc. — Class A*		122		4,415
Corporate Executive Board Co.		108		4,360
US Airways Group, Inc.*		500		4,355
Deluxe Corp.		164		4,353
Applied Industrial Technologies, Inc.		130		4,324
Mueller Industries, Inc.		118		4,321
ABM Industries, Inc.		162		4,113
Polypore International, Inc.*		70		4,031
Rollins, Inc.		198		4,019
II-VI, Inc.*		79		3,930
Kaydon Corp.		96		3,762
Briggs & Stratton Corp.		159		3,601
American Superconductor Corp.*		144		3,581
Healthcare Services Group, Inc.		202		3,551
Simpson Manufacturing Company, Inc.		120		3,535
CoStar Group, Inc.*		56		3,510
Werner Enterprises, Inc.		130		3,441
Ceradyne, Inc.*		76		3,426
Acacia Research — Acacia Technologies*		100		3,422
Orbital Sciences Corp.*		180		3,406
Knight Transportation, Inc.		176		3,388
Watts Water Technologies, Inc. — Class A		88		3,361
AAR Corp.*		120		3,326
MasTec, Inc.*		158		3,286
Franklin Electric Company, Inc.		70		3,234
Insituform Technologies, Inc. — Class A*		120		3,210
Korn*		143		3,185
AirTran Holdings, Inc.*		426		3,174
Barnes Group, Inc.		151		3,153
Knoll, Inc.		150		3,144
Amerco, Inc.*		32		3,104
Raven Industries, Inc.		50		3,071
ESCO Technologies, Inc.		80		3,052
Cubic Corp.		53		3,047

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 87

SCHEDULE OF INVESTMENTS (continued)
RUSSELL 2000^® 1.5x STRATEGY FUND March 31, 2011

	Shares		Value
Granite Construction, Inc.		106	$	2,979
Interface, Inc. — Class A		160		2,958
Mine Safety Appliances Co.		80		2,934
Titan International, Inc.		110		2,927
Skywest, Inc.		171		2,893
Forward Air Corp.		94		2,879
GeoEye, Inc.*		69		2,869
Beacon Roofing Supply, Inc.*		140		2,866
3D Systems Corp.*		59		2,864
Lindsay Corp.		36		2,845
Kaman Corp.		80		2,816
Heartland Express, Inc.		160		2,810
American Science & Engineering, Inc.		30		2,771
Mobile Mini, Inc.*		115		2,762
Steelcase, Inc. — Class A		241		2,743
Resources Connection, Inc.		140		2,715
RBC Bearings, Inc.*		70		2,676
Ladish Company, Inc.*		47		2,569
SYKES Enterprises, Inc.*		127		2,511
DigitalGlobe, Inc.*		88		2,467
Wabash National Corp.*		213		2,467
CIRCOR International, Inc.		52		2,445
Quanex Building Products Corp.		124		2,434
Advisory Board Co.*		47		2,421
TrueBlue, Inc.*		143		2,401
Blount International, Inc.*		150		2,397
Tennant Co.		57		2,396
Universal Forest Products, Inc.		65		2,382
SFN Group, Inc.*		159		2,240
Unifirst Corp.		42		2,226
Badger Meter, Inc.		54		2,225
Layne Christensen Co.*		64		2,208
Allegiant Travel Co. — Class A		50		2,191
Mueller Water Products, Inc. — Class A		480		2,150
RSC Holdings, Inc.*		149		2,143
Insperity, Inc.		70		2,127
Interline Brands, Inc.*		103		2,101
Astec Industries, Inc.*		56		2,088
Arkansas Best Corp.		80		2,074
EnPro Industries, Inc.*		56		2,034
Dycom Industries, Inc.*		116		2,011
Tutor Perini Corp.		82		1,998
NACCO Industries, Inc. — Class A		18		1,992
Albany International Corp. — Class A		80		1,992
GT Solar International, Inc.*		186		1,983
Rush Enterprises, Inc. — Class A*		100		1,980
Ameron International Corp.		28		1,954
Aircastle Ltd.		161		1,943
Sauer-Danfoss, Inc.*		38		1,935
Altra Holdings, Inc.*		81		1,913
McGrath Rentcorp		70		1,909
Griffon Corp.*		145		1,904
Huron Consulting Group, Inc.*		68		1,883
G&K Services, Inc. — Class A		56		1,862
TAL International Group, Inc.		51		1,850
Kforce, Inc.*		100		1,830
Exponent, Inc.*		40		1,784
Greenbrier Companies, Inc.*		62		1,760
Aerovironment, Inc.*		50		1,748
Kelly Services, Inc. — Class A*		80		1,737
H&E Equipment Services, Inc.*		88		1,717
Team, Inc.*		65		1,707
Tredegar Corp.		79		1,705
Comfort Systems USA, Inc.		120		1,688
AZZ, Inc.		37		1,687
John Bean Technologies Corp.		86		1,654
Consolidated Graphics, Inc.*		30		1,639
EnergySolutions, Inc.		273		1,627
Navigant Consulting, Inc.*		159		1,588
ACCO Brands Corp.*		166		1,584
Colfax Corp.*		69		1,584
Encore Wire Corp.		65		1,582
Trex Company, Inc.*		48		1,566
Sun Hydraulics Corp.		36		1,552
Heidrick & Struggles International, Inc.		54		1,503
Standex International Corp.		39		1,478
FreightCar America, Inc.		45		1,463
A123 Systems, Inc.*		230		1,460
AAON, Inc.		44		1,448
Air Transport Services Group, Inc.*		168		1,420
Gorman-Rupp Co.		36		1,418
Great Lakes Dredge & Dock Corp.		185		1,412
Commercial Vehicle Group, Inc.*		79		1,409
Satcon Technology Corp.*		358		1,382
Ennis, Inc.		80		1,362
Capstone Turbine Corp.*		752		1,361
Powell Industries, Inc.*		34		1,341
MYR Group, Inc.*		56		1,340
Viad Corp.		56		1,340
Cascade Corp.		30		1,337
Textainer Group Holdings Ltd.		35		1,301
RailAmerica, Inc.*		75		1,278
EnerNOC, Inc.*		64		1,223
Federal Signal Corp.		187		1,217
Generac Holdings, Inc.*		59		1,197
Apogee Enterprises, Inc.		90		1,187
Dynamic Materials Corp.		42		1,174
LB Foster Co. — Class A		27		1,164
American Reprographics Co.*		110		1,139
Marten Transport Ltd.		50		1,115
Titan Machinery, Inc.*		44		1,111
PMFG, Inc.*		52		1,110
Columbus McKinnon Corp.*		60		1,108
Dolan Co.*		90		1,093
On Assignment, Inc.*		115		1,088
Cenveo, Inc.*		166		1,084
GenCorp, Inc.*		181		1,082
Force Protection, Inc.*		219		1,073

88 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Gibraltar Industries, Inc.*		89	$	1,062
ICF International, Inc.*		51		1,048
US Ecology, Inc.		60		1,046
CBIZ, Inc.*		144		1,038
Vicor Corp.		60		989
Trimas Corp.*		46		989
Celadon Group, Inc.*		60		974
Kadant, Inc.*		37		969
Genco Shipping & Trading Ltd.*		89		959
Hawaiian Holdings, Inc.*		159		956
Standard Parking Corp.*		53		941
Twin Disc, Inc.		28		902
School Specialty, Inc.*		62		887
Furmanite Corp.*		110		880
Sterling Construction Company, Inc.*		52		878
CRA International, Inc.*		30		865
Kratos Defense & Security Solutions, Inc.*		60		854
Orion Marine Group, Inc.*		79		848
Houston Wire & Cable Co.		57		833
CAI International, Inc.*		32		828
Saia, Inc.*		50		819
Taser International, Inc.*		195		794
NCI Building Systems, Inc.*		60		760
American Railcar Industries, Inc.*		30		749
Metalico, Inc.*		119		740
Northwest Pipe Co.*		32		734
M&F Worldwide Corp.*		29		728
Graham Corp.		30		718
Ampco-Pittsburgh Corp.		26		717
Ducommun, Inc.		30		717
Primoris Services Corp.		70		710
Insteel Industries, Inc.		50		707
Eagle Bulk Shipping, Inc.*		190		707
Kimball International, Inc. — Class B		100		700
Republic Airways Holdings, Inc.*		108		694
DXP Enterprises, Inc.*		30		692
Preformed Line Products Co.		10		692
LMI Aerospace, Inc.*		34		687
Flow International Corp.*		152		667
Hudson Highland Group, Inc.*		102		663
LaBarge, Inc.*		37		655
Astronics Corp.*		26		654
FuelCell Energy, Inc.*		303		648
Aceto Corp.		80		638
Multi-Color Corp.		31		627
American Woodmark Corp.		30		626
GP Strategies Corp.*		46		626
International Shipholding Corp.		25		622
Mistras Group, Inc.*		36		620
Tecumseh Products Co. — Class A*		60		601
APAC Customer Services, Inc.*		100		601
CDI Corp.		40		592
Schawk, Inc. — Class A		30		583
Michael Baker Corp.*		20		581
Casella Waste Systems, Inc. — Class A*		80		574
Ener1, Inc.*		190		562
Met-Pro Corp.		47		559
Pacer International, Inc.*		106		558
Fuel Tech, Inc.*		60		534
Innerworkings, Inc.*		70		517
PowerSecure International, Inc.*		60		516
Excel Maritime Carriers Ltd. — Class A*		120		515
Xerium Technologies, Inc.*		21		505
Pike Electric Corp.*		50		476
Baltic Trading Ltd.		50		456
LSI Industries, Inc.		62		449
Roadrunner Transportation Systems, Inc.*		29		435
Energy Recovery, Inc.*		135		429
Hill International, Inc.*		80		423
Miller Industries, Inc.		26		422
Courier Corp.		30		419
Universal Truckload Services, Inc.*		24		414
Park-Ohio Holdings Corp.*		20		413
Alamo Group, Inc.		15		412
Lydall, Inc.*		46		409
Douglas Dynamics, Inc.		28		399
Builders FirstSource, Inc.*		137		389
Broadwind Energy, Inc.*		296		388
Franklin Covey Co.*		44		381
Quality Distribution, Inc.*		32		379
Microvision, Inc.*		286		378
VSE Corp.		12		357
Ultrapetrol Bahamas Ltd.*		70		356
Advanced Battery Technologies, Inc.*		179		347
Energy Conversion Devices, Inc.*		152		344
UQM Technologies, Inc.*		110		328
Pinnacle Airlines Corp.*		56		322
Barrett Business Services, Inc.		20		321
United Capital Corp.*		10		283
Lawson Products, Inc.		12		276
USA Truck, Inc.*		20		260
Global Defense Technology & Systems, Inc.*		10		242
Standard Register Co.		57		189
Coleman Cable, Inc.*		19		168
Applied Energetics, Inc.*		246		162
Omega Flex, Inc.*		12		161
Argan, Inc.*		18		154
PGT, Inc.*		60		141
Evergreen Solar, Inc.*		102		138
PAM Transportation Services, Inc.*		10		122
BlueLinx Holdings, Inc.*		30		111
Hoku Corp.*		46		92
Compx International, Inc.		5		79

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 89

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Horizon Lines, Inc. — Class A		90	$	76
LECG Corp.*		80		16
Total Industrials				608,795
CONSUMER DISCRETIONARY - 1.2%
Sotheby’s		212		11,151
Deckers Outdoor Corp.*		116		9,993
Polaris Industries, Inc.		102		8,876
Warnaco Group, Inc.*		144		8,235
Tenneco, Inc.*		190		8,066
Dana Holding Corp.*		436		7,582
Under Armour, Inc. — Class A*		108		7,349
Brunswick Corp.		286		7,273
Rent-A-Center, Inc. — Class A		202		7,052
Ascena Retail Group, Inc.*		185		5,996
Cheesecake Factory, Inc.*		191		5,747
Wolverine World Wide, Inc.		150		5,592
Vail Resorts, Inc.*		114		5,559
ANN, Inc.*		180		5,240
Dillard’s, Inc. — Class A		130		5,216
Timberland Co. — Class A*		126		5,203
Carter’s, Inc.*		176		5,039
Meritor, Inc.*		296		5,023
Life Time Fitness, Inc.*		134		5,000
Cooper Tire & Rubber Co.		194		4,995
CROCS, Inc.*		272		4,852
Saks, Inc.*		427		4,829
Ulta Salon Cosmetics & Fragrance, Inc.*		100		4,813
Iconix Brand Group, Inc.*		224		4,812
Childrens Place Retail Stores, Inc.*		92		4,584
Valassis Communications, Inc.*		154		4,488
Coinstar, Inc.*		97		4,454
Jos A. Bank Clothiers, Inc.*		87		4,427
Live Nation Entertainment, Inc.*		440		4,400
Collective Brands, Inc.*		201		4,338
Men’s Wearhouse, Inc.		160		4,330
Sally Beauty Holdings, Inc.*		292		4,091
Shutterfly, Inc.*		76		3,979
Jack in the Box, Inc.*		170		3,856
HSN, Inc.*		120		3,844
Gaylord Entertainment Co.*		110		3,815
Steven Madden Ltd.*		81		3,801
Jones Group, Inc.		268		3,685
Pool Corp.		149		3,592
Group 1 Automotive, Inc.		82		3,510
Cinemark Holdings, Inc.		181		3,502
Cracker Barrel Old Country Store, Inc.		71		3,489
Orient-Express Hotels Ltd. — Class A*		282		3,488
Matthews International Corp. — Class A		90		3,469
OfficeMax, Inc.*		265		3,429
Pier 1 Imports, Inc.*		326		3,309
DineEquity, Inc.*		59		3,244
PF Chang’s China Bistro, Inc.		70		3,233
Regis Corp.		182		3,229
Buffalo Wild Wings, Inc.*		59		3,211
Arbitron, Inc.		80		3,202
Finish Line, Inc. — Class A		160		3,176
Hibbett Sports, Inc.*		86		3,080
Buckle, Inc.		76		3,070
Texas Roadhouse, Inc. — Class A		179		3,041
Bob Evans Farms, Inc.		93		3,032
National CineMedia, Inc.		162		3,025
BJ’s Restaurants, Inc.*		74		2,910
Cabela’s, Inc.*		116		2,901
American Greetings Corp. — Class A		122		2,879
99 Cents Only Stores*		144		2,822
Helen of Troy Ltd.*		96		2,822
Genesco, Inc.*		70		2,814
Monro Muffler Brake, Inc.		84		2,770
Penske Automotive Group, Inc.*		136		2,723
K12, Inc.*		80		2,696
Eastman Kodak Co.*		830		2,681
CEC Entertainment, Inc.		70		2,641
Ruby Tuesday, Inc.*		200		2,622
Exide Technologies*		231		2,583
Pinnacle Entertainment, Inc.*		189		2,574
Belo Corp. — Class A*		285		2,511
Meritage Homes Corp.*		103		2,485
American Public Education, Inc.*		60		2,427
American Axle & Manufacturing Holdings, Inc.*		192		2,417
Scholastic Corp.		88		2,380
Columbia Sportswear Co.		40		2,377
Capella Education Co.*		47		2,340
Skechers U.S.A., Inc. — Class A*		113		2,321
Ryland Group, Inc.		143		2,274
Steiner Leisure Ltd.*		49		2,267
Modine Manufacturing Co.*		140		2,260
Stage Stores, Inc.		116		2,230
Cato Corp. — Class A		90		2,205
iRobot Corp.*		67		2,204
Maidenform Brands, Inc.*		75		2,143
Select Comfort Corp.*		170		2,050
PEP Boys-Manny Moe & Jack		160		2,034
Domino’s Pizza, Inc.*		109		2,009
Interval Leisure Group, Inc.*		120		1,962
Ascent Media Corp. — Class A*		40		1,954
Blue Nile, Inc.*		36		1,944
Peet’s Coffee & Tea, Inc.*		40		1,924
Stewart Enterprises, Inc. — Class A		250		1,910
Papa John’s International, Inc.*		59		1,869
Churchill Downs, Inc.		45		1,867
RC2 Corp.*		66		1,855
Shuffle Master, Inc.*		172		1,837
Sinclair Broadcast Group, Inc. — Class A		145		1,818

90 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
G-III Apparel Group Ltd.*		48	$	1,804
Superior Industries International, Inc.		70		1,795
True Religion Apparel, Inc.*		76		1,784
Quiksilver, Inc.*		400		1,768
Ethan Allen Interiors, Inc.		80		1,752
Scientific Games Corp. — Class A*		200		1,748
Jakks Pacific, Inc.*		90		1,741
Vitamin Shoppe, Inc.*		51		1,725
Sonic Corp.*		189		1,710
Sonic Automotive, Inc. — Class A		121		1,695
Dorman Products, Inc.*		40		1,684
Lumber Liquidators Holdings, Inc.*		67		1,674
Asbury Automotive Group, Inc.*		90		1,664
Fred’s, Inc. — Class A		120		1,598
Brown Shoe Company, Inc.		130		1,589
Liz Claiborne, Inc.*		290		1,563
Charming Shoppes, Inc.*		366		1,559
Boyd Gaming Corp.*		166		1,555
Grand Canyon Education, Inc.*		105		1,522
La-Z-Boy, Inc. — Class Z*		159		1,518
Ameristar Casinos, Inc.		85		1,509
Zumiez, Inc.*		57		1,507
Rue21, Inc.*		52		1,498
DSW, Inc. — Class A*		36		1,439
Harte-Hanks, Inc.		120		1,428
Red Robin Gourmet Burgers, Inc.*		53		1,426
Callaway Golf Co.		206		1,405
Wet Seal, Inc. — Class A*		325		1,391
Sturm Ruger & Company, Inc.		60		1,378
Talbots, Inc.*		226		1,365
Lions Gate Entertainment Corp.*		216		1,350
Drew Industries, Inc.		60		1,340
Universal Technical Institute, Inc.		68		1,323
Fuel Systems Solutions, Inc.*		43		1,298
AFC Enterprises, Inc.*		85		1,286
Denny’s Corp.*		316		1,283
Krispy Kreme Doughnuts, Inc.*		182		1,281
Standard Pacific Corp.*		336		1,253
Universal Electronics, Inc.*		42		1,242
Oxford Industries, Inc.		36		1,231
Corinthian Colleges, Inc.*		276		1,220
Retail Ventures, Inc.*		70		1,207
Winnebago Industries, Inc.*		90		1,203
Knology, Inc.*		93		1,201
Volcom, Inc.		64		1,186
NutriSystem, Inc.		79		1,145
Cavco Industries, Inc.*		25		1,129
National Presto Industries, Inc.		10		1,127
Citi Trends, Inc.*		50		1,114
Drugstore.com, Inc.*		289		1,113
PetMed Express, Inc.		70		1,110
Barnes & Noble, Inc.		118		1,084
California Pizza Kitchen, Inc.*		64		1,080
Beazer Homes USA, Inc.*		235		1,074
Destination Maternity Corp.		46		1,061
Pre-Paid Legal Services, Inc.*		16		1,056
Bridgepoint Education, Inc.*		61		1,043
Amerigon, Inc.*		67		1,023
Core-Mark Holding Company, Inc.*		30		991
EW Scripps Co. — Class A*		100		990
Lithia Motors, Inc. — Class A		67		977
M/I Homes, Inc.*		65		974
Warner Music Group Corp.*		140		948
K-Swiss, Inc. — Class A*		81		913
Express, Inc.		46		899
Standard Motor Products, Inc.		64		885
World Wrestling Entertainment, Inc. — Class A		70		880
Global Sources Ltd.*		75		872
America’s Car-Mart, Inc.*		33		851
Big 5 Sporting Goods Corp.		70		834
Entercom Communications Corp. — Class A*		75		826
Perry Ellis International, Inc.*		30		826
Libbey, Inc.*		49		808
Rentrak Corp.*		30		808
Stein Mart, Inc.		79		799
Kirkland’s, Inc.*		51		787
Journal Communications, Inc. — Class A*		130		780
Lincoln Educational Services Corp.		49		779
HOT Topic, Inc.		136		775
Haverty Furniture Companies, Inc.		58		769
Pacific Sunwear of California, Inc.*		212		765
Dex One Corp.*		156		755
Stoneridge, Inc.*		51		746
Shoe Carnival, Inc.*		26		729
Overstock.com, Inc.*		46		723
CKX, Inc.*		166		701
Christopher & Banks Corp.		108		700
MarineMax, Inc.*		70		690
Movado Group, Inc.*		47		690
Spartan Motors, Inc.		100		686
Unifi, Inc.*		40		680
Smith & Wesson Holding Corp.*		190		674
Arctic Cat, Inc.*		43		669
Furniture Brands International, Inc.*		146		664
Morgans Hotel Group Co.*		67		657
McClatchy Co. — Class A*		192		653
Blyth, Inc.		20		650
Casual Male Retail Group, Inc.*		132		648
Mac-Gray Corp.		40		645
Marcus Corp.		59		643
Bon-Ton Stores, Inc.		40		620
Ambassadors Group, Inc.		56		613
Bebe Stores, Inc.		104		608
Speedway Motorsports, Inc.		37		591
Hovnanian Enterprises, Inc. — Class A*		160		565
New York & Company, Inc.*		80		561
West Marine, Inc.*		53		553

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 91

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
LIN TV Corp. — Class A*		91	$	540
hhgregg, Inc.*		40		536
AH Belo Corp. — Class A*		62		518
Multimedia Games, Inc.*		90		516
Coldwater Creek, Inc.*		192		507
Fisher Communications, Inc.*		16		497
CPI Corp.		22		495
Media General, Inc. — Class A*		70		482
Lifetime Brands, Inc.		32		480
Leapfrog Enterprises, Inc. — Class A*		110		475
Steinway Musical Instruments, Inc.*		21		466
Weyco Group, Inc.		19		465
Winmark Corp.		10		461
Ruth’s Hospitality Group, Inc.*		89		459
Isle of Capri Casinos, Inc.*		48		456
Tuesday Morning Corp.*		90		441
Audiovox Corp. — Class A*		54		432
CSS Industries, Inc.		22		415
Einstein Noah Restaurant Group, Inc.		25		407
Entravision Communications Corp. — Class A*		146		396
RG Barry Corp.		30		393
Jamba, Inc.*		176		387
Sealy Corp.*		152		386
Archipelago Learning, Inc.*		45		385
US Auto Parts Network, Inc.*		44		383
Systemax, Inc.*		28		379
Lee Enterprises, Inc.*		140		378
McCormick & Schmick’s Seafood Restaurants, Inc.*		52		375
Red Lion Hotels Corp.*		45		369
REX American Resources Corp.*		23		367
Monarch Casino & Resort, Inc.*		34		354
Cherokee, Inc.		20		345
Carrols Restaurant Group, Inc.*		37		343
Delta Apparel, Inc.*		24		343
Skyline Corp.		17		341
O’Charleys, Inc.*		57		340
Gaiam, Inc. — Class A		50		330
Culp, Inc.*		34		316
Hooker Furniture Corp.		26		311
Gray Television, Inc.*		150		310
Build-A-Bear Workshop, Inc. — Class A*		51		309
Midas, Inc.*		40		307
Cumulus Media, Inc. — Class A*		70		304
Outdoor Channel Holdings, Inc.		40		298
Martha Stewart Living Omnimedia — Class A*		79		293
LodgeNet Interactive Corp.*		79		288
Ballantyne Strong, Inc.*		40		287
Nexstar Broadcasting Group, Inc. — Class A*		33		286
Brookfield Homes Corp.*		30		282
1-800-Flowers.com, Inc. — Class A*		82		271
Kid Brands, Inc.*		36		265
Kenneth Cole Productions, Inc. — Class A*		20		259
Conn’s, Inc.*		55		246
Caribou Coffee Company, Inc.*		24		244
PRIMEDIA, Inc.		50		243
Summer Infant, Inc.*		30		240
Marine Products Corp.*		30		238
SuperMedia, Inc.*		38		237
Carmike Cinemas, Inc.*		30		214
Orbitz Worldwide, Inc.*		60		214
ReachLocal, Inc.*		10		200
Radio One, Inc. — Class D*		100		195
Crown Media Holdings, Inc. — Class A*		82		190
Shiloh Industries, Inc.		16		187
Lacrosse Footwear, Inc.		10		183
Learning Tree International, Inc.		20		176
Cambium Learning Group, Inc.*		50		170
Bluegreen Corp.*		40		164
Johnson Outdoors, Inc. — Class A*		10		152
Westwood One, Inc.*		20		145
National American University Holdings, Inc.		20		142
Joe’s Jeans, Inc.*		130		138
American Apparel, Inc.*		105		101
Beasley Broadcasting Group, Inc. — Class A*		10		73
Books-A-Million, Inc. — Class A		17		70
Empire Resorts, Inc.*		80		50
Princeton Review, Inc.*		72		27
Vitacost.com, Inc.*,†††,1		40		20
Total Consumer Discretionary				514,222
HEALTH CARE - 1.1%
AMERIGROUP Corp.*		159		10,216
Healthsouth Corp.*		296		7,394
Healthspring, Inc.*		182		6,801
Pharmasset, Inc.*		86		6,769
Onyx Pharmaceuticals, Inc.*		190		6,684
Catalyst Health Solutions, Inc.*		119		6,656
Owens & Minor, Inc.		200		6,496
InterMune, Inc.*		136		6,418
HMS Holdings Corp.*		78		6,384
Salix Pharmaceuticals Ltd.*		180		6,305
STERIS Corp.		180		6,217
Medicis Pharmaceutical Corp. — Class A		190		6,088
Dionex Corp.*		50		5,903
WellCare Health Plans, Inc.*		130		5,454
Masimo Corp.		159		5,263
Haemonetics Corp.*		80		5,243
Quality Systems, Inc.		62		5,167

92 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
American Medical Systems Holdings, Inc.*		236	$	5,107
Sirona Dental Systems, Inc.*		101		5,066
Impax Laboratories, Inc.*		196		4,988
Cepheid, Inc.*		178		4,988
Centene Corp.*		150		4,947
PSS World Medical, Inc.*		180		4,887
Magellan Health Services, Inc.*		99		4,859
Bruker Corp.*		232		4,837
Viropharma, Inc.*		242		4,816
Chemed Corp.		70		4,663
athenahealth, Inc.*		103		4,648
Theravance, Inc.*		190		4,602
Cubist Pharmaceuticals, Inc.*		182		4,594
Parexel International Corp.*		182		4,532
West Pharmaceutical Services, Inc.		99		4,432
Incyte Corporation Ltd.*		272		4,311
Immucor, Inc.*		217		4,292
Volcano Corp.*		161		4,122
Seattle Genetics, Inc.*		260		4,048
Exelixis, Inc.*		340		3,842
Alkermes, Inc.*		290		3,756
Align Technology, Inc.*		183		3,748
Par Pharmaceutical Companies, Inc.*		106		3,294
Integra LifeSciences Holdings Corp.*		67		3,177
Amedisys, Inc.*		90		3,150
Meridian Bioscience, Inc.		131		3,143
Zoll Medical Corp.*		70		3,137
RehabCare Group, Inc.*		84		3,097
MWI Veterinary Supply, Inc.*		38		3,066
Neogen Corp.*		74		3,062
NuVasive, Inc.*		119		3,013
Cyberonics, Inc.*		92		2,927
Auxilium Pharmaceuticals, Inc.*		135		2,898
Kindred Healthcare, Inc.*		120		2,866
Acorda Therapeutics, Inc.*		122		2,830
DexCom, Inc.*		182		2,825
Nektar Therapeutics*		296		2,803
Invacare Corp.		90		2,801
Medicines Co.*		168		2,737
Arthrocare Corp.*		79		2,634
Isis Pharmaceuticals, Inc.*		290		2,622
Ariad Pharmaceuticals, Inc.*		340		2,557
PDL BioPharma, Inc.		433		2,511
Gentiva Health Services, Inc.*		89		2,495
Amsurg Corp. — Class A*		97		2,468
Insulet Corp.*		119		2,454
Questcor Pharmaceuticals, Inc.*		170		2,450
Universal American Corp.		99		2,268
CONMED Corp.*		86		2,260
Luminex Corp.*		120		2,251
Savient Pharmaceuticals, Inc.*		210		2,226
HeartWare International, Inc.*		26		2,224
IPC The Hospitalist Company, Inc.*		48		2,180
Analogic Corp.		38		2,149
Hanger Orthopedic Group, Inc.*		80		2,082
Molina Healthcare, Inc.*		52		2,080
Celera Corp.*		256		2,076
Medivation, Inc.*		110		2,050
MedAssets, Inc.*		133		2,031
Abaxis, Inc.*		70		2,019
Wright Medical Group, Inc.*		118		2,007
Sunrise Senior Living, Inc.*		168		2,004
NPS Pharmaceuticals, Inc.*		207		1,981
MAKO Surgical Corp.*		81		1,960
Targacept, Inc.*		73		1,941
Immunogen, Inc.*		214		1,941
Computer Programs & Systems, Inc.		30		1,928
Greatbatch, Inc.*		70		1,852
Momenta Pharmaceuticals, Inc.*		116		1,839
Merit Medical Systems, Inc.*		92		1,805
NxStage Medical, Inc.*		81		1,780
ICU Medical, Inc.*		40		1,751
Air Methods Corp.*		26		1,749
Jazz Pharmaceuticals, Inc.*		53		1,688
Healthways, Inc.*		109		1,675
SonoSite, Inc.*		49		1,633
National Healthcare Corp.		35		1,627
Enzon Pharmaceuticals, Inc.*		149		1,624
Depomed, Inc.*		160		1,606
Landauer, Inc.		26		1,600
Geron Corp.*		316		1,596
Orthofix International N.V.*		49		1,591
Vivus, Inc.*		256		1,585
Bio-Reference Labs, Inc.*		70		1,571
Emeritus Corp.*		60		1,528
Natus Medical, Inc.*		89		1,495
Omnicell, Inc.*		98		1,494
Accuray, Inc.*		165		1,490
Halozyme Therapeutics, Inc.*		222		1,490
Conceptus, Inc.*		102		1,474
Sequenom, Inc.*		232		1,469
Medidata Solutions, Inc.*		57		1,458
ABIOMED, Inc.*		100		1,453
Micromet, Inc.*		255		1,431
Syneron Medical Ltd.*		109		1,421
LHC Group, Inc.*		46		1,380
Emergent Biosolutions, Inc.*		57		1,377
Spectrum Pharmaceuticals, Inc.*		151		1,342
Ensign Group, Inc.		41		1,309
Clinical Data, Inc.*		43		1,303
Select Medical Holdings Corp.*		156		1,257
Accretive Health, Inc.*		45		1,249
Triple-S Management Corp. — Class B*		60		1,235
Angiodynamics, Inc.*		80		1,210
Ardea Biosciences, Inc.*		42		1,205

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 93

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
AMAG Pharmaceuticals, Inc.*		72	$	1,202
Affymetrix, Inc.*		226		1,177
Neurocrine Biosciences, Inc.*		155		1,176
SIGA Technologies, Inc.*		97		1,174
Optimer Pharmaceuticals, Inc.*		99		1,171
Rigel Pharmaceuticals, Inc.*		164		1,166
Sun Healthcare Group, Inc.*		82		1,154
PharMerica Corp.*		100		1,144
Sangamo Biosciences, Inc.*		136		1,133
Almost Family, Inc.*		30		1,129
Alnylam Pharmaceuticals, Inc.*		115		1,101
OraSure Technologies, Inc.*		140		1,100
Assisted Living Concepts, Inc. — Class A*		28		1,096
Opko Health, Inc.*		286		1,067
Cytori Therapeutics, Inc.*		136		1,065
Delcath Systems, Inc.*		144		1,061
AMN Healthcare Services, Inc.*		120		1,039
Symmetry Medical, Inc.*		106		1,039
Lexicon Pharmaceuticals, Inc.*		615		1,033
Pain Therapeutics, Inc.		108		1,033
Cantel Medical Corp.		40		1,030
Rural/Metro Corp.*		60		1,022
eResearchTechnology, Inc.*		149		1,009
Endologix, Inc.*		146		990
Durect Corp.*		270		972
Genomic Health, Inc.*		39		959
Akorn, Inc.*		166		958
Caliper Life Sciences, Inc.*		140		946
Team Health Holdings, Inc.*		53		926
Arqule, Inc.*		128		916
ZIOPHARM Oncology, Inc.*		146		913
Corvel Corp.*		17		904
America Service Group, Inc.		35		897
Ironwood Pharmaceuticals, Inc. — Class A*		64		896
AVANIR Pharmaceuticals, Inc. — Class A*		218		889
Unilife Corp.*		150		851
Palomar Medical Technologies, Inc.*		57		846
Cross Country Healthcare, Inc.*		105		822
Capital Senior Living Corp.*		77		818
Nabi Biopharmaceuticals*		140		813
Five Star Quality Care, Inc.*		100		813
Exact Sciences Corp.*		110		810
Metabolix, Inc.*		77		809
Skilled Healthcare Group, Inc. — Class A*		56		806
Quidel Corp.*		67		801
Keryx Biopharmaceuticals, Inc.*		160		800
BioMimetic Therapeutics, Inc.*		61		800
MannKind Corp.*		216		788
Medcath Corp.*		56		781
Pharmacyclics, Inc.*		132		777
Merge Healthcare, Inc.*		159		776
Immunomedics, Inc.*		202		772
Synovis Life Technologies, Inc.*		40		767
Curis, Inc.*		235		764
Allos Therapeutics, Inc.*		237		751
Novavax, Inc.*		278		720
Transcend Services, Inc.*		30		720
TomoTherapy, Inc.*		154		704
MAP Pharmaceuticals, Inc.*		51		703
Cadence Pharmaceuticals, Inc.*		76		700
Inspire Pharmaceuticals, Inc.*		176		697
US Physical Therapy, Inc.		30		670
Hi-Tech Pharmacal Company, Inc.*		33		664
Vanda Pharmaceuticals, Inc.*		90		656
Vical, Inc.*		217		642
AVI BioPharma, Inc.*		342		640
Chindex International, Inc.*		39		626
SurModics, Inc.*		50		625
Kensey Nash Corp.*		25		623
Ligand Pharmaceuticals, Inc. — Class B*		62		620
American Dental Partners, Inc.*		47		617
Dynavax Technologies Corp.*		220		607
Staar Surgical Co.*		108		602
Vascular Solutions, Inc.*		55		600
Young Innovations, Inc.		19		597
Obagi Medical Products, Inc.*		46		581
Solta Medical, Inc.*		176		581
BioScrip, Inc.*		121		570
Providence Service Corp.*		38		569
Metropolitan Health Networks, Inc.*		117		553
CryoLife, Inc.*		90		549
Santarus, Inc.*		160		547
Progenics Pharmaceuticals, Inc.*		88		544
Inhibitex, Inc.*		150		543
Vital Images, Inc.*		40		540
XenoPort, Inc.*		90		534
SuperGen, Inc.*		172		533
Maxygen, Inc.		102		530
Kendle International, Inc.*		49		525
Biotime, Inc.*		70		522
Array Biopharma, Inc.*		166		508
Codexis, Inc.*		42		498
RTI Biologics, Inc.*		174		498
Omeros Corp.*		62		496
Arena Pharmaceuticals, Inc.*		356		495
Dyax Corp.*		303		488
Zalicus, Inc.*		200		484
Continucare Corp.*		90		482
Cambrex Corp.*		86		473
Sciclone Pharmaceuticals, Inc.*		117		473
Chelsea Therapeutics International Ltd.*		120		468
Spectranetics Corp.*		98		462
Exactech, Inc.*		26		456
IRIS International, Inc.*		50		451
Nymox Pharmaceutical Corp.*		57		450

94 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Orthovita, Inc.*		208	$	443
Alphatec Holdings, Inc.*		164		443
Furiex Pharmaceuticals, Inc.*		26		439
Biosante Pharmaceuticals, Inc.*		217		430
Pozen, Inc.*		80		430
AVEO Pharmaceuticals, Inc.*		32		428
Enzo Biochem, Inc.*		99		415
LCA-Vision, Inc.*		61		412
Peregrine Pharmaceuticals, Inc.*		171		404
Celldex Therapeutics, Inc.*		100		402
Osiris Therapeutics, Inc.*		55		399
Antares Pharma, Inc.*		220		396
Alliance HealthCare Services, Inc.*		89		393
Cynosure, Inc. — Class A*		27		375
Synta Pharmaceuticals Corp.*		71		373
Affymax, Inc.*		62		364
Allied Healthcare International, Inc.*		141		358
Idenix Pharmaceuticals, Inc.*		106		352
Stereotaxis, Inc.*		90		348
Cerus Corp.*		120		347
BioCryst Pharmaceuticals, Inc.*		91		345
Corcept Therapeutics, Inc.*		81		344
Cutera, Inc.*		40		343
StemCells, Inc.*		374		340
National Research Corp.		10		339
CardioNet, Inc.*		70		335
Rochester Medical Corp.*		28		321
Infinity Pharmaceuticals, Inc.*		53		312
Albany Molecular Research, Inc.*		72		307
CytRx Corp.*		346		305
Medical Action Industries, Inc.*		36		302
MELA Sciences, Inc.*		83		292
Hansen Medical, Inc.*		126		278
Inovio Pharmaceuticals, Inc.*		252		277
PDI, Inc.*		34		276
Orexigen Therapeutics, Inc.*		95		267
Somaxon Pharmaceuticals, Inc.*		92		260
Neuralstem, Inc.*		144		259
Biospecifics Technologies Corp.*		10		255
Cumberland Pharmaceuticals, Inc.*		44		243
Alexza Pharmaceuticals, Inc.*		143		243
Cytokinetics, Inc.*		140		209
Lannett Company, Inc.*		35		195
Aoxing Pharmaceutical Company, Inc.*		80		173
PURE Bioscience, Inc.*		108		168
DynaVox, Inc. — Class A*		30		166
Transcept Pharmaceuticals, Inc.*		20		164
Nanosphere, Inc.*		49		159
Cornerstone Therapeutics, Inc.*		23		152
Anthera Pharmaceuticals, Inc.*		21		142
Neostem, Inc.*		81		139
Caraco Pharmaceutical Laboratories Ltd.*		26		135
Biodel, Inc.*		64		134
Alimera Sciences, Inc.*		16		125
NeurogesX, Inc.*		29		117
Sucampo Pharmaceuticals, Inc. — Class A*		26		109
AspenBio Pharma, Inc.*		111		94
Acura Pharmaceuticals, Inc.*		29		92
Total Health Care				477,415
ENERGY — 0.6%
Brigham Exploration Co.*		358		13,310
Dril-Quip, Inc.*		115		9,088
World Fuel Services Corp.		213		8,650
CARBO Ceramics, Inc.		60		8,467
Lufkin Industries, Inc.		88		8,225
Berry Petroleum Co. — Class A		160		8,072
Complete Production Services, Inc.*		245		7,793
Rosetta Resources, Inc.*		162		7,701
Patriot Coal Corp.*		240		6,199
Key Energy Services, Inc.*		388		6,033
Bill Barrett Corp.*		144		5,747
Helix Energy Solutions Group, Inc.*		326		5,607
Energy XXI Bermuda Ltd.*		156		5,320
Bristow Group, Inc.*		110		5,203
Swift Energy Co.*		121		5,164
ION Geophysical Corp.*		396		5,025
McMoRan Exploration Co.*		262		4,640
International Coal Group, Inc.*		410		4,633
Stone Energy Corp.*		129		4,305
Northern Oil and Gas, Inc.*		144		3,845
Tetra Technologies, Inc.*		246		3,788
Nordic American Tanker Shipping		152		3,776
Carrizo Oil & Gas, Inc.*		98		3,619
RPC, Inc.		142		3,595
Kodiak Oil & Gas Corp.*		485		3,250
Gulfmark Offshore, Inc. — Class A*		69		3,071
Global Industries Ltd.*		312		3,054
Gulfport Energy Corp.*		84		3,037
Ship Finance International Ltd.		140		2,902
Petroleum Development Corp.*		60		2,881
Golar LNG Ltd.		110		2,814
Western Refining, Inc.*		159		2,695
ATP Oil & Gas Corp.*		143		2,590
Apco Oil and Gas International, Inc.		30		2,573
W&T Offshore, Inc.		111		2,530
Contango Oil & Gas Co.*		40		2,530
Overseas Shipholding Group, Inc.		78		2,507
Parker Drilling Co.*		360		2,488
Hercules Offshore, Inc.*		364		2,406
Pioneer Drilling Co.*		168		2,318
Penn Virginia Corp.		136		2,307
James River Coal Co.*		92		2,224
Clayton Williams Energy, Inc.*		21		2,220

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 95

SCHEDULE OF INVESTMENTS(continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Newpark Resources, Inc.*		278	$	2,185
Resolute Energy Corp.*		120		2,177
Hornbeck Offshore Services, Inc.*		70		2,159
Cloud Peak Energy, Inc.*		100		2,159
CVR Energy, Inc.*		92		2,131
Cal Dive International, Inc.*		293		2,045
Clean Energy Fuels Corp.*		124		2,031
Tesco Corp.*		90		1,976
Knightsbridge Tankers Ltd.		78		1,953
Basic Energy Services, Inc.*		70		1,786
Goodrich Petroleum Corp.*		80		1,778
Cheniere Energy, Inc.*		182		1,694
Energy Partners Ltd.*		94		1,692
Willbros Group, Inc.*		152		1,660
Petroquest Energy, Inc.*		175		1,638
BPZ Resources, Inc.*		306		1,625
USEC, Inc.*		352		1,549
Harvest Natural Resources, Inc.*		99		1,509
TransAtlantic Petroleum Ltd.*		466		1,445
Approach Resources, Inc.*		42		1,411
OYO Geospace Corp.*		14		1,380
Magnum Hunter Resources Corp.*		159		1,363
Crosstex Energy, Inc.		126		1,254
Vaalco Energy, Inc.*		159		1,234
Abraxas Petroleum Corp.*		210		1,229
Rex Energy Corp.*		103		1,200
Georesources, Inc.*		38		1,188
Gulf Island Fabrication, Inc.		36		1,158
Warren Resources, Inc.*		226		1,150
Matrix Service Co.*		76		1,056
FX Energy, Inc.*		126		1,053
Teekay Tankers Ltd. — Class A		100		1,046
Venoco, Inc.*		59		1,008
Dawson Geophysical Co.*		22		965
Houston American Energy Corp.		62		955
PHI, Inc.*		43		951
Rentech, Inc.*		676		845
Vantage Drilling Co.*		469		844
Endeavour International Corp.*		66		838
Uranium Energy Corp.*		193		770
Panhandle Oil and Gas, Inc. — Class A		24		760
DHT Holdings, Inc.		146		702
Callon Petroleum Co.*		89		692
Natural Gas Services Group, Inc.*		38		675
Gastar Exploration Ltd.*		136		661
GMX Resources, Inc.*		100		617
Green Plains Renewable Energy, Inc.*		51		613
Delek US Holdings, Inc.		42		570
Union Drilling, Inc.*		53		543
Delta Petroleum Corp.*		575		523
Syntroleum Corp.*		225		509
General Maritime Corp.		241		494
Scorpio Tankers, Inc.*		44		454
Evolution Petroleum Corp.*		52		406
RAM Energy Resources, Inc.*		175		364
Isramco, Inc.*		5		325
L&L Energy, Inc.*		46		318
Miller Petroleum, Inc.*		62		310
Global Geophysical Services, Inc.*		21		304
Alon USA Energy, Inc.		19		260
CAMAC Energy, Inc.*		150		225
Hallador Energy Co.		6		70
Total Energy				266,687
MATERIALS — 0.5%
Solutia, Inc.*		382		9,703
Coeur d’Alene Mines Corp.*		270		9,391
WR Grace & Co.*		232		8,883
Rock-Tenn Co. — Class A		120		8,322
Allied Nevada Gold Corp.*		233		8,267
Rockwood Holdings, Inc.*		160		7,875
Hecla Mining Co.*		805		7,309
Silgan Holdings, Inc.		172		6,560
Olin Corp.		252		5,776
Sensient Technologies Corp.		155		5,555
Thompson Creek Metals Company, Inc.*		430		5,392
NewMarket Corp.		31		4,905
Ferro Corp.*		276		4,579
Globe Specialty Metals, Inc.		192		4,370
Minerals Technologies, Inc.		62		4,248
PolyOne Corp.		292		4,149
Louisiana-Pacific Corp.*		392		4,116
Worthington Industries, Inc.		181		3,787
Century Aluminum Co.*		202		3,773
Georgia Gulf Corp.*		100		3,700
OM Group, Inc.*		101		3,691
Clearwater Paper Corp.*		44		3,582
Westlake Chemical Corp.		62		3,484
Balchem Corp.		89		3,339
Schweitzer-Mauduit International, Inc.		65		3,290
Buckeye Technologies, Inc.		120		3,268
Innophos Holdings, Inc.		69		3,182
Stillwater Mining Co.*		138		3,164
HB Fuller Co.		146		3,136
Arch Chemicals, Inc.		73		3,036
RTI International Metals, Inc.*		90		2,803
Calgon Carbon Corp.*		173		2,747
AMCOL International Corp.		73		2,627
Texas Industries, Inc.		56		2,533
US Gold Corp.*		285		2,517
A. Schulman, Inc.		100		2,472
Kaiser Aluminum Corp.		50		2,463
Golden Star Resources Ltd.*		806		2,394
Koppers Holdings, Inc.		56		2,391
Haynes International, Inc.		43		2,384
Materion Corp.*		56		2,285
Deltic Timber Corp.		33		2,206
Horsehead Holding Corp.*		126		2,148

96 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
KapStone Paper and Packaging Corp.*		122	$	2,095
Boise, Inc.		218		1,997
Graphic Packaging Holding Co.*		350		1,897
PH Glatfelter Co.		139		1,851
LSB Industries, Inc.*		46		1,823
STR Holdings, Inc.*		87		1,669
Stepan Co.		20		1,450
Hawkins, Inc.		34		1,397
Jaguar Mining, Inc.*		260		1,357
Zoltek Companies, Inc.*		92		1,236
Zep, Inc.		70		1,219
Capital Gold Corp.*		186		1,196
Neenah Paper, Inc.		54		1,186
Kraton Performance Polymers, Inc.*		30		1,147
Wausau Paper Corp.		150		1,146
Myers Industries, Inc.		115		1,142
Headwaters, Inc.*		189		1,115
Omnova Solutions, Inc.*		138		1,086
Quaker Chemical Corp.		27		1,085
General Moly, Inc.*		200		1,076
Olympic Steel, Inc.		30		984
AM Castle & Co.*		50		944
Graham Packaging Company, Inc.*		50		872
Metals USA Holdings Corp.*		44		720
Spartech Corp.*		97		703
Senomyx, Inc.*		116		701
Noranda Aluminum Holding Corp.*		43		690
TPC Group, Inc.*		20		577
American Vanguard Corp.		65		564
Universal Stainless & Alloy*		16		540
Landec Corp.*		80		520
US Energy Corp.*		82		513
United States Lime & Minerals, Inc.*		12		486
KMG Chemicals, Inc.		20		393
AEP Industries, Inc.*		10		297
NL Industries, Inc.		20		297
Verso Paper Corp.*		46		246
Total Materials				224,019
UTILITIES — 0.3%
Nicor, Inc.		144		7,733
Piedmont Natural Gas Company, Inc.		220		6,677
Cleco Corp.		189		6,481
WGL Holdings, Inc.		160		6,240
IDACORP, Inc.		150		5,715
New Jersey Resources Corp.		130		5,583
Portland General Electric Co.		234		5,562
Southwest Gas Corp.		137		5,339
South Jersey Industries, Inc.		88		4,925
UIL Holdings Corp.		157		4,792
El Paso Electric Co.*		136		4,134
Allete, Inc.		105		4,092
PNM Resources, Inc.		272		4,058
Black Hills Corp.		120		4,013
Unisource Energy Corp.		110		3,974
Avista Corp.		166		3,840
Northwest Natural Gas Co.		80		3,690
NorthWestern Corp.		110		3,333
MGE Energy, Inc.		70		2,834
Laclede Group, Inc.		70		2,667
Empire District Electric Co.		117		2,549
CH Energy Group, Inc.		50		2,527
Otter Tail Corp.		110		2,500
California Water Service Group		64		2,379
American States Water Co.		65		2,331
Dynegy, Inc. — Class A*		326		1,855
Chesapeake Utilities Corp.		27		1,124
Central Vermont Public Service Corp.		45		1,048
SJW Corp.		44		1,019
Middlesex Water Co.		51		928
Connecticut Water Service, Inc.		33		870
Unitil Corp.		32		754
York Water Co.		36		627
Consolidated Water Company Ltd.		53		578
Cadiz, Inc.*		43		524
Artesian Resources Corp. — Class A		20		390
American DG Energy, Inc.*		62		135
Total Utilities				117,820
CONSUMER STAPLES - 0.3%
United Natural Foods, Inc.*		153		6,857
TreeHouse Foods, Inc.*		108		6,142
Ruddick Corp.		138		5,325
Casey’s General Stores, Inc.		122		4,758
Nu Skin Enterprises, Inc. — Class A		155		4,456
Darling International, Inc.*		266		4,088
Hain Celestial Group, Inc.*		126		4,067
Diamond Foods, Inc.		68		3,794
Universal Corp.		80		3,483
Lancaster Colony Corp.		56		3,394
Sanderson Farms, Inc.		72		3,306
Fresh Del Monte Produce, Inc.		119		3,107
Boston Beer Company, Inc. — Class A*		32		2,964
B&G Foods, Inc. — Class A		150		2,815
Andersons, Inc.		57		2,777
Vector Group Ltd.		139		2,403
Elizabeth Arden, Inc.*		76		2,281
Chiquita Brands International, Inc.*		140		2,148
WD-40 Co.		50		2,117
Tootsie Roll Industries, Inc.		72		2,045
Rite Aid Corp.*		1,913		2,028
J&J Snack Foods Corp.		40		1,883
Heckmann Corp.*		286		1,873
Pricesmart, Inc.		50		1,832
Nash Finch Co.		44		1,669

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 97

Item 1. Reports to Stockholders.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000®1.5x STRATEGY FUND

	Shares		Value
Spectrum Brands Holdings, Inc.*		60	$	1,666
Central Garden and Pet Co. — Class A*		180		1,658
Snyders-Lance, Inc.		80		1,588
Prestige Brands Holdings, Inc.*		127		1,461
Dole Food Company, Inc.*		106		1,445
Star Scientific, Inc.*		301		1,367
Weis Markets, Inc.		30		1,214
Winn-Dixie Stores, Inc.*		170		1,214
Pilgrim’s Pride Corp.*		152		1,172
Alliance One International, Inc.*		280		1,126
Cal-Maine Foods, Inc.		37		1,091
Pantry, Inc.*		73		1,083
Spartan Stores, Inc.		68		1,006
Smart Balance, Inc.*		190		872
Seneca Foods Corp. — Class A*		27		806
USANA Health Sciences, Inc.*		23		794
Medifast, Inc.*		40		790
Coca-Cola Bottling Company Consolidated		11		735
Ingles Markets, Inc. — Class A		36		713
Limoneira Co.		30		711
Inter Parfums, Inc.		37		685
Calavo Growers, Inc.		30		656
Synutra International, Inc.*		57		655
Imperial Sugar Co.		41		547
Revlon, Inc. — Class A*		33		524
Village Super Market, Inc. — Class A		17		495
Nutraceutical International Corp.*		32		479
Oil-Dri Corporation of America		22		469
National Beverage Corp.		30		412
MGP Ingredients, Inc.		45		392
Arden Group, Inc. — Class A		5		382
Schiff Nutrition International, Inc.		36		328
Griffin Land & Nurseries, Inc.		10		322
Female Health Co.		59		294
Susser Holdings Corp.*		22		288
Farmer Brothers Co.		20		242
John B. Sanfilippo & Son, Inc.*		20		234
Lifeway Foods, Inc.*		18		188
Nature’s Sunshine Products, Inc.*		20		179
Alico, Inc.		6		161
Harbinger Group, Inc.*		30		156
Bridgford Foods Corp.		10		112
Total Consumer Staples				112,324
TELECOMMUNICATION SERVICES — 0.1%
AboveNet, Inc.		69		4,475
Cogent Communications Group, Inc.*		144		2,055
Hughes Communications, Inc.*		30		1,790
General Communication, Inc. — Class A*		155		1,696
Cincinnati Bell, Inc.*		626		1,678
NTELOS Holdings Corp.		90		1,657
Neutral Tandem, Inc.*		103		1,519
Vonage Holdings Corp.*		330		1,505
Alaska Communications Systems Group, Inc.		140		1,491
Premiere Global Services, Inc.*		192		1,463
Consolidated Communications Holdings, Inc.		76		1,423
PAETEC Holding Corp.*		388		1,296
Global Crossing Ltd.*		91		1,267
Shenandoah Telecommunications Co.		70		1,264
Atlantic Tele-Network, Inc.		30		1,116
IDT Corp. — Class B		40		1,078
USA Mobility, Inc.		70		1,014
Cbeyond, Inc.*		84		980
Iridium Communications, Inc.*		110		877
ICO Global Communications Holdings Ltd.*		296		790
FiberTower Corp.*		165		332
Globalstar, Inc.*		220		279
Total Telecommunication Services				31,045
Total Common Stocks (Cost $1,703,251)				3,865,040
WARRANT†† — 0.0%
CONSUMER DISCRETIONARY - 0.0% Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		250		42
Total Warrant (Cost $—)				42
RIGHTS†† - 0.0% Empire Resorts, Inc., Expires 07/25/11		80		—
	��
Total Rights (Cost $—)				—
CLOSED-END FUND† - 0.0% Kayne Anderson Energy Development Co.		30		587
Total Closed-End Fund (Cost $182)				587

98 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††2 — 86.9%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	17,995,717	$	17,995,717
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/113		11,371,349		11,371,349
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		6,673,721		6,673,721
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		1,199,714		1,199,714
Total Repurchase Agreements (Cost $37,240,501)				37,240,501
Total Investments — 95.9% (Cost $38,943,934)			$	41,106,170
Cash & Other Assets, Less Liabilities — 4.1%				1,771,129
Total Net Assets — 100.0%			$	42,877,299

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED †
June 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $3,448,920)		41	$	114,640

	Units
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2011 Russell 2000 Index Swap, Terminating 04/27/114 (Notional Value $49,386,216)		58,546		1,248,363
Credit Suisse Capital, LLC April 2011 Russell 2000 Index Swap, Terminating 04/28/114 (Notional Value $6,527,872)		7,739		143,284
Morgan Stanley Capital Services, Inc. April 2011 Russell 2000 Index Swap, Terminating 04/26/114 (Notional Value $923,596)		1,095		21,959
(Total Notional Value $56,837,684)			$	1,413,606

*	Non-income producing security
†	Value determined based on Level 1 inputs, except as otherwise noted — See Note 8.
††	Value determined based on Level 2 inputs — See Note 8.
†††	Value determined based on Level 3 inputs — See Note 8.
1	Illiquid security.
2	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
4	Total Return based on Russell 2000 Index +/- financing at a variable rate. plc — Public Limited Company REIT — Real Estate Investment Trust

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 99

RUSSELL 2000^® 1.5x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	3,865,669
Repurchase agreements, at value		37,240,501
Total investments		41,106,170
Segregated cash with broker		283,400
Cash		13
Unrealized appreciation on swap agreements		1,413,606
Receivables:
Variation margin		11,276
Securities sold		1,513
Fund shares sold		153,354
Dividends		3,688
Interest		64
Total assets		42,973,084
Liabilities:
Payable for:
Fund shares redeemed		45,301
Management fees		27,363
Custodian fees		851
Transfer agent/maintenance fees		7,601
Distribution and service fees		9,261
Portfolio accounting fees		3,041
Other		2,367
Total liabilities		95,785
Net Assets	$	42,877,299
Net Assets Consist Of:
Paid in capital	$	48,572,855
Accumulated net investment loss		(3,229	)
Accumulated net realized loss on investments		(9,382,809	)
Net unrealized appreciation on investments		3,690,482
Net assets	$	42,877,299
A-Class:
Net assets	$	2,311,699
Capital shares outstanding		67,256
Net asset value per share	$	34.37
Maximum offering price per share*	$	36.08
C-Class:
Net assets	$	2,785,747
Capital shares outstanding		87,741
Net asset value per share	$	31.75
H-Class:
Net assets	$	37,779,853
Capital shares outstanding		1,101,659
Net asset value per share	$	34.29
Investments, at cost	$	1,703,433
Repurchase agreements, at cost		37,240,501
Total cost	$	38,943,934

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $8)	$	99,960
Interest		23,048
Total investment income		123,008
Expenses:
Management fees		234,264
Transfer agent and administrative fees		65,073
Distribution and service fees:
A-Class		4,834
C-Class		23,921
H-Class		54,259
Portfolio accounting fees		26,029
Trustees’ fees**		2,367
Miscellaneous		54,294
Total expenses		465,041
Net investment loss		(342,033	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,268,715
Swap agreements		6,639,594
Futures contracts		(1,322,497	)
Net realized gain		7,585,812
Net change in unrealized appreciation (depreciation) on:
Investments		(1,918,026	)
Swap agreements		283,934
Futures contracts		117,475
Net change in unrealized appreciation (depreciation)		(1,516,617	)
Net realized and unrealized gain		6,069,195
Net increase in net assets resulting from operations	$	5,727,162

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

100 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

RUSSELL 2000^® 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(342,033	)	$	(208,472	)
Net realized gain on investments		7,585,812			4,024,925
Net change in unrealized appreciation (depreciation) on investments		(1,516,617	)		8,612,735
Net increase in net assets resulting from operations		5,727,162			12,429,188
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		6,815,665			2,404,655
C-Class		1,474,481			6,961,907
H-Class		198,061,598			157,669,541
Cost of shares redeemed
A-Class		(5,760,396	)		(2,984,872	)
C-Class		(2,047,330	)		(10,371,550	)
H-Class		(188,080,975	)		(157,200,957	)
Net increase (decrease) from capital share transactions		10,463,043			(3,521,276	)
Net increase in net assets		16,190,205			8,907,912
Net assets:
Beginning of year		26,687,094			17,779,182
End of year	$	42,877,299		$	26,687,094
Accumulated net investment loss at end of year	$	(3,229	)	$	(2,478	)
Capital share activity:
Shares sold
A-Class		266,605			129,902
C-Class		57,713			408,232
H-Class		7,264,965			7,830,985
Shares redeemed
A-Class		(222,529	)		(154,074	)
C-Class		(88,368	)		(578,420	)
H-Class		(7,088,420	)		(8,012,886	)
Net increase (decrease) in shares		189,966			(376,261	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 101

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.24		$	12.49		$	28.62		$	37.24		$	37.33
Income (loss) from investment operations:
Net investment income (loss)a		(.35	)		(.11	)		(.02	)		.29			.10
Net gain (loss) on investments (realized and unrealized)		9.48			12.86			(16.11	)		(8.83	)		1.24
Total from investment operations		9.13			12.75			(16.13	)		(8.54	)		1.34
Less distributions from:
Net investment income		—			—			—			(.08	)		—
Net realized gains		—			—			—			—			(1.43	)
Total distributions		—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	34.37		$	25.24		$	12.49		$	28.62		$	37.24
Total Returnb		36.17	%		102.08	%		(56.36	%)		(22.98	%)		3.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,312		$	585		$	591		$	4,372		$	5,976
Ratios to average net assets:
Net investment income (loss)		(1.25	%)		(0.59	%)		(0.07	%)		0.81	%		0.28	%
Total expenses		1.72	%		1.71	%		1.70	%		1.67	%		1.66	%
Portfolio turnover rate		211	%		109	%		288	%		227	%		179	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	23.50		$	11.71		$	27.10		$	35.51		$	35.93
Income (loss) from investment operations:
Net investment income (loss)a		(.47	)		(.24	)		(.18	)		.03			(.16	)
Net gain (loss) on investments (realized and unrealized)		8.72			12.03			(15.21	)		(8.36	)		1.17
Total from investment operations		8.25			11.79			(15.39	)		(8.33	)		1.01
Less distributions from:
Net investment income		—			—			—			(.08	)		—
Net realized gains		—			—			—			—			(1.43	)
Total distributions		—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	31.75		$	23.50		$	11.71		$	27.10		$	35.51
Total Returnb		35.11	%		100.68	%		(56.79	%)		(23.50	%)		2.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,786		$	2,782		$	3,381		$	10,873		$	19,942
Ratios to average net assets:
Net investment income (loss)		(1.90	%)		(1.36	%)		(0.83	%)		0.09	%		(0.47	%)
Total expenses		2.47	%		2.46	%		2.45	%		2.42	%		2.41	%
Portfolio turnover rate		211	%		109	%		288	%		227	%		179	%

102 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.21		$	12.47		$	28.62		$	37.22		$	37.32
Income (loss) from investment operations:
Net investment income (loss)a		(.35	)		(.19	)		(.02	)		.30			.10
Net gain (loss) on investments (realized and unrealized)		9.43			12.93			(16.13	)		(8.82	)		1.23
Total from investment operations		9.08			12.74			(16.15	)		(8.52	)		1.33
Less distributions from:
Net investment income		—			—			—			(.08	)		—
Net realized gains		—			—			—			—			(1.43	)
Total distributions		—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	34.29		$	25.21		$	12.47		$	28.62		$	37.22
Total Returnb		36.02	%		102.17	%		(56.43	%)		(22.93	%)		3.57	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,780		$	23,320		$	13,807		$	13,839		$	42,861
Ratios to average net assets:
Net investment income (loss)		(1.25	%)		(0.94	%)		(0.07	%)		0.83	%		0.27	%
Total expenses		1.72	%		1.71	%		1.70	%		1.67	%		1.66	%
Portfolio turnover rate		211	%		109	%		288	%		227	%		179	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 103

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)                  March 31, 2011

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”).

Inception: May 31, 2006

Russell 2000^® Fund H-Class turned in a 24.32% performance for the one-year period ended March 31, 2011. Its benchmark, the Russell 2000 Index, was up 25.80% for the period. Russell 2000^® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the Russell 2000 Index.

The biggest performance contributors to the index during the period were Information Technology (7.78%), Industrials (4.49%) and Energy (3.21%). Telecommunication Services (0.29%), Consumer Staples (0.55%) and Utilities (0.69%) provided the least performance to the index during the year.

Riverbed Technology, Inc., VeriFone Systems, Inc. and TIBCO Software, Inc. were among the stocks which provided the most performance to the index during the year. Corinthian Colleges, Inc., Human Genome Sciences, Inc. and TiVo, Inc. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	May 31, 2006
C-Class	May 31, 2006
H-Class	May 31, 2006

Ten Largest Holdings
(% of Total Net Assets)
Riverbed Technology, Inc.	0.1	%
VeriFone Systems, Inc.	0.1	%
TIBCO Software, Inc.	0.1	%
Brigham Exploration Co.	0.1	%
Rackspace Hosting, Inc.	0.1	%
Nordson Corp.	0.1	%
Sotheby’s	0.1	%
American Capital Ltd.	0.1	%
Deckers Outdoor Corp.	0.1	%
AMERIGROUP Corp.	0.1	%
Top Ten Total	1.0	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

104 THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class									C-Class						H-Class
							(05/31/06)									(05/31/06)						(05/31/06)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
RUSSELL 2000® FUND		24.30	%		18.42	%		3.05	%		2.01	%		23.25	%		22.25	%		2.23	%		24.32	%		3.03	%
RUSSELL 2000 INDEX		25.80	%		25.80	%		4.73	%		4.73	%		25.80	%		25.80	%		4.73	%		25.80	%		4.73	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 105

SCHEDULE OF INVESTMENTS	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
COMMON STOCKS† - 10.4%
FINANCIALS - 2.0%
American Capital Ltd.*		1,154	$	11,425
Highwoods Properties, Inc.		245		8,577
BioMed Realty Trust, Inc.		440		8,369
SVB Financial Group*		147		8,369
CBL & Associates Properties, Inc.		466		8,118
Apollo Investment Corp.		665		8,020
Stifel Financial Corp.*		110		7,897
Signature Bank*		140		7,896
MFA Financial, Inc.		956		7,839
Entertainment Properties Trust		167		7,819
Home Properties, Inc.		130		7,663
National Retail Properties, Inc.		284		7,421
Alterra Capital Holdings Ltd.		330		7,372
Tanger Factory Outlet Centers		280		7,347
Mid-America Apartment Communities, Inc.		110		7,062
ProAssurance Corp.*		110		6,971
Omega Healthcare Investors, Inc.		311		6,948
Kilroy Realty Corp.		178		6,912
Prosperity Bancshares, Inc.		160		6,843
Post Properties, Inc.		167		6,555
LaSalle Hotel Properties		237		6,399
FirstMerit Corp.		370		6,312
Washington Real Estate Investment Trust		199		6,187
MGIC Investment Corp.*		678		6,027
Extra Space Storage, Inc.		290		6,006
First American Financial Corp.		360		5,940
DiamondRock Hospitality Co.		527		5,887
CNO Financial Group, Inc.*		758		5,693
Potlatch Corp.		137		5,507
NewAlliance Bancshares, Inc.		370		5,491
Iberiabank Corp.		90		5,412
Platinum Underwriters Holdings Ltd.		140		5,333
Equity Lifestyle Properties, Inc.		90		5,189
American Campus Communities, Inc.		156		5,148
Westamerica Bancorporation		100		5,137
Portfolio Recovery Associates, Inc.*		60		5,108
Colonial Properties Trust		264		5,082
Trustmark Corp.		216		5,059
American Capital Agency Corp.		173		5,041
Ezcorp, Inc. — Class A*		160		5,022
Healthcare Realty Trust, Inc.		218		4,949
Delphi Financial Group, Inc. — Class A		160		4,914
Webster Financial Corp.		220		4,715
Northwest Bancshares, Inc.		372		4,665
Cash America International, Inc.		100		4,605
Cathay General Bancorp		268		4,569
Umpqua Holdings Corp.		398		4,553
Whitney Holding Corp.		330		4,495
Medical Properties Trust, Inc.		380		4,397
Montpelier Re Holdings Ltd.		248		4,382
Knight Capital Group, Inc. — Class A*		320		4,288
Susquehanna Bancshares, Inc.		450		4,208
Astoria Financial Corp.		290		4,167
PHH Corp.*		190		4,136
Hatteras Financial Corp.		147		4,134
UMB Financial Corp.		110		4,109
FNB Corp.		387		4,079
First Cash Financial Services, Inc.*		105		4,053
Redwood Trust, Inc.		260		4,043
DCT Industrial Trust, Inc.		720		3,996
EastGroup Properties, Inc.		90		3,957
World Acceptance Corp.*		60		3,912
National Health Investors, Inc.		80		3,834
MB Financial, Inc.		180		3,773
Wintrust Financial Corp.		100		3,675
Glacier Bancorp, Inc.		240		3,612
First Financial Bankshares, Inc.		70		3,596
Starwood Property Trust, Inc.		160		3,568
Sovran Self Storage, Inc.		90		3,560
PS Business Parks, Inc.		60		3,476
Sunstone Hotel Investors, Inc.*		340		3,465
RLI Corp.		60		3,459
DuPont Fabros Technology, Inc.		140		3,395
United Bankshares, Inc.		128		3,395
Tower Group, Inc.		140		3,364
Old National Bancorp		310		3,323
National Penn Bancshares, Inc.		428		3,313
Argo Group International Holdings Ltd.		100		3,304
International Bancshares Corp.		180		3,301
Hancock Holding Co.		100		3,284
U-Store-It Trust		310		3,261
Franklin Street Properties Corp.		229		3,222
First Financial Bancorp		190		3,171
Prospect Capital Corp.		258		3,150
KBW, Inc.		120		3,143
Radian Group, Inc.		458		3,119
Selective Insurance Group, Inc.		180		3,114
Strategic Hotels & Resorts, Inc.*		480		3,096
Lexington Realty Trust		330		3,086
Capstead Mortgage Corp.		241		3,080
Texas Capital Bancshares, Inc.*		118		3,067
First Midwest Bancorp, Inc.		250		2,947
Provident Financial Services, Inc.		199		2,945
Anworth Mortgage Asset Corp.		410		2,907
Employers Holdings, Inc.		140		2,892
CVB Financial Corp.		308		2,867
iStar Financial, Inc.*		310		2,846
Invesco Mortgage Capital, Inc.		130		2,841
Greenlight Capital Re Ltd. — Class A*		98		2,765

106 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Ocwen Financial Corp.*		250	$	2,755
NBT Bancorp, Inc.		120		2,735
Investment Technology Group, Inc.*		150		2,729
Pennsylvania Real Estate Investment Trust		188		2,683
Hersha Hospitality Trust — Class A		450		2,673
Park National Corp.		40		2,673
Sterling Bancshares, Inc.		310		2,669
American Equity Investment Life Holding Co.		200		2,624
Cousins Properties, Inc.		312		2,605
PrivateBancorp, Inc. — Class A		170		2,599
Community Bank System, Inc.		107		2,597
optionsXpress Holdings, Inc.		140		2,563
LTC Properties, Inc.		90		2,551
First Industrial Realty Trust, Inc.*		212		2,521
Columbia Banking System, Inc.		130		2,492
Acadia Realty Trust		130		2,460
Dollar Financial Corp.*		117		2,428
Oritani Financial Corp.		190		2,409
Investors Real Estate Trust		253		2,403
Infinity Property & Casualty Corp.		40		2,380
Inland Real Estate Corp.		249		2,375
Investors Bancorp, Inc.*		158		2,353
Pico Holdings, Inc.*		77		2,315
Horace Mann Educators Corp.		137		2,302
Forestar Group, Inc.*		120		2,282
Equity One, Inc.		120		2,252
Associated Estates Realty Corp.		140		2,223
PacWest Bancorp		100		2,175
Sun Communities, Inc.		60		2,139
MarketAxess Holdings, Inc.		88		2,130
Brookline Bancorp, Inc.		200		2,106
Piper Jaffray Companies, Inc.*		50		2,072
National Financial Partners Corp.*		140		2,065
Navigators Group, Inc.*		40		2,060
Nelnet, Inc. — Class A		94		2,052
Primerica, Inc.		80		2,041
Glimcher Realty Trust		219		2,026
First Potomac Realty Trust		127		2,000
Enstar Group Ltd.*		20		1,998
First Commonwealth Financial Corp.		290		1,987
BlackRock Kelso Capital Corp.		188		1,904
Independent Bank Corp.		70		1,891
MF Global Holdings Ltd.*		228		1,888
Safety Insurance Group, Inc.		40		1,844
Meadowbrook Insurance Group, Inc.		178		1,842
Pinnacle Financial Partners, Inc.*		110		1,819
Cohen & Steers, Inc.		60		1,781
Western Alliance Bancorporation*		216		1,776
City Holding Co.		50		1,768
BGC Partners, Inc. — Class A		190		1,765
Boston Private Financial Holdings, Inc.		249		1,760
Bank of the Ozarks, Inc.		40		1,748
Home Bancshares, Inc.		76		1,729
Evercore Partners, Inc. — Class A		50		1,714
Compass Diversified Holdings		116		1,710
MCG Capital Corp.		260		1,690
Internet Capital Group, Inc.*		117		1,661
S&T Bancorp, Inc.		77		1,661
WesBanco, Inc.		80		1,657
Ramco-Gershenson Properties Trust		130		1,629
Simmons First National Corp. — Class A		60		1,625
Flagstone Reinsurance Holdings S.A.		180		1,622
Universal Health Realty Income Trust		40		1,621
Ashford Hospitality Trust, Inc.		147		1,620
United Fire & Casualty Co.		80		1,617
Government Properties Income Trust		60		1,612
Getty Realty Corp.		70		1,602
Chemical Financial Corp.		80		1,594
Trustco Bank Corp.		268		1,589
Banco Latinoamericano de Comercio Exterior S.A. — Class E		90		1,571
FBL Financial Group, Inc. — Class A		50		1,536
Retail Opportunity Investments Corp.		140		1,532
Education Realty Trust, Inc.		190		1,526
Amtrust Financial Services, Inc.		80		1,526
Urstadt Biddle Properties, Inc. — Class A		80		1,522
CNA Surety Corp.*		60		1,516
Flushing Financial Corp.		100		1,490
Sandy Spring Bancorp, Inc.		80		1,477
Tejon Ranch Co.*		40		1,470
Walter Investment Management Corp.		90		1,452
Duff & Phelps Corp. — Class A		90		1,438
PennantPark Investment Corp.		120		1,430
Fifth Street Finance Corp.		107		1,428
Safeguard Scientifics, Inc.*		70		1,424
Artio Global Investors, Inc. — Class A		88		1,422
Credit Acceptance Corp.*		20		1,419
Community Trust Bancorp, Inc.		50		1,383
Hilltop Holdings, Inc.*		137		1,375
NorthStar Realty Finance Corp.		257		1,375
Renasant Corp.		80		1,358
Provident New York Bancorp		130		1,342

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 107

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
SCBT Financial Corp.		40	$	1,331
First Financial Corp.		40		1,330
Dime Community Bancshares, Inc.		90		1,328
AMERISAFE, Inc.*		60		1,327
Harleysville Group, Inc.		40		1,325
PMI Group, Inc.*		488		1,318
Hercules Technology Growth Capital, Inc.		117		1,287
Danvers Bancorp, Inc.		60		1,285
TowneBank		82		1,284
Maiden Holdings Ltd.		170		1,273
Newcastle Investment Corp.*		210		1,268
Tompkins Financial Corp.		30		1,247
Nara Bancorp, Inc.*		128		1,231
Citizens Republic Bancorp, Inc.*		1,354		1,205
Washington Trust Bancorp, Inc.		50		1,187
Encore Capital Group, Inc.*		50		1,185
Virtus Investment Partners, Inc.*		20		1,178
Cardinal Financial Corp.		99		1,154
Parkway Properties, Inc.		67		1,139
FPIC Insurance Group, Inc.*		30		1,137
StellarOne Corp.		80		1,136
Lakeland Financial Corp.		50		1,134
eHealth, Inc.*		85		1,131
West Coast Bancorp*		320		1,110
PennyMac Mortgage Investment Trust		60		1,103
Financial Engines, Inc.*		40		1,102
GFI Group, Inc.		219		1,099
Global Indemnity plc — Class A*		50		1,099
MVC Capital, Inc.		80		1,098
Cedar Shopping Centers, Inc.		180		1,085
Phoenix Companies, Inc.*		397		1,080
Southside Bancshares, Inc.		50		1,070
Univest Corporation of Pennsylvania		60		1,063
Berkshire Hills Bancorp, Inc.		50		1,042
CapLease, Inc.		190		1,041
Beneficial Mutual Bancorp, Inc.*		120		1,034
TradeStation Group, Inc.*		147		1,032
Camden National Corp.		30		1,027
International. FCStone, Inc.*		40		1,017
SY Bancorp, Inc.		40		1,006
Oppenheimer Holdings, Inc. — Class A		30		1,005
1st Source Corp.		50		1,002
Calamos Asset Management, Inc. — Class A		60		995
Southwest Bancorp, Inc.		70		993
United Financial Bancorp, Inc.		60		991
NewStar Financial, Inc.*		90		983
Winthrop Realty Trust		80		980
Resource Capital Corp.		148		975
Oriental Financial Group, Inc.		77		966
Kite Realty Group Trust		180		956
Advance America Cash Advance Centers, Inc.		180		954
TICC Capital Corp.		87		946
Two Harbors Investment Corp.		90		942
WSFS Financial Corp.		20		942
Colony Financial, Inc.		50		941
GAMCO Investors, Inc. — Class A		20		927
State Auto Financial Corp.		50		911
Westfield Financial, Inc.		100		906
First Busey Corp.		178		904
Triangle Capital Corp.		50		903
HFF, Inc. — Class A*		60		902
Sterling Bancorp — Class N		90		901
Saul Centers, Inc.		20		891
Center Financial Corp.*		120		881
Citizens, Inc.*		120		876
Abington Bancorp, Inc.		70		856
Bancfirst Corp.		20		854
Eagle Bancorp, Inc.*		60		843
Cogdell Spencer, Inc.		140		832
Northfield Bancorp, Inc.		60		828
Apollo Commercial Real Estate Finance, Inc.		50		818
Trico Bancshares		50		816
Ameris Bancorp		80		813
Westwood Holdings Group, Inc.		20		805
RAIT Financial Trust		327		804
Diamond Hill Investment Group, Inc.		10		800
Territorial Bancorp, Inc.		40		797
Hudson Valley Holding Corp.		36		792
Gladstone Capital Corp.		70		792
Arrow Financial Corp.		31		767
CoBiz Financial, Inc.		110		764
Kennedy-Wilson Holdings, Inc.*		70		760
United Community Banks, Inc.*		320		758
Lakeland Bancorp, Inc.		73		758
Monmouth Real Estate Investment Corp. — Class A		91		747
Bank of Marin Bancorp		20		746
First Merchants Corp.		90		744
Bancorp, Inc.*		80		738
Main Street Capital Corp.		40		738
FelCor Lodging Trust, Inc.*		118		723
SeaBright Holdings, Inc.		70		718
First Community Bancshares, Inc.		50		709
Home Federal Bancorp, Inc.		60		707
Washington Banking Co.		50		705
Enterprise Financial Services Corp.		50		703
Baldwin & Lyons, Inc. — Class B		30		703
MainSource Financial Group, Inc.		70		701
Financial Institutions, Inc.		40		700
OceanFirst Financial Corp.		50		697
Chesapeake Lodging Trust		40		696

108 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
German American Bancorp, Inc.		40	$	688
Heartland Financial USA, Inc.		40		680
First Financial Holdings, Inc.		60		679
Union First Market Bankshares Corp.		60		675
NGP Capital Resources Co.		70		675
Agree Realty Corp.		30		673
Citizens & Northern Corp.		40		672
Presidential Life Corp.		70		667
Alliance Financial Corp.		20		667
First Bancorp		50		663
ESSA Bancorp, Inc.		50		660
ViewPoint Financial Group		50		650
FBR Capital Markets Corp.*		180		644
Great Southern Bancorp, Inc.		30		644
American Safety Insurance Holdings Ltd.*		30		643
Bank Mutual Corp.		150		634
OmniAmerican Bancorp, Inc.*		40		634
Epoch Holding Corp.		40		631
Suffolk Bancorp		30		629
Stewart Information Services Corp.		60		629
State Bancorp, Inc.		60		623
Metro Bancorp, Inc.*		50		618
Bryn Mawr Bank Corp.		30		617
Pacific Continental Corp.		60		611
Arlington Asset Investment Corp. — Class A		20		609
SWS Group, Inc.		100		607
Avatar Holdings, Inc.*		30		594
MPG Office Trust, Inc.*		160		594
Excel Trust, Inc.		50		590
Republic Bancorp, Inc. — Class A		30		584
National Bankshares, Inc.		20		578
Farmer Mac — Class C		30		573
Ames National Corp.		30		573
CreXus Investment Corp.		50		571
Harris & Harris Group, Inc.*		105		565
Sanders Morris Harris Group, Inc.		70		561
Centerstate Banks, Inc.		80		560
Orrstown Financial Services, Inc.		20		560
BankFinancial Corp.		60		551
Gladstone Commercial Corp.		30		547
First Interstate Bancsystem, Inc. — Class A		40		544
Gladstone Investment Corp.		70		543
Donegal Group, Inc. — Class A		40		535
Merchants Bancshares, Inc.		20		530
Terreno Realty Corp.		30		517
Capital City Bank Group, Inc.		40		507
Dynex Capital, Inc.		50		503
Kearny Financial Corp.		50		501
EMC Insurance Group, Inc.		20		497
1st United Bancorp, Inc.*		70		491
Chatham Lodging Trust		30		488
Cowen Group, Inc. — Class A*		120		481
Peoples Bancorp, Inc.		40		481
Solar Capital Ltd.		20		478
LaBranche & Company, Inc.*		120		472
Penson Worldwide, Inc.*		70		470
Rockville Financial, Inc.*		45		469
Gleacher & Company, Inc.*		268		466
Home Bancorp, Inc.*		30		460
Sabra Healthcare REIT, Inc.		26		458
First Bancorp, Inc.		30		458
One Liberty Properties, Inc.		30		452
American National Bankshares, Inc.		20		450
Bridge Bancorp, Inc.		20		447
Sierra Bancorp		40		447
Tower Bancorp, Inc.		20		446
ESB Financial Corp.		30		443
Medallion Financial Corp.		50		440
Hanmi Financial Corp.*		350		434
Midsouth Bancorp, Inc.		30		434
First Marblehead Corp.*		197		433
JMP Group, Inc.		50		431
Heritage Financial Corp.*		30		425
Meridian Interstate Bancorp, Inc.*		30		421
National Interstate Corp.		20		417
THL Credit, Inc.		30		410
Thomas Properties Group, Inc.*		120		402
Virginia Commerce Bancorp, Inc.*		70		402
West Bancorporation, Inc.		50		399
Pebblebrook Hotel Trust		18		399
Peapack Gladstone Financial Corp.		30		398
Mission West Properties, Inc.		60		394
Penns Woods Bancorp, Inc.		10		389
Crawford & Co. — Class B		80		381
Cypress Sharpridge Investments, Inc.		30		380
Marlin Business Services Corp.*		30		370
Encore Bancshares, Inc.*		30		364
Ladenburg Thalmann Financial Services, Inc.*		310		356
Clifton Savings Bancorp, Inc.		30		356
Wilshire Bancorp, Inc.		70		343
Asta Funding, Inc.		40		342
Hallmark Financial Services*		40		335
Roma Financial Corp.		30		332
Universal Insurance Holdings, Inc.		60		325
Consolidated-Tomoka Land Co.		10		324
Kansas City Life Insurance Co.		10		320
Golub Capital BDC, Inc.		20		316
Taylor Capital Group, Inc.*		30		315
BofI Holding, Inc.*		20		310
Bancorp Rhode Island, Inc.		10		309
UMH Properties, Inc.		30		298

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 109

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
MidWestOne Financial Group, Inc.		20	$	297
Fox Chase Bancorp, Inc.		20		278
First of Long Island Corp.		10		278
Asset Acceptance Capital Corp.*		50		268
Century Bancorp, Inc. — Class A		10		268
CompuCredit Holdings Corp.*		40		263
Primus Guaranty Ltd.*		50		254
Flagstar Bancorp, Inc.*		160		240
Pzena Investment Management, Inc. — Class A		30		212
Life Partners Holdings, Inc.		25		201
Kaiser Federal Financial Group, Inc.		14		172
First BanCorp*		33		165
NASB Financial, Inc.		10		162
California First National Bancorp		10		153
First South Bancorp, Inc.		30		150
CNB Financial Corp.		10		145
Green Bankshares, Inc.*		40		112
Rodman & Renshaw Capital Group, Inc.*		50		102
Doral Financial Corp.*		60		66
Waterstone Financial, Inc.*		20		61
Total Financials				809,439
INFORMATION TECHNOLOGY — 2.0%
Riverbed Technology, Inc.*		428		16,114
VeriFone Systems, Inc.*		292		16,045
TIBCO Software, Inc.*		568		15,478
Rackspace Hosting, Inc.*		337		14,440
Acme Packet, Inc.*		150		10,644
Ariba, Inc.*		300		10,242
Jack Henry & Associates, Inc.		294		9,964
Parametric Technology Corp.*		400		8,996
Aruba Networks, Inc.*		264		8,934
ADTRAN, Inc.		210		8,917
Netlogic Microsystems, Inc.*		212		8,908
SuccessFactors, Inc.*		212		8,287
Concur Technologies, Inc.*		140		7,763
InterDigital, Inc.		150		7,156
Veeco Instruments, Inc.*		140		7,118
Wright Express Corp.*		137		7,102
TriQuint Semiconductor, Inc.*		530		6,842
Cavium Networks, Inc.*		149		6,695
GSI Commerce, Inc.*		220		6,439
Omnivision Technologies, Inc.*		180		6,395
Anixter International, Inc.		90		6,290
Fortinet, Inc.*		140		6,160
Finisar Corp.*		250		6,150
CACI International, Inc. — Class A*		100		6,132
Progress Software Corp.*		210		6,109
CommVault Systems, Inc.*		150		5,982
Plantronics, Inc.		160		5,859
RF Micro Devices, Inc.*		914		5,859
Microsemi Corp.*		280		5,799
Lawson Software, Inc.*		478		5,784
Hittite Microwave Corp.*		90		5,739
Universal Display Corp.*		104		5,724
MKS Instruments, Inc.		170		5,661
Cymer, Inc.*		100		5,658
Arris Group, Inc.*		440		5,606
Mentor Graphics Corp.*		364		5,325
OpenTable, Inc.*		50		5,318
Semtech Corp.*		210		5,254
Quest Software, Inc.*		200		5,078
IPG Photonics Corp.*		88		5,076
TTM Technologies, Inc.*		278		5,048
Cirrus Logic, Inc.*		237		4,984
Plexus Corp.*		140		4,908
MAXIMUS, Inc.		60		4,870
Digital River, Inc.*		130		4,866
SAVVIS, Inc.*		130		4,822
Ultimate Software Group, Inc.*		80		4,700
Coherent, Inc.*		80		4,649
Taleo Corp. — Class A*		130		4,635
Unisys Corp.*		147		4,589
j2 Global Communications, Inc.*		150		4,426
Fair Isaac Corp.		140		4,425
FEI Co.*		130		4,384
Viasat, Inc.*		110		4,382
JDA Software Group, Inc.*		140		4,236
Cabot Microelectronics Corp.*		80		4,180
Benchmark Electronics, Inc.*		218		4,135
Integrated Device Technology, Inc.*		560		4,127
Sapient Corp.*		357		4,088
Blackbaud, Inc.		150		4,086
MicroStrategy, Inc. — Class A*		30		4,034
ValueClick, Inc.*		278		4,020
Littelfuse, Inc.		70		3,997
Blackboard, Inc.*		110		3,986
Rofin-Sinar Technologies, Inc.*		100		3,950
Blue Coat Systems, Inc.*		140		3,942
SRA International, Inc. — Class A*		138		3,914
Entegris, Inc.*		445		3,903
Cognex Corp.		137		3,870
Netgear, Inc.*		118		3,828
Terremark Worldwide, Inc.*		200		3,800
Diodes, Inc.*		110		3,747
Take-Two Interactive Software, Inc.*		240		3,689
Scansource, Inc.*		96		3,647
ACI Worldwide, Inc.*		110		3,608
Websense, Inc.*		157		3,606
TiVo, Inc.*		399		3,495
Constant Contact, Inc.*		100		3,490
Acxiom Corp.*		235		3,372
Stratasys, Inc.*		70		3,290
DealerTrack Holdings, Inc.*		140		3,214
Harmonic, Inc.*		339		3,180

110 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Aspen Technology, Inc.*		210	$	3,148
L-1 Identity Solutions, Inc. — Class 1*		266		3,133
Tessera Technologies, Inc.*		170		3,104
Loral Space & Communications, Inc.*		40		3,102
Euronet Worldwide, Inc.*		160		3,093
Power Integrations, Inc.		80		3,066
Sanmina-SCI Corp.*		270		3,027
Brooks Automation, Inc.*		220		3,021
Synaptics, Inc.*		110		2,972
Mantech International Corp. — Class A*		70		2,968
Emulex Corp.*		278		2,966
Checkpoint Systems, Inc.*		130		2,922
Earthlink, Inc.		369		2,889
Advent Software, Inc.*		100		2,867
SolarWinds, Inc.*		120		2,815
DTS, Inc.*		60		2,798
STEC, Inc.*		138		2,772
Netscout Systems, Inc.*		100		2,732
Insight Enterprises, Inc.*		160		2,725
Comtech Telecommunications Corp.		100		2,718
Sonus Networks, Inc.*		710		2,670
Brightpoint, Inc.*		242		2,623
SYNNEX Corp.*		80		2,618
Manhattan Associates, Inc.*		80		2,618
Infinera Corp.*		309		2,593
DG FastChannel, Inc.*		80		2,578
Bottomline Technologies, Inc.*		100		2,514
Tyler Technologies, Inc.*		105		2,490
Sourcefire, Inc.*		90		2,476
Synchronoss Technologies, Inc.*		70		2,433
Amkor Technology, Inc.*		358		2,413
Silicon Image, Inc.*		267		2,395
VirnetX Holding Corp.		120		2,389
NIC, Inc.		190		2,367
comScore, Inc.*		80		2,361
Lattice Semiconductor Corp.*		400		2,360
Applied Micro Circuits Corp.*		227		2,356
Ultratech, Inc.*		80		2,352
Micrel, Inc.		170		2,292
Heartland Payment Systems, Inc.		130		2,279
MTS Systems Corp.		50		2,278
Kulicke & Soffa Industries, Inc.*		242		2,263
Park Electrochemical Corp.		70		2,257
Rogers Corp.*		50		2,253
Avid Technology, Inc.*		100		2,230
Electronics for Imaging, Inc.*		150		2,207
CSG Systems International, Inc.*		110		2,193
RightNow Technologies, Inc.*		70		2,191
Silicon Graphics International Corp.*		100		2,140
Ancestry.com, Inc.*		60		2,127
Kenexa Corp.*		77		2,124
Black Box Corp.		60		2,109
LogMeIn, Inc.*		50		2,108
Newport Corp.*		118		2,104
Syntel, Inc.		40		2,089
ATMI, Inc.*		110		2,077
Powerwave Technologies, Inc.*		458		2,066
Ebix, Inc.*		87		2,058
Oclaro, Inc.*		177		2,037
FARO Technologies, Inc.*		50		2,000
Volterra Semiconductor Corp.*		80		1,986
Standard Microsystems Corp.*		80		1,973
Radiant Systems, Inc.*		110		1,947
TeleTech Holdings, Inc.*		100		1,938
Tekelec*		238		1,933
Forrester Research, Inc.		50		1,915
Advanced Energy Industries, Inc.*		117		1,913
Pegasystems, Inc.		50		1,897
LivePerson, Inc.*		150		1,896
OSI Systems, Inc.*		50		1,876
Ceva, Inc.*		70		1,871
Entropic Communications, Inc.*		220		1,859
Quantum Corp.*		732		1,845
Cardtronics, Inc.*		90		1,831
United Online, Inc.		290		1,828
Hypercom Corp.*		150		1,804
Epicor Software Corp.*		160		1,771
Zoran Corp.*		170		1,766
Ixia*		111		1,763
NetSuite, Inc.*		60		1,745
Formfactor, Inc.*		168		1,730
Intermec, Inc.*		160		1,726
Power-One, Inc.*		197		1,724
Measurement Specialties, Inc.*		50		1,703
Mercury Computer Systems, Inc.*		80		1,693
Photronics, Inc.*		180		1,615
EPIQ Systems, Inc.		110		1,580
iGate Corp.		84		1,577
MIPS Technologies, Inc. — Class A*		150		1,574
Electro Scientific Industries, Inc.*		90		1,562
Monolithic Power Systems, Inc.*		110		1,561
Opnet Technologies, Inc.		40		1,560
Maxwell Technologies, Inc.*		90		1,554
Vocus, Inc.*		60		1,552
Interactive Intelligence, Inc.*		40		1,548
Methode Electronics, Inc.		128		1,546
LTX-Credence Corp.*		163		1,488
Sycamore Networks, Inc.		60		1,466
Ciber, Inc.*		218		1,461
Accelrys, Inc.*		179		1,432
Magma Design Automation, Inc.*		207		1,412
TNS, Inc.*		90		1,401
SMART Modular Technologies WWH, Inc.*		180		1,399
Rubicon Technology, Inc.*		50		1,384

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 111

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Oplink Communications, Inc.*		71	$	1,384
Travelzoo, Inc.*		20		1,332
Sigma Designs, Inc.*		100		1,295
Cohu, Inc.		83		1,275
Move, Inc.*		524		1,252
Super Micro Computer, Inc.*		78		1,251
VASCO Data Security International, Inc.*		90		1,236
ShoreTel, Inc.*		150		1,235
Knot, Inc.*		100		1,205
CTS Corp.		110		1,188
Daktronics, Inc.		110		1,182
Cass Information Systems, Inc.		30		1,179
S1 Corp.*		170		1,136
Multi-Fineline Electronix, Inc.*		40		1,129
NVE Corp.*		20		1,127
Xyratex Ltd.*		100		1,118
Internap Network Services Corp.*		170		1,117
Imation Corp.*		100		1,114
Nanometrics, Inc.*		60		1,085
Echelon Corp.*		107		1,084
Extreme Networks*		307		1,075
IXYS Corp.*		80		1,074
Rudolph Technologies, Inc.*		97		1,061
ExlService Holdings, Inc.*		50		1,058
Aviat Networks, Inc.*		204		1,055
Limelight Networks, Inc.*		147		1,053
RealNetworks, Inc.*		282		1,049
THQ, Inc.*		230		1,049
Kopin Corp.*		227		1,042
Electro Rent Corp.		60		1,031
Infospace, Inc.*		118		1,022
PROS Holdings, Inc.*		70		1,020
Anadigics, Inc.*		227		1,017
Monotype Imaging Holdings, Inc.*		70		1,015
Anaren, Inc.*		50		1,005
MoneyGram International, Inc.*		287		984
EMS Technologies, Inc.*		50		983
Perficient, Inc.*		80		961
Axcelis Technologies, Inc.*		360		954
Virtusa Corp.*		50		937
Smith Micro Software, Inc.*		100		936
Pericom Semiconductor Corp.*		90		933
UTStarcom, Inc.*		392		921
Symmetricom, Inc.*		150		920
Mindspeed Technologies, Inc.*		107		905
Liquidity Services, Inc.*		50		893
Saba Software, Inc.*		90		883
Bel Fuse, Inc. — Class B		40		880
Zygo Corp.*		60		877
Intevac, Inc.*		70		870
Globecomm Systems, Inc.*		70		863
Seachange International, Inc.*		90		855
LoopNet, Inc.*		60		849
Pulse Electronics Corp.		140		847
Wave Systems Corp. — Class A*		270		845
Digi International, Inc.*		80		845
KIT Digital, Inc.*		70		843
Integrated Silicon Solution, Inc.*		90		834
support.com, Inc.*		160		830
SS&C Technologies Holdings, Inc.*		40		817
ModusLink Global Solutions, Inc.		148		808
DemandTec, Inc.*		60		790
Spectrum Control, Inc.*		40		787
Cray, Inc.*		120		774
Actuate Corp.*		148		770
KVH Industries, Inc.*		50		756
Dice Holdings, Inc.*		50		755
Gerber Scientific, Inc.*		80		749
Spansion, Inc. — Class A*		40		747
Keynote Systems, Inc.		40		742
Integral Systems, Inc.*		60		730
Ultra Clean Holdings*		70		724
AXT, Inc.*		100		717
Lionbridge Technologies, Inc.*		207		710
Exar Corp.*		117		704
Zix Corp.*		190		699
Radisys Corp.*		80		693
Immersion Corp.*		90		688
QuinStreet, Inc.*		30		682
Supertex, Inc.*		30		668
Computer Task Group, Inc.*		50		664
Richardson Electronics Ltd.		50		659
Conexant Systems, Inc.*		270		643
Calix, Inc.*		31		630
TeleCommunication Systems, Inc. — Class A*		150		618
DSP Group, Inc.*		80		616
Openwave Systems, Inc.*		287		614
Novatel Wireless, Inc.*		110		601
Digimarc Corp.*		20		578
Global Cash Access Holdings, Inc.*		170		556
GSI Technology, Inc.*		60		545
MoSys, Inc.*		90		541
Stamps.com, Inc.		40		534
Deltek, Inc.*		70		532
Advanced Analogic Technologies, Inc.*		140		529
Rosetta Stone, Inc.*		40		528
Echo Global Logistics, Inc.*		40		525
American Software, Inc. — Class A		70		517
PDF Solutions, Inc.*		77		512
X-Rite, Inc.*		107		508
NCI, Inc. — Class A*		20		487
Rimage Corp.		30		484
Marchex, Inc. — Class A		60		472
Renaissance Learning, Inc.		40		470
PLX Technology, Inc.*		127		464

112 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
PC-Telephone, Inc.*		60	$	460
FalconStor Software, Inc.*		100		455
TechTarget, Inc.*		50		445
BigBand Networks, Inc.*		170		434
DDi Corp.		40		423
Mattson Technology, Inc.*		170		415
Meru Networks, Inc.*		20		406
Hackett Group, Inc.*		100		384
FSI International, Inc.*		87		381
Network Equipment Technologies, Inc.*		100		377
Comverge, Inc.*		80		373
Opnext, Inc.*		150		365
TeleNav, Inc.*		30		356
Agilysys, Inc.*		60		344
SRS Labs, Inc.*		40		342
Online Resources Corp.*		90		340
Guidance Software, Inc.*		40		335
SPS Commerce, Inc.*		20		310
Trident Microsystems, Inc.*		243		279
Tier Technologies, Inc. — Class B*		50		275
Viasystems Group, Inc.*		10		273
ePlus, Inc.*		10		266
PC Connection, Inc.*		30		266
CDC Corp. — Class A*		100		255
Alpha & Omega Semiconductor Ltd.*		20		254
MaxLinear, Inc. — Class A*		30		245
Network Engines, Inc.*		120		244
Convio, Inc.*		20		232
Tessco Technologies, Inc.		20		230
Hutchinson Technology, Inc.*		80		226
Local.com Corp.*		50		195
Presstek, Inc.*		90		187
QAD, Inc. — Class A*		16		172
Ikanos Communications, Inc.*		100		114
Stream Global Services, Inc.*		20		61
QAD, Inc. — Class B*		4		41
Total Information Technology				805,790
INDUSTRIALS — 1.7%
Nordson Corp.		110		12,657
Acuity Brands, Inc.		150		8,774
GrafTech International Ltd.*		410		8,458
Clean Harbors, Inc.*		80		7,893
CLARCOR, Inc.		170		7,638
Genesee & Wyoming, Inc. — Class A*		130		7,566
Alaska Air Group, Inc.*		118		7,484
Esterline Technologies Corp.*		100		7,072
EMCOR Group, Inc.*		228		7,061
Woodward, Inc.		200		6,912
Moog, Inc. — Class A*		150		6,887
Actuant Corp. — Class A		237		6,873
United Rentals, Inc.*		202		6,723
Dollar Thrifty Automotive Group, Inc.*		100		6,673
Hexcel Corp.*		330		6,498
Avis Budget Group, Inc.*		356		6,376
EnerSys*		160		6,360
Atlas Air Worldwide Holdings, Inc.*		90		6,275
Watsco, Inc.		90		6,274
HEICO Corp.		100		6,252
Teledyne Technologies, Inc.*		117		6,050
Robbins & Myers, Inc.		130		5,979
Belden, Inc.		158		5,933
Brady Corp. — Class A		160		5,710
United Stationers, Inc.		80		5,684
Middleby Corp.*		60		5,593
AO Smith Corp.		125		5,542
JetBlue Airways Corp.*		882		5,530
Chart Industries, Inc.*		100		5,504
Herman Miller, Inc.		197		5,416
Geo Group, Inc.*		210		5,384
Tetra Tech, Inc.*		218		5,382
Triumph Group, Inc.		60		5,307
Brink’s Co.		160		5,298
Curtiss-Wright Corp.		150		5,271
Old Dominion Freight Line, Inc.*		140		4,913
Corporate Executive Board Co.		118		4,764
US Airways Group, Inc.*		546		4,756
Mueller Industries, Inc.		129		4,724
HUB Group, Inc. — Class A*		130		4,705
HNI Corp.		148		4,671
Applied Industrial Technologies, Inc.		140		4,656
Deluxe Corp.		170		4,512
CoStar Group, Inc.*		70		4,388
Kaydon Corp.		110		4,311
ABM Industries, Inc.		169		4,291
Rollins, Inc.		210		4,263
Ceradyne, Inc.*		90		4,057
Polypore International, Inc.*		70		4,031
Healthcare Services Group, Inc.		228		4,008
II-VI, Inc.*		80		3,980
Knight Transportation, Inc.		204		3,927
Briggs & Stratton Corp.		170		3,851
Simpson Manufacturing Company, Inc.		130		3,830
Watts Water Technologies, Inc. — Class A		100		3,819
Acacia Research — Acacia Technologies*		110		3,764
MasTec, Inc.*		180		3,744
American Superconductor Corp.*		150		3,731
Werner Enterprises, Inc.		140		3,706
Franklin Electric Company, Inc.		80		3,696
Orbital Sciences Corp.*		190		3,595
AAR Corp.*		128		3,548

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 113

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Insituform Technologies, Inc. — Class A*		130	$	3,477
ESCO Technologies, Inc.		90		3,434
AirTran Holdings, Inc.*		456		3,397
Granite Construction, Inc.		120		3,372
Knoll, Inc.		160		3,354
Barnes Group, Inc.		160		3,341
Korn*		150		3,341
Mine Safety Appliances Co.		90		3,300
Interface, Inc. — Class A		177		3,273
Skywest, Inc.		190		3,215
Titan International, Inc.		120		3,193
Kaman Corp.		90		3,168
Lindsay Corp.		40		3,161
Resources Connection, Inc.		160		3,102
Raven Industries, Inc.		50		3,071
Forward Air Corp.		100		3,063
Beacon Roofing Supply, Inc.*		149		3,050
Steelcase, Inc. — Class A		267		3,038
Heartland Express, Inc.		170		2,985
GeoEye, Inc.*		71		2,952
3D Systems Corp.*		60		2,913
Amerco, Inc.*		30		2,910
Mobile Mini, Inc.*		120		2,882
Cubic Corp.		50		2,875
CIRCOR International, Inc.		60		2,821
American Science & Engineering, Inc.		30		2,771
SYKES Enterprises, Inc.*		140		2,768
Ladish Company, Inc.*		50		2,732
RBC Bearings, Inc.*		70		2,676
Wabash National Corp.*		230		2,663
Unifirst Corp.		50		2,650
TrueBlue, Inc.*		157		2,636
DigitalGlobe, Inc.*		94		2,635
Astec Industries, Inc.*		70		2,610
Advisory Board Co.*		50		2,575
Universal Forest Products, Inc.		70		2,565
Blount International, Inc.*		160		2,557
Quanex Building Products Corp.		130		2,552
RSC Holdings, Inc.*		177		2,545
EnPro Industries, Inc.*		70		2,542
Tennant Co.		60		2,522
SFN Group, Inc.*		177		2,494
Layne Christensen Co.*		70		2,415
Mueller Water Products, Inc. — Class A		528		2,365
Arkansas Best Corp.		89		2,307
GT Solar International, Inc.*		212		2,260
Dycom Industries, Inc.*		130		2,254
Altra Holdings, Inc.*		95		2,244
Tutor Perini Corp.		92		2,241
Albany International Corp. — Class A		90		2,241
Exponent, Inc.*		50		2,231
NACCO Industries, Inc. — Class A		20		2,213
Allegiant Travel Co. — Class A		50		2,190
Interline Brands, Inc.*		107		2,183
McGrath Rentcorp		80		2,182
Rush Enterprises, Inc. — Class A*		110		2,178
TAL International Group, Inc.		60		2,176
Aircastle Ltd.		177		2,136
Insperity, Inc.		70		2,127
Aerovironment, Inc.*		60		2,098
Ameron International Corp.		30		2,094
Badger Meter, Inc.		50		2,061
Sauer-Danfoss, Inc.*		40		2,037
G&K Services, Inc. — Class A		60		1,995
Griffon Corp.*		150		1,970
Kelly Services, Inc. — Class A*		90		1,954
Huron Consulting Group, Inc.*		70		1,938
Colfax Corp.*		80		1,836
Kforce, Inc.*		100		1,830
Comfort Systems USA, Inc.		130		1,829
AZZ, Inc.		40		1,824
John Bean Technologies Corp.		94		1,808
EnergySolutions, Inc.		300		1,788
Navigant Consulting, Inc.*		177		1,768
H&E Equipment Services, Inc.*		90		1,756
Sun Hydraulics Corp.		40		1,724
ACCO Brands Corp.*		180		1,717
Greenbrier Companies, Inc.*		60		1,703
Viad Corp.		70		1,674
MYR Group, Inc.*		70		1,674
Heidrick & Struggles International, Inc.		60		1,670
Tredegar Corp.		77		1,662
Consolidated Graphics, Inc.*		30		1,639
Trex Company, Inc.*		50		1,631
Team, Inc.*		60		1,576
Gorman-Rupp Co.		40		1,576
Ennis, Inc.		90		1,533
Great Lakes Dredge & Dock Corp.		200		1,526
A123 Systems, Inc.*		240		1,524
Standex International Corp.		40		1,516
Air Transport Services Group, Inc.*		178		1,504
Capstone Turbine Corp.*		820		1,484
Satcon Technology Corp.*		380		1,467
Encore Wire Corp.		60		1,460
Federal Signal Corp.		218		1,419
Commercial Vehicle Group, Inc.*		77		1,374
RailAmerica, Inc.*		80		1,363
EnerNOC, Inc.*		70		1,338
Cascade Corp.		30		1,337
AAON, Inc.		40		1,316
American Reprographics Co.*		127		1,314
FreightCar America, Inc.		40		1,300
LB Foster Co. — Class A		30		1,293
Cenveo, Inc.*		190		1,241
ICF International, Inc.*		60		1,232
Generac Holdings, Inc.*		60		1,217

114 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Dolan Co.*		100	$	1,214
GenCorp, Inc.*		200		1,196
Gibraltar Industries, Inc.*		100		1,193
Apogee Enterprises, Inc.		90		1,187
Powell Industries, Inc.*		30		1,183
Force Protection, Inc.*		240		1,176
Vicor Corp.		70		1,154
CRA International, Inc.*		40		1,153
Celadon Group, Inc.*		70		1,137
Dynamic Materials Corp.		40		1,118
Marten Transport Ltd.		50		1,115
Textainer Group Holdings Ltd.		30		1,115
Columbus McKinnon Corp.*		60		1,108
On Assignment, Inc.*		117		1,107
CBIZ, Inc.*		150		1,081
Genco Shipping & Trading Ltd.*		100		1,077
Trimas Corp.*		50		1,075
PMFG, Inc.*		50		1,067
Kadant, Inc.*		40		1,048
US Ecology, Inc.		60		1,046
Hawaiian Holdings, Inc.*		170		1,022
Titan Machinery, Inc.*		40		1,010
M&F Worldwide Corp.*		40		1,005
Twin Disc, Inc.		30		967
Furmanite Corp.*		120		960
Ducommun, Inc.		40		956
Orion Marine Group, Inc.*		87		934
Standard Parking Corp.*		50		888
NCI Building Systems, Inc.*		70		887
Taser International, Inc.*		216		879
Houston Wire & Cable Co.		60		877
Michael Baker Corp.*		30		872
Mistras Group, Inc.*		50		861
School Specialty, Inc.*		60		858
Kratos Defense & Security Solutions, Inc.*		60		854
Insteel Industries, Inc.		60		848
Sterling Construction Company, Inc.*		50		844
Ampco-Pittsburgh Corp.		30		827
Saia, Inc.*		50		820
Multi-Color Corp.		40		808
Metalico, Inc.*		127		790
Eagle Bulk Shipping, Inc.*		210		781
Schawk, Inc. — Class A		40		778
CAI International, Inc.*		30		776
Kimball International, Inc. — Class B		110		770
Republic Airways Holdings, Inc.*		118		759
Astronics Corp.*		30		755
American Railcar Industries, Inc.*		30		749
Xerium Technologies, Inc.*		30		722
Graham Corp.		30		718
Aceto Corp.		90		717
Hudson Highland Group, Inc.*		110		715
Primoris Services Corp.		70		710
LaBarge, Inc.*		40		708
Flow International Corp.*		160		702
DXP Enterprises, Inc.*		30		692
Northwest Pipe Co.*		30		688
GP Strategies Corp.*		50		680
APAC Customer Services, Inc.*		110		661
Pacer International, Inc.*		120		631
American Woodmark Corp.		30		626
Park-Ohio Holdings Corp.*		30		620
LMI Aerospace, Inc.*		30		606
Tecumseh Products Co. — Class A*		60		601
Roadrunner Transportation Systems, Inc.*		40		600
Met-Pro Corp.		50		595
Ener1, Inc.*		201		595
CDI Corp.		40		592
Innerworkings, Inc.*		80		590
Casella Waste Systems, Inc. — Class A*		80		574
Pike Electric Corp.*		60		571
Douglas Dynamics, Inc.		40		570
Excel Maritime Carriers Ltd. — Class A*		130		558
Alamo Group, Inc.		20		549
Fuel Tech, Inc.*		60		534
Lydall, Inc.*		60		533
PowerSecure International, Inc.*		60		516
International Shipholding Corp.		20		498
Hill International, Inc.*		93		492
Miller Industries, Inc.		30		487
Global Defense Technology & Systems, Inc.*		20		484
Barrett Business Services, Inc.		30		482
Baltic Trading Ltd.		50		456
Energy Recovery, Inc.*		140		445
LSI Industries, Inc.		60		434
Builders FirstSource, Inc.*		150		426
Courier Corp.		30		419
Broadwind Energy, Inc.*		311		407
Advanced Battery Technologies, Inc.*		208		404
Microvision, Inc.*		300		396
USA Truck, Inc.*		30		390
FuelCell Energy, Inc.*		172		368
Energy Conversion Devices, Inc.*		160		362
UQM Technologies, Inc.*		120		358
Ultrapetrol Bahamas Ltd.*		70		356
Quality Distribution, Inc.*		30		355
Franklin Covey Co.*		40		346
Universal Truckload Services, Inc.*		20		345
Pinnacle Airlines Corp.*		60		345
VSE Corp.		10		297
United Capital Corp.*		10		283

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 115

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Coleman Cable, Inc.*		30	$	266
Argan, Inc.*		30		257
PAM Transportation Services, Inc.*		20		243
Lawson Products, Inc.		10		230
Standard Register Co.		60		199
Applied Energetics, Inc.*		260		172
Evergreen Solar, Inc.*		110		149
BlueLinx Holdings, Inc.*		40		148
PGT, Inc.*		60		141
Omega Flex, Inc.*		10		135
Hoku Corp.*		60		120
Horizon Lines, Inc. — Class A		100		85
LECG Corp.*		90		18
Total Industrials				656,901
CONSUMER DISCRETIONARY - 1.4%
Sotheby’s		238		12,519
Deckers Outdoor Corp.*		130		11,199
Polaris Industries, Inc.		100		8,702
Tenneco, Inc.*		200		8,490
Warnaco Group, Inc.*		148		8,464
Dana Holding Corp.*		473		8,225
Under Armour, Inc. — Class A*		120		8,166
Rent-A-Center, Inc. — Class A		228		7,959
Brunswick Corp.		300		7,629
Ascena Retail Group, Inc.*		207		6,709
Wolverine World Wide, Inc.		170		6,338
Cheesecake Factory, Inc.*		202		6,078
Dillard’s, Inc. — Class A		150		6,018
ANN, Inc.*		200		5,822
Carter’s, Inc.*		203		5,812
Timberland Co. — Class A*		140		5,781
Vail Resorts, Inc.*		118		5,754
Cooper Tire & Rubber Co.		214		5,511
Ulta Salon Cosmetics & Fragrance, Inc.*		114		5,487
Meritor, Inc.*		320		5,430
Saks, Inc.*		472		5,338
CROCS, Inc.*		299		5,334
Life Time Fitness, Inc.*		140		5,223
Iconix Brand Group, Inc.*		242		5,198
Coinstar, Inc.*		110		5,051
Valassis Communications, Inc.*		170		4,954
Men’s Wearhouse, Inc.		180		4,871
Live Nation Entertainment, Inc.*		482		4,820
Collective Brands, Inc.*		222		4,791
Shutterfly, Inc.*		90		4,712
Jos A. Bank Clothiers, Inc.*		90		4,579
Sally Beauty Holdings, Inc.*		325		4,553
Childrens Place Retail Stores, Inc.*		90		4,485
Jack in the Box, Inc.*		190		4,309
HSN, Inc.*		130		4,164
Gaylord Entertainment Co.*		120		4,162
Jones Group, Inc.		299		4,111
Pool Corp.		170		4,099
Orient-Express Hotels Ltd. — Class A*		318		3,934
Cracker Barrel Old Country Store, Inc.		80		3,931
Matthews International Corp. — Class A		100		3,855
Steven Madden Ltd.*		80		3,754
OfficeMax, Inc.*		290		3,753
Buckle, Inc.		92		3,717
PF Chang’s China Bistro, Inc.		80		3,695
Cinemark Holdings, Inc.		190		3,676
Pier 1 Imports, Inc.*		360		3,654
Arbitron, Inc.		90		3,603
Regis Corp.		198		3,513
Hibbett Sports, Inc.*		98		3,509
Cabela’s, Inc.*		140		3,501
Monro Muffler Brake, Inc.		105		3,463
Group 1 Automotive, Inc.		80		3,424
Finish Line, Inc. — Class A		170		3,375
National CineMedia, Inc.		180		3,361
DineEquity, Inc.*		60		3,299
Buffalo Wild Wings, Inc.*		60		3,266
Bob Evans Farms, Inc.		100		3,260
Texas Roadhouse, Inc. — Class A		190		3,228
Genesco, Inc.*		80		3,216
BJ’s Restaurants, Inc.*		80		3,146
American Greetings Corp. — Class A		128		3,021
Penske Automotive Group, Inc.*		150		3,003
Capella Education Co.*		60		2,987
Eastman Kodak Co.*		916		2,959
99 Cents Only Stores*		150		2,940
Ruby Tuesday, Inc.*		220		2,884
Helen of Troy Ltd.*		98		2,881
Exide Technologies*		257		2,873
Pinnacle Entertainment, Inc.*		207		2,819
Belo Corp. — Class A*		313		2,758
K12, Inc.*		80		2,696
Meritage Homes Corp.*		110		2,654
CEC Entertainment, Inc.		70		2,641
Scholastic Corp.		97		2,623
Modine Manufacturing Co.*		160		2,582
American Axle & Manufacturing Holdings, Inc.*		200		2,518
Stage Stores, Inc.		130		2,499
Ascent Media Corp. — Class A*		50		2,442
American Public Education, Inc.*		60		2,427
Skechers U.S.A., Inc. — Class A*		117		2,403
Ryland Group, Inc.		150		2,385
Columbia Sportswear Co.		40		2,377
Domino’s Pizza, Inc.*		127		2,341
Steiner Leisure Ltd.*		50		2,313
iRobot Corp.*		70		2,302
PEP Boys-Manny Moe & Jack		180		2,288
Maidenform Brands, Inc.*		80		2,286

116 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
National Presto Industries, Inc.		20	$	2,254
Papa John’s International, Inc.*		70		2,217
Cato Corp. — Class A		90		2,205
Select Comfort Corp.*		180		2,171
Blue Nile, Inc.*		40		2,160
Interval Leisure Group, Inc.*		130		2,125
Stewart Enterprises, Inc. — Class A		270		2,063
Superior Industries International, Inc.		80		2,051
True Religion Apparel, Inc.*		87		2,042
DSW, Inc. — Class A*		50		1,998
Pre-Paid Legal Services, Inc.*		30		1,980
RC2 Corp.*		70		1,967
Quiksilver, Inc.*		444		1,962
Sonic Corp.*		215		1,946
Peet’s Coffee & Tea, Inc.*		40		1,924
Scientific Games Corp. — Class A*		220		1,923
Shuffle Master, Inc.*		180		1,922
Sinclair Broadcast Group, Inc. — Class A		150		1,881
G-III Apparel Group Ltd.*		50		1,879
Zumiez, Inc.*		70		1,850
Asbury Automotive Group, Inc.*		100		1,849
Brown Shoe Company, Inc.		150		1,833
Sonic Automotive, Inc. — Class A		130		1,821
Lumber Liquidators Holdings, Inc.*		71		1,774
Jakks Pacific, Inc.*		90		1,741
Fred’s, Inc. — Class A		130		1,732
Liz Claiborne, Inc.*		320		1,725
Oxford Industries, Inc.		50		1,709
Ethan Allen Interiors, Inc.		78		1,708
Charming Shoppes, Inc.*		399		1,700
Vitamin Shoppe, Inc.*		50		1,692
La-Z-Boy, Inc. — Class Z*		177		1,690
Boyd Gaming Corp.*		180		1,687
Dorman Products, Inc.*		40		1,684
Churchill Downs, Inc.		40		1,660
Ameristar Casinos, Inc.		90		1,597
Harte-Hanks, Inc.		130		1,547
Fuel Systems Solutions, Inc.*		50		1,509
Callaway Golf Co.		220		1,500
Universal Electronics, Inc.*		50		1,478
Wet Seal, Inc. — Class A*		341		1,459
Grand Canyon Education, Inc.*		100		1,450
Talbots, Inc.*		240		1,450
Rue21, Inc.*		50		1,440
Lions Gate Entertainment Corp.*		230		1,438
Krispy Kreme Doughnuts, Inc.*		200		1,408
Universal Technical Institute, Inc.		71		1,381
Denny’s Corp.*		340		1,380
Retail Ventures, Inc.*		80		1,380
Sturm Ruger & Company, Inc.		60		1,378
Standard Pacific Corp.*		368		1,373
AFC Enterprises, Inc.*		90		1,362
Red Robin Gourmet Burgers, Inc.*		50		1,345
Drew Industries, Inc.		60		1,340
Winnebago Industries, Inc.*		100		1,337
Corinthian Colleges, Inc.*		300		1,326
Core-Mark Holding Company, Inc.*		40		1,322
NutriSystem, Inc.		90		1,304
Knology, Inc.*		100		1,291
PetMed Express, Inc.		80		1,269
Drugstore.com, Inc.*		311		1,197
Bridgepoint Education, Inc.*		70		1,197
Barnes & Noble, Inc.		130		1,195
Beazer Homes USA, Inc.*		250		1,142
Citi Trends, Inc.*		50		1,115
Volcom, Inc.		60		1,112
EW Scripps Co. — Class A*		110		1,089
K-Swiss, Inc. — Class A*		95		1,071
Amerigon, Inc.*		70		1,069
Lithia Motors, Inc. — Class A		70		1,021
Warner Music Group Corp.*		150		1,016
California Pizza Kitchen, Inc.*		60		1,013
World Wrestling Entertainment, Inc. — Class A		80		1,006
Express, Inc.		50		977
Standard Motor Products, Inc.		70		968
Lincoln Educational Services Corp.		60		953
Entercom Communications Corp. — Class A*		85		937
Global Sources Ltd.*		80		930
Kirkland’s, Inc.*		60		926
Destination Maternity Corp.		40		923
Cavco Industries, Inc.*		20		903
Unifi, Inc.*		53		901
M/I Homes, Inc.*		60		899
Stein Mart, Inc.		87		880
HOT Topic, Inc.		149		849
Shoe Carnival, Inc.*		30		842
Big 5 Sporting Goods Corp.		70		834
Journal Communications, Inc. — Class A*		138		828
Perry Ellis International, Inc.*		30		826
Libbey, Inc.*		50		825
Dex One Corp.*		170		823
Pacific Sunwear of California, Inc.*		225		812
Rentrak Corp.*		30		808
CKX, Inc.*		190		802
Haverty Furniture Companies, Inc.		60		796
Overstock.com, Inc.*		50		786
America’s Car-Mart, Inc.*		30		773
Christopher & Banks Corp.		118		765
Marcus Corp.		70		763
Spartan Motors, Inc.		110		755
Movado Group, Inc.*		50		734
Stoneridge, Inc.*		50		731
Furniture Brands International, Inc.*		157		714
Smith & Wesson Holding Corp.*		200		710
MarineMax, Inc.*		70		690

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 117

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Casual Male Retail Group, Inc.*		140	$	687
Morgans Hotel Group Co.*		70		686
McClatchy Co. — Class A*		200		680
Ambassadors Group, Inc.		60		657
Blyth, Inc.		20		650
Mac-Gray Corp.		40		645
Bebe Stores, Inc.		110		643
Speedway Motorsports, Inc.		40		639
Hovnanian Enterprises, Inc. — Class A*		180		635
Arctic Cat, Inc.*		40		622
Fisher Communications, Inc.*		20		622
Bon-Ton Stores, Inc.		40		620
LIN TV Corp. — Class A*		97		575
CSS Industries, Inc.		30		566
New York & Company, Inc.*		80	��	561
Systemax, Inc.*		40		541
hhgregg, Inc.*		40		536
Coldwater Creek, Inc.*		202		533
West Marine, Inc.*		50		521
Cherokee, Inc.		30		518
Ruth’s Hospitality Group, Inc.*		100		516
Multimedia Games, Inc.*		90		516
AH Belo Corp. — Class A*		60		502
Tuesday Morning Corp.*		100		490
Weyco Group, Inc.		20		489
Media General, Inc. — Class A*		70		482
Audiovox Corp. — Class A*		60		480
Hooker Furniture Corp.		40		478
Leapfrog Enterprises, Inc. — Class A*		110		475
Isle of Capri Casinos, Inc.*		50		475
Winmark Corp.		10		461
CPI Corp.		20		450
Lifetime Brands, Inc.		30		450
Steinway Musical Instruments, Inc.*		20		444
Jamba, Inc.*		200		440
Entravision Communications Corp. — Class A*		160		434
Sealy Corp.*		160		406
Lee Enterprises, Inc.*		150		405
Skyline Corp.		20		401
ReachLocal, Inc.*		20		400
RG Barry Corp.		30		393
Kenneth Cole Productions, Inc. — Class A*		30		389
Midas, Inc.*		50		383
Carrols Restaurant Group, Inc.*		40		371
Lacrosse Footwear, Inc.		20		367
Build-A-Bear Workshop, Inc. — Class A*		60		363
McCormick & Schmick’s Seafood Restaurants, Inc.*		50		361
Ballantyne Strong, Inc.*		50		359
O’Charleys, Inc.*		60		358
US Auto Parts Network, Inc.*		40		348
Nexstar Broadcasting Group, Inc. — Class A*		40		347
Archipelago Learning, Inc.*		40		342
Martha Stewart Living Omnimedia — Class A*		90		334
Gray Television, Inc.*		160		331
Gaiam, Inc. — Class A		50		330
Red Lion Hotels Corp.*		40		328
Einstein Noah Restaurant Group, Inc.		20		326
Summer Infant, Inc.*		40		320
REX American Resources Corp.*		20		319
Monarch Casino & Resort, Inc.*		30		312
Cumulus Media, Inc. — Class A*		70		304
Outdoor Channel Holdings, Inc.		40		298
Kid Brands, Inc.*		40		294
PRIMEDIA, Inc.		60		292
LodgeNet Interactive Corp.*		80		291
1-800-Flowers.com, Inc. — Class A*		88		290
Delta Apparel, Inc.*		20		286
Brookfield Homes Corp.*		30		282
Culp, Inc.*		30		278
Orbitz Worldwide, Inc.*		70		250
SuperMedia, Inc.*		40		250
Marine Products Corp.*		30		238
Shiloh Industries, Inc.		20		234
Radio One, Inc. — Class D*		110		214
Carmike Cinemas, Inc.*		30		214
National American University Holdings, Inc.		30		213
Bluegreen Corp.*		50		205
Cambium Learning Group, Inc.*		60		204
Caribou Coffee Company, Inc.*		20		203
Conn’s, Inc.*		40		179
Learning Tree International, Inc.		20		176
Johnson Outdoors, Inc. — Class A*		10		152
Joe’s Jeans, Inc.*		140		148
Westwood One, Inc.*		20		145
American Apparel, Inc.*		110		106
Books-A-Million, Inc. — Class A		20		83
Beasley Broadcasting Group, Inc. — Class A*		10		73
Empire Resorts, Inc.*		90		56
Princeton Review, Inc.*		68		26
Vitacost.com, Inc.*,†††,1		50		25
Crown Media Holdings, Inc. — Class A*		10		23
Total Consumer Discretionary				559,721
HEALTH CARE - 1.3%
AMERIGROUP Corp.*		170		10,922
Pharmasset, Inc.*		105		8,265
Healthsouth Corp.*		310		7,744
Onyx Pharmaceuticals, Inc.*		211		7,423

118 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS(continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
HMS Holdings Corp.*		90	$	7,367
Catalyst Health Solutions, Inc.*		130		7,271
STERIS Corp.		208		7,184
Healthspring, Inc.*		190		7,100
Dionex Corp.*		60		7,083
InterMune, Inc.*		148		6,984
Owens & Minor, Inc.		210		6,821
Salix Pharmaceuticals Ltd.*		190		6,656
Medicis Pharmaceutical Corp. — Class A		200		6,408
WellCare Health Plans, Inc.*		140		5,873
Cepheid, Inc.*		205		5,744
Masimo Corp.		170		5,627
Centene Corp.*		170		5,607
Impax Laboratories, Inc.*		214		5,446
American Medical Systems Holdings, Inc.*		250		5,410
Sirona Dental Systems, Inc.*		107		5,367
Viropharma, Inc.*		268		5,333
Chemed Corp.		80		5,329
Magellan Health Services, Inc.*		107		5,252
Haemonetics Corp.*		80		5,243
PSS World Medical, Inc.*		190		5,159
Bruker Corp.*		245		5,108
Theravance, Inc.*		210		5,086
Cubist Pharmaceuticals, Inc.*		200		5,048
Quality Systems, Inc.		60		5,000
Parexel International Corp.*		198		4,930
West Pharmaceutical Services, Inc.		109		4,880
Immucor, Inc.*		245		4,846
athenahealth, Inc.*		107		4,829
Incyte Corporation Ltd.*		300		4,755
Volcano Corp.*		177		4,531
Seattle Genetics, Inc.*		280		4,360
Exelixis, Inc.*		380		4,294
Alkermes, Inc.*		328		4,248
Align Technology, Inc.*		207		4,239
Par Pharmaceutical Companies, Inc.*		120		3,730
Integra LifeSciences Holdings Corp.*		75		3,556
Meridian Bioscience, Inc.		147		3,527
Amedisys, Inc.*		100		3,500
Neogen Corp.*		80		3,310
NuVasive, Inc.*		130		3,292
Kindred Healthcare, Inc.*		137		3,272
MWI Veterinary Supply, Inc.*		40		3,227
Auxilium Pharmaceuticals, Inc.*		147		3,156
Zoll Medical Corp.*		70		3,137
Invacare Corp.		100		3,112
Nektar Therapeutics*		320		3,030
Acorda Therapeutics, Inc.*		130		3,016
Isis Pharmaceuticals, Inc.*		329		2,974
RehabCare Group, Inc.*		80		2,950
DexCom, Inc.*		189		2,933
Medicines Co.*		180		2,932
Arthrocare Corp.*		87		2,901
Insulet Corp.*		140		2,887
Ariad Pharmaceuticals, Inc.*		380		2,858
Cyberonics, Inc.*		88		2,799
PDL BioPharma, Inc.		478		2,772
Gentiva Health Services, Inc.*		98		2,747
Questcor Pharmaceuticals, Inc.*		190		2,738
Air Methods Corp.*		40		2,690
Amsurg Corp. — Class A*		105		2,671
CONMED Corp.*		100		2,628
HeartWare International, Inc.*		30		2,566
Universal American Corp.		111		2,543
Savient Pharmaceuticals, Inc.*		237		2,512
Luminex Corp.*		130		2,439
Hanger Orthopedic Group, Inc.*		90		2,343
Celera Corp.*		287		2,328
MAKO Surgical Corp.*		94		2,275
IPC The Hospitalist Company, Inc.*		50		2,271
Sunrise Senior Living, Inc.*		190		2,267
Analogic Corp.		40		2,262
Wright Medical Group, Inc.*		130		2,211
Momenta Pharmaceuticals, Inc.*		139		2,203
MedAssets, Inc.*		140		2,138
Targacept, Inc.*		80		2,127
NPS Pharmaceuticals, Inc.*		220		2,105
Immunogen, Inc.*		230		2,086
Greatbatch, Inc.*		78		2,064
Medivation, Inc.*		110		2,050
Abaxis, Inc.*		70		2,019
Orthofix International N.V.*		60		1,948
Enzon Pharmaceuticals, Inc.*		177		1,929
Computer Programs & Systems, Inc.		30		1,928
Merit Medical Systems, Inc.*		96		1,884
Landauer, Inc.		30		1,846
Depomed, Inc.*		180		1,807
Bio-Reference Labs, Inc.*		80		1,795
Emeritus Corp.*		70		1,782
Omnicell, Inc.*		116		1,768
NxStage Medical, Inc.*		80		1,758
ICU Medical, Inc.*		40		1,751
Atrion Corp.		10		1,745
Geron Corp.*		340		1,717
Natus Medical, Inc.*		102		1,714
Vivus, Inc.*		276		1,708
Emergent Biosolutions, Inc.*		70		1,691
Healthways, Inc.*		110		1,691
SonoSite, Inc.*		50		1,666
Halozyme Therapeutics, Inc.*		246		1,651
Molina Healthcare, Inc.*		40		1,600
ABIOMED, Inc.*		110		1,598

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 119

SCHEDULE OF INVESTMENTS(continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Ensign Group, Inc.		50	$	1,597
Jazz Pharmaceuticals, Inc.*		50		1,593
Micromet, Inc.*		278		1,560
Medidata Solutions, Inc.*		60		1,534
Syneron Medical Ltd.*		117		1,526
Accuray, Inc.*		168		1,517
Spectrum Pharmaceuticals, Inc.*		170		1,511
LHC Group, Inc.*		50		1,500
Conceptus, Inc.*		100		1,445
Triple-S Management Corp. — Class B*		70		1,441
National Healthcare Corp.		30		1,395
Select Medical Holdings Corp.*		170		1,370
SIGA Technologies, Inc.*		110		1,331
Sequenom, Inc.*		205		1,298
Optimer Pharmaceuticals, Inc.*		108		1,278
OraSure Technologies, Inc.*		160		1,258
Affymetrix, Inc.*		240		1,250
Sangamo Biosciences, Inc.*		150		1,249
Genomic Health, Inc.*		50		1,230
Neurocrine Biosciences, Inc.*		160		1,214
Clinical Data, Inc.*		40		1,212
Angiodynamics, Inc.*		80		1,210
Rigel Pharmaceuticals, Inc.*		169		1,202
Symmetry Medical, Inc.*		120		1,176
Cytori Therapeutics, Inc.*		150		1,174
Assisted Living Concepts, Inc. — Class A*		30		1,174
AMAG Pharmaceuticals, Inc.*		70		1,169
Opko Health, Inc.*		308		1,149
Ardea Biosciences, Inc.*		40		1,148
Pain Therapeutics, Inc.		120		1,147
PharMerica Corp.*		100		1,144
Lexicon Pharmaceuticals, Inc.*		675		1,134
Endologix, Inc.*		167		1,132
Almost Family, Inc.*		30		1,129
AMN Healthcare Services, Inc.*		130		1,126
Alnylam Pharmaceuticals, Inc.*		117		1,120
Accretive Health, Inc.*		40		1,110
Akorn, Inc.*		188		1,085
eResearchTechnology, Inc.*		160		1,083
Durect Corp.*		298		1,073
Corvel Corp.*		20		1,064
Cantel Medical Corp.		40		1,030
Rural/Metro Corp.*		60		1,022
Caliper Life Sciences, Inc.*		150		1,014
AVANIR Pharmaceuticals, Inc. — Class A*		248		1,012
Skilled Healthcare Group, Inc. — Class A*		70		1,007
ZIOPHARM Oncology, Inc.*		160		1,000
Arqule, Inc.*		138		988
Medcath Corp.*		70		976
Capital Senior Living Corp.*		90		956
Metabolix, Inc.*		90		946
Delcath Systems, Inc.*		128		943
Unilife Corp.*		160		907
Five Star Quality Care, Inc.*		110		894
Palomar Medical Technologies, Inc.*		60		891
Pharmacyclics, Inc.*		150		884
Exact Sciences Corp.*		120		883
Team Health Holdings, Inc.*		50		874
Nabi Biopharmaceuticals*		150		871
Immunomedics, Inc.*		228		871
Merge Healthcare, Inc.*		177		864
Keryx Biopharmaceuticals, Inc.*		170		850
Allos Therapeutics, Inc.*		268		850
Ironwood Pharmaceuticals, Inc. — Class A*		60		840
Quidel Corp.*		70		837
Curis, Inc.*		254		826
MannKind Corp.*		222		810
Cross Country Healthcare, Inc.*		103		806
Chindex International, Inc.*		50		802
Inspire Pharmaceuticals, Inc.*		200		792
Novavax, Inc.*		298		772
America Service Group, Inc.		30		769
Synovis Life Technologies, Inc.*		40		767
Obagi Medical Products, Inc.*		60		758
SurModics, Inc.*		60		750
Ligand Pharmaceuticals, Inc. — Class B*		75		750
Cadence Pharmaceuticals, Inc.*		80		737
TomoTherapy, Inc.*		160		731
Transcend Services, Inc.*		30		720
Vical, Inc.*		240		710
AVI BioPharma, Inc.*		379		709
MAP Pharmaceuticals, Inc.*		50		690
Vital Images, Inc.*		50		676
US Physical Therapy, Inc.		30		670
Dynavax Technologies Corp.*		240		662
Solta Medical, Inc.*		200		660
Staar Surgical Co.*		118		657
Vanda Pharmaceuticals, Inc.*		90		656
American Dental Partners, Inc.*		50		656
Vascular Solutions, Inc.*		60		655
Young Innovations, Inc.		20		628
Progenics Pharmaceuticals, Inc.*		100		618
Santarus, Inc.*		180		616
Inhibitex, Inc.*		170		615
BioScrip, Inc.*		130		612
Metropolitan Health Networks, Inc.*		129		610
CryoLife, Inc.*		100		610
Hi-Tech Pharmacal Company, Inc.*		30		604
Providence Service Corp.*		40		599
SuperGen, Inc.*		190		589
Array Biopharma, Inc.*		180		551

120 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Cambrex Corp.*		100	$	550
Maxygen, Inc.		105		546
Kendle International, Inc.*		50		536
Continucare Corp.*		100		535
XenoPort, Inc.*		90		534
Dyax Corp.*		331		533
Zalicus, Inc.*		220		532
Exactech, Inc.*		30		526
Sciclone Pharmaceuticals, Inc.*		130		525
Arena Pharmaceuticals, Inc.*		376		523
Biotime, Inc.*		70		522
Spectranetics Corp.*		110		518
RTI Biologics, Inc.*		180		515
Chelsea Therapeutics International Ltd.*		130		507
Furiex Pharmaceuticals, Inc.*		30		506
Kensey Nash Corp.*		20		498
Orthovita, Inc.*		227		484
Pozen, Inc.*		90		483
Omeros Corp.*		60		480
Biosante Pharmaceuticals, Inc.*		240		475
Nymox Pharmaceutical Corp.*		60		473
Codexis, Inc.*		39		463
Enzo Biochem, Inc.*		110		461
Rochester Medical Corp.*		40		459
Alphatec Holdings, Inc.*		170		459
IRIS International, Inc.*		50		451
Peregrine Pharmaceuticals, Inc.*		190		448
Celldex Therapeutics, Inc.*		110		442
Osiris Therapeutics, Inc.*		60		436
Antares Pharma, Inc.*		240		432
Cutera, Inc.*		50		428
Synta Pharmaceuticals Corp.*		81		426
Medical Action Industries, Inc.*		50		420
Cynosure, Inc. — Class A*		30		417
Affymax, Inc.*		70		411
LCA-Vision, Inc.*		60		405
AVEO Pharmaceuticals, Inc.*		30		402
Idenix Pharmaceuticals, Inc.*		120		398
Alliance HealthCare Services, Inc.*		90		398
BioMimetic Therapeutics, Inc.*		30		393
Stereotaxis, Inc.*		100		387
CardioNet, Inc.*		80		383
Corcept Therapeutics, Inc.*		90		382
Allied Healthcare International, Inc.*		150		381
BioCryst Pharmaceuticals, Inc.*		100		379
Cerus Corp.*		130		376
StemCells, Inc.*		409		372
Sun Healthcare Group, Inc.*		26		366
Albany Molecular Research, Inc.*		80		341
National Research Corp.		10		339
CytRx Corp.*		380		334
Hansen Medical, Inc.*		147		325
Inovio Pharmaceuticals, Inc.*		270		297
Infinity Pharmaceuticals, Inc.*		50		294
MELA Sciences, Inc.*		80		282
Orexigen Therapeutics, Inc.*		100		281
Somaxon Pharmaceuticals, Inc.*		98		277
Neuralstem, Inc.*		150		270
Biospecifics Technologies Corp.*		10		255
Alexza Pharmaceuticals, Inc.*		150		255
PDI, Inc.*		30		243
Cytokinetics, Inc.*		160		238
Lannett Company, Inc.*		40		223
Cumberland Pharmaceuticals, Inc.*		40		221
Cornerstone Therapeutics, Inc.*		30		199
Nanosphere, Inc.*		60		195
PURE Bioscience, Inc.*		118		184
Aoxing Pharmaceutical Company, Inc.*		80		173
Sucampo Pharmaceuticals, Inc. — Class A*		40		168
DynaVox, Inc. — Class A*		30		166
Transcept Pharmaceuticals, Inc.*		20		164
NeurogesX, Inc.*		40		162
Alimera Sciences, Inc.*		20		156
Caraco Pharmaceutical Laboratories Ltd.*		30		156
Neostem, Inc.*		90		155
Anthera Pharmaceuticals, Inc.*		20		135
Biodel, Inc.*		60		126
AspenBio Pharma, Inc.*		120		102
Acura Pharmaceuticals, Inc.*		30		95
Total Health Care				518,801
ENERGY — 0.7%
Brigham Exploration Co.*		398		14,798
Lufkin Industries, Inc.		100		9,347
World Fuel Services Corp.		228		9,259
Berry Petroleum Co. — Class A		177		8,930
Dril-Quip, Inc.*		110		8,693
Rosetta Resources, Inc.*		180		8,557
CARBO Ceramics, Inc.		60		8,467
Complete Production Services, Inc.*		264		8,398
Patriot Coal Corp.*		260		6,716
Key Energy Services, Inc.*		422		6,562
Helix Energy Solutions Group, Inc.*		360		6,192
Bill Barrett Corp.*		149		5,946
Energy XXI Bermuda Ltd.*		170		5,797
Bristow Group, Inc.*		120		5,676
ION Geophysical Corp.*		440		5,583
Swift Energy Co.*		130		5,548
McMoRan Exploration Co.*		287		5,083
International Coal Group, Inc.*		449		5,074
Stone Energy Corp.*		150		5,005
Northern Oil and Gas, Inc.*		150		4,005
Tetra Technologies, Inc.*		257		3,958
Nordic American Tanker Shipping		158		3,925
RPC, Inc.		150		3,798
Carrizo Oil & Gas, Inc.*		101		3,730

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 121

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Gulfmark Offshore, Inc. — Class A*		80	$	3,561
Global Industries Ltd.*		347		3,397
Gulfport Energy Corp.*		90		3,253
Golar LNG Ltd.		127		3,249
Ship Finance International Ltd.		150		3,109
Western Refining, Inc.*		177		3,000
Overseas Shipholding Group, Inc.		90		2,893
Petroleum Development Corp.*		60		2,881
Parker Drilling Co.*		400		2,764
W&T Offshore, Inc.		120		2,735
ATP Oil & Gas Corp.*		150		2,716
Hercules Offshore, Inc.*		398		2,631
Apco Oil and Gas International, Inc.		30		2,573
Contango Oil & Gas Co.*		40		2,530
Penn Virginia Corp.		149		2,527
Pioneer Drilling Co.*		180		2,484
Hornbeck Offshore Services, Inc.*		80		2,468
Newpark Resources, Inc.*		308		2,421
Kodiak Oil & Gas Corp.*		360		2,412
Cloud Peak Energy, Inc.*		110		2,375
Resolute Energy Corp.*		130		2,358
CVR Energy, Inc.*		100		2,316
Cal Dive International, Inc.*		325		2,268
Tesco Corp.*		100		2,195
James River Coal Co.*		88		2,127
Clayton Williams Energy, Inc.*		20		2,114
Clean Energy Fuels Corp.*		128		2,097
Basic Energy Services, Inc.*		80		2,041
Knightsbridge Tankers Ltd.		80		2,003
Cheniere Energy, Inc.*		198		1,843
Energy Partners Ltd.*		100		1,800
Goodrich Petroleum Corp.*		80		1,778
Petroquest Energy, Inc.*		188		1,760
BPZ Resources, Inc.*		330		1,752
USEC, Inc.*		384		1,690
Harvest Natural Resources, Inc.*		107		1,631
Gulf Island Fabrication, Inc.		50		1,608
TransAtlantic Petroleum Ltd.*		510		1,581
Magnum Hunter Resources Corp.*		180		1,543
Willbros Group, Inc.*		137		1,496
Crosstex Energy, Inc.		140		1,393
Vaalco Energy, Inc.*		177		1,373
Abraxas Petroleum Corp.*		230		1,345
Approach Resources, Inc.*		40		1,344
Dawson Geophysical Co.*		30		1,316
Rex Energy Corp.*		110		1,281
Matrix Service Co.*		90		1,251
Georesources, Inc.*		40		1,251
FX Energy, Inc.*		148		1,237
Warren Resources, Inc.*		240		1,222
Venoco, Inc.*		70		1,196
Teekay Tankers Ltd. — Class A		110		1,151
OYO Geospace Corp.*		10		986
Rentech, Inc.*		740		925
Houston American Energy Corp.		60		925
PHI, Inc.*		40		885
Endeavour International Corp.*		69		876
Uranium Energy Corp.*		201		802
DHT Holdings, Inc.		160		770
Callon Petroleum Co.*		97		754
Vantage Drilling Co.*		412		742
Gastar Exploration Ltd.*		150		729
Natural Gas Services Group, Inc.*		40		710
Delek US Holdings, Inc.		50		678
Panhandle Oil and Gas, Inc. — Class A		20		633
GMX Resources, Inc.*		100		617
Green Plains Renewable Energy, Inc.*		50		601
Delta Petroleum Corp.*		626		570
Syntroleum Corp.*		238		538
Union Drilling, Inc.*		50		512
Global Geophysical Services, Inc.*		30		434
L&L Energy, Inc.*		60		415
Scorpio Tankers, Inc.*		40		413
Alon USA Energy, Inc.		30		411
RAM Energy Resources, Inc.*		190		395
Evolution Petroleum Corp.*		50		390
Miller Petroleum, Inc.*		60		300
CAMAC Energy, Inc.*		160		240
General Maritime Corp.		85		174
Hallador Energy Co.		10		116
Total Energy				284,928
MATERIALS — 0.6%
Solutia, Inc.*		417		10,592
Coeur d’Alene Mines Corp.*		300		10,434
WR Grace & Co.*		248		9,496
Rock-Tenn Co. — Class A		130		9,015
Rockwood Holdings, Inc.*		179		8,810
Hecla Mining Co.*		868		7,881
Silgan Holdings, Inc.		180		6,865
Olin Corp.		278		6,372
Allied Nevada Gold Corp.*		177		6,280
Sensient Technologies Corp.		170		6,093
Thompson Creek Metals Company, Inc.*		480		6,019
Ferro Corp.*		290		4,811
Globe Specialty Metals, Inc.		210		4,780
NewMarket Corp.		30		4,747
Louisiana-Pacific Corp.*		440		4,620
PolyOne Corp.		310		4,405
Minerals Technologies, Inc.		60		4,111
Worthington Industries, Inc.		195		4,079
Century Aluminum Co.*		218		4,072
Georgia Gulf Corp.*		110		4,070
Westlake Chemical Corp.		70		3,934
OM Group, Inc.*		104		3,800
Stillwater Mining Co.*		157		3,600
HB Fuller Co.		167		3,587
Buckeye Technologies, Inc.		130		3,540

122 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Balchem Corp.		90	$	3,377
Innophos Holdings, Inc.		71		3,274
Clearwater Paper Corp.*		40		3,256
Arch Chemicals, Inc.		77		3,202
Texas Industries, Inc.		70		3,166
RTI International Metals, Inc.*		100		3,115
Schweitzer-Mauduit International, Inc.		60		3,037
Calgon Carbon Corp.*		190		3,017
Koppers Holdings, Inc.		70		2,989
AMCOL International Corp.		80		2,878
Materion Corp.*		67		2,734
A. Schulman, Inc.		110		2,719
Deltic Timber Corp.		40		2,674
US Gold Corp.*		301		2,658
Golden Star Resources Ltd.*		880		2,614
Horsehead Holding Corp.*		150		2,558
Kaiser Aluminum Corp.		50		2,462
LSB Industries, Inc.*		60		2,378
Boise, Inc.		247		2,263
KapStone Paper and Packaging Corp.*		130		2,232
Haynes International, Inc.		40		2,218
Stepan Co.		30		2,175
Graphic Packaging Holding Co.*		388		2,103
PH Glatfelter Co.		157		2,091
STR Holdings, Inc.*		100		1,918
Quaker Chemical Corp.		40		1,607
Kraton Performance Polymers, Inc.*		40		1,530
Jaguar Mining, Inc.*		280		1,462
Hawkins, Inc.		30		1,232
Wausau Paper Corp.		160		1,222
General Moly, Inc.*		226		1,216
Zoltek Companies, Inc.*		90		1,209
Headwaters, Inc.*		204		1,204
Myers Industries, Inc.		120		1,192
Zep, Inc.		68		1,184
Omnova Solutions, Inc.*		150		1,180
AM Castle & Co.*		60		1,133
Neenah Paper, Inc.		50		1,099
Graham Packaging Company, Inc.*		60		1,046
Olympic Steel, Inc.		30		984
Capital Gold Corp.*		150		964
TPC Group, Inc.*		30		866
Senomyx, Inc.*		130		785
Spartech Corp.*		102		740
Universal Stainless & Alloy*		20		675
Metals USA Holdings Corp.*		40		655
Noranda Aluminum Holding Corp.*		40		642
Landec Corp.*		90		585
American Vanguard Corp.		66		573
US Energy Corp.*		90		563
United States Lime & Minerals, Inc.*		10		405
KMG Chemicals, Inc.		20		393
AEP Industries, Inc.*		10		297
NL Industries, Inc.		20		297
Verso Paper Corp.*		50		268
Total Materials				240,329
UTILITIES — 0.3%
Nicor, Inc.		148		7,948
Piedmont Natural Gas Company, Inc.		240		7,284
Cleco Corp.		207		7,098
WGL Holdings, Inc.		170		6,630
Portland General Electric Co.		258		6,133
IDACORP, Inc.		160		6,096
New Jersey Resources Corp.		140		6,013
Southwest Gas Corp.		150		5,845
South Jersey Industries, Inc.		100		5,597
UIL Holdings Corp.		160		4,883
El Paso Electric Co.*		150		4,560
PNM Resources, Inc.		298		4,446
Black Hills Corp.		130		4,347
Unisource Energy Corp.		120		4,336
Avista Corp.		180		4,163
Northwest Natural Gas Co.		90		4,152
Allete, Inc.		100		3,897
NorthWestern Corp.		120		3,636
MGE Energy, Inc.		78		3,158
Empire District Electric Co.		130		2,833
Otter Tail Corp.		120		2,728
Laclede Group, Inc.		70		2,667
California Water Service Group		70		2,602
CH Energy Group, Inc.		50		2,527
American States Water Co.		60		2,152
Dynegy, Inc. — Class A*		350		1,991
Chesapeake Utilities Corp.		30		1,249
Unitil Corp.		40		942
Central Vermont Public Service Corp.		40		932
SJW Corp.		40		926
Middlesex Water Co.		50		909
Connecticut Water Service, Inc.		30		790
York Water Co.		40		696
Consolidated Water Company Ltd.		50		545
Cadiz, Inc.*		40		488
Artesian Resources Corp. — Class A		20		390
American DG Energy, Inc.*		60		131
Total Utilities				125,720
CONSUMER STAPLES — 0.3%
United Natural Foods, Inc.*		160		7,171
TreeHouse Foods, Inc.*		120		6,824
Ruddick Corp.		150		5,789
Nu Skin Enterprises, Inc. — Class A		177		5,089
Casey’s General Stores, Inc.		130		5,070
Hain Celestial Group, Inc.*		140		4,519
Darling International, Inc.*		280		4,304

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 123

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Shares		Value
Lancaster Colony Corp.		70	$	4,242
Diamond Foods, Inc.		70		3,906
Sanderson Farms, Inc.		80		3,674
Fresh Del Monte Produce, Inc.		137		3,577
Universal Corp.		80		3,483
B&G Foods, Inc. — Class A		160		3,003
Andersons, Inc.		60		2,923
Boston Beer Company, Inc. — Class A*		30		2,779
Elizabeth Arden, Inc.*		86		2,581
Vector Group Ltd.		149		2,576
WD-40 Co.		60		2,540
J&J Snack Foods Corp.		50		2,354
Tootsie Roll Industries, Inc.		82		2,337
Chiquita Brands International, Inc.*		150		2,301
Rite Aid Corp.*		1,994		2,114
Heckmann Corp.*		300		1,965
Pricesmart, Inc.		50		1,832
Snyders-Lance, Inc.		90		1,786
Central Garden and Pet Co. — Class A*		190		1,750
Spectrum Brands Holdings, Inc.*		60		1,666
Dole Food Company, Inc.*		120		1,636
Weis Markets, Inc.		40		1,618
Prestige Brands Holdings, Inc.*		140		1,610
Nash Finch Co.		40		1,518
Star Scientific, Inc.*		330		1,498
Cal-Maine Foods, Inc.		50		1,475
Winn-Dixie Stores, Inc.*		197		1,407
Pilgrim’s Pride Corp.*		160		1,234
Pantry, Inc.*		83		1,231
Alliance One International, Inc.*		306		1,230
Spartan Stores, Inc.		80		1,183
Medifast, Inc.*		50		988
Smart Balance, Inc.*		210		964
Inter Parfums, Inc.		50		925
Seneca Foods Corp. — Class A*		30		896
Calavo Growers, Inc.		40		874
Ingles Markets, Inc. — Class A		40		792
Limoneira Co.		30		711
USANA Health Sciences, Inc.*		20		690
Synutra International, Inc.*		60		690
Coca-Cola Bottling Company Consolidated		10		668
Revlon, Inc. — Class A*		40		635
Village Super Market, Inc. — Class A		20		582
National Beverage Corp.		40		549
Imperial Sugar Co.		40		534
Nutraceutical International Corp.*		30		449
Oil-Dri Corporation of America		20		426
Susser Holdings Corp.*		30		393
Schiff Nutrition International, Inc.		40		364
John B. Sanfilippo & Son, Inc.*		30		351
MGP Ingredients, Inc.		40		349
Griffin Land & Nurseries, Inc.		10		322
Female Health Co.		60		299
Nature’s Sunshine Products, Inc.*		30		269
Alico, Inc.		10		268
Farmer Brothers Co.		20		242
Lifeway Foods, Inc.*		20		208
Harbinger Group, Inc.*		30		156
Bridgford Foods Corp.		10		112
Total Consumer Staples				122,501
TELECOMMUNICATION SERVICES — 0.1%
AboveNet, Inc.		80		5,189
Cogent Communications Group, Inc.*		150		2,141
Cincinnati Bell, Inc.*		690		1,849
NTELOS Holdings Corp.		100		1,841
Hughes Communications, Inc.*		30		1,790
General Communication, Inc. — Class A*		160		1,750
Vonage Holdings Corp.*		360		1,642
Alaska Communications Systems Group, Inc.		150		1,597
Premiere Global Services, Inc.*		208		1,585
Neutral Tandem, Inc.*		107		1,578
Consolidated Communications Holdings, Inc.		80		1,498
Shenandoah Telecommunications Co.		80		1,445
PAETEC Holding Corp.*		429		1,433
Global Crossing Ltd.*		100		1,392
IDT Corp. — Class B		50		1,348
Atlantic Tele-Network, Inc.		30		1,116
Cbeyond, Inc.*		90		1,050
USA Mobility, Inc.		70		1,014
Iridium Communications, Inc.*		110		877
ICO Global Communications Holdings Ltd.*		320		854
FiberTower Corp.*		170		342
Globalstar, Inc.*		230		292
Total Telecommunication Services				33,623
Total Common Stocks (Cost $3,022,357)				4,157,753
RIGHTS †† — 0.0%
Empire Resorts, Inc. Expires 07/25/11		90		—
Total Rights (Cost $—)				—
CLOSED-END FUND† — 0.0%
Kayne Anderson Energy Development Co.		30		587
Total Closed-End Fund (Cost $450)				587

124 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
RUSSELL 2000® FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††, 2 - 75.4%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	16,660,496	$	16,660,496
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/113		6,343,128		6,343,128
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		6,178,553		6,178,553
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		1,110,700		1,110,700
Total Repurchase Agreements
(Cost $30,292,877)				30,292,877
Total Investments — 85.8%
(Cost $33,315,684)			$	34,451,217
Cash & Other Assets, Less Liabilities — 14.2%				5,759,913
Total Net Assets — 100.0%			$	40,211,130

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED †
June 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $13,459,200)		160	$	313,230

	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2011 Russell 2000 Index Swap, Terminating 04/27/114 (Notional Value $19,336,729)		22,923	$	251,191
Morgan Stanley Capital Services, Inc. April 2011 Russell 2000 Index Swap, Terminating 04/26/114 (Notional Value $2,207,833)		2,617		52,493
Credit Suisse Capital, LLC April 2011 Russell 2000 Index Swap, Terminating 04/28/114 (Notional Value $880,130)		1,043		9,334
(Total Notional Value $22,424,692)			$	313,018

*	Non-income producing security
†	Value determined based on Level 1 inputs, except as otherwise noted — See Note 8.
††	Value determined based on Level 2 inputs — See Note 8.
†††	Value determined based on Level 3 inputs — See Note 8.
1	Illiquid security.
2	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
4	Total Return based on Russell 2000 Index +/- financing at a variable rate.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 125

RUSSELL 2000^® FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	4,158,340
Repurchase agreements, at value		30,292,877
Total investments		34,451,217
Segregated cash with broker		711,647
Cash		14
Unrealized appreciation on swap agreements		313,018
Receivable for swap settlement		5,439
Receivables:
Variation margin		24,095
Securities sold		1,653
Fund shares sold		4,849,629
Dividends		3,927
Interest		53
Total assets		40,360,692
Liabilities:
Payable for:
Fund shares redeemed		98,739
Management fees		14,027
Custodian fees		524
Transfer agent/maintenance fees		4,675
Distribution and service fees		9,224
Portfolio accounting fees		1,870
Other		20,503
Total liabilities		149,562
Net Assets	$	40,211,130
Net Assets Consist of:
Paid in capital	$	48,840,929
Accumulated net investment loss		(1,263	)
Accumulated net realized loss on investments		(10,390,317	)
Net unrealized appreciation on investments		1,761,781
Net assets	$	40,211,130
A-Class:
Net assets	$	754,634
Capital shares outstanding		26,439
Net asset value per share	$	28.54
Maximum offering price per share*	$	29.96
C-Class:
Net assets	$	7,067,873
Capital shares outstanding		257,375
Net asset value per share	$	27.46
H-Class:
Net assets	$	32,388,623
Capital shares outstanding		1,135,506
Net asset value per share	$	28.52
Investments, at cost	$	3,022,807
Repurchase agreements, at cost		30,292,877
Total cost	$	33,315,684

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $6)	$	87,387
Interest		22,770
Total investment income		110,157
Expenses:
Management fees		174,718
Transfer agent and administrative fees		58,239
Distribution and service fees:
A-Class		2,625
C-Class		49,787
H-Class		43,168
Portfolio accounting fees		23,296
Trustees’ fees**		2,431
Registration fees		38,952
Miscellaneous		9,360
Total expenses		402,576
Net investment loss		(292,419	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		750,142
Swap agreements		2,748,746
Futures contracts		(428,348	)
Net realized gain		3,070,540
Net change in unrealized appreciation (depreciation) on:
Investments		(1,150,521	)
Swap agreements		2,808
Futures contracts		337,317
Net change in unrealized appreciation (depreciation)		(810,396	)
Net realized and unrealized gain		2,260,144
Net increase in net assets resulting from operations	$	1,967,725

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

126 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

RUSSELL 2000^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(292,419	)	$	(131,477	)
Net realized gain on investments		3,070,540			3,504,542
Net change in unrealized appreciation (depreciation) on investments		(810,396	)		2,761,372
Net increase in net assets resulting from operations		1,967,725			6,134,437
Distributions to Shareholders		—			—
Capital Share Transactions:
Proceeds from sale of shares
A-Class		3,318,909			11,787,474
C-Class		92,851,121			92,157,139
H-Class		378,981,182			189,633,766
Cost of shares redeemed
A-Class		(4,088,188	)		(13,816,879	)
C-Class		(89,838,530	)		(92,420,348	)
H-Class		(379,943,686	)		(180,791,186	)
Net increase from capital share transactions		1,280,808			6,549,966
Net increase in net assets		3,248,533			12,684,403
NET ASSETS:
Beginning of year		36,962,597			24,278,194
End of year	$	40,211,130		$	36,962,597
Accumulated net investment loss at end of year	$	(1,263	)	$	(1,408	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		147,548			614,405
C-Class		4,000,710			4,881,947
H-Class		15,599,483			9,547,973
Shares redeemed
A-Class		(178,309	)		(718,503	)
C-Class		(3,871,654	)		(4,905,249	)
H-Class		(15,893,726	)		(9,505,283	)
Net decrease in shares		(195,948	)		(84,710	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 127

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007a,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		(.24	)		(.15	)		(.02	)		.34			.35
Net gain (loss) on investments (realized and unrealized)		5.82			8.80			(9.24	)		(4.21	)		2.43
Total from investment operations		5.58			8.65			(9.26	)		(3.87	)		2.78
Less distributions from:
Net investment income		—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	28.54		$	22.96		$	14.31		$	23.57		$	27.64
Total Returnd		24.30	%		60.45	%		(39.29	%)		(14.08	%)		11.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	755		$	1,313		$	2,309		$	909		$	275
Ratios to average net assets:
Net investment income (loss)		(1.01	%)		(0.81	%)		(0.13	%)		1.26	%		1.54	%
Total expenses		1.56	%		1.57	%		1.56	%		1.51	%		1.51	%
Portfolio turnover rate		284	%		370	%		485	%		535	%		335	%

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007a,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		(.47	)		(.34	)		(.15	)		.23			.17
Net gain (loss) on securities (realized and unrealized)		5.64			8.63			(9.13	)		(4.23	)		2.45
Total from investment operations		5.17			8.29			(9.28	)		(4.00	)		2.62
Less distributions from:
Net investment income		—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	27.46		$	22.29		$	14.00		$	23.28		$	27.48
Total Returnd		23.25	%		59.21	%		(39.86	%)		(14.63	%)		10.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,068		$	2,860		$	2,123		$	678		$	739
Ratios to average net assets:
Net investment income (loss)		(1.87	%)		(1.56	%)		(0.82	%)		0.85	%		0.76	%
Total expenses		2.31	%		2.30	%		2.29	%		2.27	%		2.28	%
Portfolio turnover rate		284	%		370	%		485	%		535	%		335	%

128 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007a,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		(.27	)		(.16	)		(.02	)		.51			.34
Net gain (loss) on securities (realized and unrealized)		5.86			8.78			(9.24	)		(4.38	)		2.44
Total from investment operations		5.59			8.62			(9.26	)		(3.87	)		2.78
Less distributions from:
Net investment income		—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	28.52		$	22.93		$	14.31		$	23.57		$	27.64
Total Returnd		24.32	%		60.24	%		(39.29	%)		(14.08	%)		(11.13	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	32,389		$	32,790		$	19,847		$	4,327		$	13,248
Ratios to average net assets:
Net investment income (loss)		(1.09	%)		(0.83	%)		(0.09	%)		1.86	%		1.55	%
Total expenses		1.57	%		1.56	%		1.55	%		1.52	%		1.52	%
Portfolio turnover rate		284	%		370	%		485	%		535	%		335	%

a	For the period ended March 31, 2007, 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) per share 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.

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 129

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: February 20, 2004

For the one-year period ended March 31, 2011, Inverse Russell 2000^® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. Inverse Russell 2000^® Strategy Fund H-Class returned -26.73% while the Russell 2000 Index returned 25.80% over the same period.

The biggest performance contributors to the index during the period were Information Technology (7.78%), Industrials (4.49%) and Energy (3.21%). Telecommunication Services (0.29%), Consumer Staples (0.55%) and Utilities (0.69%) provided the least performance to the index during the year.

Riverbed Technology, Inc., VeriFone Systems, Inc. and TIBCO Software, Inc. were among the stocks which provided the most performance to the index during the year. Corinthian Colleges, Inc., Human Genome Sciences, Inc. and TiVo, Inc. were among the stocks which provided the least performance to the index during the year.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

130 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class																		C-Class
	(03/31/04)																		(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
INVERSE RUSSELL 2000® STRATEGY FUND		-26.78	%		-30.26	%		-10.07	%		-10.93	%		-10.68	%		-11.30	%		-27.34	%		-28.07	%		-10.73	%		-11.49	%
RUSSELL 2000 INDEX		25.80	%		25.80	%		3.36	%		3.36	%		6.63	%		6.63	%		25.80	%		25.80	%		3.36	%		6.81	%

	H-Class
	(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
INVERSE RUSSELL 2000® STRATEGY FUND		-26.73	%		-10.06	%		-10.82	%
RUSSELL 2000 INDEX		25.80	%		3.36	%		6.81	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 131

SCHEDULE OF INVESTMENTS	March 31, 2011
INVERSE RUSSELL 2000® STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTE†† — 84.4%
Freddie Mac1 0.23% due 08/09/11	$	10,000,000	$	9,995,310
Total Federal Agency Discount Note (Cost $9,991,694)				9,995,310
REPURCHASE AGREEMENTS††,2 — 14.4%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/113		1,669,845		1,669,845
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		27,970		27,970
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		10,373		10,373
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		1,865		1,865
Total Repurchase Agreements (Cost $1,710,053)				1,710,053
Total Investments – 98.8% (Cost $11,701,747)			$	11,705,363
Cash & Other Assets, Less Liabilities – 1.2%				139,040
Total Net Assets – 100.0%			$	11,844,403

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $841,200)		10	$	(5,510	)

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International
April 2011 Russell 2000 Index Swap, Terminating 04/27/114 (Notional Value $643,951)		763	$	(16,989	)
Morgan Stanley Capital Services, Inc. April 2011 Russell 2000 Index Swap, Terminating 04/26/114 (Notional Value $984,423)		1,167		(23,443	)
Credit Suisse Capital, LLC April 2011 Russell 2000 Index Swap, Terminating 04/28/114 (Notional Value $9,358,820)		11,095		(222,742	)
(Total Notional Value $10,987,194)			$	(263,174	)

†	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	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
4	Total Return based on Russell 2000 Index +/- financing at a variable rate.

132 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	9,995,310
Repurchase agreements, at value		1,710,053
Total investments		11,705,363
Segregated cash with broker		216,310
Receivables:
Fund shares sold		447,990
Interest		2
Other		30,600
Total assets		12,400,265
Liabilities:
Unrealized depreciation on swap agreements		263,174
Payable for:
Swap settlement		20,802
Variation margin		389
Fund shares redeemed		240,168
Management fees		10,381
Custodian fees		422
Transfer agent/maintenance fees		2,884
Distribution and service fees		3,625
Portfolio accounting fees		1,153
Other		12,864
Total liabilities		555,862
Net Assets	$	11,844,403
Net assets consist of:
Paid in capital	$	63,188,384
Accumulated net investment loss		—
Accumulated net realized loss on investments		(51,078,913	)
Net unrealized depreciation on investments		(265,068	)
Net assets	$	11,844,403
A-Class:
Net assets	$	1,114,113
Capital shares outstanding		56,353
Net asset value per share	$	19.77
Maximum offering price per share*	$	20.76
C-Class:
Net assets	$	1,158,305
Capital shares outstanding		61,898
Net asset value per share	$	18.71
H-Class:
Net assets	$	9,571,985
Capital shares outstanding		483,706
Net asset value per share	$	19.79
Investments, at cost	$	9,991,694
Repurchase agreements, at cost		1,710,053
Total cost	$	11,701,747

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	48,500
Total investment income		48,500
Expenses:
Management fees		243,647
Transfer agent and administrative fees		67,680
Distribution and service fees:
A-Class		4,429
C-Class		19,066
H-Class		58,484
Portfolio accounting fees		27,072
Trustees’ fees**		3,165
Miscellaneous		53,468
Total expenses		477,011
Net investment loss		(428,511	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(79	)
Swap agreements		(5,952,367	)
Futures contracts		(3,378,455	)
Net realized loss		(9,330,901	)
Net change in unrealized appreciation (depreciation) on:
Investments		3,616
Swap agreements		17,449
Futures contracts		(21,257	)
Net change in unrealized appreciation (depreciation)		(192	)
Net realized and unrealized loss		(9,331,093	)
Net decrease in net assets resulting from operations	$	(9,759,604	)

** 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 ANNUAL REPORT | 133

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(428,511	)	$	(436,855	)
Net realized loss on investments		(9,330,901	)		(17,785,252	)
Net change in unrealized appreciation (depreciation) on investments		(192	)		(427,116	)
Net decrease in net assets resulting from operations		(9,759,604	)		(18,649,223	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		7,959,272			12,458,139
C-Class		15,298,718			12,315,911
H-Class		454,278,543			190,565,372
Cost of shares redeemed
A-Class		(7,860,444	)		(11,468,508	)
C-Class		(15,531,833	)		(11,307,586	)
H-Class		(462,232,894	)		(178,850,918	)
Net increase (decrease) from capital share transactions		(8,088,638	)		13,712,410
Net decrease in net assets		(17,848,242	)		(4,936,813	)
Net assets:
Beginning of year		29,692,645			34,629,458
End of year	$	11,844,403		$	29,692,645
Accumulated net investment loss at end of year	$	—		$	—
Capital Share Activity:
Shares sold
A-Class		308,625			362,535
C-Class		580,595			364,847
H-Class		18,194,735			5,855,590
Shares redeemed
A-Class		(317,626	)		(345,066	)
C-Class		(596,494	)		(334,695	)
H-Class		(18,670,803	)		(5,522,935	)
Net increase (decrease) in shares		(500,968	)		380,276

134 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE RUSSELL 2000^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.00		$	48.02		$	39.05		$	35.00		$	36.96
Income (loss) from investment operations:
Net investment income (loss)a		(.38	)		(.54	)		(.21	)		1.06			1.38
Net gain (loss) on investments (realized and unrealized)		(6.85	)		(20.48	)		9.57			4.40			(1.65	)
Total from investment operations		(7.23	)		(21.02	)		9.36			5.46			(.27	)
Less distributions from:
Net investment income		—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	19.77		$	27.00		$	48.02		$	39.05		$	35.00
Total Returnb		(26.78	%)		(43.77	%)		23.91	%		16.11	%		(0.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,114		$	1,765		$	2,299		$	6,816		$	9,905
Ratios to average net assets:
Net investment income (loss)		(1.53	%)		(1.58	%)		(0.50	%)		2.96	%		3.64	%
Total expenses		1.71	%		1.71	%		1.96	%		1.89	%		1.65	%
Operating expensesc		1.71	%		1.71	%		1.71	%		1.89	%		1.65	%
Portfolio turnover rate		—			—			214	%		—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.75		$	46.15		$	37.80		$	34.18		$	36.40
Income (loss) from investment operations:
Net investment income (loss)a		(.55	)		(.76	)		(.40	)		.76			1.07
Net gain (loss) on investments (realized and unrealized)		(6.49	)		(19.64	)		9.14			4.27			(1.60	)
Total from investment operations		(7.04	)		(20.40	)		8.74			5.03			(.53	)
Less distributions from:
Net investment income		—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	18.71		$	25.75		$	46.15		$	37.80		$	34.18
Total Returnb		(27.34	%)		(44.20	%)		23.06	%		15.22	%		(1.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,158		$	2,003		$	2,199		$	6,136		$	8,455
Ratios to average net assets:
Net investment income (loss)		(2.28	%)		(2.34	%)		(1.03	%)		2.17	%		2.87	%
Total expenses		2.46	%		2.46	%		2.76	%		2.67	%		2.40	%
Operating expensesc		2.46	%		2.46	%		2.45	%		2.67	%		2.40	%
Portfolio turnover rate		—			—			214	%		—			—

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 135

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.01		$	48.05		$	39.07		$	35.02		$	36.98
Income (loss) from investment operations:
Net investment income (loss)a		(.38	)		(.53	)		(.19	)		1.05			1.36
Net gain (loss) on investments (realized and unrealized)		(6.84	)		(20.51	)		9.56			4.41			(1.63	)
Total from investment operations		(7.22	)		(21.04	)		9.37			5.46			(.27	)
Less distributions from:
Net investment income		—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	19.79		$	27.01		$	48.05		$	39.07		$	35.02
Total Returnb		(26.73	%)		(43.79	%)		23.93	%		16.10	%		(0.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,572		$	25,924		$	30,131		$	42,554		$	48,718
Ratios to average net assets:
Net investment income (loss)		(1.53	%)		(1.58	%)		(0.45	%)		2.93	%		3.56	%
Total expenses		1.71	%		1.71	%		1.97	%		1.89	%		1.65	%
Operating expensesc		1.71	%		1.71	%		1.70	%		1.89	%		1.65	%
Portfolio turnover rate		—			—			214	%		—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Operating expenses exclude interest and dividend expense from securities sold short.

136 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 137

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)
S&P 500 PURE GROWTH FUND March 31, 2011

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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P 500 Pure Growth Fund H-Class returned 25.02%, compared with 28.12% for the S&P 500 Pure Growth Index. The S&P 500 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Large-cap growth stocks outperformed large-cap value stocks during the period.

The Information Technology sector was the biggest contributor to returns, adding 10.88% to the index performance for the year, followed by the Consumer Discretionary sector, which added 7.61%, and Energy, which added 3.55%. Telecommunication Services contributed the least to return, 0.20%.

The stocks contributing most to performance in the index were Priceline.com, Inc., Salesforce.com, Inc. and Red Hat, Inc. Those detracting the most from performance in the index were F5 Networks, Inc., Intuitive Surgical, Inc. and Visa, Inc. — Class A.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	1.8	%
Priceline.com, Inc.	1.8	%
Tenet Healthcare Corp.	1.7	%
Cognizant Technology Solutions Corp. — Class A	1.7	%
Apple, Inc.	1.6	%
Western Digital Corp.	1.5	%
Amazon.com, Inc.	1.5	%
Joy Global, Inc.	1.5	%
Micron Technology, Inc.	1.4	%
Red Hat, Inc.	1.4	%
Top Ten Total	15.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

138 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

										A-Class														C-Class
	(09/01/04)																				(02/20/04)
	ONE		��	ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P 500 PURE GROWTH FUND		25.05	%		19.12	%		5.19	%		4.17	%		5.65	%		4.87	%		24.09	%		23.09	%		4.37	%		3.49	%
S&P 500 PURE GROWTH INDEX		28.12	%		28.12	%		7.15	%		7.15	%		9.20	%		9.20	%		28.12	%		28.12	%		7.15	%		7.85	%

				H-Class
	(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
S&P 500 PURE GROWTH FUND		25.02	%		5.17	%		4.26	%
S&P 500 PURE GROWTH INDEX		28.12	%		7.15	%		7.85	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 139

SCHEDULE OF INVESTMENTS March 31, 2011

S&P 500 PURE GROWTH FUND

	Shares		Value
COMMON STOCKS† — 98.9%
INFORMATION TECHNOLOGY — 28.5%
Cognizant Technology Solutions Corp. — Class A*		10,475	$	852,665
Apple, Inc.*		2,350		818,857
Western Digital Corp.*		20,282		756,316
Micron Technology, Inc.*		62,420		715,333
Red Hat, Inc.*		15,118		686,206
Salesforce.com, Inc.*		4,827		644,791
NetApp, Inc.*		12,253		590,350
Juniper Networks, Inc.*		13,143		553,057
F5 Networks, Inc.*		5,330		546,698
Akamai Technologies, Inc.*		13,545		514,710
JDS Uniphase Corp.*		24,667		514,060
eBay, Inc.*		16,539		513,371
Teradata Corp.*		9,251		469,026
Citrix Systems, Inc.*		5,876		431,651
Google, Inc. — Class A*		734		430,278
Mastercard, Inc. — Class A		1,590		400,235
Visa, Inc. — Class A		5,207		383,339
Oracle Corp.		11,452		382,153
Broadcom Corp. — Class A		9,603		378,166
EMC Corp.*		13,999		371,673
Intuit, Inc.*		6,748		358,319
SanDisk Corp.*		7,683		354,109
FLIR Systems, Inc.		8,717		301,695
BMC Software, Inc.*		5,640		280,534
Altera Corp.		6,181		272,088
Advanced Micro Devices, Inc.*		31,570		271,502
Analog Devices, Inc.		6,166		242,817
Amphenol Corp. — Class A		4,338		235,944
Linear Technology Corp.		6,507		218,830
Symantec Corp.*		11,623		215,490
International Business Machines Corp.		1,237		201,718
Xilinx, Inc.		5,046		165,509
Microsoft Corp.		5,888		149,320
Total Information Technology				14,220,810
CONSUMER DISCRETIONARY — 27.8%
Netflix, Inc.*		3,870		918,467
Priceline.com, Inc.*		1,809		916,150
Amazon.com, Inc.*		4,159		749,161
Coach, Inc.		12,153		632,442
Discovery Communications, Inc. — Class A*		14,738		588,046
Wynn Resorts Ltd.		4,580		582,805
AutoZone, Inc.*		2,058		562,986
Expedia, Inc.		23,398		530,199
Starbucks Corp.		14,280		527,646
Ross Stores, Inc.		7,263		516,545
Nordstrom, Inc.		10,791		484,300
O’Reilly Automotive, Inc.*		8,352		479,906
DIRECTV — Class A*		10,122		473,710
Wyndham Worldwide Corp.		13,587		432,202
Darden Restaurants, Inc.		8,075		396,725
Tiffany & Co.		6,280		385,843
Limited Brands, Inc.		11,350		373,188
Hasbro, Inc.		7,619		356,874
Polo Ralph Lauren Corp. — Class A		2,885		356,730
CarMax, Inc.*		10,649		341,833
Cablevision Systems Corp. — Class A		9,760		337,794
Urban Outfitters, Inc.*		11,088		330,755
DeVry, Inc.		5,990		329,869
Comcast Corp. — Class A		12,858		317,850
TJX Companies, Inc.		5,873		292,064
Bed Bath & Beyond, Inc.*		6,005		289,861
Yum! Brands, Inc.		4,959		254,793
Apollo Group, Inc. — Class A*		5,622		234,494
Family Dollar Stores, Inc.		4,259		218,572
Interpublic Group of Companies, Inc.		17,215		216,393
Starwood Hotels & Resorts Worldwide, Inc.		3,351		194,760
Scripps Networks Interactive, Inc. — Class A		2,610		130,735
NIKE, Inc. — Class B		1,540		116,578
Total Consumer Discretionary				13,870,276
HEALTH CARE — 16.6%
Tenet Healthcare Corp.*		115,548		860,833
CIGNA Corp.		14,255		631,212
Intuitive Surgical, Inc.*		1,721		573,885
Watson Pharmaceuticals, Inc.*		8,560		479,446
Mylan, Inc.*		20,120		456,120
Edwards Lifesciences Corp.*		4,880		424,560
Biogen Idec, Inc.*		5,782		424,341
Life Technologies Corp.*		8,003		419,517
Gilead Sciences, Inc.*		8,589		364,517
Express Scripts, Inc. — Class A*		6,120		340,333
Cerner Corp.*		2,981		331,487
Allergan, Inc.		4,616		327,828
St. Jude Medical, Inc.		6,351		325,552
Medco Health Solutions, Inc.*		5,604		314,721
Hospira, Inc.*		5,600		309,120
Celgene Corp.*		5,141		295,762
Laboratory Corporation of America Holdings*		2,982		274,732
Varian Medical Systems, Inc.*		3,633		245,736
Waters Corp.*		2,777		241,321
Patterson Companies, Inc.		6,590		212,132
Agilent Technologies, Inc.*		3,645		163,223
Genzyme Corp.*		2,026		154,280
Eli Lilly & Co.		4,160		146,307
Total Health Care				8,316,965
ENERGY — 7.4%
Massey Energy Co.		8,464		578,599
National Oilwell Varco, Inc.		7,134		565,512
FMC Technologies, Inc.*		5,411		511,231

140 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

S&P 500 PURE GROWTH FUND

	Shares		Value
Pioneer Natural Resources Co.		4,648	$	473,724
Cameron International Corp.*		8,141		464,851
Diamond Offshore Drilling, Inc.		4,509		350,350
Peabody Energy Corp.		4,043		290,934
Southwestern Energy Co.*		6,128		263,320
Consol Energy, Inc.		3,438		184,380
Total Energy				3,682,901
INDUSTRIALS - 7.0%
Joy Global, Inc.		7,350		726,254
Flowserve Corp.		3,596		463,165
First Solar, Inc.*		2,303		370,415
Cummins, Inc.		2,862		313,732
Stericycle, Inc.*		3,369		298,729
Goodrich Corp.		3,244		277,459
Ingersoll-Rand plc		5,278		254,980
Deere & Co.		2,582		250,170
WW Grainger, Inc.		1,455		200,324
Rockwell Automation, Inc.		2,067		195,642
Precision Castparts Corp.		944		138,938
Total Industrials				3,489,808
MATERIALS - 4.2%
CF Industries Holdings, Inc.		4,140		566,311
Freeport-McMoRan Copper & Gold, Inc. — Class B		8,518		473,175
Newmont Mining Co.		4,705		256,799
FMC Corp.		2,682		227,782
International Flavors & Fragrances, Inc.		3,275		204,032
Ball Corp.		5,468		196,028
Sigma-Aldrich Corp.		2,414		153,627
Total Materials				2,077,754
CONSUMER STAPLES - 3.5%
Whole Foods Market, Inc.		9,344		615,770
Coca-Cola Enterprises, Inc.		14,478		395,249
Estee Lauder Companies, Inc. — Class A		3,937		379,369
Dr Pepper Snapple Group, Inc.		6,366		236,561
Coca-Cola Co.		2,110		139,998
Total Consumer Staples				1,766,947
FINANCIALS - 2.7%
Ventas, Inc.		8,066		437,984
IntercontinentalExchange, Inc.*		3,044		376,055
Ameriprise Financial, Inc.		4,447		271,623
CB Richard Ellis Group, Inc. — Class A*		9,834		262,568
Total Financials				1,348,230
TELECOMMUNICATION SERVICES - 1.2%
MetroPCS Communications, Inc.*		18,593		301,950
American Tower Corp. — Class A*		5,591		289,726
Total Telecommunication Services				591,676
Total Common Stocks (Cost $37,066,824)				49,365,367

	Face
	Amount
REPURCHASE AGREEMENTS††,1 — 0.7%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	206,633		206,633
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		76,630		76,630
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		40,052		40,052
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		13,776		13,776
Total Repurchase Agreements (Cost $337,091)				337,091
Total Investments — 99.6% (Cost $37,403,915)			$	49,702,458
Other Assets, Less Liabilities — 0.4%				217,254
Total Net Assets — 100.0%			$	49,919,712

*	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.
	plc — Public Limited Company

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 141

S&P 500 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	49,365,367
Repurchase agreements, at value		337,091
Total investments		49,702,458
Receivables:
Fund shares sold		747,028
Dividends		14,763
Total assets		50,464,249
Liabilities:
Payable for:
Securities purchased		424,560
Fund shares redeemed		19,727
Management fees		31,167
Custodian fees		1,188
Transfer agent/maintenance fees		10,389
Distribution and service fees		15,537
Portfolio accounting fees		4,156
Licensing fees		882
Other		36,931
Total liabilities		544,537
Net Assets	$	49,919,712
Net Assets Consist Of:
Paid in capital	$	42,330,148
Accumulated net investment loss		—
Accumulated net realized loss on investments		(4,708,979	)
Net unrealized appreciation on investments		12,298,543
Net assets	$	49,919,712
A-Class:
Net assets	$	2,704,241
Capital shares outstanding		81,567
Net asset value per share	$	33.15
Maximum offering price per share*	$	34.80
C-Class:
Net assets	$	8,384,242
Capital shares outstanding		266,824
Net asset value per share	$	31.42
H-Class:
Net assets	$	38,831,229
Capital shares outstanding		1,171,942
Net asset value per share	$	33.13
Investments, at cost	$	37,066,824
Repurchase agreements, at cost		337,091
Total cost	$	37,403,915

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	343,533
Interest		534
Total investment income		344,067
Expenses:
Management fees		372,809
Transfer agent and administrative fees		124,270
Distribution and service fees:
A-Class		10,741
C-Class		70,910
H-Class		95,802
Portfolio accounting fees		49,707
Trustees’ fees**		4,412
Miscellaneous		92,376
Total expenses		821,027
Net investment loss		(476,960	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		6,110,300
Net realized gain		6,110,300
Net change in unrealized appreciation (depreciation) on:
Investments		7,095,188
Net change in unrealized appreciation (depreciation)		7,095,188
Net realized and unrealized gain		13,205,488
Net increase in net assets resulting from operations	$	12,728,528

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

142 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

S&P 500 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(476,960	)	$	(183,531	)
Net realized gain on investments		6,110,300			4,108,617
Net change in unrealized appreciation (depreciation) on investments		7,095,188			3,489,396
Net increase in net assets resulting from operations		12,728,528			7,414,482
Distributions To Shareholders		—			—
Capital Share Transactions:
Proceeds From Sale Of Shares
A-Class		23,075,207			14,713,642
C-Class		8,392,407			9,209,791
H-Class		452,894,846			176,531,236
Cost Of Shares Redeemed
A-Class		(23,684,382	)		(16,142,989	)
C-Class		(8,275,738	)		(6,496,395	)
H-Class		(439,353,112	)		(178,056,915	)
Net increase (decrease) from capital share transactions		13,049,228			(241,630	)
Net increase in net assets		25,777,756			7,172,852
Net Assets:
Beginning of year		24,141,956			16,969,104
End of year	$	49,919,712		$	24,141,956
Accumulated net investment loss at end of year	$	—		$	—
Capital Share Activity:
Shares sold
A-Class		830,903			581,564
C-Class		313,215			423,295
H-Class		16,228,786			7,640,587
Shares redeemed
A-Class		(816,244	)		(662,990	)
C-Class		(302,875	)		(305,413	)
H-Class		(15,655,887	)		(7,832,745	)
Net increase (decrease) in shares		597,898			(155,702	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 143

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.51		$	15.82		$	25.11		$	27.17		$	26.11
Income (loss) from investment operations:
Net investment lossa		(.18	)		(.18	)		(.11	)		(.15	)		(.13	)
Net gain (loss) on investments (realized and unrealized)		6.82			10.87			(9.18	)		(1.52	)		1.19
Total from investment operations		6.64			10.69			(9.29	)		(1.67	)		1.06
Less distributions from:
Net realized gains		—			—			—			(.39	)		—
Total distributions		—			—			—			(.39	)		—
Net asset value, end of period	$	33.15		$	26.51		$	15.82		$	25.11		$	27.17
Total Returnb		25.05	%		67.57	%		(37.00	%)		(6.28	%)		4.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,704		$	1,774		$	2,346		$	5,443		$	2,675
Ratios to average net assets:
Net investment loss		(0.65	%)		(0.81	%)		(0.46	%)		(0.53	%)		(0.51	%)
Total expenses		1.53	%		1.52	%		1.53	%		1.51	%		1.52	%
Portfolio turnover rate		808	%		699	%		573	%		450	%		1,029	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.32		$	15.23		$	24.35		$	26.57		$	25.74
Income (loss) from investment operations:
Net investment lossa		(.41	)		(.30	)		(.23	)		(.32	)		(.37	)
Net gain (loss) on investments (realized and unrealized)		6.51			10.39			(8.89	)		(1.51	)		1.20
Total from investment operations		6.10			10.09			(9.12	)		(1.83	)		.83
Less distributions from:
Net realized gains		—			—			—			(.39	)		—
Total distributions		—			—			—			(.39	)		—
Net asset value, end of period	$	31.42		$	25.32		$	15.23		$	24.35		$	26.57
Total Returnb		24.09	%		66.25	%		(37.45	%)		(7.02	%)		3.22	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,384		$	6,494		$	2,111		$	4,453		$	3,743
Ratios to average net assets:
Net investment loss		(1.53	%)		(1.40	%)		(1.13	%)		(1.21	%)		(1.44	%)
Total expenses		2.29	%		2.28	%		2.29	%		2.27	%		2.28	%
Portfolio turnover rate		808	%		699	%		573	%		450	%		1,029	%

144 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.50		$	15.81		$	25.10		$	27.16		$	26.11
Income (loss) from investment operations:
Net investment lossa		(.26	)		(.14	)		(.09	)		(.17	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		6.89			10.83			(9.20	)		(1.50	)		1.19
Total from investment operations		6.63			10.69			(9.29	)		(1.67	)		1.05
Less distributions from:
Net realized gains		—			—			—			(.39	)		—
Total distributions		—			—			—			(.39	)		—
Net asset value, end of period	$	33.13		$	26.50		$	15.81		$	25.10		$	27.16
Total Returnb		25.02	%		67.62	%		(37.01	%)		(6.28	%)		4.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	38,831		$	15,874		$	12,512		$	11,937		$	49,087
Ratios to average net assets:
Net investment loss		(0.89	%)		(0.60	%)		(0.41	%)		(0.62	%)		(0.53	%)
Total expenses		1.55	%		1.53	%		1.53	%		1.53	%		1.52	%
Portfolio turnover rate		808	%		699	%		573	%		450	%		1,029	%

^a     Net investment loss per share was computed using average shares outstanding throughout the period.

^b    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 ANNUAL REPORT | 145

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P 500 Pure Value Fund H-Class returned 15.14%, compared with 18.42% for the S&P 500 Pure Value Index. The S&P 500 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Large-cap growth stocks outperformed large-cap value stocks during the period.

The Energy, Utilities and Health Care sectors provided the greatest contribution to return, 5.17%, 3.92% and 2.74%, respectively. Consumer Discretionary and Consumer Staples provided the lowest contribution to return, 0.38% and 0.38%, respectively.

The strongest contributors to index performance for the period were Tesoro Corp., Sunoco, Inc. and Valero Energy Corp. The stocks detracting most from return were Sears Holdings Corp., Genworth Financial, Inc. — Class A and Bank of America Corp.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class C-Class H-Class	September 1, 2004 February 20, 2004 February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Tesoro Corp.	2.5	%
Valero Energy Corp.	2.3	%
Dean Foods Co.	2.3	%
SUPERVALU, Inc.	2.2	%
Constellation Energy Group, Inc.	2.1	%
Sears Holdings Corp.	2.1	%
Coventry Health Care, Inc.	2.0	%
NRG Energy, Inc.	1.8	%
Tyson Foods, Inc. — Class A	1.8	%
Archer-Daniels-Midland Co.	1.7	%
Top Ten Total	20.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

146 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

										A-Class												C-Class
										(09/01/04)												(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P 500 PURE VALUE FUND		15.14	%		9.67	%		0.69	%		-0.29	%		3.33	%		2.57	%		14.28	%		13.28	%		-0.02	%		2.17	%
S&P 500 PURE VALUE INDEX		18.42	%		18.42	%		3.72	%		3.72	%		7.50	%		7.50	%		18.42	%		18.42	%		3.72	%		7.54	%

				H-Class
				(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
S&P 500 PURE VALUE FUND		15.14	%		0.75	%		2.94	%
S&P 500 PURE VALUE INDEX		18.42	%		3.72	%		7.54	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Pure Value Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 147

SCHEDULE OF INVESTMENTS	March 31, 2011
S&P 500 PURE VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.5%
FINANCIALS - 25.5%
Hartford Financial Services Group, Inc.		20,449	$	550,692
Assurant, Inc.		12,150		467,896
Capital One Financial Corp.		8,907		462,808
Bank of America Corp.		34,584		461,005
Unum Group		16,121		423,176
Allstate Corp.		12,708		403,860
Prudential Financial, Inc.		6,193		381,365
XL Group plc — Class A		15,238		374,855
Genworth Financial, Inc. — Class A*		26,829		361,118
Lincoln National Corp.		11,018		330,981
NASDAQ OMX Group, Inc.*		9,899		255,790
JPMorgan Chase & Co.		5,499		253,504
ACE Ltd.		3,765		243,596
Travelers Companies, Inc.		4,030		239,704
Cincinnati Financial Corp.		7,046		231,109
Principal Financial Group, Inc.		7,185		230,710
Fifth Third Bancorp		16,585		230,200
Loews Corp.		5,335		229,885
Citigroup, Inc.*		49,390		218,304
Regions Financial Corp.		28,032		203,512
BB&T Corp.		7,256		199,177
Weyerhaeuser Co.		7,862		193,405
SLM Corp.*		12,330		188,649
Legg Mason, Inc.		5,108		184,348
PNC Financial Services Group, Inc.		2,905		182,986
SunTrust Banks, Inc.		5,995		172,896
Morgan Stanley		6,282		171,624
NYSE Euronext		4,782		168,183
Discover Financial Services		6,617		159,602
Chubb Corp.		2,601		159,467
MetLife, Inc.		3,551		158,836
People’s United Financial, Inc.		12,031		151,350
Goldman Sachs Group, Inc.		859		136,126
Torchmark Corp.		1,897		126,113
Total Financials				8,906,832
UTILITIES - 15.8%
Constellation Energy Group, Inc.		23,718		738,341
NRG Energy, Inc.*		29,305		631,230
Pepco Holdings, Inc.		22,889		426,880
NiSource, Inc.		17,288		331,584
Ameren Corp.		11,338		318,258
AES Corp.*		24,290		315,770
FirstEnergy Corp.		6,135		227,547
Oneok, Inc.		3,370		225,385
DTE Energy Co.		4,559		223,209
Integrys Energy Group, Inc.		4,402		222,345
CMS Energy Corp.		9,226		181,199
Edison International		4,792		175,339
Consolidated Edison, Inc.		3,131		158,804
American Electric Power Company, Inc.		4,405		154,792
Nicor, Inc.		2,737		146,977
Progress Energy, Inc.		3,152		145,433
Duke Energy Corp.		7,875		142,931
Northeast Utilities		3,868		133,833
Sempra Energy		2,440		130,540
CenterPoint Energy, Inc.		7,263		127,538
Xcel Energy, Inc.		4,888		116,774
SCANA Corp.		2,891		113,819
Entergy Corp.		1,605		107,872
Total Utilities				5,496,400
CONSUMER STAPLES - 13.3%
Dean Foods Co.*		80,141		801,410
SUPERVALU, Inc.		86,197		769,739
Tyson Foods, Inc. — Class A		31,823		610,683
Archer-Daniels-Midland Co.		16,910		608,929
CVS Caremark Corp.		10,953		375,907
Kroger Co.		13,780		330,307
Safeway, Inc.		11,108		261,482
Costco Wholesale Corp.		3,377		247,602
Walgreen Co.		5,034		202,065
Wal-Mart Stores, Inc.		2,891		150,477
Sysco Corp.		5,072		140,494
ConAgra Foods, Inc.		5,792		137,560
Total Consumer Staples				4,636,655
HEALTH CARE - 10.9%
Coventry Health Care, Inc.*		22,134		705,853
Humana, Inc.*		7,921		553,995
WellPoint, Inc.		7,665		534,940
Aetna, Inc.		13,437		502,947
McKesson Corp.		5,903		466,632
Cardinal Health, Inc.		9,750		401,017
UnitedHealth Group, Inc.		7,068		319,474
CareFusion Corp.*		6,164		173,825
Boston Scientific Corp.*		18,675		134,273
Total Health Care				3,792,956
CONSUMER DISCRETIONARY - 10.8%
Sears Holdings Corp.*		8,736		722,030
GameStop Corp. — Class A*		21,369		481,230
Whirlpool Corp.		4,989		425,861
AutoNation, Inc.*		9,374		331,558
JC Penney Company, Inc.		7,340		263,580
DR Horton, Inc.		21,213		247,132
Time Warner, Inc.		5,855		209,024
Gannett Company, Inc.		13,705		208,727
Washington Post Co. — Class B		466		203,903
CBS Corp. — Class B		7,881		197,340
Goodyear Tire & Rubber Co.*		11,182		167,506
RadioShack Corp.		10,534		158,115
Lowe’s Companies, Inc.		5,593		147,823
Total Consumer Discretionary				3,763,829

148 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
S&P 500 PURE VALUE FUND

	Shares		Value
ENERGY - 9.5%
Tesoro Corp.*		31,976	$	857,916
Valero Energy Corp.		27,153		809,702
Marathon Oil Corp.		9,571		510,230
Sunoco, Inc.		6,995		318,902
ConocoPhillips		3,046		243,254
QEP Resources, Inc.		5,858		237,483
Rowan Companies, Inc.*		5,047		222,977
Hess Corp.		1,475		125,685
Total Energy				3,326,149
INDUSTRIALS - 5.8%
RR Donnelley & Sons Co.		19,229		363,820
L-3 Communications Holdings, Inc. — Class 3		4,408		345,191
Jacobs Engineering Group, Inc.*		5,645		290,322
Northrop Grumman Corp.		4,117		258,177
Ryder System, Inc.		5,023		254,164
Masco Corp.		13,117		182,589
Quanta Services, Inc.*		7,889		176,950
General Electric Co.		7,347		147,307
Total Industrials				2,018,520
INFORMATION TECHNOLOGY - 3.5%
Jabil Circuit, Inc.		23,147		472,893
Computer Sciences Corp.		8,955		436,377
Xerox Corp.		16,346		174,085
Dell, Inc.*		8,574		124,409
Total Information Technology				1,207,764
MATERIALS - 3.2%
International Paper Co.		9,564		288,642
AK Steel Holding Corp.		16,957		267,581
MeadWestvaco Corp.		8,376		254,044
Alcoa, Inc.		10,188		179,818
Sealed Air Corp.		5,283		140,845
Total Materials				1,130,930
TELECOMMUNICATION SERVICES - 1.2%
Sprint Nextel Corp.*		92,215		427,878
Total Common Stocks (Cost $28,650,299)				34,707,913

	FACE
	AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 0.5%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	102,007	$	102,007
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		37,829		37,829
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		19,772		19,772
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		6,801		6,801
Total Repurchase Agreements (Cost $166,409)				166,409
Total Investments — 100.0% (Cost $28,816,708)			$	34,874,322
Liabilities, Less Cash &
Other Assets — 0.0%				(2,446	)
Total Net Assets — 100.0%			$	34,871,876

*	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.
	plc — Public Limited Company

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 149

S&P 500 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets
Investments, at value	$	34,707,913
Repurchase agreements, at value		166,409
Total investments		34,874,322
Cash		2,614
Receivables:
Securities sold		228,340
Fund shares sold		1,841
Dividends		65,931
Total assets		35,173,048
Liabilities:
Payable for:
Securities purchased		23,875
Fund shares redeemed		151,973
Management fees		38,038
Custodian fees		1,752
Transfer agent/maintenance fees		12,679
Distribution and service fees		15,268
Portfolio accounting fees		5,072
Licensing fees		816
Other		51,699
Total liabilities		301,172
Net assets	$	34,871,876
Net assets consist of:
Paid in capital	$	34,973,915
Accumulated net investment loss		—
Accumulated net realized loss on investments		(6,159,653	)
Net unrealized appreciation on investments		6,057,614
Net assets	$	34,871,876
A-Class:
Net assets	$	2,329,285
Capital shares outstanding		25,822
Net asset VALUE per share	$	90.21
Maximum offering price per share*	$	94.71
C-Class:
Net assets	$	5,690,307
Capital shares outstanding		67,747
Net asset VALUE per share	$	83.99
H-Class:
Net assets	$	26,852,284
Capital shares outstanding		296,724
Net asset value per share	$	90.50
Investments, at cost	$	28,650,299
Repurchase agreements, at cost		166,409
Total cost	$	28,816,708

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

INVESTMENT INCOME:
Dividends	$	787,952
Interest		509
Total investment income		788,461
Expenses:
Management fees		388,056
Transfer agent and administrative fees		129,352
Distribution and service fees:
A-Class		8,834
C-Class		29,168
H-Class		113,226
Portfolio accounting fees		51,740
Trustees’ fees**		6,592
Miscellaneous		94,015
Total expenses		820,983
Net investment loss		(32,522	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		8,480,016
Net realized gain		8,480,016
Net change in unrealized appreciation (depreciation) on:
Investments		(8,294,860	)
Net change in unrealized appreciation (depreciation)		(8,294,860	)
Net realized and unrealized gain		185,156
Net increase in net assets resulting from operations	$	152,634

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

150 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

S&P 500 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(32,522	)	$	223,302
Net realized gain on investments		8,480,016			11,207,510
Net change in unrealized appreciation (depreciation) on investments	(8,294,860)				14,716,760
Net increase in net assets resulting from operations		152,634			26,147,572
Distributions to shareholders from:
Net investment income
A-Class		(16,831	)		(5,911	)
C-Class		(38,161	)		(37,725	)
H-Class		(168,310	)		(465,758	)
Total distributions to shareholders		(223,302	)		(509,394	)
Capital share transactions:
Proceeds from sale of shares
A-Class		20,577,766			15,145,213
C-Class		12,317,081			12,436,778
H-Class		446,114,591			455,762,213
Distributions reinvested
A-Class		11,816			3,807
C-Class		32,218			37,392
H-Class		165,705			465,190
Cost of shares redeemed
A-Class		(26,189,401	)		(7,194,675	)
C-Class		(11,762,447	)		(9,899,329	)
H-Class		(567,934,046	)		(336,675,504	)
Net increase (decrease) from capital share transactions		(126,666,717	)		130,081,085
Net increase (decrease) in net assets		(126,737,385	)		155,719,263
Net assets:
Beginning of year		161,609,261			5,889,998
End of year	$	34,871,876		$	161,609,261
Undistributed/(Accumulated) net investment income/ (loss) at end of year	$	—		$	223,301
Capital share activity:
Shares sold
A-Class		251,530			198,985	†
C-Class		160,280			206,943	†
H-Class		5,470,210			6,745,739	†
Shares issued from reinvestment of distributions
A-Class		149			54	†
C-Class		436			561	†
H-Class		2,086			6,550	†
Shares redeemed
A-Class		(328,246	)		(102,355	)†
C-Class		(158,144	)		(175,865	)†
H-Class		(7,034,879	)		(5,020,789	)†
Net increase (decrease) in shares		(1,636,578	)		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.

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 151

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset VALUE, beginning of period	$	79.66		$	35.58		$	100.00		$	167.30		$	145.60
Income (loss) from investment operations:
Net investment incomea		.01			.26			1.95			2.45			1.85
Net gain (loss) on investment (realized and unrealized)		11.87			44.60			(57.52	)		(30.50	)		21.65
Total from investment operations		11.88			44.86			(55.57	)		(28.05	)		23.50
Less distributions from:
Net investment income		(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset VALUE, end of period	$	90.21		$	79.66		$	35.58		$	100.00		$	167.30
Total Returnb		15.14	%		126.37	%		(57.28	%)		(19.98	%)		16.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,329		$	8,156		$	203		$	4,269		$	5,348
Ratios to average net assets:
Net investment income		0.01	%		0.39	%		2.16	%		1.67	%		1.17	%
Total expenses		1.54	%		1.52	%		1.53	%		1.52	%		1.50	%
Portfolio turnover rate		820	%		673	%		1,448	%		289	%		389	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset VALUE, beginning of period	$	74.81		$	33.66		$	96.00		$	163.40		$	143.35
Income (loss) from investment operations:
Net investment income (loss)a		(.51	)		(.02	)		1.40			.70			.45
Net gain (loss) on investment (realized and unrealized)		11.02			41.95			(54.89	)		(28.85	)		21.40
Total from investment operations		10.51			41.93			(53.49	)		(28.15	)		21.85
Less distributions from:
Net investment income		(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset VALUE, end of period	$	83.99		$	74.81		$	33.66		$	96.00		$	163.40
Total Returnb		14.28	%		124.86	%		(57.55	%)		(20.57	%)		15.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,690		$	4,876		$	1,129		$	1,838		$	21,075
Ratios to average net assets:
Net investment income (loss)		(0.68	%)		(0.03	%)		2.44	%		0.48	%		0.29	%
Total expenses		2.29	%		2.27	%		2.29	%		2.29	%		2.27	%
Portfolio turnover rate		820	%		673	%		1,448	%		289	%		389	%

152 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset VALUE, beginning of period	$	79.91		$	35.67		$	100.00		$	167.30		$	145.60
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		.32			1.40			1.80			1.75
Net gain (loss) on investments (realized and unrealized)		11.94			44.70			(56.88	)		(29.85	)		21.75
Total from investment operations		11.92			45.02			(55.48	)		(28.05	)		23.50
Less distributions from:
Net investment income		(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset value, end of period	$	90.50		$	79.91		$	35.67		$	100.00		$	167.30
Total Returnb		15.14	%		126.50	%		(57.23	%)		(19.98	%)		16.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	26,852		$	148,578		$	4,558		$	18,459		$	184,082
Ratios to average net assets:
Net investment income (loss)		(0.03	%)		0.47	%		2.36	%		1.11	%		1.12	%
Total expenses		1.54	%		1.54	%		1.53	%		1.53	%		1.51	%
Portfolio turnover rate		820	%		673	%		1,448	%		289	%		389	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Reverse share split — Per share amounts for the period March 31, 2007 through April 19, 2009 have been restated to reflect a 1:5 reverse share split effective April 20, 2009.

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 153

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P MidCap 400 Pure Growth Fund H-Class returned 32.74%, compared with 35.59% for the S&P MidCap 400 Pure Growth Index. The S&P MidCap 400 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Mid-cap growth stocks modestly outperformed mid-cap value stocks during the period.

Consumer Discretionary and Information Technology holdings contributed 11.04% and 10.36% to Fund returns, respectively. Other heavily weighted sectors in the index, Health Care and Industrials, made modest contributions to overall returns.

Netflix, Inc., Green Mountain Coffee Roasters, Inc. and Chipotle Mexican Grill, Inc. — Class A were among the stocks which added the most to the index during the year. Cree, Inc., Aeropostale, Inc. and Strayer Education, Inc. were among the stocks which provided the least performance to the index during the year.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Green Mountain Coffee
Roasters, Inc.	3.0	%
Rackspace Hosting, Inc.	2.4	%
Chipotle Mexican Grill, Inc. —
Class A	2.0	%
Deckers Outdoor Corp.	2.0	%
NewMarket Corp.	1.9	%
Bucyrus International, Inc. —
Class A	1.9	%
Riverbed Technology, Inc.	1.9	%
Ascena Retail Group, Inc.	1.7	%
Fossil, Inc.	1.7	%
TIBCO Software, Inc.	1.6	%
Top Ten Total	20.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

154 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^†    Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class															C-Class
							(09/01/04)															(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P MIDCAP 400 PURE GROWTH FUND		32.75	%		26.43	%		8.80	%		7.75	%		11.50	%		10.68	%		31.78	%		30.78	%		8.00	%		9.11	%
S&P MIDCAP 400 PURE GROWTH INDEX		35.59	%		35.59	%		11.02	%		11.02	%		13.80	%		13.80	%		35.59	%		35.59	%		11.02	%		12.37	%

	H-Class
	(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
S&P MIDCAP 400 PURE GROWTH FUND		32.74	%		8.82	%		9.92	%
S&P MIDCAP 400 PURE GROWTH INDEX		35.59	%		11.02	%		12.37	%

*	Fund returns are calculated using the maximum sales charge of 4.75%
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 155

SCHEDULE OF INVESTMENTS March 31, 2011

S&P MIDCAP 400 PURE GROWTH FUND

	Shares		Value
COMMON STOCKS† - 99.3%
CONSUMER DISCRETIONARY - 30.9%
Chipotle Mexican Grill, Inc. — Class A*		18,320	$	4,989,818
Deckers Outdoor Corp.*		56,224		4,843,698
Ascena Retail Group, Inc.*		130,226		4,220,625
Fossil, Inc.*		44,140		4,133,711
Guess?, Inc.		95,240		3,747,694
Aeropostale, Inc.*		152,621		3,711,743
Cheesecake Factory, Inc.*		122,423		3,683,708
Under Armour, Inc. — Class A*		53,722		3,655,782
Panera Bread Co. — Class A*		27,675		3,514,725
Tractor Supply Co.		52,692		3,154,143
LKQ Corp.*		123,352		2,972,783
Life Time Fitness, Inc.*		74,820		2,791,534
Phillips-Van Heusen Corp.		39,392		2,561,662
Dick’s Sporting Goods, Inc.*		62,400		2,494,752
Chico’s FAS, Inc.		154,818		2,306,788
Dollar Tree, Inc.*		39,488		2,192,374
Warnaco Group, Inc.*		38,077		2,177,624
Polaris Industries, Inc.		23,839		2,074,470
PetSmart, Inc.		50,633		2,073,421
Tupperware Brands Corp.		34,232		2,043,993
DreamWorks Animation SKG, Inc. — Class A*		69,804		1,949,626
ITT Educational Services, Inc.*		25,099		1,810,893
Williams-Sonoma, Inc.		44,703		1,810,471
Advance Auto Parts, Inc.		25,758		1,690,240
ANN, Inc.*		52,891		1,539,657
Bally Technologies, Inc.*		28,445		1,076,643
Strayer Education, Inc.		7,770		1,013,907
Lamar Advertising Co. — Class A*		24,155		892,286
Gentex Corp.		29,066		879,246
WMS Industries, Inc.*		22,245		786,361
Total Consumer Discretionary				76,794,378
INFORMATION TECHNOLOGY - 27.5%
Rackspace Hosting, Inc.*		141,207		6,050,720
Riverbed Technology, Inc.*		122,775		4,622,479
TIBCO Software, Inc.*		147,107		4,008,666
Informatica Corp.*		76,595		4,000,557
Skyworks Solutions, Inc.*		121,727		3,946,389
Cree, Inc.*		63,356		2,924,513
Advent Software, Inc.*		93,391		2,677,520
Polycom, Inc.*		51,118		2,650,468
Equinix, Inc.*		28,212		2,570,113
Concur Technologies, Inc.*		43,915		2,435,087
ANSYS, Inc.*		43,838		2,375,581
Factset Research Systems, Inc.		22,524		2,358,939
Lender Processing Services, Inc.		67,591		2,175,754
Solera Holdings, Inc.		41,703		2,131,023
Gartner, Inc.*		46,956		1,956,657
MICROS Systems, Inc.*		38,570		1,906,515
Rovi Corp.*		35,269		1,892,182
ADTRAN, Inc.		39,703		1,685,789
Atmel Corp.*		117,622		1,603,188
Semtech Corp.*		63,045		1,577,386
Alliance Data Systems Corp.*		17,477		1,501,100
Global Payments, Inc.		29,694		1,452,630
Quest Software, Inc.*		56,600		1,437,074
Digital River, Inc.*		33,884		1,268,278
Jack Henry & Associates, Inc.		33,058		1,120,336
Silicon Laboratories, Inc.*		25,344		1,095,114
NeuStar, Inc. — Class A*		40,800		1,043,664
QLogic Corp.*		55,600		1,031,380
ACI Worldwide, Inc.*		30,025		984,820
Zebra Technologies Corp. — Class A*		22,842		896,320
RF Micro Devices, Inc.*		115,665		741,413
Total Information Technology				68,121,655
HEALTH CARE - 16.2%
Medicis Pharmaceutical Corp. — Class A		120,694		3,867,036
Cooper Companies, Inc.		50,400		3,500,280
Allscripts Healthcare Solutions, Inc.*		166,265		3,489,902
United Therapeutics Corp.*		44,100		2,955,582
Health Management Associates, Inc. — Class A*		256,990		2,801,191
Mednax, Inc.*		41,213		2,745,198
Perrigo Co.		34,250		2,723,560
IDEXX Laboratories, Inc.*		32,958		2,545,017
Endo Pharmaceuticals Holdings, Inc.*		65,016		2,481,010
Kinetic Concepts, Inc.*		45,161		2,457,662
Universal Health Services, Inc. — Class B		48,708		2,406,662
ResMed, Inc.*		64,908		1,947,240
Lincare Holdings, Inc.		63,376		1,879,732
Gen-Probe, Inc.*		24,234		1,607,926
Thoratec Corp.*		55,533		1,439,971
Mettler-Toledo International, Inc.*		7,433		1,278,476
Total Health Care				40,126,445
ENERGY - 5.5%
Atwood Oceanics, Inc.*		72,559		3,368,914
Oceaneering International, Inc.*		36,848		3,296,053
Dril-Quip, Inc.*		36,258		2,865,470
Northern Oil and Gas, Inc.*		81,400		2,173,380
Bill Barrett Corp.*		46,903		1,871,899
Total Energy				13,575,716
MATERIALS - 5.1%
NewMarket Corp.		30,305		4,794,857
Lubrizol Corp.		22,500		3,014,100
Intrepid Potash, Inc.*		67,400		2,346,868

156 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

S&P MIDCAP 400 PURE GROWTH FUND

	Shares		Value
Compass Minerals International, Inc.		17,917	$	1,675,777
Albemarle Corp.		15,358		917,948
Total Materials				12,749,550
INDUSTRIALS — 4.6%
Bucyrus International, Inc. — Class A		50,653		4,632,217
BE Aerospace, Inc.*		87,844		3,121,097
Copart, Inc.*		38,050		1,648,707
Woodward, Inc.		33,016		1,141,033
Rollins, Inc.		43,400		881,020
Total Industrials				11,424,074
FINANCIALS — 4.4%
SL Green Realty Corp.		37,889		2,849,253
Jones Lang LaSalle, Inc.		19,177		1,912,714
Macerich Co.		38,267		1,895,365
Waddell & Reed Financial, Inc. — Class A		37,415		1,519,423
Corporate Office Properties Trust		40,917		1,478,740
MSCI, Inc. — Class A*		32,109		1,182,253
Total Financials				10,837,748
CONSUMER STAPLES — 4.2%
Green Mountain Coffee Roasters, Inc.*		116,033		7,496,892
Hansen Natural Corp.*		47,731		2,874,838
Total Consumer Staples				10,371,730
TELECOMMUNICATION SERVICES — 0.9%
tw telecom, Inc. — Class A*		112,460		2,159,232
Total Common Stocks (Cost $208,537,506)				246,160,528
WARRANT†† — 0.0%
CONSUMER DISCRETIONARY — 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		18		3
Total Consumer Discretionary (Cost $—)				3
Total Warrant (Cost $—)				3

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 — 0.6%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	938,510	$	938,510
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		348,047		348,047
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		181,910		181,910
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		62,567		62,567
Total Repurchase Agreements (Cost $1,531,034)				1,531,034
Total Investments — 99.9% (Cost $210,068,540)			$	247,691,565
Other Assets, Less Liabilities — 0.1%			$	301,834
Total Net Assets — 100.0%			$	247,993,399

*	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 ANNUAL REPORT | 157

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	246,160,531
Repurchase agreements, at value		1,531,034
Total investments		247,691,565
Receivables:
Securities sold		3,004,997
Fund shares sold		1,615,029
Dividends		74,555
Total assets		252,386,146
Liabilities:
Payable for:
Securities purchased		3,499,904
Fund shares redeemed		546,735
Management fees		127,860
Custodian fees		4,773
Transfer agent/maintenance fees		42,620
Distribution and service fees		48,582
Portfolio accounting fees		17,048
Licensing fees		2,706
Other		102,519
Total liabilities		4,392,747
Net Assets	$	247,993,399
Net Assets Consist of:
Paid in capital	$	219,838,504
Accumulated net investment loss		—
Accumulated net realized loss on investments		(9,468,130	)
Net unrealized appreciation on investments		37,623,025
Net assets	$	247,993,399
A-Class:
Net assets	$	25,237,301
Capital shares outstanding		590,178
Net asset value per share	$	42.76
Maximum offering price per share*	$	44.89
C-Class:
Net assets	$	10,102,437
Capital shares outstanding		249,619
Net asset value per share	$	40.47
H-Class:
Net assets	$	212,653,661
Capital shares outstanding		4,967,885
Net asset value per share	$	42.81
Investments, at cost	$	208,537,506
Repurchase agreements, at cost		1,531,034
Total cost	$	210,068,540

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	588,228
Interest		1,295
Total investment income		589,523
Expenses:
Management fees		850,218
Transfer agent and administrative fees		283,406
Distribution and service fees:
A-Class		18,395
C-Class		55,052
H-Class		251,248
Portfolio accounting fees		112,276
Trustees’ fees**		7,908
Miscellaneous		217,566
Total expenses		1,796,069
Net investment loss		(1,206,546	)
Net Realized And Unrealized Gain (loss):
Net realized gain (loss) on:
Investments		11,940,557
Net realized gain		11,940,557
Net change in unrealized appreciation (depreciation) on:
Investments		25,095,377
Net change in unrealized appreciation (depreciation)		25,095,377
Net realized and unrealized gain		37,035,934
Net increase in net assets resulting from operations	$	35,829,388

** 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 ANNUAL REPORT See Notes to Financial Statements.

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,206,546	)	$	(518,991	)
Net realized gain on investments		11,940,557			4,143,406
Net change in unrealized appreciation (depreciation) on investments		25,095,377			10,192,157
Net increase in net assets resulting from operations		35,829,388			13,816,572
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		48,413,965			9,118,126
C-Class		16,223,181			12,063,875
H-Class		621,590,504			359,244,845
Cost of shares redeemed
A-Class		(27,798,637	)		(8,227,201	)
C-Class		(11,666,481	)		(13,253,534	)
H-Class		(505,069,223	)		(322,082,822	)
Net increase from capital share transactions		141,693,309			36,863,289
Net increase in net assets		177,522,697			50,679,861
Net assets:
Beginning of year		70,470,702			19,790,841
End of year	$	247,993,399		$	70,470,702
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		1,303,426			300,377
C-Class		465,724			502,964
H-Class		17,350,447			14,089,972
Shares redeemed
A-Class		(782,853	)		(270,498	)
C-Class		(339,178	)		(578,802	)
H-Class		(14,381,054	)		(12,947,561	)
Net increase in shares		3,616,512			1,096,452

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 159

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	32.21		$	18.19		$	26.65		$	30.72		$	31.94
Income (loss) from investment operations:
Net investment lossa		(.38	)		(.28	)		(.24	)		(.27	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		10.93			14.30			(8.22	)		(1.42	)		.48
Total from investment operations		10.55			14.02			(8.46	)		(1.69	)		.40
Less distributions from:
Net realized gains		—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	42.76		$	32.21		$	18.19		$	26.65		$	30.72
Total Returnb		32.75	%		77.08	%		(31.74	%)		(6.26	%)		(1.36	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	25,237		$	2,242		$	723		$	3,863		$	2,777
Ratios to average net assets:
Net investment loss		(1.04	%)		(1.03	%)		(0.93	%)		(0.88	%)		(0.25	%)
Total expenses		1.54	%		1.53	%		1.58	%		1.52	%		1.51	%
Portfolio turnover rate		448	%		626	%		1,281	%		736	%		537	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	30.71		$	17.48		$	25.79		$	30.01		$	31.47
Income (loss) from investment operations:
Net investment lossa		(.63	)		(.44	)		(.42	)		(.50	)		(.42	)
Net gain (loss) on investments (realized and unrealized)		10.39			13.67			(7.89	)		(1.34	)		.58
Total from investment operations		9.76			13.23			(8.31	)		(1.84	)		.16
Less distributions from:
Net realized gains		—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	40.47		$	30.71		$	17.48		$	25.79		$	30.01
Total Returnb		31.78	%		75.69	%		(32.22	%)		(6.92	%)		0.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,102		$	3,780		$	3,477		$	1,426		$	5,316
Ratios to average net assets:
Net investment loss		(1.83	%)		(1.77	%)		(1.72	%)		(1.69	%)		(1.40	%)
Total expenses		2.29	%		2.28	%		2.32	%		2.28	%		2.27	%
Portfolio turnover rate		448	%		626	%		1,281	%		736	%		537	%

160 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	32.25		$	18.21		$	26.68		$	30.75		$	31.95
Income (loss) from investment operations:
Net investment lossa		(.38	)		(.26	)		(.22	)		(.28	)		(.24	)
Net gain (loss) on investments (realized and unrealized)		10.94			14.30			(8.25	)		(1.41	)		.66
Total from investment operations		10.56			14.04			(8.47	)		(1.69	)		.42
Less distributions from:
Net realized gains		—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	42.81		$	32.25		$	18.21		$	26.68		$	30.75
Total Returnb		32.74	%		77.10	%		(31.75	%)		(6.25	%)		1.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	212,654		$	64,449		$	15,591		$	14,158		$	7,715
Ratios to average net assets:
Net investment loss		(1.02	%)		(0.99	%)		(0.95	%)		(0.92	%)		(0.80	%)
Total expenses		1.55	%		1.54	%		1.55	%		1.51	%		1.52	%
Portfolio turnover rate		448	%		626	%		1,281	%		736	%		537	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 161

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P MidCap 400 Pure Value Fund H-Class returned 12.85%, compared with 16.09% for the S&P MidCap 400 Pure Value Index. The S&P MidCap 400 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Mid-cap growth stocks modestly outperformed mid-cap value stocks during the period.

Industrials, which composed almost 20% of the portfolio, rose about 25%, and contributed 4.49% to return. Information Technology, Financials and Health Care were also significant contributors to performance. Lightly weighted Telecommunication Services (0.86% of the portfolio) contributed 0.16% to Fund return.

The best-performing holdings included Foot Locker, Inc., KBR, Inc. and Cathay General Bancorp. Barnes & Noble, Inc., Federal Signal Corp. and Wilmington Trust Corp. were among the stocks providing the least performance to the index during the year.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Kindred Healthcare, Inc.	3.6	%
CoreLogic, Inc.	2.5	%
First American Financial Corp.	2.3	%
Omnicare, Inc.	2.2	%
Ingram Micro, Inc. — Class A	2.2	%
Tech Data Corp.	2.1	%
URS Corp.	2.0	%
Smithfield Foods, Inc.	2.0	%
Community Health Systems, Inc.	2.0	%
Unitrin, Inc.	1.9	%
Top Ten Total	22.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

163 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class															C-Class
							(09/01/04)															(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P MIDCAP 400 PURE VALUE FUND		12.81	%		7.45	%		2.28	%		1.28	%		5.97	%		5.18	%		12.03	%		11.03	%		1.45	%		4.43	%
S&P MIDCAP 400 PURE VALUE INDEX		16.09	%		16.09	%		5.65	%		5.65	%		8.65	%		8.65	%		16.09	%		16.09	%		5.65	%		7.98	%

		H-Class
		(02/20/04)
	ONE	FIVE			SINCE
	YEAR	YEAR			INCEPTION
S&P MIDCAP 400 PURE VALUE FUND	12.85%		2.28	%		5.25	%
S&P MIDCAP 400 PURE VALUE INDEX	16.09%		5.65	%		7.98	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Pure Value Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 163

SCHEDULE OF INVESTMENTS March 31, 2011

S&P MIDCAP 400 PURE VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.3%
FINANCIALS - 22.9%
First American Financial Corp.		79,064	$	1,304,556
Unitrin, Inc.		36,168		1,116,868
Reinsurance Group of America, Inc. — Class A		14,585		915,646
Fidelity National Financial, Inc. — Class A		55,567		785,162
Protective Life Corp.		29,489		782,933
Transatlantic Holdings, Inc.		13,089		637,042
American Financial Group, Inc.		17,861		625,492
Everest Re Group Ltd.		6,870		605,797
Hanover Insurance Group, Inc.		12,305		556,801
BancorpSouth, Inc.		35,780		552,801
StanCorp Financial Group, Inc.		11,090		511,471
Old Republic International Corp.		36,864		467,804
W.R. Berkley Corp.		13,740		442,565
HCC Insurance Holdings, Inc.		12,976		406,279
Astoria Financial Corp.		27,282		392,042
Washington Federal, Inc.		21,936		380,370
International Bancshares Corp.		20,139		369,349
Mercury General Corp.		9,110		356,474
Fulton Financial Corp.		29,984		333,122
Synovus Financial Corp.		134,269		322,246
Associated Banc-Corp.		19,426		288,476
Hospitality Properties Trust		12,001		277,823
Webster Financial Corp.		12,060		258,446
Apollo Investment Corp.		19,845		239,331
First Niagara Financial Group, Inc.		16,000		217,280
Total Financials				13,146,176
INDUSTRIALS - 13.4%
URS Corp.*		25,152		1,158,250
KBR, Inc.		20,769		784,445
Brink’s Co.		22,236		736,234
Manpower, Inc.		10,894		685,015
Granite Construction, Inc.		22,615		635,482
Aecom Technology Corp.*		21,676		601,075
AirTran Holdings, Inc.*		77,567		577,874
Harsco Corp.		16,269		574,133
Shaw Group, Inc.*		15,413		545,774
JetBlue Airways Corp.*		67,446		422,886
Trinity Industries, Inc.		10,861		398,273
Alliant Techsystems, Inc.		4,052		286,355
Con-way, Inc.		6,551		257,389
Total Industrials				7,663,185
CONSUMER DISCRETIONARY - 12.5%
Collective Brands, Inc.*		40,950		883,701
Boyd Gaming Corp.*		90,994		852,614
Regis Corp.		39,799		706,034
Barnes & Noble, Inc.		75,430		693,202
American Greetings Corp. — Class A		28,505		672,718
Wendy’s — Class A		107,260		539,518
Rent-A-Center, Inc. — Class A		13,806		481,967
Scholastic Corp.		17,243		466,251
Bob Evans Farms, Inc.		13,539		441,371
Mohawk Industries, Inc.*		6,210		379,742
Career Education Corp.*		14,070		319,670
Foot Locker, Inc.		14,940		294,617
KB Home		19,420		241,585
MDC Holdings, Inc.		8,460		214,461
Total Consumer Discretionary				7,187,451
HEALTH CARE - 12.4%
Kindred Healthcare, Inc.*		86,840		2,073,739
Omnicare, Inc.		42,974		1,288,790
Community Health Systems, Inc.*		28,204		1,127,878
Owens & Minor, Inc.		26,044		845,909
Health Net, Inc.*		25,059		819,429
LifePoint Hospitals, Inc.*		15,091		606,357
Teleflex, Inc.		5,768		334,429
Total Health Care				7,096,531
INFORMATION TECHNOLOGY - 12.2%
CoreLogic, Inc.		78,791		1,457,634
Ingram Micro, Inc. — Class A*		58,768		1,235,891
Tech Data Corp.*		23,250		1,182,495
Arrow Electronics, Inc.*		25,582		1,071,374
Avnet, Inc.*		27,083		923,260
AOL, Inc.*		26,414		515,865
SRA International, Inc. — Class A*		12,751		361,618
Convergys Corp.*		17,826		255,981
Total Information Technology				7,004,118
UTILITIES - 8.0%
PNM Resources, Inc.		69,884		1,042,669
Questar Corp.		34,480		601,676
Atmos Energy Corp.		16,653		567,867
N.V. Energy, Inc.		32,262		480,381
Great Plains Energy, Inc.		22,547		451,391
UGI Corp.		11,642		383,022
WGL Holdings, Inc.		8,636		336,804
Hawaiian Electric Industries, Inc.		10,798		267,790
Vectren Corp.		8,384		228,045
IDACORP, Inc.		5,726		218,161
Total Utilities				4,577,806
CONSUMER STAPLES - 6.4%
Smithfield Foods, Inc.*		47,210		1,135,873
Universal Corp.		20,725		902,366	��
BJ’s Wholesale Club, Inc.*		14,745		719,851
Ruddick Corp.		13,218		510,083
Ralcorp Holdings, Inc.*		5,554		380,060
Total Consumer Staples				3,648,233
MATERIALS - 5.8%
Ashland, Inc.		15,546		897,937
Commercial Metals Co.		34,791		600,841
Reliance Steel & Aluminum Co.		8,690		502,108
Worthington Industries, Inc.		13,458		281,541
Cabot Corp.		6,053		280,193

164 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

S&P MIDCAP 400 PURE VALUE FUND

	Shares		Value
Olin Corp.		11,163	$	255,856
Louisiana-Pacific Corp.*		23,888		250,824
Temple-Inland, Inc.		10,586		247,713
Total Materials				3,317,013
ENERGY - 4.9%
Overseas Shipholding Group, Inc.		22,461		721,897
Frontier Oil Corp.		22,210		651,197
Helix Energy Solutions Group, Inc.*		30,090		517,548
Tidewater, Inc.		6,008		359,579
Exterran Holdings, Inc.*		12,508		296,815
Southern Union Co.		9,002		257,637
Total Energy				2,804,673
Telecommunication Services - 0.8%
Telephone & Data Systems, Inc.		12,950		436,415
Total Common Stocks (Cost $50,053,688)				56,881,601
WARRANT†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		176		30
Total Consumer Discretionary (Cost $—)				30
Total Warrant (Cost $—)				30

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 0.8%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	288,982	$	288,982
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		107,169		107,169
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		56,013		56,013
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		19,266		19,266
Total Repurchase Agreements (Cost $471,430)				471,430
Total Investments — 100.1% (Cost $50,525,118)			$	57,353,061
Liabilities, Other Assets — (0.1)%				(51,284	)
Total Net Assets — 100.0%			$	57,301,777

*	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 ANNUAL REPORT | 165

S&P MIDCAP 400 PURE VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	56,881,631
Repurchase agreements, at value		471,430
Total investments		57,353,061
Receivables:
Fund shares sold		43,465
Dividends		39,168
Total assets		57,435,694
Liabilities:
Payable for:
Fund shares redeemed		13,989
Management fees		38,167
Custodian fees		1,425
Transfer agent/maintenance fees		12,722
Distribution and service fees		14,175
Portfolio accounting fees		5,089
Licensing fees		778
Other		47,572
Total liabilities		133,917
Net assets	$	57,301,777
Net assets consist of:
Paid in capital	$	55,813,740
Accumulated net investment loss		—
Accumulated net realized loss on investments		(5,339,906	)
Net unrealized appreciation on investments		6,827,943
Net assets	$	57,301,777
A-Class:
Net assets	$	784,693
Capital shares outstanding		24,963
Net asset value per share	$	31.43
Maximum offering price per share*	$	33.00
C-Class:
Net assets	$	2,310,742
Capital shares outstanding		78,238
Net asset value per share	$	29.53
H-Class:
Net assets	$	54,206,342
Capital shares outstanding		1,725,108
Net asset value per share	$	31.42
Investments, at cost	$	50,053,688
Repurchase agreements, at cost		471,430
Total cost	$	50,525,118

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	941,020
Interest		731
Total investment income		941,751
Expenses:
Management fees		514,279
Transfer agent and administrative fees		171,426
Distribution and service fees:
A-Class		12,275
C-Class		18,508
H-Class		154,524
Portfolio accounting fees		68,562
Trustees’ fees**		9,338
Miscellaneous		122,226
Total expenses		1,071,138
Net investment loss		(129,387	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(606,918	)
Net realized loss		(606,918	)
Net change in unrealized appreciation (depreciation) on:
Investments		(15,191,426	)
Net change in unrealized appreciation (depreciation)		(15,191,426	)
Net realized and unrealized loss		(15,798,344	)
Net decrease in net assets resulting from operations	$	(15,927,731	)

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

166 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

S&P MIDCAP 400 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(129,387	)	$	231,950
Net realized gain (loss) on investments		(606,918	)		9,616,321
Net change in unrealized appreciation (depreciation) on investments		(15,191,426	)		21,691,091
Net increase (decrease) in net assets resulting from operations		(15,927,731	)		31,539,362
Distributions to shareholders from:
Net investment income
A-Class		(4,094	)		(2,076	)
C-Class		(10,678	)		(6,922	)
H-Class		(217,178	)		(134,553	)
Net realized gains
A-Class		(62,048	)		—
C-Class		(161,851	)		—
H-Class		(3,291,876	)		—
Total distributions to shareholders		(3,747,725	)		(143,551	)
Capital share transactions:
Proceeds from sale of shares
A-Class		47,393,406			16,949,502
C-Class		3,405,437			15,195,168
H-Class		300,937,705			529,643,072
Distributions reinvested
A-Class		59,087			2,017
C-Class		169,667			6,784
H-Class		3,493,240			133,192
Cost of shares redeemed
A-Class		(54,039,897	)		(7,103,408	)
C-Class		(3,799,622	)		(14,178,507	)
H-Class		(433,465,765	)		(363,931,663	)
Net increase (decrease) from capital share transactions		(135,846,742	)		176,716,157
Net increase (decrease) in net assets		(155,522,198	)		208,111,968
Net assets:
Beginning of year		212,823,975			4,712,007
End of period	$	57,301,777		$	212,823,975
Undistributed/(Accumulated) net investment income/(loss) at end of year	$	—		$	231,949
Capital share activity:
Shares sold
A-Class		1,703,485			593,908
C-Class		120,225			623,530
H-Class		10,052,190			20,524,706
Shares issued from reinvestment of distributions
A-Class		2,048			75
C-Class		6,245			266
H-Class		121,125			4,985
Shares redeemed
A-Class		(2,038,144	)		(243,737	)
C-Class		(133,794	)		(585,996	)
H-Class		(15,002,876	)		(14,266,469	)
Net increase (decrease) in shares		(5,169,496	)		6,651,268

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 167

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	30.45		$	13.68		$	29.72		$	36.58		$	31.83
Income (loss) from investment operations:
Net investment incomea		.02			.12			.47			.44			.34
Net gain (loss) on investments (realized and unrealized)		3.64			16.75			(16.51	)		(6.37	)		4.57
Total from investment operations		3.66			16.87			(16.04	)		(5.93	)		4.91
Less distributions from:
Net investment income		(.17	)		(.10	)		—			(.93	)		—
Net realized gains		(2.51	)		—			—			—			(.16	)
Total distributions		(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	31.43		$	30.45		$	13.68		$	29.72		$	36.58
Total Returnb		12.81	%		123.41	%		(53.97	%)		(16.45	%)		15.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	785		$	10,888		$	100		$	2,797		$	4,744
Ratios to average net assets:
Net investment income		0.08	%		0.43	%		1.66	%		1.25	%		1.00	%
Total expenses		1.53	%		1.52	%		1.54	%		1.53	%		1.53	%
Portfolio turnover rate		407	%		443	%		977	%		297	%		625	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	28.96		$	13.12		$	28.78		$	35.75		$	31.34
Income (loss) from investment operations:
Net investment income (loss)a		(.23	)		(.06	)		.39			.30			.11
Net gain (loss) on investments (realized and unrealized)		3.48			16.00			(16.05	)		(6.34	)		4.46
Total from investment operations		3.25			15.94			(15.66	)		(6.04	)		4.57
Less distributions from:
Net investment income		(.17	)		(.10	)		—			(.93	)		—
Net realized gains		(2.51	)		—			—			—			(.16	)
Total distributions		(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	29.53		$	28.96		$	13.12		$	28.78		$	35.75
Total Returnb		12.03	%		121.59	%		(54.41	%)		(17.15	%)		14.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,311		$	2,478		$	627		$	1,082		$	8,326
Ratios to average net assets:
Net investment income (loss)		(0.83	%)		(0.24	%)		1.58	%		0.88	%		0.33	%
Total expenses		2.30	%		2.29	%		2.29	%		2.28	%		2.28	%
Portfolio turnover rate		407	%		443	%		977	%		297	%		625	%

168 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	30.43		$	13.67		$	29.71		$	36.58		$	31.82
Income (loss) from investment operations:
Net investment income (loss)a		(.06	)		.10			.47			.35			.46
Net gain (loss) on investments (realized and unrealized)		3.73			16.76			(16.51	)		(6.29	)		4.46
Total from investment operations		3.67			16.86			(16.04	)		(5.94	)		4.92
Less distributions from:
Net investment income		(.17	)		(.10	)		—			(.93	)		—
Net realized gains		(2.51	)		—			—			—			(.16	)
Total distributions		(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	31.42		$	30.43		$	13.67		$	29.71		$	36.58
Total Returnb		12.85	%		123.43	%		(53.99	%)		(16.48	%)		15.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54,206		$	199,458		$	3,985		$	6,512		$	76,513
Ratios to average net assets:
Net investment income (loss)		(0.19	%)		0.37	%		2.01	%		0.96	%		1.39	%
Total expenses		1.54	%		1.53	%		1.54	%		1.54	%		1.52	%
Portfolio turnover rate		407	%		443	%		977	%		297	%		625	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 169

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

S&P SMALLCAP 600 PURE GROWTH FUND

OBJECTIVE: Seeks 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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P SmallCap 600 Pure Growth Fund H-Class returned 26.65%, compared with 30.27% for the S&P SmallCap 600 Pure Growth Index. The S&P SmallCap 600 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Small-cap growth stocks significantly outperformed small-cap value stocks during the period.

Information Technology stocks, which composed about 32% of the portfolio, climbed about 40%, adding 13.34% to the return. Consumer Discretionary, about 24% of the index weight, rose 26% and contributed 5.92% to the return. Telecommunication Services was the only detractor from return, -0.33%.

The best-performing stocks in the S&P SmallCap 600 Pure Growth Index were CROCS, Inc., TriQuint Semiconductor, Inc. and Interactive Intelligence, Inc. The weakest performers were Amedisys, Inc., True Religion Apparel, Inc. and Medifast, Inc.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Sturm Ruger & Company, Inc.	1.5	%
Interactive Intelligence, Inc.	1.3	%
Synchronoss Technologies, Inc.	1.3	%
Air Methods Corp.	1.2	%
Sourcefire, Inc.	1.2	%
Jos A. Bank Clothiers, Inc.	1.1	%
Netscout Systems, Inc.	1.1	%
MWI Veterinary Supply, Inc.	1.1	%
World Acceptance Corp.	1.1	%
CommVault Systems, Inc.	1.0	%
Top Ten Total	11.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

170 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^†  Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class															C-Class
							(09/01/04)															(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P SMALLCAP 600 PURE GROWTH FUND		26.57	%		20.56	%		3.12	%		2.12	%		7.35	%		6.56	%		25.69	%		24.69	%		2.36	%		5.69	%
S&P SMALLCAP 600 PURE GROWTH INDEX		30.27	%		30.27	%		5.54	%		5.54	%		9.94	%		9.94	%		30.27	%		30.27	%		5.54	%		9.54	%

				H-Class
				(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
S&P SMALLCAP 600 PURE GROWTH FUND		26.65	%		3.12	%		6.44	%
S&P SMALLCAP 600 PURE GROWTH INDEX		30.27	%		5.54	%		9.54	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P SmallCap 600 Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 171

SCHEDULE OF INVESTMENTS	March 31, 2011
S&P SMALLCAP 600 PURE GROWTH FUND

	Shares		Value
COMMON STOCKS† — 98.5%
INFORMATION TECHNOLOGY — 32.7%
Interactive Intelligence, Inc.*		33,829	$	1,309,521
Synchronoss Technologies, Inc.*		36,020		1,251,695
Sourcefire, Inc.*		41,274		1,135,448
Netscout Systems, Inc.*		38,386		1,048,706
CommVault Systems, Inc.*		25,466		1,015,584
RightNow Technologies, Inc.*		31,977		1,000,880
TriQuint Semiconductor, Inc.*		76,601		988,919
Blue Coat Systems, Inc.*		34,962		984,530
comScore, Inc.*		30,993		914,603
Ebix, Inc.*		38,451		909,366
Taleo Corp. — Class A*		24,558		875,493
Wright Express Corp.*		16,505		855,619
Kopin Corp.*		183,768		843,495
Volterra Semiconductor Corp.*		32,713		812,264
TTM Technologies, Inc.*		43,459		789,215
Kulicke & Soffa Industries, Inc.*		82,349		769,963
MicroStrategy, Inc. — Class A*		5,614		754,971
Bottomline Technologies, Inc.*		29,070		730,820
Diodes, Inc.*		21,230		723,094
MAXIMUS, Inc.		8,711		707,072
Ceva, Inc.*		26,400		705,672
Mercury Computer Systems, Inc.*		30,401		643,285
Blackbaud, Inc.		23,492		639,922
Liquidity Services, Inc.*		35,421		632,619
Cardtronics, Inc.*		30,560		621,896
Tyler Technologies, Inc.*		26,086		618,499
Radiant Systems, Inc.*		32,236		570,577
Perficient, Inc.*		46,097		553,625
Power Integrations, Inc.		14,284		547,506
Oplink Communications, Inc.*		27,954		544,823
Stratasys, Inc.*		11,199		526,353
OSI Systems, Inc.*		12,770		479,258
Smith Micro Software, Inc.*		47,231		442,082
Synaptics, Inc.*		16,344		441,615
Novatel Wireless, Inc.*		74,255		405,432
Veeco Instruments, Inc.*		7,743		393,654
DTS, Inc.*		8,410		392,158
j2 Global Communications, Inc.*		13,217		390,034
CSG Systems International, Inc.*		19,368		386,198
Websense, Inc.*		16,393		376,547
Netgear, Inc.*		11,562		375,071
Hittite Microwave Corp.*		5,700		363,489
JDA Software Group, Inc.*		11,879		359,459
Littelfuse, Inc.		6,190		353,449
DG FastChannel, Inc.*		10,647		343,046
Monolithic Power Systems, Inc.*		22,576		320,353
iGate Corp.		14,050		263,719
Forrester Research, Inc.		6,630		253,863
Stamps.com, Inc.		18,994		253,570
Viasat, Inc.*		5,500		219,120
Total Information Technology				31,838,152
CONSUMER DISCRETIONARY — 25.2%
Sturm Ruger & Company, Inc.		61,705		1,417,364
Jos A. Bank Clothiers, Inc.*		21,395		1,088,578
BJ’s Restaurants, Inc.*		25,431		1,000,201
DineEquity, Inc.*		17,530		963,799
Texas Roadhouse, Inc. — Class A		52,798		897,038
CROCS, Inc.*		50,247		896,406
Buffalo Wild Wings, Inc.*		15,361		836,099
Lumber Liquidators Holdings, Inc.*		33,199		829,643
Iconix Brand Group, Inc.*		37,848		812,975
Cabela’s, Inc.*		30,557		764,231
Buckle, Inc.		18,430		744,572
Coinstar, Inc.*		16,040		736,557
Steven Madden Ltd.*		15,670		735,393
Kirkland’s, Inc.*		47,593		734,836
Interval Leisure Group, Inc.*		43,968		718,877
True Religion Apparel, Inc.*		29,115		683,329
PF Chang’s China Bistro, Inc.		13,951		644,397
Zumiez, Inc.*		24,354		643,676
Peet’s Coffee & Tea, Inc.*		12,810		616,033
Maidenform Brands, Inc.*		20,490		585,399
CEC Entertainment, Inc.		15,477		583,947
Monro Muffler Brake, Inc.		17,680		583,086
HSN, Inc.*		17,679		566,258
National Presto Industries, Inc.		4,739		533,991
Arbitron, Inc.		13,089		523,953
Cracker Barrel Old Country Store, Inc.		10,133		497,936
Hibbett Sports, Inc.*		13,859		496,291
Kid Brands, Inc.*		64,947		477,360
California Pizza Kitchen, Inc.*		28,034		473,214
Biglari Holdings, Inc.*		1,100		465,905
Blue Nile, Inc.*		8,325		449,467
American Public Education, Inc.*		10,200		412,590
Pre-Paid Legal Services, Inc.*		6,040		398,640
Universal Electronics, Inc.*		11,768		347,862
Volcom, Inc.		17,408		322,570
Capella Education Co.*		6,448		321,046
PetMed Express, Inc.		19,700		312,442
Universal Technical Institute, Inc.		11,578		225,192
Carter’s, Inc.*		7,820		223,887
Total Consumer Discretionary				24,565,040
HEALTH CARE — 20.8%
Air Methods Corp.*		17,299		1,163,358
MWI Veterinary Supply, Inc.*		12,974		1,046,742
Hi-Tech Pharmacal Company, Inc.*		49,510		996,636
Regeneron Pharmaceuticals, Inc.*		21,616		971,423
Arqule, Inc.*		122,863		879,699
HMS Holdings Corp.*		10,495		859,016
Quality Systems, Inc.		10,258		854,902
Healthspring, Inc.*		22,676		847,402
Par Pharmaceutical Companies, Inc.*		27,119		842,859
IPC The Hospitalist Company, Inc.*		18,518		840,902

172 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
S&P SMALLCAP 600 PURE GROWTH FUND

	Shares		Value
Catalyst Health Solutions, Inc.*		13,691	$	765,738
Neogen Corp.*		17,575		727,254
American Medical Systems Holdings, Inc.*		33,035		714,877
Questcor Pharmaceuticals, Inc.*		46,800		674,388
Align Technology, Inc.*		32,698		669,655
Parexel International Corp.*		25,230		628,227
Ensign Group, Inc.		19,246		614,525
Corvel Corp.*		10,536		560,304
Cyberonics, Inc.*		16,040		510,232
Cubist Pharmaceuticals, Inc.*		20,208		510,050
Bio-Reference Labs, Inc.*		22,622		507,638
Dionex Corp.*		4,145		489,317
Integra LifeSciences Holdings Corp.*		10,279		487,430
Almost Family, Inc.*		12,341		464,515
Abaxis, Inc.*		15,434		445,117
Salix Pharmaceuticals Ltd.*		11,887		416,402
Viropharma, Inc.*		19,880		395,612
Chemed Corp.		4,960		330,386
Haemonetics Corp.*		4,525		296,569
Zoll Medical Corp.*		6,468		289,831
Kensey Nash Corp.*		11,207		279,166
Enzo Biochem, Inc.*		47,955		200,931
Total Health Care				20,281,103
INDUSTRIALS — 5.0%
Dolan Co.*		77,765		944,067
Consolidated Graphics, Inc.*		11,400		622,782
Triumph Group, Inc.		6,490		574,040
Vicor Corp.		28,755		474,170
American Science & Engineering, Inc.		4,660		430,398
II-VI, Inc.*		8,320		413,920
Allegiant Travel Co. — Class A		9,313		408,003
Exponent, Inc.*		8,720		388,999
Orion Marine Group, Inc.*		30,904		331,909
Healthcare Services Group, Inc.		14,000		246,120
Total Industrials				4,834,408
FINANCIALS — 4.5%
World Acceptance Corp.*		15,664		1,021,293
Ezcorp, Inc. — Class A*		20,790		652,598
Portfolio Recovery Associates, Inc.*		7,655		651,670
Cash America International, Inc.		13,176		606,755
First Cash Financial Services, Inc.*		15,419		595,173
Stifel Financial Corp.*		5,598		401,880
Signature Bank *		4,118		232,255
eHealth, Inc.*		16,869		224,358
Total Financials				4,385,982
MATERIALS — 3.4%
Buckeye Technologies, Inc.		31,990		871,088
KapStone Paper and Packaging Corp.*		45,770		785,871
Balchem Corp.		18,717		702,262
Schweitzer-Mauduit International, Inc.		11,866		600,538
Quaker Chemical Corp.		8,371		336,263
Total Materials				3,296,022
CONSUMER STAPLES — 3.4%
Medifast, Inc.*		37,570		742,007
Boston Beer Company, Inc. — Class A*		7,782		720,769
TreeHouse Foods, Inc.*		12,548		713,605
Darling International, Inc.*		43,296		665,459
Calavo Growers, Inc.		19,283		421,334
Total Consumer Staples				3,263,174
ENERGY — 2.4%
Gulfport Energy Corp.*		27,821		1,005,729
Contango Oil & Gas Co.*		8,130		514,141
Oil States International, Inc.*		5,590		425,623
CARBO Ceramics, Inc.		2,583		364,513
Total Energy				2,310,006
TELECOMMUNICATION SERVICES — 1.1%
Neutral Tandem, Inc.*		30,650		452,087
Atlantic Tele-Network, Inc.		10,222		380,156
Cbeyond, Inc.*		18,940		221,030
Total Telecommunication Services				1,053,273
Total Common Stocks (Cost $80,974,301)				95,827,160
	Face
	Amount
REPURCHASE AGREEMENTS††,1 — 0.7%
HSBC Group
issued 03/31/11 at 0.07%
due 04/01/11	$	389,084		389,084
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06%
due 04/01/11		144,292		144,292
Credit Suisse Group
issued 03/31/11 at 0.05%
due 04/01/11		75,415		75,415
Deutsche Bank
issued 03/31/11 at 0.05%
due 04/01/11		25,939		25,939
Total Repurchase Agreements (Cost $634,730)				634,730
Total Investments — 99.2% (Cost $81,609,031)			$	96,461,890
Other Assets,
Less Liabilities — 0.8%				808,903
Total Net Assets — 100.0%			$	97,270,793

*	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 ANNUAL REPORT | 173

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	95,827,160
Repurchase agreements, at value		634,730
Total investments		96,461,890
Receivables:
Securities sold		879,724
Fund shares sold		220,144
Dividends		15,078
Total assets		97,576,836
Liabilities:
Payable for:
Fund shares redeemed		152,877
Management fees		57,607
Custodian fees		2,151
Transfer agent/maintenance fees		19,202
Distribution and service fees		21,002
Portfolio accounting fees		7,681
Licensing fees		1,212
Other		44,311
Total liabilities		306,043
Net assets	$	97,270,793
Net assets consist of:
Paid in capital	$	92,891,901
Accumulated net investment loss		—
Accumulated net realized loss on investments		(10,473,967	)
Net unrealized appreciation on investments		14,852,859
Net assets	$	97,270,793
A-Class:
Net assets	$	2,115,447
Capital shares outstanding		58,671
Net asset value per share	$	36.06
Maximum offering price per share*	$	37.86
C-Class:
Net assets	$	3,071,688
Capital shares outstanding		89,683
Net asset value per share	$	34.25
H-Class:
Net assets	$	92,083,658
Capital shares outstanding		2,553,031
Net asset value per share	$	36.07
Investments, at cost	$	80,974,301
Repurchase agreements, at cost		634,730
Total cost	$	81,609,031

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends	$	228,782
Interest		450
Total investment income		229,232
Expenses:
Management fees		358,410
Transfer agent and administrative fees		119,470
Distribution and service fees:
A-Class		5,454
C-Class		17,888
H-Class		109,544
Portfolio accounting fees		47,788
Trustees’ fees**		2,932
Miscellaneous		92,246
Total expenses		753,732
Net investment loss		(524,500	)
Net Realized and Unrealized Gain (loss):
Net realized gain (loss) on:
Investments		(2,358,973	)
Net realized loss		(2,358,973	)
Net change in unrealized appreciation (depreciation) on:
Investments		11,640,140
Net change in unrealized appreciation (depreciation)		11,640,140
Net realized and unrealized gain		9,281,167
Net increase in net assets resulting from operations	$	8,756,667

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

174 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(524,500	)	$	(199,998	)
Net realized gain (loss) on investments		(2,358,973	)		153,042
Net change in unrealized appreciation (depreciation) on investments		11,640,140			3,107,538
Net increase in net assets resulting from operations		8,756,667			3,060,582
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		22,007,416			3,568,200
C-Class		5,904,587			8,283,398
H-Class		414,097,385			253,545,313
Cost of shares redeemed
A-Class		(20,788,528	)		(3,442,305	)
C-Class		(4,935,070	)		(7,191,912	)
H-Class		(340,251,324	)		(255,624,703	)
Net increase (decrease) from capital share transactions		76,034,466			(862,009	)
Net increase in net assets		84,791,133			2,198,573
Net assets:
Beginning of year		12,479,660			10,281,087
End of year	$	97,270,793		$	12,479,660
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		759,208			155,596
C-Class		197,736			363,530
H-Class		13,305,001			10,382,727
Shares redeemed
A-Class		(726,863	)		(136,174	)
C-Class		(168,877	)		(325,346	)
H-Class		(11,105,623	)		(10,607,235	)
Net increase (decrease) in shares		2,260,582			(166,902	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 175

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	28.49		$	16.93		$	27.43		$	32.61		$	32.25
Income (loss) from investment operations:
Net investment lossa		(.34	)		(.28	)		(.19	)		(.13	)		(.29	)
Net gain (loss) on investments (realized and unrealized)		7.91			11.84			(10.31	)		(3.72	)		.65
Total from investment operations		7.57			11.56			(10.50	)		(3.85	)		.36
Less distributions from:
Net realized gains		—			—			—			(1.33	)		—
Total distributions		—			—			—			(1.33	)		—
Net asset value, end of period	$	36.06		$	28.49		$	16.93		$	27.43		$	32.61
Total Returnb		26.57	%		68.28	%		(38.28	%)		(12.27	%)		1.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,115		$	750		$	117		$	1,938		$	1,408
Ratios to average net assets:
Net investment loss		(1.15	%)		(1.15	%)		(0.73	%)		(0.40	%)		(0.93	%)
Total expenses		1.54	%		1.54	%		1.54	%		1.52	%		1.56	%
Portfolio turnover rate		732	%		1,476	%		1,066	%		834	%		623	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.25		$	16.32		$	26.65		$	31.94		$	31.82
Income (loss) from investment operations:
Net investment lossa		(.54	)		(.42	)		(.32	)		(.51	)		(.58	)
Net gain (loss) on investments (realized and unrealized)		7.54			11.35			(10.01	)		(3.45	)		.70
Total from investment operations		7.00			10.93			(10.33	)		(3.96	)		.12
Less distributions from:
Net realized gains		—			—			—			(1.33	)		—
Total distributions		—			—			—			(1.33	)		—
Net asset value, end of period	$	34.25		$	27.25		$	16.32		$	26.65		$	31.94
Total Returnb		25.69	%		66.97	%		(38.76	%)		(12.88	%)		0.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,072		$	1,658		$	369		$	1,980		$	7,570
Ratios to average net assets:
Net investment loss		(1.80	%)		(1.82	%)		(1.28	%)		(1.57	%)		(1.83	%)
Total expenses		2.29	%		2.28	%		2.29	%		2.29	%		2.32	%
Portfolio turnover rate		732	%		1,476	%		1,066	%		834	%		623	%

176 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	28.48		$	16.94		$	27.45		$	32.62		$	32.27
Income (loss) from investment operations:
Net investment lossa		(.34	)		(.25	)		(.13	)		(.26	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		7.93			11.79			(10.38	)		(3.58	)		.68
Total from investment operations		7.59			11.54			(10.51	)		(3.84	)		.35
Less distributions from:
Net realized gains		—			—			—			(1.33	)		—
Total distributions		—			—			—			(1.33	)		—
Net asset value, end of period	$	36.07		$	28.48		$	16.94		$	27.45		$	32.62
Total Returnb		26.65	%		68.12	%		(38.29	%)		(12.23	%)		1.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	92,084		$	10,072		$	9,795		$	6,259		$	18,171
Ratios to average net assets:
Net investment loss		(1.07	%)		(1.05	%)		(0.55	%)		(0.79	%)		(1.05	%)
Total expenses		1.55	%		1.53	%		1.56	%		1.53	%		1.53	%
Portfolio turnover rate		732	%		1,476	%		1,066	%		834	%		623	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 177

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)

March 31, 2011

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”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, S&P SmallCap 600 Pure Value Fund H-Class returned 6.94%, compared with 13.00% for the S&P SmallCap 600 Pure Value Index. The S&P SmallCap 600 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Small-cap growth stocks significantly outperformed small-cap value stocks during the period.

Industrials contributed the most to return, 3.37%. Consumer Discretionary stocks, the largest portion of the portfolio by weight at 27%, climbed 11%, adding 3.07% to return. Sectors detracting from return were Financials (-2.96%), Consumer Staples (-0.20%) and Telecommunication Services (-0.02%).

The stocks contributing the most to return in the S&P SmallCap 600 Pure Value Index were Basic Energy Services, Inc., Ciber, Inc. and Petroleum Development Corp. Those contributing least were First BanCorp, Seahawk Drilling, Inc. and Hanmi Financial Corp.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
|
Ciber, Inc.	2.5	%
Kendle International, Inc.	1.7	%
School Specialty, Inc.	1.6	%
SWS Group, Inc.	1.6	%
Audiovox Corp. — Class A	1.5	%
Agilysys, Inc.	1.5	%
Seneca Foods Corp. — Class A	1.5	%
Molina Healthcare, Inc.	1.4	%
Corinthian Colleges, Inc.	1.4	%
Skywest, Inc.	1.3	%
Top Ten Total	16.0	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

178 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^†     Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class															C-Class
							(09/01/04)															(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
S&P SMALLCAP 600 PURE VALUE FUND		6.98	%		1.89	%		-1.65	%		-2.61	%		3.35	%		2.58	%		6.12	%		5.25	%		-2.44	%		2.44	%
S&P SMALLCAP 600 PURE VALUE INDEX		13.00	%		13.00	%		2.24	%		2.24	%		7.91	%		7.91	%		13.00	%		13.00	%		2.24	%		7.41	%

				H-Class
				(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
S&P SMALLCAP 600 PURE VALUE FUND		6.94	%		-1.67	%		3.23	%
S&P SMALLCAP 600 PURE VALUE INDEX		13.00	%		2.24	%		7.41	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P SmallCap 600 Pure Value Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 179

SCHEDULE OF INVESTMENTS	March 31, 2011
S&P SMALLCAP 600 PURE VALUE FUND

	Shares		Value
COMMON STOCKS† - 98.9%
CONSUMER DISCRETIONARY - 24.2%
Audiovox Corp. — Class A*		51,201	$	409,608
Corinthian Colleges, Inc.*		86,253		381,238
Red Robin Gourmet Burgers, Inc.*		11,863		319,115
MarineMax, Inc.*		27,851		274,611
La-Z-Boy, Inc. — Class Z*		28,049		267,868
Lithia Motors, Inc. — Class A		18,371		267,849
Spartan Motors, Inc.		38,037		260,934
Tuesday Morning Corp.*		52,798		258,710
Standard Pacific Corp.*		67,894		253,245
Group 1 Automotive, Inc.		5,657		242,120
O’Charleys, Inc.*		40,293		240,549
Sonic Automotive, Inc. — Class A		16,519		231,431
Fred’s, Inc. — Class A		16,991		226,320
Christopher & Banks Corp.		32,414		210,043
Stage Stores, Inc.		10,682		205,308
HOT Topic, Inc.		35,385		201,695
Standard Motor Products, Inc.		13,271		183,538
Zale Corp.*		43,528		173,677
Stein Mart, Inc.		17,146		173,346
Callaway Golf Co.		24,502		167,104
Brown Shoe Company, Inc.		13,607		166,278
PEP Boys-Manny Moe & Jack		12,778		162,408
Haverty Furniture Companies, Inc.		11,313		150,010
Quiksilver, Inc.*		30,411		134,417
Blyth, Inc.		3,601		116,996
Ruth’s Hospitality Group, Inc.*		22,590		116,564
Jack in the Box, Inc.*		4,356		98,794
Live Nation Entertainment, Inc.*		9,752		97,520
Coldwater Creek, Inc.*		35,857		94,662
Helen of Troy Ltd.*		3,113		91,522
OfficeMax, Inc.*		7,000		90,580
Multimedia Games, Inc.*		14,870		85,205
Ruby Tuesday, Inc.*		5,496		72,053
Skechers U.S.A., Inc. — Class A*		3,060		62,852
Marcus Corp.		4,482		48,854
Total Consumer Discretionary				6,537,024
INDUSTRIALS - 17.5%
School Specialty, Inc.*		30,920		442,156
Skywest, Inc.		20,878		353,256
SFN Group, Inc.*		20,877		294,157
EMCOR Group, Inc.*		7,703		238,562
Apogee Enterprises, Inc.		17,818		235,019
Comfort Systems USA, Inc.		15,151		213,175
Gibraltar Industries, Inc.*		17,721		211,411
Federal Signal Corp.		32,242		209,895
Navigant Consulting, Inc.*		20,170		201,498
Universal Forest Products, Inc.		5,324		195,125
United Stationers, Inc.		2,661		189,064
ABM Industries, Inc.		6,767		171,814
Briggs & Stratton Corp.		7,407		167,769
Lydall, Inc.*		16,977		150,926
Kelly Services, Inc. — Class A*		6,871		149,169
G&K Services, Inc. — Class A		4,361		145,003
Griffon Corp.*		10,697		140,452
On Assignment, Inc.*		14,208		134,408
Dycom Industries, Inc.*		7,269		126,044
Powell Industries, Inc.*		2,897		114,258
Lawson Products, Inc.		4,870		112,205
CDI Corp.		7,050		104,269
GenCorp, Inc.*		17,066		102,055
AAR Corp.*		3,137		86,958
Standard Register Co.		25,189		83,627
Standex International Corp.		2,146		81,312
Curtiss-Wright Corp.		2,310		81,173
Total Industrials				4,734,760
FINANCIALS - 15.4%
SWS Group, Inc.		69,285		420,560
Wilmington Trust Corp.		60,824	��	274,924
Piper Jaffray Companies, Inc.*		5,585		231,387
Investment Technology Group, Inc.*		10,327		187,848
Stewart Information Services Corp.		17,536		183,777
Susquehanna Bancshares, Inc.		19,652		183,746
Wintrust Financial Corp.		4,920		180,810
Hanmi Financial Corp.*		139,254		172,675
Selective Insurance Group, Inc.		9,784		169,263
Horace Mann Educators Corp.		9,814		164,875
United Community Banks, Inc.*		69,452		164,601
Bank Mutual Corp.		35,644		150,774
First BanCorp*		29,569		147,845
Presidential Life Corp.		15,408		146,838
Delphi Financial Group, Inc. — Class A		4,174		128,184
Whitney Holding Corp.		8,451		115,103
First Midwest Bancorp, Inc.		9,284		109,458
Pinnacle Financial Partners, Inc.*		5,790		95,767
Navigators Group, Inc.*		1,807		93,060
AMERISAFE, Inc.*		4,102		90,695
United Fire & Casualty Co.		4,403		88,985
Interactive Brokers Group, Inc. — Class A		5,330		84,694
Infinity Property & Casualty Corp.		1,404		83,524
Boston Private Financial Holdings, Inc.		10,797		76,335
Prospect Capital Corp.		5,895		71,978
Safety Insurance Group, Inc.		1,510		69,626
PrivateBancorp, Inc. — Class A		4,549		69,554
Cedar Shopping Centers, Inc.		11,451		69,050
Kite Realty Group Trust		12,187		64,713
Wilshire Bancorp, Inc.		13,143		64,401
Total Financials				4,155,050
INFORMATION TECHNOLOGY - 14.8%
Ciber, Inc.*		101,042		676,981
Agilysys, Inc.*		70,162		402,730

180 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
S&P SMALLCAP 600 PURE VALUE FUND

	Shares		Value
StarTek, Inc.*		63,754	$	321,320
Insight Enterprises, Inc.*		17,747		302,231
SYNNEX Corp.*		8,788		287,631
Brightpoint, Inc.*		19,846		215,131
Benchmark Electronics, Inc.*		10,419		197,648
Scansource, Inc.*		5,124		194,661
Brooks Automation, Inc.*		12,394		170,170
Gerber Scientific, Inc.*		17,850		167,076
CACI International, Inc. — Class A*		2,690		164,951
Black Box Corp.		3,953		138,948
United Online, Inc.		21,162		133,426
THQ, Inc.*		28,876		131,675
Hutchinson Technology, Inc.*		44,469		125,403
Anixter International, Inc.		1,550		108,329
Infospace, Inc.*		8,707		75,403
Arris Group, Inc.*		5,646		71,930
Digi International, Inc.*		6,556		69,231
Comtech Telecommunications Corp.		2,233		60,693
Total Information Technology				4,015,568
HEALTH CARE - 12.3%
Kendle International, Inc.*		41,951		449,295
Molina Healthcare, Inc.*		9,724		388,960
RehabCare Group, Inc.*		8,781		323,755
PharMerica Corp.*		27,662		316,453
Centene Corp.*		9,006		297,018
Healthways, Inc.*		19,287		296,441
Amedisys, Inc.*		6,364		222,740
Cross Country Healthcare, Inc.*		25,267		197,841
Gentiva Health Services, Inc.*		6,521		182,784
Cambrex Corp.*		31,837		175,104
Amsurg Corp. — Class A*		5,721		145,542
Invacare Corp.		4,480		139,418
Symmetry Medical, Inc.*		13,339		130,722
CONMED Corp.*		2,822		74,162
Total Health Care				3,340,235
CONSUMER STAPLES - 5.5%
Seneca Foods Corp. — Class A*		13,341		398,495
Alliance One International, Inc.*		76,687		308,282
Spartan Stores, Inc.		14,042		207,681
Nash Finch Co.		5,438		206,318
Central Garden and Pet Co. — Class A*		22,048		203,062
Sanderson Farms, Inc.		2,326		106,810
Casey’s General Stores, Inc.		1,788		69,732
Total Consumer Staples				1,500,380
MATERIALS - 3.4%
A. Schulman, Inc.		9,037		223,395
Headwaters, Inc.*		26,708		157,577
Wausau Paper Corp.		18,794		143,586
AM Castle & Co.*		6,386		120,568
Myers Industries, Inc.		10,874		107,979
Kaiser Aluminum Corp.		2,030		99,977
Stepan Co.		953		69,093
Total Materials				922,175
ENERGY - 3.1%
World Fuel Services Corp.		5,625		228,431
Hornbeck Offshore Services, Inc.*		6,942		214,160
Matrix Service Co.*		9,381		130,396
Holly Corp.		2,025		123,039
Tetra Technologies, Inc.*		5,582		85,963
Bristow Group, Inc.*		1,429		67,592
Total Energy				849,581
UTILITIES - 2.3%
Central Vermont Public Service Corp.		6,865		159,886
Laclede Group, Inc.		3,862		147,142
Avista Corp.		5,041		116,598
NorthWestern Corp.		2,394		72,538
CH Energy Group, Inc.		1,293		65,348
Southwest Gas Corp.		1,653		64,418
Total Utilities				625,930
TELECOMMUNICATION SERVICES - 0.4%
Cincinnati Bell, Inc.*		35,755		95,824
Total Common Stocks (Cost $21,853,494)				26,776,527

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 1.1%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	181,212		181,212
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		67,203		67,203
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		35,124		35,124
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		12,081		12,081
Total Repurchase Agreements (Cost $295,620)				295,620
Total Investments – 100.0% (Cost $22,149,114)			$	27,072,147
Liabilities, Other Assets – 0.0%				(4,221	)
Total Net Assets – 100.0%			$	27,067,926

*	Non-income producing security
†	Value determined based on Level1 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 ANNUAL REPORT | 181

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	26,776,527
Repurchase agreements, at value		295,620
Total investments		27,072,147
Receivables:
Fund shares sold		367,375
Dividends		7,733
Total assets		27,447,255
Liabilities:
Payable for:
Securities purchased		263,771
Fund shares redeemed		25,927
Management fees		13,804
Custodian fees		526
Transfer agent/maintenance fees		4,601
Distribution and service fees		6,324
Portfolio accounting fees		1,840
Licensing fees		450
Other		62,086
Total liabilities		379,329
Net assets	$	27,067,926
Net assets consist of:
Paid in capital	$	59,227,327
Accumulated net investment loss		—
Accumulated net realized loss on investments		(37,082,434	)
Net unrealized appreciation on investments		4,923,033
Net assets	$	27,067,926
A-Class:
Net assets	$	8,845,211
Capital shares outstanding		507,792
Net asset value per share	$	17.42
Maximum offering price per share*	$	18.29
C-Class:
Net assets	$	2,242,749
Capital shares outstanding		141,463
Net asset value per share	$	15.85
H-Class:
Net assets	$	15,979,966
Capital shares outstanding		919,669
Net asset value per share	$	17.38
Investments, at cost	$	21,853,494
Repurchase agreements, at cost		295,620
Total cost	$	22,149,114

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS
Year Ended March 31, 2011

Investment Income:
Dividends	$	779,137
Interest		844
Total investment income		779,981
Expenses:
Management fees		603,267
Transfer agent and administrative fees		201,089
Distribution and service fees:
A-Class		15,508
C-Class		47,650
H-Class		173,668
Portfolio accounting fees		79,365
Trustees’ fees**		10,948
Miscellaneous		144,688
Total expenses		1,276,183
Net investment loss		(496,202	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(32,740,838	)
Net realized loss		(32,740,838	)
Net change in unrealized appreciation (depreciation) on:
Investments		(23,416,369	)
Net change in unrealized appreciation (depreciation)		(23,416,369	)
Net realized and unrealized loss		(56,157,207	)
Net decrease in net assets resulting from operations	$	(56,653,409	)

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

182 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(496,202	)	$	(710,501	)
Net realized gain (loss) on investments		(32,740,838	)		54,985,784
Net change in unrealized appreciation (depreciation) on investments		(23,416,369	)		28,055,856
Net increase (decrease) in net assets resulting from operations		(56,653,409	)		82,331,139
Distributions to shareholders from:
Net investment income
A-Class		—			(2,176	)
C-Class		—			(6,861	)
H-Class		—			(24,519	)
Net realized gains
A-Class		(259,417	)		(405,806	)
C-Class		(594,105	)		(1,279,703	)
H-Class		(3,228,330	)		(4,573,281	)
Total distributions to shareholders		(4,081,852	)		(6,292,346	)
Capital share transactions:
Proceeds from sale of shares
A-Class		87,881,068			17,811,935
C-Class		10,097,253			17,970,003
H-Class		544,333,378			675,923,538
Distributions reinvested
A-Class		249,100			378,723
C-Class		532,082			1,265,910
H-Class		3,141,985			4,505,083
Cost of shares redeemed
A-Class		(75,909,416	)		(13,385,823	)
C-Class		(15,728,991	)		(10,602,354	)
H-Class		(697,821,686	)		(561,136,010	)
Net increase (decrease) from capital share transactions		(143,225,227	)		132,731,005
Net increase (decrease) in net assets		(203,960,488	)		208,769,798
Net assets:
Beginning of year		231,028,414			22,258,616
End of year	$	27,067,926		$	231,028,414
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		4,918,837			908,146
C-Class		565,219			931,519
H-Class		29,253,756			37,195,475
Shares issued from reinvestment of distributions
A-Class		15,637			23,065
C-Class		36,594			82,523
H-Class		197,609			274,868
Shares redeemed
A-Class		(4,708,722	)		(656,235	)
C-Class		(952,937	)		(586,486	)
H-Class		(39,594,125	)		(28,348,540	)
Net increase (decrease) in shares		(10,268,132	)		9,824,335

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 183

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.

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.60		$	11.08		$	26.56		$	35.54		$	33.40
Income (loss) from investment operations:
Net investment income (loss)a		(.13	)		(.13	)		.50			.26			.23
Net gain (loss) on investments (realized and unrealized)		1.20			15.44			(15.61	)		(8.97	)		1.94
Total from investment operations		1.07			15.31			(15.11	)		(8.71	)		2.17
Less distributions from:
Net investment income		—			(.03	)		(.37	)		(.27	)		—
Net realized gains		(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	17.42		$	19.60		$	11.08		$	26.56		$	35.54
Total Returnb		6.98	%		150.09	%		(57.21	%)		(24.54	%)		6.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,845		$	5,529		$	78		$	2,945		$	3,929
Ratios to average net assets:
Net investment income (loss)		(0.73	%)		(0.62	%)		2.04	%		0.82	%		0.66	%
Total expenses		1.53	%		1.53	%		1.54	%		1.53	%		1.51	%
Portfolio turnover rate		692	%		443	%		878	%		566	%		728	%

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	18.27		$	10.62		$	25.71		$	34.68		$	32.85
Income (loss) from investment operations:
Net investment income (loss)a		(.23	)		(.27	)		.04			.28			(.05	)
Net gain (loss) on investments (realized and unrealized)		1.06			14.71			(14.76	)		(8.98	)		1.91
Total from investment operations		.83			14.44			(14.72	)		(8.70	)		1.86
Less distributions from:
Net investment income		—			(.03	)		(.37	)		(.27	)		—
Net realized gains		(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	15.85		$	18.27		$	10.62		$	25.71		$	34.68
Total Returnb		6.12	%		148.23	%		(57.59	%)		(25.12	%)		5.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,243		$	8,999		$	691		$	14,040		$	2,268
Ratios to average net assets:
Net investment income (loss)		(1.37	%)		(1.39	%)		0.21	%		0.99	%		(0.16	%)
Total expenses		2.28	%		2.28	%		2.32	%		2.26	%		2.26	%
Portfolio turnover rate		692	%		443	%		878	%		566	%		728	%

184 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.57		$	11.07		$	26.53		$	35.51		$	33.38
Income (loss) from investment operations:
Net investment income (loss)a		(.11	)		(.12	)		.27			.33			.15
Net gain (loss) on investments (realized and unrealized)		1.17			15.41			(15.36	)		(9.04	)		2.01
Total from investment operations		1.06			15.29			(15.09	)		(8.71	)		2.16
Less distributions from:
Net investment income		—			(.03	)		(.37	)		(.27	)		—
Net realized gains		(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	17.38		$	19.57		$	11.07		$	26.53		$	35.51
Total Returnb		6.94	%		150.07	%		(57.20	%)		(24.56	%)		6.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,980		$	216,500		$	21,489		$	51,563		$	10,478
Ratios to average net assets:
Net investment income (loss)		(0.56	%)		0.62	%		1.40	%		1.04	%		0.46	%
Total expenses		1.54	%		1.54	%		1.55	%		1.48	%		1.52	%
Portfolio turnover rate		692	%		443	%		878	%		566	%		728	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 185

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: May 8, 2000

For the one-year period ended March 31, 2011, Europe 1.25x Strategy Fund maintained a daily correlation of over 98% to its benchmark of 125% of the daily price movement of the STOXX 50 Index. Europe 1.25x Strategy Fund H-Class returned -0.99% while the STOXX 50 Index returned 6.28% over the same period.

The EURO STOXX 50 tracks some of the largest companies in Europe. The Fund’s return, expressed in dollar terms, was impacted by the approximately 5% rise of the euro against the dollar during the period.

The Telecommunication Services sector contributed the most to performance, 1.93%. The Consumer Staples sector contributed 1.77% to return. Sectors detracting from performance were Utilities, Financials and Information Technology, which returned -0.72%, -0.30% and -0.20%, respectively.

Vodafone Group plc and Siemens AG contributed most to index performance, while BP plc and Nokia Oyj detracted from performance.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	March 31, 2004
C-Class	May 10, 2001
H-Class	May 8, 2000

Ten Largest Holdings
(% of Total Net Assets)
Total S.A. ADR	5.7	%
Novartis AG ADR	5.6	%
HSBC Holdings plc ADR	4.2	%
Siemens AG ADR	3.9	%
Royal Dutch Shell plc ADR	3.6	%
France Telecom S.A. ADR	3.7	%
ENI SpA ADR	3.6	%
Vodafone Group plc ADR	3.5	%
BP plc ADR	3.2	%
Telefonica S.A. ADR	2.9	%
Top Ten Total	39.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

186 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

										A-Class												C-Class
										(03/31/04)												(05/10/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
EUROPE 1.25x STRATEGY FUND***		-0.85	%		-5.57	%		-6.13	%		-7.04	%		0.29	%		-0.41	%		-1.52	%		-2.50	%		-6.83	%		-2.52	%
STOXX 50 INDEX		6.28	%		6.28	%		1.03	%		1.03	%		5.59	%		5.59	%		6.28	%		6.28	%		1.03	%		3.30	%

				H-Class
				(05/08/00)
	ONE			FIVE			TEN
	YEAR			YEAR			YEAR
EUROPE 1.25x STRATEGY FUND***		-0.99	%		-6.13	%		-1.01	%
STOXX 50 INDEX		6.28	%		1.03	%		-0.83	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The STOXX 50 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 187

SCHEDULE OF INVESTMENTS	March 31, 2011
EUROPE 1.25x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 76.7%
FINANCIALS — 16.2%
HSBC Holdings plc ADR		19,520	$	1,011,136
Banco Santander S.A. ADR		56,550		662,766
Deutsche Bank AG		7,960		470,197
UBS AG*		23,840		430,312
Banco Bilbao Vizcaya Argentaria S.A. ADR		31,650		379,800
Credit Suisse Group AG ADR		8,780		373,853
Barclays plc ADR		18,000		326,520
ING Groep N.V. ADR		22,700		288,517
Total Financials				3,943,101
ENERGY — 16.1%
Total S.A. ADR		22,830		1,391,945
Royal Dutch Shell plc ADR		12,250		892,535
ENI SpA ADR		17,740		871,566
BP plc ADR		17,480		771,567
Total Energy				3,927,613
HEALTH CARE — 12.1%
Novartis AG ADR		25,220		1,370,707
GlaxoSmithKline plc ADR		15,340		589,209
AstraZeneca plc ADR		10,880		501,786
Sanofi-Aventis S.A. ADR		9,990		351,848
Alcon, Inc.		791		130,918
Total Health Care				2,944,468
TELECOMMUNICATION SERVICES — 11.2%
France Telecom S.A. ADR		39,420		887,344
Vodafone Group plc ADR		29,390		844,963
Telefonica S.A. ADR		28,390		715,996
Deutsche Telekom AG ADR		17,570		270,929
Total Telecommunication Services				2,719,232
MATERIALS — 6.3%
Rio Tinto plc ADR		9,960		708,355
BHP Billiton Ltd. ADR		6,350		608,838
ArcelorMittal		6,370		230,276
Total Materials				1,547,469
CONSUMER STAPLES — 4.6%
Diageo plc ADR		5,450		415,399
Unilever N.V.		12,880		403,917
British American Tobacco plc ADR		3,630		293,994
Total Consumer Staples				1,113,310
INDUSTRIALS — 3.9%
Siemens AG ADR		6,860		942,152
INFORMATION TECHNOLOGY — 3.2%
SAP AG ADR		6,080		373,069
Telefonaktiebolaget LM
Ericsson ADR		19,310		248,326
Nokia Oyj ADR		19,000		161,690
Total Information Technology				783,085
CONSUMER DISCRETIONARY — 2.2%
Daimler AG		7,490		530,217
UTILITIES — 0.9%
Veolia Environnement S.A. ADR		7,100		221,307
Total Common Stocks
(Cost $16,341,891)				18,671,954

	Face
	Amount
REPURCHASE AGREEMENTS††,1 — 18.1%
HSBC Group
issued 03/31/11 at 0.07%
due 04/01/11	$	2,696,692		2,696,692
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06%
due 04/01/11		1,000,069		1,000,069
Credit Suisse Group
issued 03/31/11 at 0.05%
due 04/01/11		522,697		522,697
Deutsche Bank
issued 03/31/11 at 0.05%
due 04/01/11		179,779		179,779
Total Repurchase Agreements
(Cost $4,399,237)				4,399,237
Total Investments — 94.8%
(Cost $20,741,128)			$	23,071,191
Cash & Other Assets,
Less Liabilities — 5.2%				1,260,226
Total Net Assets — 100.0%			$	24,331,417

188 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
EUROPE 1.25x STRATEGY FUND

			Unrealized
	Contracts		Gain (Loss)
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2011 EURO Currency
Futures Contracts
(Aggregate Value of
Contracts $11,676,225)		66	$	136,599
FUTURES CONTRACTS PURCHASED†
June 2011 EURO STOXX 50 Index
Futures Contracts
(Aggregate Value of
Contracts $1,372,433)		34		8,507
June 2011 STOXX 50 Index
Futures Contracts
(Aggregate Value of
Contracts $9,995,634)		277	$	(11,114	)
(Total Aggregate Value of
Contracts $11,368,067)			$	(2,607	)

Country Diversification

The pie chart above
reflects percentages of the
market value of Common
Stocks.

*	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.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 189

EUROPE 1.25x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	18,671,954
Repurchase agreements, at value		4,399,237
Total investments		23,071,191
Segregated cash with broker		1,083,695
Foreign currency, at value		115,083
Receivables:
Securities sold		444,198
Fund shares sold		266,809
Dividends		109,287
Foreign taxes reclaim		13,428
Interest		8
Total assets		25,103,699
Liabilities:
Due to broker		100,644
Payable for:
Variation margin		30,241
Fund shares redeemed		588,886
Management fees		20,071
Custodian fees		624
Transfer agent/maintenance fees		5,575
Distribution and service fees		6,014
Portfolio accounting fees		2,230
Licensing fees		2,682
Other		15,315
Total liabilities		772,282
Net Assets	$	24,331,417
Net assets consist of:
Paid in capital	$	39,419,173
Accumulated net investment loss		(18,775	)
Accumulated net realized loss on investments		(17,533,426	)
Net unrealized appreciation on investments		2,464,445
Net assets	$	24,331,417
A-Class:
Net assets	$	455,305
Capital shares outstanding		32,384
Net asset value per share	$	14.06
Maximum offering price per share*	$	14.76
C-Class:
Net assets	$	638,020
Capital shares outstanding		49,181
Net asset value per share	$	12.97
H-Class:
Net assets	$	23,238,092
Capital shares outstanding		1,652,591
Net asset value per share	$	14.06
Investments, at cost	$	16,341,891
Repurchase agreements, at cost		4,399,237
Total cost	$	20,741,128
Foreign currency, at cost		114,907

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,518)	$	486,887
Interest		9,101
Total investment income		495,988
Expenses:
Management fees		185,738
Transfer agent and administrative fees		51,594
Distribution and service fees:
A-Class		4,490
C-Class		10,296
H-Class		44,530
Portfolio accounting fees		20,637
Trustees’ fees**		1,929
Miscellaneous		37,608
Total expenses		356,822
Net investment income		139,166
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,157,189	)
Futures contracts		(1,629,396	)
Foreign currency		(180,671	)
Net realized loss		(2,967,256	)
Net change in unrealized appreciation
(depreciation) on:
Investments		1,925,594
Futures contracts		(45,838	)
Foreign currency		23,993
Net change in unrealized appreciation (depreciation)		1,903,749
Net realized and unrealized loss		(1,063,507	)
Net decrease in net assets resulting from operations	$	(924,341	)

** 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 ANNUAL REPORT See Notes to Financial Statements.

EUROPE 1.25x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	139,166		$	22,164
Net realized gain (loss) on investments		(2,967,256	)		4,336,353
Net change in unrealized appreciation (depreciation) on investments		1,903,749			289,473
Net increase (decrease) in net assets resulting from operations		(924,341	)		4,647,990
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		24,294,825			326,905
C-Class		51,477,462			74,914,337
H-Class		282,350,914			404,179,856
Cost of shares redeemed
A-Class		(23,420,946	)		(389,582	)
C-Class		(52,874,691	)		(74,481,425	)
H-Class		(266,134,416	)		(405,444,660	)
Net increase (decrease) from capital share transactions		15,693,148			(894,569	)
Net increase in net assets		14,768,807			3,753,421
Net assets:
Beginning of year		9,562,610			5,809,189
End of year	$	24,331,417		$	9,562,610
Accumulated net investment loss at end of year	$	(18,775	)	$	(200,349	)
Capital share activity:
Shares sold
A-Class		1,938,982			24,458
C-Class		4,392,090			6,263,532
H-Class		21,984,676			28,884,036
Shares redeemed
A-Class		(1,939,280	)		(29,545	)
C -Class		(4,503,196	)		(6,199,574	)
H-Class		(20,824,312	)		(28,958,394	)
Net increase (decrease) in shares		1,048,960			(15,487	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 191

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.18		$	8.36		$	22.25		$	24.13		$	20.06
Income (loss) from investment operations:
Net investment incomea		.08			.04			.18			.62			.54
Net gain (loss) on investments (realized and unrealized)		(.20	)		5.78			(14.07	)		(1.57	)		3.65
Total from investment operations		(.12	)		5.82			(13.89	)		(.95	)		4.19
Less distributions from:
Net investment income		—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			(.70	)		—
Total distributions		—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	14.06		$	14.18		$	8.36		$	22.25		$	24.13
Total Returnb		(0.85	%)		69.62	%		(62.43	%)		(4.60	%)		20.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	455		$	463		$	316		$	1,750		$	10,892
Ratios to average net assets:
Net investment income		0.66	%		0.33	%		1.05	%		2.42	%		2.33	%
Total expenses		1.69	%		1.66	%		1.68	%		1.69	%		1.54	%
Portfolio turnover rate		515	%		1,353	%		384	%		320	%		373	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.17		$	7.83		$	21.00		$	22.98		$	19.25
Income (loss) from investment operations:
Net investment income (loss)a		.03			(.04	)		.07			.31			.39
Net gain (loss) on investments (realized and unrealized)		(.23	)		5.38			(13.24	)		(1.36	)		3.46
Total from investment operations		(.20	)		5.34			(13.17	)		(1.05	)		3.85
Less distributions from:
Net investment income		—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			(.70	)		—
Total distributions		—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	12.97		$	13.17		$	7.83		$	21.00		$	22.98
Total Returnb		(1.52	%)		68.20	%		(62.71	%)		(5.28	%)		20.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	638		$	2,111		$	754		$	6,149		$	9,539
Ratios to average net assets:
Net investment income (loss)		0.22	%		(0.36	%)		0.42	%		1.27	%		1.85	%
Total expenses		2.43	%		2.42	%		2.43	%		2.40	%		2.40	%
Portfolio turnover rate		515	%		1,353	%		384	%		320	%		373	%

192 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.20		$	8.36		$	22.26		$	24.14		$	20.06
Income (loss) from investment operations:
Net investment incomea		.09			.03			.21			.57			.59
Net gain (loss) on investments (realized and unrealized)		(.23	)		5.81			(14.11	)		(1.52	)		3.61
Total from investment operations		(.14	)		5.84			(13.90	)		(.95	)		4.20
Less distributions from:
Net investment income		—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			(.70	)		—
Total distributions		—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	14.06		$	14.20		$	8.36		$	22.26		$	24.14
Total Returnb		(0.99	%)		69.86	%		(62.44	%)		(4.60	%)		20.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	23,238		$	6,989		$	4,739		$	21,670		$	57,887
Ratios to average net assets:
Net investment income		0.70	%		0.21	%		1.22	%		2.20	%		2.63	%
Total expenses		1.69	%		1.70	%		1.71	%		1.67	%		1.66	%
Portfolio turnover rate		515	%		1,353	%		384	%		320	%		373	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 193

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: February 22, 2008

For the one-year period ended March 31, 2011, Japan 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the fair value of the Nikkei-225 Stock Average Index. Japan 2x Strategy Fund H-Class returned -9.10% while the Nikkei-225 Stock Average Index returned 1.08% over the same time period.

Sectors contributing the most to performance were Industrials (2.33%) and Telecommunication Services (0.41%). Several sectors detracted from performance. Those with the largest negative impact on the portfolio were Consumer Discretionary (-1.22%) and Financials (-0.35%).

Contributors to performance were led by Fanuc Corp. and Softbank Corp., while detractors were Fast Retailing Co. Ltd. and Advantest Corp.

The Fund’s return, expressed in dollar terms, was impacted by the approximately 14% rise of the yen against the dollar during the period.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

194 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reimbursement of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class									H-Class
	(02/22/08)												(02/22/08)									(02/22/08)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
JAPAN 2x STRATEGY FUND***		-9.34	%		-13.63	%		-15.24	%		-16.56	%		-10.04	%		-10.94	%		-15.89	%		-9.10	%		-15.19	%
NIKKEI-225 STOCK
AVERAGE INDEX****		1.08	%		1.08	%		-0.31	%		-0.31	%		1.08	%		1.08	%		-0.31	%		1.08	%		-0.31	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish.
****	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Nikkei-225 Stock Average Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 195

SCHEDULE OF INVESTMENTS March 31, 2011

JAPAN 2x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 52.0%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	3,660,123	$	3,660,123
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		1,357,358		1,357,358
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		709,438		709,438
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		244,008		244,008
Total Repurchase Agreements (Cost $5,970,927)				5,970,927
Total Investments — 52.0% (Cost $5,970,927)			$	5,970,927
Cash & Other Assets, Less Liabilities — 48.0%				5,505,438
Total Net Assets — 100.0%			$	11,476,365

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $22,984,800)		471	$	766,681
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2011 Japanese Yen Currency Futures Contracts (Aggregate Value of Contracts $22,699,075)		151	$	(223,123	)

196 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

†	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.

JAPAN 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Repurchase agreements, at value	$	5,970,927
Total investments		5,970,927
Segregated cash with broker		2,045,000
Receivables:
Fund shares sold		4,086,994
Interest		11
Total assets		12,102,932
Liabilities:
Payable for:
Variation margin		97,304
Fund shares redeemed		515,321
Management fees		4,250
Custodian fees		159
Transfer agent/maintenance fees		1,417
Distribution and service fees		1,629
Portfolio accounting fees		567
Other		5,920
Total liabilities		626,567
Net assets	$	11,476,365
Net assets consist of:
Paid in capital	$	12,449,935
Accumulated net investment loss		—
Accumulated net realized loss on investments		(1,517,128	)
Net unrealized appreciation on investments		543,558
Net assets	$	11,476,365
A-Class:
Net assets	$	5,931,010
Capital shares outstanding		396,725
Net asset value per share	$	14.95
Maximum offering price per share*	$	15.70
C-Class:
Net assets	$	189,121
Capital shares outstanding		12,953
Net asset value per share	$	14.60
H-Class:
Net assets	$	5,356,234
Capital shares outstanding		357,628
Net asset value per share	$	14.98
Repurchase agreements, at cost	$	5,970,927
Total cost	$	5,970,927

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	6,863
Total investment income		6,863
Expenses:
Management fees		49,039
Transfer agent and administrative fees		16,347
Distribution and service fees:
A-Class		2,093
C-Class		2,685
H-Class		13,582
Portfolio accounting fees		6,538
Trustees’ fees**		538
Miscellaneous		12,128
Total expenses		102,950
Net investment loss		(96,087	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		(372,576	)
Net realized loss		(372,576	)
Net change in unrealized appreciation (depreciation) on:
Futures contracts		380,066
Net change in unrealized appreciation (depreciation)		380,066
Net realized and unrealized gain		7,490
Net decrease in net assets resulting from operations	$	(88,597	)

** 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 annual report | 197

JAPAN 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(96,087	)	$	(95,137	)
Net realized gain (loss) on investments		(372,576	)		3,918,319
Net change in unrealized appreciation (depreciation) on investments		380,066			(790,035	)
Net increase (decrease) in net assets resulting from operations		(88,597	)		3,033,147
Distributions to Shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		17,011,157			4,861,965
C-Class		26,730,136			40,920,332
H-Class		76,584,589			56,612,995
Cost of shares redeemed
A-Class		(13,470,349	)		(3,222,607	)
C-Class		(26,785,624	)		(41,845,825	)
H-Class		(76,584,721	)		(59,989,549	)
Net increase (decrease) from capital share transactions		3,485,188			(2,662,689	)
Net increase in net assets		3,396,591			370,458
Net assets:
Beginning of year		8,079,774			7,709,316
End of year	$	11,476,365		$	8,079,774
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		1,106,525			346,886
C-Class		1,765,492			2,896,454
H-Class		4,903,823			3,970,060
Shares redeemed
A-Class		(845,237	)		(244,676	)
C-Class		(1,779,134	)		(2,968,231	)
H-Class		(4,874,700	)		(4,366,545	)
Net increase (decrease) in shares		276,769			(366,052	)

198 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008		a,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		(.24	)		(.19	)		(.06	)		—d
Net gain (loss) on investments (realized and unrealized)		(1.30	)		7.67			(16.24	)		.12
Total from investment operations		(1.54	)		7.48			(16.30	)		.12
Less distributions from:
Net investment income		—			—			(.01	)		—
Total distributions		—			—			(.01	)		—
Payments by affiliates		—			—			.20	e		—
Net asset value, end of period	$	14.95		$	16.49		$	9.01		$	25.12
Total Returnf		(9.34	%)		83.02	%		(64.10	%)e		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,931		$	2,234		$	299		$	636
Ratios to average net assets:
Net investment loss		(1.45	%)		(1.42	%)		(0.42	%)		(0.12	%)
Total expenses		1.55	%		1.53	%		1.53	%		1.25	%
Portfolio turnover rate		—			—			—			—

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008		a,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		(.31	)		(.31	)		(.17	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(1.32	)		7.60			(16.18	)		.12
Total from investment operations		(1.63	)		7.29			(16.35	)		.10
Less distributions from:
Net investment income		—			—			(.01	)		—
Total distributions		—			—			(.01	)		—
Payments by affiliates		—			—			.20	e		—
Net asset value, end of period	$	14.60		$	16.23		$	8.94		$	25.10
Total Returnf		(10.04	%)		81.54	%		(64.35	%)e		0.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	189		$	432		$	879		$	240
Ratios to average net assets:
Net investment loss		(2.18	%)		(2.20	%)		(0.98	%)		(0.74	%)
Total expenses		2.29	%		2.28	%		2.26	%		2.21	%
Portfolio turnover rate		—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 199

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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008		a,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		(.23	)		(.21	)		(.08	)		—d
Net gain (loss) on investments (realized and unrealized)		(1.27	)		7.68			(16.22	)		.12
Total from investment operations		(1.50	)		7.47			(16.30	)		.12
Less distributions from:
Net investment income		—			—			(.01	)		—
Total distributions		—			—			(.01	)		—
Payments by affiliates		—			—			.20	e		—
Net asset value, end of period	$	14.98		$	16.48		$	9.01		$	25.12
Total Returnf		(9.10	%)		82.91	%		(64.10	%)e		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,356		$	5,414		$	6,531		$	5,243
Ratios to average net assets:
Net investment income (loss)		(1.44	%)		(1.44	%)		(0.55	%)		0.17	%
Total expenses		1.54	%		1.53	%		1.52	%		1.44	%
Portfolio turnover rate		—			—			—			—

a	For the period ended March 31, 2008, 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) per share 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.

200 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 201

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

STRENGTHENING DOLLAR 2x 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 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.

Inception: May 25, 2005

For the one-year period ended March 31, 2011, Strengthening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the U.S. Dollar Index. Strengthening Dollar 2x Strategy Fund H-Class returned -17.84%, compared with -6.43% return for its benchmark, the U.S. Dollar Index.

The U.S. Dollar Index spiked to its trailing 12-month high in mid-2010 over concerns about European sovereign debt and fears of a slow global economic recovery. It began to fall back in the last half of the year as the U.S. Federal Reserve pumped money into the economy via low rates and a second round of quantitative easing designed to help the U.S. economy gain traction. There was also another round of fiscal stimulus in the December tax cuts.

At year end, the dollar had advanced against the euro and pound, both suffering from their own versions of economic and fiscal woes, but fallen against the yen and Swiss franc.

The dollar’s rally against the euro did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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 currency futures contracts.

202 the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

A-Class																						C-Class
(05/25/05)																						(05/25/05)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
STRENGTHENING DOLLAR 2x STRATEGY FUND		-17.83	%		-21.74	%		-8.53	%		-9.41	%		-5.60	%		-6.38	%		-18.49	%		-19.30	%		-9.12	%		-6.23	%
U.S. DOLLAR INDEX		-6.43	%		-6.43	%		-3.30	%		-3.30	%		-2.19	%		-2.19	%		-6.43	%		-6.43	%		-3.30	%		-2.19	%

	H-Class
	(05/25/05)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
STRENGTHENING DOLLAR 2x STRATEGY FUND		-17.84	%		-8.58	%		-5.66	%
U.S. DOLLAR INDEX		-6.43	%		-3.30	%		-2.19	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 203

SCHEDULE OF INVESTMENTS March 31, 2011

STRENGTHENING DOLLAR 2x STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES††- 80.9%
Freddie Mac1
0.20% due 07/12/11	$	10,000,000	$	9,996,880
0.23% due 08/16/11		5,000,000		4,997,530
Fannie Mae1
0.22% due 07/18/11		10,000,000		9,996,700
Total Federal Agency Discount Notes (Cost $24,983,357)				24,991,110
REPURCHASE AGREEMENTS††,2- 17.0%
HSBC Group
issued 03/31/11 at 0.07% due 04/01/11		2,603,565		2,603,565
Credit Suisse Group
issued 03/31/11 at 0.05% due 04/01/113		1,489,185		1,489,185
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06% due 04/01/11		965,533		965,533
Deutsche Bank
issued 03/31/11 at 0.05% due 04/01/11		173,571		173,571
Total Repurchase Agreements (Cost $5,231,854)				5,231,854
Total Investments — 97.9% (Cost $30,215,211)			$	30,222,964
Cash & Other Assets, Less Liabilities — 2.1%				653,482
Total Net Assets — 100.0%			$	30,876,446

			Unrealized
	Contracts		Loss
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2011 U.S. Dollar Index Futures Contracts (Aggregate Value of Contracts $51,816,000)		680	$	(316,775	)

	Units
CURRENCY INDEX SWAP AGREEMENT††
Goldman Sachs International May 2011 U.S. Dollar Index Swap, Terminating 05/31/114 (Notional Value $10,147,530)		133,385	$	(175,684	)

†	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	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as currency index swap collateral at March 31, 2011.
4	Total Return based on U.S. Dollar Index +/- financing at a variable rate.

204 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	24,991,110
Repurchase agreements, at value		5,231,854
Total investments		30,222,964
Segregated cash with broker		612,000
Receivables:
Fund shares sold		563,351
Interest		9
Total assets		31,398,324
Liabilities:
Unrealized depreciation on swap agreements		175,684
Payable for:
Swap settlement		76,400
Variation margin		106,760
Fund shares redeemed		82,764
Management fees		23,172
Custodian fees		721
Transfer agent/maintenance fees		6,437
Distribution and service fees		8,953
Portfolio accounting fees		2,574
Licensing fees		13,615
Other		24,798
Total liabilities		521,878
Net assets	$	30,876,446
Net assets consist of:
Paid in capital	$	53,324,059
Accumulated net investment loss		—
Accumulated net realized loss on investments		(21,962,907	)
Net unrealized depreciation on investments		(484,706	)
Net assets	$	30,876,446
A-Class:
Net assets	$	6,115,411
Capital shares outstanding		454,227
Net asset value per share	$	13.46
Maximum offering price per share*	$	14.13
C-Class:
Net assets	$	4,027,570
Capital shares outstanding		313,993
Net asset value per share	$	12.83
H-Class:
Net assets	$	20,733,465
Capital shares outstanding		1,547,275
Net asset value per share	$	13.40
Investments, at cost	$	24,983,357
Repurchase agreements, at cost		5,231,854
Total cost	$	30,215,211

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	76,423
Total investment income		76,423
Expenses:
Management fees		410,155
Transfer agent and administrative fees		113,932
Distribution and service fees:
A-Class		21,163
C-Class		64,252
H-Class		76,706
Portfolio accounting fees		45,572
Trustees’ fees**		5,236
Miscellaneous		92,529
Total expenses		829,545
Net investment loss		(753,122	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(1,019,822	)
Futures contracts		(4,022,081	)
Net realized loss		(5,041,903	)
Net change in unrealized appreciation (depreciation) on:
Investments		7,753
Swap agreements		(253,681	)
Futures contracts		(1,050,235	)
Net change in unrealized appreciation (depreciation)		(1,296,163	)
Net realized and unrealized loss		(6,338,066	)
Net decrease in net assets resulting from operations	$	(7,091,188	)

** 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 annual report | 205

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(753,122	)	$	(780,540	)
Net realized loss on investments		(5,041,903	)		(4,420,826	)
Net change in unrealized appreciation (depreciation) on investments		(1,296,163	)		718,422
Net decrease in net assets resulting from operations		(7,091,188	)		(4,482,944	)
Distributions to shareholders		—			—
Capital share transactions:
proceeds from sale of shares
A-Class		17,727,633			26,981,177
C-Class		108,147,406			166,010,494
H-Class		305,686,505			430,502,636
Cost of shares redeemed
A-Class		(27,399,277	)		(17,004,512	)
C-Class		(113,295,488	)		(160,038,197	)
H-Class		(341,270,791	)		(388,785,531	)
Net increase (decrease) from capital share transactions		(50,404,012	)		57,666,067
Net increase (decrease) in net assets		(57,495,200	)		53,183,123
Net assets:
Beginning of year		88,371,646			35,188,523
End of year	$	30,876,446		$	88,371,646
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		1,056,533			1,701,391
C-Class		7,130,889			10,697,848
H-Class		19,388,467			26,303,063
Shares redeemed
A-Class		(1,629,766	)		(1,046,283	)
C-Class		(7,490,156	)		(10,325,916	)
H-Class		(21,578,685	)		(23,698,004	)
Net increase (decrease) in shares		(3,122,718	)		3,632,099

206 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	16.38		$	19.64		$	19.85		$	25.35		$	27.74
Income (loss) from investment operations:
Net investment income (loss)a		(.25	)		(.25	)		.02			.39			.91
Net gain (loss) on investments (realized and unrealized)		(2.67	)		(3.01	)		6.50			(5.89	)		(3.30	)
Total from investment operations		(2.92	)		(3.26	)		6.52			(5.50	)		(2.39	)
Less distributions from:
Net realized gains		—			—			(6.73	)		—			—
Total distributions		—			—			(6.73	)		—			—
Net asset value, end of period	$	13.46		$	16.38		$	19.64		$	19.85		$	25.35
Total Returnb		(17.83	%)		(16.60	%)		30.59	%		(21.70	%)		(8.62	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,115		$	16,833		$	7,314		$	2,795		$	108
Ratios to average net assets:
Net investment income (loss)		(1.55	%)		(1.57	%)		0.07	%		1.73	%		3.53	%
Total expenses		1.71	%		1.67	%		1.69	%		1.66	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.74		$	19.01		$	19.42		$	24.99		$	27.56
Income (loss) from investment operations:
Net investment income (loss)a		(.35	)		(.36	)		(.14	)		.42			.70
Net gain (loss) on investments (realized and unrealized)		(2.56	)		(2.91	)		6.46			(5.99	)		(3.27	)
Total from investment operations		(2.91	)		(3.27	)		6.32			(5.57	)		(2.57	)
Less distributions from:
Net realized gains		—			—			(6.73	)		—			—
Total distributions		—			—			(6.73	)		—			—
Net asset value, end of period	$	12.83		$	15.74		$	19.01		$	19.42		$	24.99
Total Returnb		(18.49	%)		(17.20	%)		30.36	%		(22.29	%)		(9.33	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,028		$	10,594		$	5,728		$	6,131		$	2,630
Ratios to average net assets:
Net investment income (loss)		(2.29	%)		(2.31	%)		(0.66	%)		1.84	%		2.75	%
Total expenses		2.46	%		2.42	%		2.44	%		2.40	%		2.40	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 207

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	16.31		$	19.56		$	19.83		$	25.33		$	27.71
Income (loss) from investment operations:
Net investment income (loss)a		(.25	)		(.25	)		.02			.57			.90
Net gain (loss) on investments (realized and unrealized)		(2.66	)		(3.00	)		6.44			(6.07	)		(3.28	)
Total from investment operations		(2.91	)		(3.25	)		6.46			(5.50	)		(2.38	)
Less distributions from:
Net realized gains		—			—			(6.73	)		—			—
Total distributions		—			—			(6.73	)		—			—
Net asset value, end of period	$	13.40		$	16.31		$	19.56		$	19.83		$	25.33
Total Returnb		(17.84	%)		(16.62	%)		30.25	%		(21.71	%)		(8.59	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	20,733		$	60,944		$	22,147		$	29,011		$	11,946
Ratios to average net assets:
Net investment income (loss)		(1.55	%)		(1.57	%)		0.08	%		2.44	%		3.47	%
Total expenses		1.72	%		1.67	%		1.69	%		1.66	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

208 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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209 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

WEAKENING DOLLAR 2x 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 200% of the inverse (opposite) of the performance of the U.S. Dollar Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: May 25, 2005

For the one-year period ended March 31, 2011, Weakening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the U.S. Dollar Index. Weakening Dollar 2x Strategy Fund H-Class returned 13.14%, compared with -6.43% return for its benchmark, the U.S. Dollar Index.

The U.S. Dollar Index spiked to its trailing 12-month high in mid-2010 over concerns about European sovereign debt and fears of a slow global economic recovery. It began to fall back in the last half of the year as the U.S. Federal Reserve pumped money into the economy via low rates and a second round of quantitative easing designed to help the U.S. economy gain traction. There was also another round of fiscal stimulus in the December tax cuts.

At year end, the dollar had advanced against the euro and pound, both suffering from their own versions of economic and fiscal woes, but fallen against the yen and Swiss franc.

The dollar’s rally against the euro did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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 currency futures contracts.

210 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class																		C-Class
	(05/25/05)																		(05/25/05)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
WEAKENING DOLLAR 2x STRATEGY FUND		13.13	%		7.73	%		5.88	%		4.86	%		3.39	%		2.53	%		12.32	%		11.32	%		5.08	%		2.61	%
U.S. DOLLAR INDEX		-6.43	%		-6.43	%		-3.30	%		-3.30	%		-2.19	%		-2.19	%		-6.43	%		-6.43	%		-3.30	%		-2.19	%

	H-Class
	(05/25/05)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
WEAKENING DOLLAR 2x STRATEGY FUND		13.14	%		5.87	%		3.38	%
U.S. DOLLAR INDEX		-6.43	%		-3.30	%		-2.19	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 211

SCHEDULE OF INVESTMENTS	March 31, 2011
WEAKENING DOLLAR 2x STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 60.6%
Freddie Mac1
0.20% due 07/12/11	$	10,000,000	$	9,996,880
Fannie Mae1
0.22% due 07/18/11		10,000,000		9,996,700
Total Federal Agency Discount Notes (Cost $19,987,734)				19,993,580
REPURCHASE AGREEMENTS††,2 - 36.4%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		7,003,747		7,003,747
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		2,597,343		2,597,343
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/113		1,920,277		1,920,277
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		466,916		466,916
Total Repurchase Agreements (Cost $11,988,283)				11,988,283
Total Investments — 97.0% (Cost $31,976,017)			$	31,981,863
Cash & Other Assets, Less Liabilities — 3.0%				988,759
Total Net Assets — 100.0%			$	32,970,622

			Unrealized
	Contracts		Gain
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2011 U.S. Dollar Index Futures Contracts (Aggregate Value of Contracts $59,131,200)		776	$	407,705

	Units
CURRENCY INDEX SWAP AGREEMENT SOLD SHORT††
Goldman Sachs International May 2011 U.S. Dollar Index Swap, Terminating 05/31/114 (Notional Value $6,854,729)		90,102	$	139,347

†	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	Repurchase Agreements — See Note 7.
3	All or a portion of this security is pledged as currency index swap collateral at March 31, 2011.
4	Total Return based on U.S. Dollar Index +/- financing at a variable rate.

212 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	19,993,580
Repurchase agreements, at value		11,988,283
Total investments		31,981,863
Segregated cash with broker		702,900
Unrealized appreciation on swap agreements		139,347
Receivable for swap settlement		19,546
Receivables:
Variation margin		122,602
Fund shares sold		635,316
Interest		21
Total assets		33,601,595
liabilities:
Payable for:
Fund shares redeemed		537,574
Management fees		24,743
Custodian fees		769
Transfer agent/maintenance fees		6,873
Distribution and service fees		9,215
Portfolio accounting fees		2,749
Licensing fees		10,684
Other		38,366
Total liabilities		630,973
Net assets	$	32,970,622
Net assets consist of:
Paid in capital	$	43,589,086
Accumulated net investment loss		—
Accumulated net realized loss on investments		(11,171,362	)
Net unrealized appreciation on investments		552,898
Net assets	$	32,970,622
A-Class:
Net assets	$	5,575,688
Capital shares outstanding		274,133
Net asset value per share	$	20.34
Maximum offering price per share*	$	21.35
C-Class:
Net assets	$	3,962,973
Capital shares outstanding		206,133
Net asset value per share	$	19.23
H-Class:
Net assets	$	23,431,961
Capital shares outstanding		1,153,381
Net asset value per share	$	20.32
Investments, at cost	$	19,987,734
Repurchase agreements, at cost		11,988,283
Total cost	$	31,976,017

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	61,870
Total investment income		61,870
Expenses:
Management fees		321,462
Transfer agent and administrative fees		89,295
Distribution and service fees:
A-Class		13,612
C-Class		45,282
H-Class		64,362
Portfolio accounting fees		35,718
Trustees’ fees**		4,141
Registration fees		37,548
Miscellaneous		33,976
Total expenses		645,396
Net investment loss		(583,526	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		622,510
Futures contracts		1,875,730
Net realized gain		2,498,240
Net change in unrealized appreciation (depreciation) on:
Investments		5,847
Swap agreements		171,203
Futures contracts		887,843
Net change in unrealized appreciation (depreciation)		1,064,893
Net realized and unrealized gain		3,563,133
Net increase in net assets resulting from operations	$	2,979,607

** 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 annual report | 213

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(583,526	)	$	(1,655,237	)
Net realized gain on investments		2,498,240			23,650,520
Net change in unrealized appreciation (depreciation) on investments		1,064,893			(5,860,381	)
Net increase in net assets resulting from operations		2,979,607			16,134,902
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		4,356,031			29,337,819
C-Class		12,924,698			71,736,946
H-Class		111,744,031			292,106,948
Cost of shares redeemed
A-Class		(6,022,901	)		(43,837,092	)
C-Class		(14,644,735	)		(76,123,193	)
H-Class		(120,468,235	)		(333,831,802	)
Net decrease from capital share transactions		(12,111,111	)		(60,610,374	)
Net decrease in net assets		(9,131,504	)		(44,475,472	)
Net assets:
Beginning of year		42,102,126			86,577,598
End of year	$	32,970,622		$	42,102,126
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		238,396			1,547,781
C-Class		721,312			3,852,060
H-Class		6,176,809			15,923,652
Shares redeemed
A-Class		(339,920	)		(2,249,051	)
C-Class		(825,578	)		(4,093,956	)
H-Class		(6,696,001	)		(17,931,721	)
Net decrease in shares		(724,982	)		(2,951,235	)

214 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

WEAKENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGH LIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.98		$	16.38		$	29.27		$	26.18		$	22.70
Income (loss) from investment operations:
Net investment income (loss)a		(.28	)		(.30	)		(.07	)		.70			.91
Net gain (loss) on investments (realized and unrealized)		2.64			1.90			(8.77	)		7.17			2.57
Total from investment operations		2.36			1.60			(8.84	)		7.87			3.48
Less distributions from:
Net investment income		—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			(2.77	)		(—	)c		—
Total distributions		—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	20.34		$	17.98		$	16.38		$	29.27		$	26.18
Total Returnb		13.13	%		9.77	%		(29.87	%)		32.49	%		15.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,576		$	6,753		$	17,642		$	22,148		$	21,502
Ratios to average net assets:
Net investment income (loss)		(1.54	%)		(1.57	%)		(0.30	%)		2.51	%		3.63	%
Total expenses		1.71	%		1.68	%		1.69	%		1.67	%		1.65	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.12		$	15.73		$	28.53		$	25.81		$	22.55
Income (loss) from investment operations:
Net investment income (loss)a		(.39	)		(.43	)		(.21	)		.43			.71
Net gain (loss) on investments (realized and unrealized)		2.50			1.82			(8.54	)		7.07			2.55
Total from investment operations		2.11			1.39			(8.75	)		7.50			3.26
Less distributions from:
Net investment income		—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			(2.77	)		(—	)c		—
Total distributions		—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	19.23		$	17.12		$	15.73		$	28.53		$	25.81
Total Returnb		12.32	%		8.84	%		(30.37	%)		31.47	%		14.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,963		$	5,314		$	8,687		$	21,604		$	14,160
Ratios to average net assets:
Net investment income (loss)		(2.29	%)		(2.32	%)		(0.93	%)		1.57	%		2.87	%
Total expenses		2.46	%		2.43	%		2.45	%		2.41	%		2.40	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 215

WEAKENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGH LIGHTS (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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.96		$	16.37		$	29.25		$	26.18		$	22.69
Income (loss) from investment operations:
Net investment income (loss)a		(.28	)		(.30	)		(.03	)		.68			.90
Net gain (loss) on investments (realized and unrealized)		2.64			1.89			(8.80	)		7.17			2.59
Total from investment operations		2.36			1.59			(8.83	)		7.85			3.49
Less distributions from:
Net investment income		—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			(2.77	)		(—	)c		—
Total distributions		—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	20.32		$	17.96		$	16.37		$	29.25		$	26.18
Total Returnb		13.14	%		9.71	%		(29.86	%)		32.41	%		15.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	23,432		$	30,036		$	60,249		$	103,867		$	110,480
Ratios to average net assets:
Net investment income (loss)		(1.54	%)		(1.57	%)		(0.13	%)		2.45	%		3.60	%
Total expenses		1.71	%		1.68	%		1.70	%		1.67	%		1.65	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Distributions from realized gains are less than $0.01 per share.

216 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 217

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

REAL ESTATE FUND

OBJECTIVE: To provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”), (collectively, “Real Estate Companies”).

Inception: February 20, 2004

For the one-year period ended March 31, 2011, Real Estate Fund H-Class returned 22.70%, compared to a gain of 24.28% for the MSCI U.S. REIT Index.

Within the sector, Real Estate Investment Trusts (REITs), which compose 92% of the portfolio, rose about 25% for the year, contributing almost all of the return. The year was favorable to REITs in that slow, steady economic growth helped set the stage for improvements in occupancy and rents, while also helping non-commercial mortgage delinquencies level off. The industry was also aided by falling 10-year Treasury yields, which pushed capitalization rates lower and supported property valuations.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	3.1	%
Public Storage	2.4	%
Equity Residential	2.2	%
Vornado Realty Trust	2.1	%
General Growth Properties, Inc.	2.1	%
HCP, Inc.	2.0	%
Boston Properties, Inc.	2.0	%
Annaly Capital Management, Inc.	2.0	%
Weyerhaeuser Co.	1.9	%
Host Hotels & Resorts, Inc.	1.9	%
Top Ten Total	21.7	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

218 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class																		C-Class
	(09/01/04)																		(02/20/04)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
REAL ESTATE FUND		22.72	%		16.89	%		-2.45	%		-3.39	%		3.09	%		2.33	%		21.58	%		20.58	%		-3.22	%		3.01	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		4.18	%
MSCI U.S. REIT INDEX		24.28	%		24.28	%		1.39	%		1.39	%		7.38	%		7.38	%		24.28	%		24.28	%		1.39	%		8.03	%

	H-Class
	(02/20/04)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
REAL ESTATE FUND		22.70	%		-2.47	%		3.78	%
S&P 500 INDEX		15.65	%		2.62	%		4.18	%
MSCI U.S. REIT INDEX		24.28	%		1.39	%		8.03	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and MSCI U.S. REIT Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 219

SCHEDULE OF INVESTMENTS	March 31, 2011
REAL ESTATE FUND

	Shares		Value
| |
COMMON STOCKS†- 99.4%
REAL ESTATE INVESTMENT TRUSTS (REITs)- 92.8%
SPECIALIZED REITs - 23.8%
Public Storage		6,169	$	684,204
HCP, Inc.		15,017		569,745
Host Hotels & Resorts, Inc.		30,157		531,065
Health Care REIT, Inc.		8,873		465,300
Ventas, Inc.		8,401		456,174
Plum Creek Timber Company, Inc.		9,143		398,726
Nationwide Health Properties, Inc.		8,373		356,104
Rayonier, Inc.		5,540		345,198
Senior Housing Properties Trust		11,710		269,798
Hospitality Properties Trust		11,242		260,252
Entertainment Properties Trust		4,916		230,167
Omega Healthcare Investors, Inc.		10,003		223,467
LaSalle Hotel Properties		8,226		222,102
Extra Space Storage, Inc.		10,299		213,292
DiamondRock Hospitality Co.		18,989		212,107
Potlatch Corp.		4,855		195,171
Healthcare Realty Trust, Inc.		8,403		190,748
Medical Properties Trust, Inc.		15,273		176,709
Sunstone Hotel Investors, Inc.*		16,626		169,419
U-Store-It Trust		15,055		158,379
Strategic Hotels & Resorts, Inc.*		24,460		157,767
Hersha Hospitality Trust — Class A		25,624		152,207
Sovran Self Storage, Inc.		3,075		121,616
Total Specialized REITs				6,759,717
RETAIL REITs - 19.5%
Simon Property Group, Inc.		8,098		867,782
General Growth Properties, Inc.		38,049		588,998
Kimco Realty Corp.		23,208		425,635
Macerich Co.		7,911		391,832
Federal Realty Investment Trust		4,185		341,328
Realty Income Corp.		8,997		314,445
Developers Diversified Realty Corp.		21,010		294,140
Regency Centers Corp.		6,669		289,968
Taubman Centers, Inc.		5,001		267,953
Weingarten Realty Investors		10,647		266,814
CBL & Associates Properties, Inc.		13,930		242,661
National Retail Properties, Inc.		8,874		231,878
Tanger Factory Outlet Centers		8,554		224,457
Equity One, Inc.		11,765		220,829
Glimcher Realty Trust		16,374		151,459
Pennsylvania Real Estate Investment Trust		9,869		140,831
Acadia Realty Trust		7,005		132,535
Getty Realty Corp.		5,790		132,475
Total Retail REITs				5,526,020
OFFICE REITs - 14.9%
Boston Properties, Inc.		5,886		558,287
SL Green Realty Corp.		5,050		379,760
Digital Realty Trust, Inc.		6,118		355,701
Alexandria Real Estate Equities, Inc.		4,098		319,521
Duke Realty Corp.		20,919		293,075
Piedmont Office Realty Trust, Inc. — Class A		14,140		274,457
Mack-Cali Realty Corp.		7,913		268,251
Highwoods Properties, Inc.		7,040		246,470
BioMed Realty Trust, Inc.		12,835		244,122
Corporate Office Properties Trust		6,746		243,800
Douglas Emmett, Inc.		12,689		237,919
Kilroy Realty Corp.		5,725		222,302
CommonWealth REIT		8,539		221,758
Brandywine Realty Trust		16,367		198,695
Lexington Realty Trust		19,186		179,389
Total Office REITs				4,243,507
RESIDENTIAL REITs - 13.2%
Equity Residential		10,903		615,038
AvalonBay Communities, Inc.		4,033		484,283
UDR, Inc.		13,202		321,733
Essex Property Trust, Inc.		2,418		299,832
Camden Property Trust		5,258		298,759
BRE Properties, Inc.		5,655		266,803
Apartment Investment & Management Co. — Class A		10,412		265,194
Mid-America Apartment Communities, Inc.		3,627		232,853
American Campus Communities, Inc.		7,015		231,495
Home Properties, Inc.		3,905		230,200
Post Properties, Inc.		5,384		211,322
Equity Lifestyle Properties, Inc.		3,543		204,254
Associated Estates Realty Corp.		5,425		86,149
Total Residential REITs				3,747,915
MORTGAGE REITs - 8.2%
Annaly Capital Management, Inc.		31,733		553,741
MFA Financial, Inc.		31,294		256,611
American Capital Agency Corp.		8,191		238,686
Starwood Property Trust, Inc.		8,560		190,888
Hatteras Financial Corp.		6,780		190,654
Redwood Trust, Inc.		10,658		165,732
Cypress Sharpridge Investments, Inc.		11,970		151,780
Invesco Mortgage Capital, Inc.		6,864		149,978
iStar Financial, Inc.*		15,430		141,647
Capstead Mortgage Corp.		11,040		141,091
Anworth Mortgage Asset Corp.		19,758		140,084
Total Mortgage REITs				2,320,892
DIVERSIFED REITs - 5.8%
Vornado Realty Trust		6,965		609,437
Liberty Property Trust		9,059		298,041
Washington Real Estate Investment Trust		7,111		221,081
Colonial Properties Trust		10,109		194,598
PS Business Parks, Inc.		3,190		184,829
Cousins Properties, Inc.		17,656		147,428
Total Diversifed REITs				1,655,414

220 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
REAL ESTATE FUND

	Shares		Value
INDUSTRIAL REITs - 5.5%
ProLogis		30,257	$	483,507
AMB Property Corp.		10,887		391,605
DCT Industrial Trust, Inc.		33,273		184,665
DuPont Fabros Technology, Inc.		7,542		182,894
First Industrial Realty Trust, Inc.*		13,907		165,354
EastGroup Properties, Inc.		3,502		153,983
Total Industrial REITs				1,562,008
FOREST PRODUCTS - 1.9%
Weyerhaeuser Co.		21,620		531,852
Total Real Estate Investment Trusts (REITs)				26,347,325
REAL ESTATE MANAGEMENT & DEVELOPMENT - 6.6%
REAL ESTATE SERVICES - 2.6%
CB Richard Ellis Group, Inc. — Class A*		16,571		442,445
Jones Lang LaSalle, Inc.		3,128		311,987
Total Real Estate Services				754,432
REAL ESTATE OPERATING COMPANIES - 2.6%
Brookfield Properties Corp.		26,398		467,773
Forest City Enterprises, Inc. — Class A*		14,162		266,670
Total Real Estate Operating Companies				734,443
DIVERSIFIED REAL ESTATE ACTIVITIES - 0.8%
St. Joe Co.*		9,025		226,257
REAL ESTATE DEVELOPMENT - 0.6%
Howard Hughes Corp.*		2,365		167,064
Total Real Estate Management & Development				1,882,196
Total Common Stocks (Cost $20,057,617)				28,229,521

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	108,469	$	108,469
Total Repurchase Agreement (Cost $108,469)				108,469
Total Investments — 99.8% (Cost $20,166,086)			$	28,337,990
Cash & Other Assets, Less Liabilities — 0.2%				53,998
Total Net Assets — 100.0%			$	28,391,988

*	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 Agreement — See Note 7.
REIT	— Real Estate Investment Trust

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 221

REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	28,229,521
Repurchase agreements, at value		108,469
Total investments		28,337,990
Cash		1,587
Receivables:
Securities sold		3,144,345
Fund shares sold		489,253
Dividends		104,801
Total assets		32,077,976
Liabilities:
Payable for:
Fund shares redeemed		3,635,769
Management fees		16,853
Custodian fees		562
Transfer agent/maintenance fees		4,957
Distribution and service fees		6,407
Portfolio accounting fees		1,983
Other		19,457
Total liabilities		3,685,988
Net assets	$	28,391,988
Net assets consist of:
Paid in capital	$	32,710,566
Undistributed net investment income		—
Accumulated net realized loss on investments		(12,490,482	)
Net unrealized appreciation on investments		8,171,904
Net assets	$	28,391,988
A-Class:
Net assets	$	3,991,149
Capital shares outstanding		137,355
Net asset value per share	$	29.06
Maximum offering price per share*	$	30.51
C-Class:
Net assets	$	2,355,929
Capital shares outstanding		85,959
Net asset value per share	$	27.41
H-Class:
Net assets	$	22,044,910
Capital shares outstanding		759,520
Net asset value per share	$	29.02
Investments, at cost	$	20,057,617
Repurchase agreements, at cost		108,469
Total cost	$	20,166,086

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $2,913)	$	1,141,002
Interest		326
Other income		2,472
Total investment income		1,143,800
Expenses:
Management fees		352,791
Transfer agent and administrative fees		103,762
Distribution and service fees:
A-Class		12,351
C-Class		21,400
H-Class		86,061
Portfolio accounting fees		41,504
Trustees’ fees**		4,866
Tax expenses		3,467
Miscellaneous		67,117
Total expenses		693,319
Net investment income		450,481
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,516,376
Net realized gain		5,516,376
Net change in unrealized appreciation (depreciation) on:
Investments		(1,134,604	)
Net change in unrealized appreciation (depreciation)		(1,134,604	)
Net realized and unrealized gain		4,381,772
Net increase in net assets resulting from operations	$	4,832,253

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

222 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	450,481		$	553,798
Net realized gain (loss) on investments		5,516,376			(511,338	)
Net change in unrealized appreciation (depreciation) on investments		(1,134,604	)		8,932,170
Net increase in net assets resulting from operations		4,832,253			8,974,630
Distributions to shareholders from:
Net investment income
A-Class		(110,657	)		(41,671	)
C-Class		(51,561	)		(21,574	)
H-Class		(717,890	)		(266,325	)
Total distributions to shareholders		(880,108	)		(329,570	)
Capital share transactions:
Proceeds from sale of shares
A-Class		17,712,810			17,825,648
C-Class		85,507,957			65,977,573
H-Class		224,118,250			353,762,266
Distributions reinvested
A-Class		99,290			41,288
C-Class		47,000			21,361
H-Class		713,980			255,420
Cost of shares redeemed
A-Class		(18,942,704	)		(16,882,349	)
C-Class		(85,940,210	)		(65,957,944	)
H-Class		(240,249,139	)		(326,701,549	)
Net increase (decrease) from capital share transactions		(16,932,766	)		28,341,714
Net increase (decrease) in net assets		(12,980,621	)		36,986,774
Net assets:
Beginning of year		41,372,609			4,385,835
End of year	$	28,391,988		$	41,372,609
Undistributed net investment income at end of year	$	—		$	405,783
Capital share activity:
Shares sold
A-Class		695,632			883,574
C-Class		3,424,767			3,517,526
H-Class		8,635,622			17,097,247
Shares issued from reinvestment of distributions
A-Class		3,804			1,881
C-Class		1,904			1,018
H-Class		27,377			11,647
Shares redeemed
A-Class		(739,617	)		(829,057	)
C-Class		(3,433,471	)		(3,512,985	)
H-Class		(9,345,781	)		(15,803,603	)
Net increase (decrease) in shares		(729,763	)		1,367,248

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 223

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	24.24		$	12.83		$	32.42		$	42.16		$	36.46
Income (loss) from investment operations:
Net investment incomea		.27			.44			.74			.54			.46
Net gain (loss) on investments (realized and unrealized)		5.17			11.11			(19.43	)		(10.05	)		5.53
Total from investment operations		5.44			11.55			(18.69	)		(9.51	)		5.99
Less distributions from:
Net investment income		(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			(.12	)
Total distributions		(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	29.06		$	24.24		$	12.83		$	32.42		$	42.16
Total Returnb		22.72	%		90.16	%		(58.00	%)		(22.59	%)		16.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,991		$	4,303		$	1,554		$	2,866		$	9,061
Ratios to average net assets:
Net investment income		1.07	%		2.15	%		2.81	%		1.45	%		1.10	%
Total expenses		1.63	%		1.65	%		1.68	%		1.64	%		1.61	%
Portfolio turnover rate		485	%		1,520	%		780	%		832	%		762	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	23.11		$	12.33		$	31.44		$	41.22		$	35.93
Income (loss) from investment operations:
Net investment incomea		.10			.40			.66			.29			.19
Net gain (loss) on investments (realized and unrealized)		4.82			10.52			(18.87	)		(9.84	)		5.39
Total from investment operations		4.92			10.92			(18.21	)		(9.55	)		5.58
Less distributions from:
Net investment income		(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			(.12	)
Total distributions		(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	27.41		$	23.11		$	12.33		$	31.44		$	41.22
Total Returnb		21.58	%		88.70	%		(58.28	%)		(23.21	%)		15.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,356		$	2,143		$	1,075		$	2,290		$	5,469
Ratios to average net assets:
Net investment income		0.42	%		2.06	%		2.62	%		0.78	%		0.48	%
Total expenses		2.39	%		2.41	%		2.42	%		2.39	%		2.36	%
Portfolio turnover rate		485	%		1,520	%		780	%		832	%		762	%

224 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	24.22		$	12.82		$	32.40		$	42.14		$	36.47
Income (loss) from investment operations:
Net investment incomea		.29			.50			.61			.53			.54
Net gain (loss) on investments (realized and unrealized)		5.13			11.04			(19.29	)		(10.04	)		5.42
Total from investment operations		5.42			11.54			(18.68	)		(9.51	)		5.96
Less distributions from:
Net investment income		(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			(.12	)
Total distributions		(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	29.02		$	24.22		$	12.82		$	32.40		$	42.14
Total Returnb		22.70	%		90.15	%		(58.01	%)		(22.60	%)		16.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,045		$	34,926		$	1,757		$	14,140		$	25,784
Ratios to average net assets:
Net investment income		1.13	%		2.41	%		2.14	%		1.43	%		1.35	%
Total expenses		1.63	%		1.68	%		1.64	%		1.64	%		1.62	%
Portfolio turnover rate		485	%		1,520	%		780	%		832	%		762	%

a	Net investment income per share was computed using average shares outstanding throughout the period.
b	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 annual report | 225

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

OBJECTIVE: To provide investment results that correspond to a benchmark for U.S. Government securities. 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.

Inception: January 3, 1994

The 30-year Treasury bond ended the 12-month period ended March 31, 2011, with a yield of 5.29%. Treasury yields have been under pressure due to safe-haven buying amid concerns about European debt crisis and the Japanese nuclear power problem. Interest rates have been held near historic lows due to the Fed’s keeping a lid on long-term rates with its $600 billion in quantitative easing that is scheduled to end in June. However, concerns are growing that the gradually improving economy and asset purchases by the Fed could stoke inflation. The stable performance of Treasuries in 2010 and early 2011 helped the Government Long Bond 1.2x Strategy Fund Investor Class close up 7.42% for the 12 months ended March 31, 2011. The Fund maintained a daily correlation of over 99% to its benchmark of 120% of the daily price movement of the Long Treasury Bond.

Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

226 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Does not reflect any interest.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(01/03/94)									(08/01/03)
	ONE			FIVE			TEN			ONE			FIVE			SINCE
	YEAR			YEAR			YEAR			YEAR			YEAR			INCEPTION
GOVERNMENT LONG BOND 1.2x STRATEGY FUND		7.42	%		5.16	%		5.29	%		7.03	%		4.52	%		4.78	%
PRICE MOVEMENT OF LONG TREASURY BOND		5.29	%		2.04	%		0.49	%		5.29	%		2.04	%		0.40	%
BARCLAYS CAPITAL LONG TREASURY BOND INDEX		7.27	%		6.29	%		6.32	%		7.27	%		6.29	%		6.16	%

	A-Class																		C-Class
	(03/31/04)																		(05/02/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
GOVERNMENT LONG BOND 1.2x STRATEGY FUND		7.35	%		2.22	%		4.94	%		3.93	%		3.78	%		3.07	%		6.47	%		5.47	%		4.10	%		4.68	%
PRICE MOVEMENT OF LONG TREASURY BOND		5.29	%		5.29	%		2.04	%		2.04	%		-0.69	%		-0.69	%		5.29	%		5.29	%		2.04	%		0.87	%
BARCLAYS CAPITAL LONG TREASURY BOND INDEX		7.27	%		7.27	%		6.29	%		6.29	%		5.18	%		5.18	%		7.27	%		7.27	%		6.29	%		6.58	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Barclays Capital Long Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage change in its closing price. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 227

SCHEDULE OF INVESTMENTS March 31, 2011

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

	Face
	Amount		Value
U.S. GOVERNMENT SECURITIES †- 88.9%
U.S. Treasury Bond 4.75% due 02/15/41	$	72,789,000	$	75,564,081
Total U.S. Government Securities (Cost $74,279,566)				75,564,081
REPURCHASE AGREEMENTS††,1 - 8.9%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		4,627,505		4,627,505
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		1,716,113		1,716,113
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		896,944		896,944
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		308,500		308,500
Total Repurchase Agreements (Cost $7,549,062)				7,549,062
Total Investments — 97.8% (Cost $81,828,628)			$	83,113,143
Cash & Other Assets, Less Liabilities — 2.2%				1,857,319
Total Net Assets — 100.0%			$	84,970,462

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED†
June 2011 Ultra Long-Term
U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $27,032,813)		219	$	245,985

†	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.

228 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2011

Assets:
Investments, at value	$	75,564,081
Repurchase agreements, at value		7,549,062
Total investments		83,113,143
Segregated cash with broker		799,350
Cash		79
Receivables:
Variation margin		54,750
Securities sold		934,312
Fund shares sold		1,959,128
Interest		435,125
Total assets		87,295,887
Liabilities:
Payable for:
Fund shares redeemed		2,092,477
Management fees		36,164
Custodian fees		2,086
Transfer agent/maintenance fees		14,466
Distribution and service fees		16,110
Portfolio accounting fees		7,233
Distribution		3,166
Other		153,723
Total liabilities		2,325,425
Net assets	$	84,970,462
Net assets consist of:
Paid in capital	$	151,875,586
Undistributed net investment income		157,000
Accumulated net realized loss on investments		(68,592,624	)
Net unrealized appreciation on investments		1,530,500
Net assets	$	84,970,462
Investor Class:
Net assets	$	44,706,966
Capital shares outstanding		3,912,272
Net asset value per share	$	11.43
Advisor Class:
Net assets	$	31,419,709
Capital shares outstanding		2,766,107
Net asset value per share	$	11.36
A-Class:
Net assets	$	2,752,598
Capital shares outstanding		240,499
Net asset value per share	$	11.45
Maximum offering price per share*	$	12.02
C-Class:
Net assets	$	6,091,189
Capital shares outstanding		533,494
Net asset value per share	$	11.42
Investments, at cost	$	74,279,566
Repurchase agreements, at cost		7,549,062
Total cost	$	81,828,628

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS
Year Ended March 31, 2011

Investment Income:
Interest	$	6,369,175
Total investment income		6,369,175
Expenses:
Management fees		798,132
Transfer agent and administrative fees		319,256
Distribution and service fees:
Advisor Class		155,455
A-Class		9,683
C-Class		109,419
Portfolio accounting fees		150,545
Trustees’ fees**		16,763
Registration fees		92,769
Miscellaneous		188,711
Total expenses		1,840,733
Net investment income		4,528,442
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(25,180,311	)
Futures contracts		(5,352,702	)
Net realized loss		(30,533,013	)
Net change in unrealized appreciation (depreciation) on:
Investments		4,088,834
Futures contracts		(44,492	)
Net change in unrealized appreciation (depreciation)		4,044,342
Net realized and unrealized loss		(26,488,671	)
Net decrease in net assets resulting from operations	$	(21,960,229	)

** 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 annual report | 229

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	4,528,442		$	5,373,225
Net realized loss on investments		(30,533,013	)		(33,938,618	)
Net change in unrealized appreciation (depreciation) on investments		4,044,342			(4,919,639	)
Net decrease in net assets resulting from operations		(21,960,229	)		(33,485,032	)
Distributions to shareholders from:
Net investment income
Investor Class		(3,465,913	)		(4,391,419	)
Advisor Class		(768,221	)		(539,964	)
A-Class		(106,843	)		(190,623	)
C-Class		(211,765	)		(253,542	)
Total distributions to shareholders		(4,552,742	)		(5,375,548	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		1,801,417,431			2,310,502,198
Advisor Class		1,632,214,111			1,023,385,056
A-Class		18,572,361			17,597,007
C-Class		70,381,488			143,663,196
Distributions reinvested
Investor Class		3,373,033			4,265,561
Advisor Class		753,317			534,630
A-Class		89,641			163,087
C-Class		199,586			237,852
Cost of shares redeemed
Investor Class		(2,011,038,348	)		(2,043,495,107	)
Advisor Class		(1,633,935,780	)		(1,000,137,157	)
A-Class		(21,725,044	)		(21,524,585	)
C-Class		(78,468,284	)		(134,407,163	)
Net increase (decrease) from capital share transactions		(218,166,488	)		300,784,575
Net increase (decrease) in net assets		(244,679,459	)		261,923,995
Net assets:
Beginning of year		329,649,921			67,725,926
End of year	$	84,970,462		$	329,649,921
Undistributed net investment income at end of year	$	157,000		$	181,300
Capital share activity:
Shares sold
Investor Class		150,851,651			200,443,233
Advisor Class		137,028,703			90,211,191
A-Class		1,510,564			1,521,794
C-Class		5,832,353			12,375,186
Shares issued from reinvestment of distributions
Investor Class		286,286			368,377
Advisor Class		62,194			47,172
A-Class		7,372			13,965
C-Class		16,077			20,611
Shares redeemed
Investor Class		(172,993,989	)		(178,191,181	)
Advisor Class		(136,988,367	)		(88,170,899	)
A-Class		(1,786,069	)		(1,835,763	)
C-Class		(6,475,524	)		(11,636,268	)
Net increase (decrease) in shares		(22,648,749	)		25,167,418

230 | the RYDEX | SGI series funds 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	10.96		$	13.74		$	11.78		$	10.59		$	10.50
Income (loss) from investment operations:
Net investment incomea		.36			.36			.36			.40			.41
Net gain (loss) on investments (realized and unrealized)		.47			(2.78	)		1.97			1.19			.09
Total from investment operations		.83			(2.42	)		2.33			1.59			.50
Less distributions from:
Net investment income		(.36	)		(.36	)		(.37	)		(.40	)		(.41	)
Total distributions		(.36	)		(.36	)		(.37	)		(.40	)		(.41	)
Net asset value, end of period	$	11.43		$	10.96		$	13.74		$	11.78		$	10.59
Total Returnb		7.42	%		(17.71	%)		20.17	%		15.43	%		4.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,707		$	282,388		$	43,237		$	30,695		$	40,816
Ratios to average net assets:
Net investment income		3.03	%		3.16	%		2.79	%		3.75	%		3.92	%
Total expenses		0.98	%		0.98	%		0.98	%		0.97	%		0.96	%
Portfolio turnover rate		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	10.88		$	13.66		$	11.72		$	10.54		$	10.50
Income (loss) from investment operations:
Net investment incomea		.31			.32			.31			.34			.37
Net gain (loss) on investments (realized and unrealized)		.47			(2.80	)		1.93			1.19			.03
Total from investment operations		.78			(2.48	)		2.24			1.53			.40
Less distributions from:
Net investment income		(.30	)		(.30	)		(.30	)		(.35	)		(.36	)
Total distributions		(.30	)		(.30	)		(.30	)		(.35	)		(.36	)
Net asset value, end of period	$	11.36		$	10.88		$	13.66		$	11.72		$	10.54
Total Returnb		7.03	%		(18.18	%)		19.49	%		14.82	%		3.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	31,420		$	28,990		$	7,867		$	25,181		$	10,815
Ratios to average net assets:
Net investment income		2.46	%		2.76	%		2.49	%		3.13	%		3.44	%
Total expenses		1.48	%		1.48	%		1.48	%		1.47	%		1.46	%
Portfolio turnover rate		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 231

GOVERNMENT LONG BOND 1.2x 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	10.96		$	13.75		$	11.79		$	10.60		$	10.50
Income (loss) from investment operations:
Net investment incomea		.33			.33			.34			.38			.38
Net gain (loss) on investments (realized and unrealized)		.49			(2.79	)		1.95			1.19			.10
Total from investment operations		.82			(2.46	)		2.29			1.57			.48
Less distributions from:
Net investment income		(.33	)		(.33	)		(.33	)		(.38	)		(.38	)
Total distributions		(.33	)		(.33	)		(.33	)		(.38	)		(.38	)
Net asset value, end of period	$	11.45		$	10.96		$	13.75		$	11.79		$	10.60
Total Returnb		7.35	%		(17.98	%)		19.84	%		15.13	%		4.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,753		$	5,576		$	11,119		$	20,374		$	11,460
Ratios to average net assets:
Net investment income		2.75	%		2.84	%		2.74	%		3.44	%		3.64	%
Total expenses		1.23	%		1.24	%		1.23	%		1.22	%		1.22	%
Portfolio turnover rate		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	10.94		$	13.72		$	11.77		$	10.59		$	10.50
Income (loss) from investment operations:
Net investment incomea		.24			.25			.25			.30			.31
Net gain (loss) on investments (realized and unrealized)		.48			(2.78	)		1.94			1.18			.08
Total from investment operations		.72			(2.53	)		2.19			1.48			.39
Less distributions from:
Net investment income		(.24	)		(.25	)		(.24	)		(.30	)		(.30	)
Total distributions		(.24	)		(.25	)		(.24	)		(.30	)		(.30	)
Net asset value, end of period	$	11.42		$	10.94		$	13.72		$	11.77		$	10.59
Total Returnb		6.47	%		(18.56	%)		18.90	%		14.20	%		3.84	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,091		$	12,695		$	5,502		$	6,239		$	15,640
Ratios to average net assets:
Net investment income		1.93	%		2.17	%		2.00	%		2.80	%		2.93	%
Total expenses		1.97	%		2.00	%		1.97	%		1.98	%		1.96	%
Portfolio turnover rate		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

a	Net investment income per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

232 | the RYDEX | SGIseries funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 233

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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 contract on a specified debt instrument. The Fund’s current benchmark is the inverse (opposite) of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: March 3, 1995

The 30-year Treasury bond ended the 12-month period ended March 31, 2011, with a yield of 5.29%. Treasury yields have been under pressure due to safe-haven buying amid concerns about European debt crisis and the Japanese nuclear power problem. Interest rates have been held near historic lows due to the Fed’s keeping a lid on long-term rates with its $600 billion in quantitative easing that is scheduled to end in June. However, concerns are growing that the gradually improving economy and asset purchases by the Fed could stoke inflation. The Inverse Government Long Bond Strategy Fund Investor Class closed down -10.72% for the 12 months ended March 31, 2011. The Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Long Treasury Bond.

Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

234 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Does not reflect any interest.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(03/03/95)									(08/01/03)
	ONE			FIVE			TEN			ONE			FIVE			SINCE
	YEAR			YEAR			YEAR			YEAR			YEAR			INCEPTION
INVERSE GOVERNMENT LONG BOND STRATEGY FUND		-10.72	%		-6.57	%		-5.83	%		-11.08	%		-6.99	%		-6.37	%
PRICE MOVEMENT OF LONG TREASURY BOND		5.29	%		2.04	%		0.49	%		5.29	%		2.04	%		0.40	%
BARCLAYS CAPITAL LONG TREASURY BOND INDEX		7.27	%		6.29	%		6.32	%		7.27	%		6.29	%		6.16	%

	A-Class															C-Class
	(03/31/04)															(03/28/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
INVERSE GOVERNMENT LONG BOND STRATEGY FUND		-10.86	%		-15.12	%		-6.79	%		-7.69	%		-5.03	%		-5.69	%		-11.53	%		-12.41	%		-7.49	%		-6.74	%
PRICE MOVEMENT OF LONG TREASURY BOND		5.29	%		5.29	%		2.04	%		2.04	%		-0.69	%		-0.69	%		5.29	%		5.29	%		2.04	%		0.49	%
BARCLAYS CAPITAL LONG TREASURY BOND INDEX		7.27	%		7.27	%		6.29	%		6.29	%		5.18	%		5.18	%		7.27	%		7.27	%		6.29	%		6.32	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Barclays Capital Long Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage change in its closing price. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 235

SCHEDULE OF INVESTMENTS March 31, 2011

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 72.3%
Fannie Mae1
0.23% due 04/29/11	$	50,000,000	$	49,999,200
0.26% due 07/11/11		50,000,000		49,984,550
0.20% due 05/18/11		25,000,000		24,998,375
0.20% due 05/02/11		15,000,000		14,999,355
Farmer Mac2
0.25% due 06/23/11		50,000,000		49,989,650
0.23% due 07/14/11		25,000,000		24,992,050
0.24% due 10/28/11		25,000,000		24,975,225
0.11% due 02/29/12		25,000,000		24,946,775
0.29% due 11/18/11		11,000,000		10,987,306
Federal Home Loan Bank2
0.02% due 04/18/11		46,000,000		45,999,566
0.29% due 11/18/11		25,000,000		24,998,825
0.30% due 10/14/11		10,000,000		10,003,879
Freddie Mac1
0.26% due 06/21/11		25,000,000		24,994,950
0.26% due 06/24/11		25,000,000		24,994,750
0.21% due 05/23/11		15,000,000		14,998,920
Federal Farm Credit Bank2
0.47% due 04/07/11		25,000,000		24,999,925
0.23% due 08/11/11		15,000,000		14,992,860
Total Federal Agency Discount Notes (Cost $461,735,536)				461,856,161
FEDERAL AGENCY NOTE†† -3.1%
Freddie Mac1 1.63% due 04/26/11		20,000,000		20,021,300
Total Federal Agency Note (Cost $20,019,239)				20,021,300
REPURCHASE AGREEMENTS†† - 94.3%
Joint Repurchase Agreements3
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		94,765,378		94,765,378
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		35,143,787		35,143,787
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		18,368,266		18,368,266
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		6,317,692		6,317,692
Individual Repurchase Agreement4
Barclays Capital issued 03/31/11 at 0.05% due 04/01/11 (Secured by a U.S. Treasury Bond, at a rate of 4.75% and maturing 02/15/41 as collateral, with a Market value of $454,158,870) to be repurchased at $447,923,803		447,923,182		447,923,182
Total Repurchase Agreements (Cost $602,518,305)				602,518,305
Total Long Investments — 169.7% (Cost $1,084,273,080)			$	1,084,395,766
U.S. GOVERNMENT SECURITIES SOLD SHORT† - (72.0)%
U.S. Treasury Bond 4.75% due 02/15/41		443,344,000	$	(460,246,490	)
Total U.S. Government Securities Sold Short (Proceeds $450,257,901)				(460,246,490	)
Cash & Other Assets,
Less Liabilities — 2.3%				14,624,556
Total Net Assets — 100.0%			$	638,773,832

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 Ultra Long-Term U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $190,340,625)		1,542	$	(330,388	)

†	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 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 portion of this security is pledged as short collateral at March 31, 2011.

236 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	481,877,461
Repurchase agreements, at value		602,518,305
Total investments		1,084,395,766
Segregated cash with broker		5,628,300
Receivables:
Securities sold		7,993,563
Fund shares sold		6,172,271
Interest		181,331
Total assets		1,104,371,231
Liabilities:
Securities sold short, at value		460,246,490
Payable for:
Variation margin		385,500
Fund shares redeemed		1,331,183
Management fees		520,212
Custodian fees		16,184
Transfer agent/maintenance fees		144,503
Distribution and service fees		143,689
Portfolio accounting fees		44,826
Short sales interest		2,572,346
Other		192,466
Total liabilities		465,597,399
Net assets	$	638,773,832
Net assets consist of:
Paid in capital	$	994,179,617
Accumulated net investment loss		—
Accumulated net realized loss on investments		(345,209,494	)
Net unrealized depreciation on investments		(10,196,291	)
Net assets	$	638,773,832
Investor Class:
Net assets	$	406,031,435
Capital shares outstanding		31,034,989
Net asset value per share	$	13.08
Advisor Class:
Net assets	$	44,797,506
Capital shares outstanding		3,556,557
Net asset value per share	$	12.60
A-Class:
Net assets	$	73,475,270
Capital shares outstanding		5,740,665
Net asset value per share	$	12.80
Maximum offering price per share*	$	13.44
C-Class:
Net assets	$	114,469,621
Capital shares outstanding		9,685,861
Net asset value per share	$	11.82
Investments, at cost	$	481,754,775
Repurchase agreements, at cost		602,518,305
Total cost	$	1,084,273,080
Securities sold short, proceeds		450,257,901

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	1,681,752
Total investment income		1,681,752
Expenses:
Management fees		5,382,826
Transfer agent and administrative fees		1,495,228
Distribution and service fees:
Advisor Class		280,127
A-Class		178,979
C-Class		1,147,960
Portfolio accounting fees		486,317
Trustees’ fees**		44,374
Short sales interest expense		21,813,382
Miscellaneous		1,061,402
Total expenses		31,890,595
Net investment loss		(30,208,843	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(9,398	)
Futures contracts		(13,783,965	)
Securities sold short		(14,371,313	)
Net realized loss		(28,164,676	)
Net change in unrealized appreciation (depreciation) on:
Investments		34,870
Securities sold short		(14,981,280	)
Futures contracts		988,589
Net change in unrealized appreciation (depreciation)		(13,957,821	)
Net realized and unrealized loss		(42,122,497	)
Net decrease in net assets resulting from operations	$	(72,331,340	)

** 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 annual report | 237

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) in Net Assets From Operations:
Net investment loss	$	(30,208,843	)	$	(14,662,876	)
Net realized gain (loss) on investments		(28,164,676	)		32,833,058
Net change in unrealized appreciation (depreciation) on investments		(13,957,821	)		21,640,391
Net increase (decrease) in net assets resulting from operations		(72,331,340	)		39,810,573
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		1,015,107,588			927,321,564
Advisor Class		1,581,298,508			1,455,291,300
A-Class		55,076,811			82,743,378
C-Class		53,771,581			119,594,003
Cost of shares redeemed
Investor Class		(942,202,484	)		(839,298,013	)
Advisor Class		(1,599,920,603	)		1,430,224,450	)
A-Class		(52,462,669	)		(60,831,796	)
C-Class		(63,407,171	)		(112,858,177	)
Net increase from capital share transactions		47,261,561			141,737,809
Net increase (decrease) in net assets		(25,069,779	)		181,548,382
Net assets:
Beginning of year		663,843,611			482,295,229
End of year	$	638,773,832		$	663,843,611
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		77,699,043			63,069,680
Advisor Class		126,977,398			102,550,797
A-Class		4,274,325			5,657,257
C-Class		4,548,281			8,857,871
Shares redeemed
Investor Class		(72,375,726	)		(57,561,726	)
Advisor Class		(128,126,460	)		(100,559,233	)
A-Class		(4,113,451	)		(423,912	)
C-Class		(5,373,749	)		(8,398,320	)
Net increase in shares		3,509,661			9,372,414

238 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.65		$	13.32		$	16.81		$	19.37		$	19.69
Income (loss) from investment operations:
Net investment income (loss)a		(.62	)		(.33	)		(.11	)		.49			(.09	)
Net gain (loss) on investments (realized and unrealized)		(.95	)		1.66			(3.38	)		(2.39	)		.40
Total from investment operations		(1.57	)		1.33			(3.49	)		(1.90	)		.31
Less distributions from:
Net investment income		—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	13.08		$	14.65		$	13.32		$	16.81		$	19.37
Total Returnb		(10.72	%)		9.98	%		(20.76	%)		(9.98	%)		1.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	406,031		$	376,574		$	269,155		$	237,900		$	313,117
Ratios to average net assets:
Net investment income (loss)		(4.78	%)		(2.23	%)		(0.72	%)		2.56	%		3.68	%
Total expenses		5.06	%		2.53	%		2.80	%		3.45	%		4.97	%
Operating expensesc		1.42	%		1.41	%		1.41	%		1.40	%		1.36	%
Portfolio turnover rate		771	%		985	%		584	%		550	%		192	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.17		$	12.95		$	16.41		$	19.01		$	19.43
Income (loss) from investment operations:
Net investment income (loss)a		(.66	)		(.39	)		(.18	)		.34			(.18	)
Net gain (loss) on investments (realized and unrealized)		(.91	)		1.61			(3.28	)		(2.28	)		.39
Total from investment operations		(1.57	)		1.22			(3.46	)		(1.94	)		.21
Less distributions from:
Net investment income		—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	12.60		$	14.17		$	12.95		$	16.41		$	19.01
Total Returnb		(11.08	%)		9.42	%		(21.08	%)		(10.39	%)		1.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,798		$	66,668		$	35,153		$	24,891		$	43,782
Ratios to average net assets:														��
Net investment income (loss)		(5.28	%)		(2.79	%)		(1.19	%)		1.84	%		3.18	%
Total expenses		5.56	%		3.09	%		3.36	%		4.10	%		5.47	%
Operating expensesc		1.91	%		1.91	%		1.91	%		1.90	%		1.86	%
Portfolio turnover rate		771	%		985	%		584	%		550	%		192	%

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 239

INVERSE GOVERNMENT LONG BOND 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.36		$	13.10		$	16.57		$	19.16		$	19.52
Income (loss) from investment operations:
Net investment income (loss)a		(.64	)		(.35	)		(.15	)		.44			(.14	)
Net gain (loss) on investments (realized and unrealized)		(.92	)		1.61			(3.32	)		(2.37	)		.41
Total from investment operations		(1.56	)		1.26			(3.47	)		(1.93	)		.27
Less distributions from:
Net investment income		—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	12.80		$	14.36		$	13.10		$	16.57		$	19.16
Total Returnb		(10.86	%)		9.62	%		(20.94	%)		(10.25	%)		1.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	73,475		$	80,151		$	54,574		$	37,256		$	69,606
Ratios to average net assets:
Net investment income (loss)		(5.03	%)		(2.47	%)		(0.94	%)		2.37	%		3.43	%
Total expenses		5.31	%		2.77	%		3.00	%		3.86	%		5.22	%
Operating expensesc		1.67	%		1.66	%		1.65	%		1.65	%		1.61	%
Portfolio turnover rate		771	%		985	%		584	%		550	%		192	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.36		$	12.28		$	15.65		$	18.26		$	18.78
Income (loss) from investment operations:
Net investment income (loss)a		(.68	)		(.43	)		(.25	)		.29			(.27	)
Net gain (loss) on investments (realized and unrealized)		(.86	)		1.51			(3.12	)		(2.24	)		.38
Total from investment operations		(1.54	)		1.08			(3.37	)		(1.95	)		.11
Less distributions from:
Net investment income		—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	11.82		$	13.36		$	12.28		$	15.65		$	18.26
Total Returnb		(11.53	%)		8.79	%		(21.53	%)		(10.87	%)		0.67	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	114,470		$	140,451		$	123,413		$	124,572		$	213,175
Ratios to average net assets:
Net investment income (loss)		(5.78	%)		(3.17	%)		(1.70	%)		1.62	%		2.68	%
Total expenses		6.06	%		3.47	%		3.81	%		4.44	%		5.97	%
Operating expensesc		2.42	%		2.41	%		2.41	%		2.40	%		2.36	%
Portfolio turnover rate		771	%		985	%		584	%		550	%		192	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Operating expenses exclude interest expense from securities sold short.

240 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 241

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

HIGH YIELD STRATEGY FUND

OBJECTIVE: To provide investment results that correlate to the performance of the high yield bond market.

Inception: April 16, 2007

The high yield market had another 12 months of strong returns, as credit spreads continued to tighten. This tightening has occurred in spite of events that could weigh heavily on credit markets, such as global market uncertainty and extensive M&A activity. Spread compression, along with Treasury yields that are only modestly higher, has produced decent performance in the high yield space for the early part of 2011. The sector is expected to continue to outperform other fixed income segments, due its short-duration bias in the face of potentially rising rates. Spread compression is expected to occur at a much slower rate for the rest of 2011. Default rates continue to trend downward.

High Yield Strategy Fund H-Class returned 15.29% for the year ended March 31, 2011, as opposed to its index, the Barclays Capital U.S. Corporate High Yield Index, which returned 14.31%.

Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.

242 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

							A-Class									C-Class						H-Class
							(04/16/07)									(04/16/07)						(04/16/07)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
HIGH YIELD STRATEGY FUND		15.21	%		9.73	%		5.47	%		4.18	%		14.40	%		13.40	%		4.68	%		15.29	%		5.45	%
S&P 500 INDEX		15.65	%		15.65	%		-0.40	%		-0.40	%		15.65	%		15.65	%		-0.40	%		15.65	%		-0.40	%
BARCLAYS CAPITAL U.S. CORPORATE HIGH YIELD INDEX		14.31	%		14.31	%		8.47	%		8.47	%		14.31	%		14.31	%		8.47	%		14.31	%		8.47	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Barclays Capital U.S. Corporate High Yield Index are unmanaged stock/bond indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 243

SCHEDULE OF INVESTMENTS March 31, 2011

HIGH YIELD STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 90.4%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	66,886,141	$	66,886,141
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112		27,481,430		27,481,430
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		24,804,759		24,804,759
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		4,459,076		4,459,076
Total Repurchase Agreements (Cost $123,631,406)				123,631,406
Total Investments — 90.4% (Cost $123,631,406)			$	123,631,406
Cash & Other Assets, Less Liabilities — 9.6%				13,163,721
Total Net Assets — 100.0%			$	136,795,127

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
June 2011 U.S. 5 Year Treasury
Note Futures Contracts (Aggregate Value of Contracts $108,585,148)		931	$	(22,955	)

CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD^††,3

											Upfront
		Protection			Maturity		Notional		Notional		Premiums		Unrealized
Index	Counterparty	Premium Rate			Date		Principal		Value		Paid		Appreciation
CDX.NA.HY-16 Index	Credit Suisse International		5.00	%		06/20/16	$	127,500,000	$	130,368,750	$	2,867,370	$	1,380
CDX.NA.HY-16 Index	Goldman Sachs International		5.00	%		06/20/16		7,900,000		8,077,750		177,657		93

†	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 March 31, 2011.
3	Credit Default Swaps — See Note 3.

244 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2011

Assets:
Repurchase agreements, at value	$	123,631,406
Total investments		123,631,406
Unamortized upfront premiums paid on credit default swaps		3,045,027
Segregated cash with broker		963,600
Unrealized appreciation on swap agreements		1,473
Receivables:
Securities sold		4,381,375
Credit default swap settlement		182,811
Fund shares sold		8,432,125
Protection fees on credit default swaps		191,035
Total assets		140,828,852
Liabilities:
Payable for:
Variation margin		180,583
Credit default swap settlement		3,229,311
Fund shares redeemed		211,203
Management fees		150,638
Custodian fees		5,627
Transfer agent/maintenance fees		50,212
Distribution and service fees		54,058
Portfolio accounting fees		19,044
Other		133,049
Total liabilities		4,033,725
Net assets	$	136,795,127
Net assets consist of:
Paid in capital	$	139,564,422
Undistributed net investment income		2,754,226
Accumulated net realized gain on investments		(5,502,039	)
Net unrealized depreciation on investments		(21,482	)
Net assets	$	136,795,127
A-Class:
Net assets	$	14,560,738
Capital shares outstanding		662,433
Net asset value per share	$	21.98
Maximum offering price per share*	$	23.08
C-Class:
Net assets	$	6,128,707
Capital shares outstanding		289,287
Net asset value per share	$	21.19
H-Class:
Net assets	$	116,105,682
Capital shares outstanding		5,290,048
Net asset value per share	$	21.95
Repurchase agreements, at cost	$	123,631,406
Total cost	$	123,631,406

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS
Year Ended March 31, 2011

Investment Income:
Interest	$	273,327
Total investment income		273,327
Expenses:
Management fees		1,407,964
Transfer agent and administrative fees		469,321
Distribution and service fees:
A-Class		21,622
C-Class		67,617
H-Class		430,795
Portfolio accounting fees		181,818
Trustees’ fees**		17,779
Tax expense		12,117
Miscellaneous		309,699
Total expenses		2,918,732
Net investment loss		(2,645,405	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		10,552,902
Futures contracts		7,429,601
Net realized gain		17,982,503
Net change in unrealized appreciation (depreciation) on:
Swap agreements		1,473
Futures contracts		(12,308	)
Net change in unrealized appreciation (depreciation)		(10,835	)
Net realized and unrealized gain		17,971,668
Net increase in net assets resulting from operations	$	15,326,263

** 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 annual report | 245

HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(2,645,405	)	$	(477,608	)
Net realized gain on investments		17,982,503			10,336,355
Net change in unrealized appreciation (depreciation) on investments		(10,835	)		4,648,002
Net increase in net assets resulting from operations		15,326,263			14,506,749
Distributions to shareholders from:
Net investment income
A-Class		(1,422,631	)		(338,599	)
C-Class		(626,512	)		(251,769	)
H-Class		(2,761,602	)		(896,465	)
Total distributions to shareholders		(4,810,745	)		(1,486,833	)
Capital share transactions:
Proceeds from sale of shares
A-Class		102,263,958			24,355,751
C-Class		68,379,959			56,181,252
H-Class		1,145,448,113			325,675,183
Distributions reinvested
A-Class		942,150			139,047
C-Class		577,687			240,261
H-Class		2,516,782			880,965
Cost of shares redeemed
A-Class		(92,522,654	)		(26,659,850	)
C-Class		(66,540,825	)		(54,919,509	)
H-Class		(1,059,304,080	)		(561,442,872	)
Net increase (decrease) from capital share transactions		101,761,090			(235,549,772	)
Net increase (decrease) in net assets		112,276,608			(222,529,856	)
Net assets:
Beginning of year		24,518,519			247,048,375
End of year	$	136,795,127		$	24,518,519
Undistributed net investment income at end of year	$	2,754,226		$	419,694
Capital share activity:
Shares sold
A-Class		4,689,630			1,256,391
C-Class		3,271,747			2,923,223
H-Class		53,236,425			17,490,919
Shares issued from reinvestment of distributions
A-Class		43,801			7,005
C-Class		27,800			12,410
H-Class		117,169			44,467
Shares redeemed
A-Class		(4,306,080	)		(1,373,795	)
C-Class		(3,178,877	)		(2,875,573	)
H-Class		(48,866,599	)		(31,157,166	)
Net increase (decrease) in shares		5,035,016			(13,672,119	)

246 | the RYDEX | SGI series funds 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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008a,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		(.30	)		(.26	)		(.16	)		.69
Net gain (loss) on investments (realized and unrealized)		3.37			5.39			(3.51	)		(1.31	)
Total from investment operations		3.07			5.13			(3.67	)		(.62	)
Less distributions from:
Net investment income		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	21.98		$	20.42		$	16.64		$	24.31
Total Returnd		15.21	%		31.07	%		(16.15	%)		(2.49	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,561		$	4,800		$	5,748		$	10,530
Ratios to average net assets:
Net investment income (loss)		(1.40	%)		(1.37	%)		(0.71	%)		2.79	%
Total expenses		1.54	%		1.54	%		1.57	%		1.50	%
Portfolio turnover rate		—			—			—			—

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008a,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		(.45	)		(.40	)		(.25	)		.46
Net gain (loss) on investments (realized and unrealized)		3.28			5.29			(3.54	)		(1.27	)
Total from investment operations		2.83			4.89			(3.79	)		(.81	)
Less distributions from:
Net investment income		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	21.19		$	19.87		$	16.33		$	24.12
Total Returnd		14.40	%		30.17	%		(16.83	%)		(3.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,129		$	3,351		$	1,773		$	1,001
Ratios to average net assets:
Net investment income (loss)		(2.13	%)		(2.13	%)		(1.21	%)		1.90	%
Total expenses		2.28	%		2.29	%		2.32	%		2.22	%
Portfolio turnover rate		—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 247

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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008a,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		(.30	)		(.26	)		(.04	)		.62
Net gain (loss) on investments (realized and unrealized)		3.38			5.38			(3.63	)		(1.27	)
Total from investment operations		3.08			5.12			(3.67	)		(.65	)
Less distributions from:
Net investment income		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	21.95		$	20.38		$	16.61		$	24.28
Total Returnd		15.29	%		31.07	%		(16.16	%)		(2.61	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	116,106		$	16,368		$	239,528		$	64,290
Ratios to average net assets:
Net investment income (loss)		(1.38	%)		(1.37	%)		(0.20	%)		2.55	%
Total expenses		1.53	%		1.53	%		1.56	%		1.49	%
Portfolio turnover rate		—			—			—			—

a	For the period ended March 31, 2008, 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) per share 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.

248 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 249

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

INVERSE HIGH YIELD STRATEGY FUND

OBJECTIVE: To provide investment results that inversely correlate to the performance of the high yield bond market.

Inception: April 16, 2007

The high yield market had another 12 months of strong returns, as credit spreads continued to tighten. This tightening has occurred in spite of events that could weigh heavily on credit markets, such as global market uncertainty and extensive M&A activity. Spread compression, along with Treasury yields that are only modestly higher, has produced decent performance in the high yield space for the early part of 2011. The sector is expected to continue to outperform other fixed income segments, due its short-duration bias in the face of potentially rising rates. Spread compression is expected to occur at a much slower rate for the rest of 2011. Default rates continue to trend downward.

Inverse High Yield Strategy Fund H-Class returned -16.99% for the year ended March 31, 2011, as opposed to its index, the Barclays Capital U.S. Corporate High Yield Index, which returned 14.31%.

Inverse High Yield Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Barclays Capital U.S. Corporate High Yield Index during this period.

Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

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.

250 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class									H-Class
	(04/16/07)												(04/16/07)									(04/16/07)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
INVERSE HIGH YIELD STRATEGY FUND		-16.96	%		-20.90	%		-9.91	%		-11.01	%		-17.61	%		-18.43	%		-10.52	%		-16.99	%		-9.87	%
S&P 500 INDEX		15.65	%		15.65	%		-0.40	%		-0.40	%		15.65	%		15.65	%		-0.40	%		15.65	%		-0.40	%
BARCLAYS CAPITAL U.S. CORPORATE HIGH YIELD INDEX		14.31	%		14.31	%		8.47	%		8.47	%		14.31	%		14.31	%		8.47	%		14.31	%		8.47	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Barclays Capital U.S. Corporate High Yield Index are unmanaged stock/bond indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

the RYDEX | SGI series funds annual report | 251

SCHEDULE OF INVESTMENTS March 31, 2011

INVERSE HIGH YIELD STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 147.4%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	10,533,081	$	10,533,081
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112		5,122,172		5,122,172
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		3,906,198		3,906,198
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		702,206		702,206
Total Repurchase Agreements (Cost $20,263,657)				20,263,657
Total Investments — 147.4% (Cost $20,263,657)			$	20,263,657
Liabilities, Less Cash & Other Assets — (47.4)%				(6,517,214	)
Total Net Assets — 100.0%			$	13,746,443

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
June 2011 U.S. 5 Year Treasury Note Futures Contracts (Aggregate Value of Contracts $13,412,773)		115	$	179,528

CREDIT DEFAULT SWAP AGREEMENT PROTECTION PURCHASED^††

											Upfront
		Protection			Maturity		Notional		Notional		Premiums		Unrealized
Index	Counterparty	Premium Rate			Date		Principal		Value		Received		Depreciation
CDX.NA.HY-16 Index	Credit Suisse International		5.00	%		06/20/16	$	6,000,000	$	6,135,000	$	134,929		$(71	)
CDX.NA.HY-16 Index	Goldman Sachs International		5.00	%		06/20/16		7,900,000		8,077,750		177,657		(93	)

†	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 March 31, 2011.

252 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

INVERSE HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Repurchase agreements, at value		$	20,263,657
Total investments			20,263,657
Segregated cash with broker			192,500
Receivables:
Variation margin			32,669
Credit default swap settlement			499,277
Fund shares sold			30,000
Total assets			21,018,103
Liabilities:
Unamortized upfront premiums received on credit default swaps			312,586
Unrealized depreciation on swap agreements			164
Payable for:
Securities purchased			1,005,750
Fund shares redeemed			5,849,114
Management fees			15,104
Custodian fees			564
Transfer agent/maintenance fees			5,035
Distribution and service fees			6,477
Portfolio accounting fees			2,014
Credit default swap settlement			32,778
Protection fees on credit default swaps			31,895
Other			10,179
Total liabilities			7,271,660
Net assets		$	13,746,443
Net assets consist of:
Paid in capital		$	22,309,581
Accumulated net investment loss			—
Accumulated net realized loss on investments			(8,742,502	)
Net unrealized appreciation on investments			179,364
Net assets		$	13,746,443
A-Class:
Net assets		$	1,512,039
Capital shares outstanding			47,267
Net asset value per share		$	31.99
Maximum offering price per share*		$	33.59
C-Class:
Net assets		$	2,535,438
Capital shares outstanding			81,469
Net asset value per share		$	31.12
H-Class:
Net assets		$	9,698,966
Capital shares outstanding			302,728
Net asset value per share	��	$	32.04
Repurchase agreements, at cost		$	20,263,657
Total cost		$	20,263,657

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	29,022
Total investment income		29,022
Expenses:
Management fees		142,467
Transfer agent and administrative fees		47,489
Distribution and service fees:
A-Class		8,146
C-Class		18,869
H-Class		34,625
Portfolio accounting fees		18,995
Trustees’ fees**		2,046
Miscellaneous		32,930
Total expenses		305,567
Net investment loss		(276,545	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(3,759,385	)
Futures contracts		(609,108	)
Net realized loss		(4,368,493	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		(164	)
Futures contracts		152,696
Net change in unrealized appreciation (depreciation)		152,532
Net realized and unrealized loss		(4,215,961	)
Net decrease in net assets resulting from operations	$	(4,492,506	)

** 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 annual report | 253

INVERSE HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(276,545	)	$	(228,310	)
Net realized loss on investments		(4,368,493	)		(5,502,310	)
Net change in unrealized appreciation (depreciation) on investments		152,532			(541,574	)
Net decrease in net assets resulting from operations		(4,492,506	)		(6,272,194	)
Distributions to shareholders from:
Net realized gains
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		40,028,327			12,627,238
C-Class		5,760,752			9,043,657
H-Class		230,820,350			175,820,086
Distributions reinvested
A-Class		—			1,532
C-Class		—			12,023
H-Class		—			45,507
Cost of shares redeemed
A-Class		(39,859,655	)		(12,117,361	)
C-Class		(4,931,877	)		(7,250,037	)
H-Class		(245,856,867	)		(156,508,926	)
Net increase (decrease) from capital share transactions		(14,038,970	)		21,673,719
Net increase (decrease) in net assets		(18,531,476	)		15,332,579
Net assets:
Beginning of year		32,277,919			16,945,340
End of year	$	13,746,443		$	32,277,919
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
A-Class		1,182,246			297,756
C-Class		179,518			204,716
H-Class		6,507,282			3,800,768
Shares issued from reinvestment of distributions
A-Class		—			38
C-Class		—			305
H-Class		—			1,133
Shares redeemed
A-Class		(1,193,892	)		(280,194	)
C-Class		(152,460	)		(166,550	)
H-Class		(6,928,732	)		(3,327,437	)
Net increase (decrease) in shares		(406,038	)		530,535

254 | the RYDEX | SGI series funds 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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008a,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		(.47	)		(.63	)		(.10	)		.54
Net gain (loss) on investments (realized and unrealized)		(6.05	)		(15.60	)		5.29			.72
Total from investment operations		(6.52	)		(16.23	)		5.19			1.26
Less distributions from:
Net realized gains		—			(.39	)		(1.32	)		—
Total distributions		—			(.39	)		(1.32	)		—
Net asset value, end of period	$	31.99		$	38.51		$	55.13		$	51.26
Total Returnd		(16.96	%)		29.47	%		10.17	%		2.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,512		$	2,269		$	2,278		$	1,673
Ratios to average net assets:
Net investment income (loss)		(1.39	%)		(1.43	%)		(0.19	%)		1.09	%
Total expenses		1.53	%		1.54	%		1.52	%		1.52	%
Portfolio turnover rate		—			—			—			—

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008a,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		(.72	)		(.95	)		(.52	)		(.62	)
Net gain (loss) on investments (realized and unrealized)		(5.93	)		(15.38	)		5.27			1.68
Total from investment operations		(6.65	)		(16.33	)		4.75			1.06
Less distributions from:
Net realized gains		—			(.39	)		(1.32	)		—
Total distributions		—			(.39	)		(1.32	)		—
Net asset value, end of period	$	31.12		$	37.77		$	54.49		$	51.06
Total Returnd		(17.61	%)		(30.00	%)		9.34	%		2.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,535		$	2,055		$	869		$	2,958
Ratios to average net assets:
Net investment loss		(2.13	%)		(2.18	%)		(1.00	%)		(1.25	%)
Total expenses		2.28	%		2.29	%		2.28	%		2.26	%
Portfolio turnover rate		—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 255

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.

	Year Ended			Year Ended			Year Ended			Period Ended
	March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008a,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		(.50	)		(.61	)		(.29	)		1.44
Net gain (loss) on investments (realized and unrealized)		(6.06	)		(15.66	)		5.49			(.06	)
Total from investment operations		(6.56	)		(16.27	)		5.20			1.38
Less distributions from:
Net realized gains		—			(.39	)		(1.32	)		—
Total distributions		—			(.39	)		(1.32	)		—
Net asset value, end of period	$	32.04		$	38.60		$	55.26		$	51.38
Total Returnd		(16.99	%)		(29.47	%)		10.17	%		2.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,699		$	27,954		$	13,799		$	6,536
Ratios to average net assets:
Net investment income (loss)		(1.38	%)		(1.43	%)		(0.55	%)		2.84	%
Total expenses		1.53	%		1.53	%		1.53	%		1.52	%
Portfolio turnover rate		—			—			—			—

a	For the period ended March 31, 2008, 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) per share 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.

256 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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the RYDEX | SGI series funds annual report | 257

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

U.S. GOVERNMENT MONEY MARKET FUND

OBJECTIVE: To provide security of principal, high current income, and liquidity.

Inception: December 1, 1993

For the 12 months ended March 31, 2011, U.S. Government Money Market Fund Investor Class had a total return of 0.01%. Money market yields continued to languish in the low-interest rate environment maintained by the Fed, which has continued to keep short-term rates at 0.0% to 0.25%. Hundreds of billions of dollars have moved out of money market funds in the past year in search of better yields. The President’s Working Group on Financial Markets released a report detailing a number of options for reforms related to money market funds in October, which were designed to address the vulnerabilities of money market funds that contributed to the financial crisis in 2008. The Securities and Exchange Commission called for reforms, now in place, to mitigate the systemic risk associated with money market funds and reduce their susceptibility to runs.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

FAN — Federal Agency Notes.
FADN — Federal Agency Discount Notes.

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.

258 | the RYDEX | SGI series funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Investor2 Class						Advisor Class
	(12/01/93)									(07/10/09)						(04/01/98)
	ONE			FIVE			TEN			ONE			SINCE			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			INCEPTION			YEAR			YEAR			YEAR
U.S. GOVERNMENT MONEY MARKET FUND		0.01	%		1.81	%		1.59	%		0.01	%		0.01	%		0.01	%		1.52	%		1.24	%

	A-Class									C-Class
	(03/31/04)									(10/19/00)
	ONE			FIVE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR			INCEPTION			YEAR			YEAR*			YEAR			YEAR
U.S. GOVERNMENT MONEY MARKET FUND		0.01	%		1.67	%		1.63	%		0.01	%		-0.99	%		1.24	%		0.96	%

* Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX | SGI series funds annual report | 259

SCHEDULE OF INVESTMENTS March 31, 2011

U.S. GOVERNMENT MONEY MARKET FUND

	FACE
	AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES†† — 34.2%
Freddie Mac1
0.26% due 07/05/11	$	25,000,000	$	24,982,847
0.17% due 09/12/11		25,000,000		24,981,208
0.22% due 12/01/11		25,000,000		24,962,722
0.23% due 04/05/11		15,000,000		14,999,617
0.26% due 06/21/11		15,000,000		14,991,394
0.17% due 09/26/11		15,000,000		14,987,391
0.18% due 10/28/11		15,000,000		14,984,250
0.23% due 09/14/11		15,000,000		14,984,092
Farmer Mac2
0.25% due 06/01/11		25,000,000		24,989,410
0.16% due 05/12/11		15,000,000		14,997,267
0.25% due 06/23/11		15,000,000		14,991,354
0.26% due 09/28/11		15,000,000		14,980,500
0.25% due 09/29/11		10,000,000		9,987,430
Fannie Mae1
0.11% due 06/02/11		25,000,000		24,995,264
0.16% due 08/08/11		25,000,000		24,985,667
0.18% due 04/13/11		15,000,000		14,999,125
0.21% due 10/03/11		10,000,000		9,989,208
Federal Farm Credit Bank2
0.20% due 08/05/11		10,000,000		9,993,000
0.23% due 08/08/11		10,000,000		9,991,758
0.23% due 08/11/11		10,000,000		9,991,567
0.25% due 10/13/11		10,000,000		9,986,458
0.21% due 12/28/11		10,000,000		9,984,192
Federal Home Loan Bank2
0.17% due 08/03/11		25,000,000		24,985,792
Total Federal Agency Discount Notes Cost $379,721,513)				379,721,513
FEDERAL AGENCY NOTES†† — 3.6%
Federal Home Loan Bank2
0.25% due 03/07/12		25,000,000		24,999,514
0.30% due 10/14/11		15,000,000		15,002,543
Total Federal Agency Notes (Cost $40,002,057)				40,002,057
WORLD BANK DISCOUNT NOTE†† — 0.9%
World Bank Discount Note
0.19% due 04/25/11		10,000,000		9,998,733
Total World Bank Discount Note (Cost $9,998,733)				9,998,733
REPURCHASE AGREEMENT††,3 — 60.3%
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06% due 04/01/11		668,611,573		668,611,573
Total Repurchase Agreement (Cost $668,611,573)				668,611,573
COMMERCIAL PAPER†† — 6.8%
John Deere Capital Corp.
0.20% due 04/05/11		5,000,000		4,999,889
0.17% due 04/19/11		5,000,000		4,999,575
Proctor & Gamble International Funding
0.17% due 04/13/11		5,000,000		4,999,717
Societe Generale
0.39% due 04/18/11		5,000,000		4,999,079
Abbot Laboratories
0.17% due 05/31/11		5,000,000		4,998,583
Westpack Banking Corp.
0.30% due 05/10/11		5,000,000		4,998,375
Sheffield Receivables Corp.
0.26% due 05/26/11		5,000,000		4,998,014
Coca-Cola Co.
0.25% due 05/31/11		5,000,000		4,997,917
Prudential plc
0.52% due 05/09/11		5,000,000		4,997,256
Bank of America
0.28% due 06/20/11		5,000,000		4,996,889
Danske Corp.
0.38% due 06/01/11		5,000,000		4,996,781
Nestle Capital Corp.
0.24% due 07/20/11		5,000,000		4,996,333
ING (US) Funding LLC
0.36% due 08/04/11		5,000,000		4,993,750
Barclays (US) Funding LLC
0.42% due 11/15/11		5,000,000		4,986,700
UBS Finance (DE) LLC
0.45% due 12/02/11		5,000,000		4,984,687
Total Commercial Paper (Cost $74,943,545)				74,943,545
Total Investments — 105.8% (Cost $1,173,277,421)			$	1,173,277,421
Liabilities, Less Cash & Other Assets — (5.8)%				(64,161,967	)
Total Net Assets — 100.0%			$	1,109,115,454

††	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 operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreement — See Note 7.
plc — Public Limited Company

260 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	504,665,848
Repurchase agreements, at value		668,611,573
Total investments		1,173,277,421
Cash		15,538
Receivables:
Fund shares sold		26,724,250
Interest		26,215
Total assets		1,200,043,424
Liabilities:
Payable for:
Fund shares redeemed		90,183,184
Management fees		16
Custodian fees		26,287
Portfolio accounting fees		1,737
Distribution		18
Other		716,728
Total liabilities		90,927,970
Net assets	$	1,109,115,454
Net assets consist of:
Paid in capital	$	1,109,095,167
Undistributed net investment income		679
Accumulated net realized gain on investments		19,608
Unrealized appreciation on investments		—
Net assets	$	1,109,115,454
Investor Class:
Net assets	$	833,899,190
Capital shares outstanding		834,310,458
Net asset value per share	$	1.00
Investor2 Class:
Net assets	$	45,449,102
Capital shares outstanding		45,446,633
Net asset value per share	$	1.00
Advisor Class:
Net assets	$	139,903,947
Capital shares outstanding		140,017,434
Net asset value per share	$	1.00
A-Class:
Net assets	$	40,840,604
Capital shares outstanding		40,857,938
Net asset value per share	$	1.00
C-Class:
Net assets	$	49,022,611
Capital shares outstanding		49,073,668
Net asset value per share	$	1.00
Investments, at cost	$	504,665,848
Repurchase agreements, at cost		668,611,573
Total cost	$	1,173,277,421

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Interest	$	2,713,768
Other income		890
Total investment income		2,714,658
Expenses:
Management fees		6,080,929
Transfer agent and administrative fees		2,432,399
Distribution and service fees:
Advisor Class		1,252,940
A-Class		74,815
C-Class		659,962
Portfolio accounting fees		702,359
Trustees’ fees*		133,571
Registration fees		785,988
Miscellaneous		1,309,823
Total expenses		13,432,786
Less:
Expenses waived by Service Company		(2,574,658	)
Expenses waived by Distributor		(1,987,717	)
Expenses waived by Advisor		(6,222,333	)
Total waived expenses		(10,784,708	)
Net expenses		2,648,078
Net investment income		66,580
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		22,225
Net realized gain		22,225
Net change in unrealized appreciation (depreciation) on:		—
Net realized and unrealized gain		22,225
Net increase in net assets resulting from operations	$	88,805

* 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 annual report | 261

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010		*
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	66,580		$	83,445
Net realized gain on investments		22,225			35,221
Net increase in net assets resulting from operations		88,805			118,666
Distributions to shareholders from:
Net investment income
Investor Class		(44,307	)		(53,992	)
Investor2 Class		(2,773	)		(2,310	)
Advisor Class		(13,727	)		(18,327	)
A-Class		(2,159	)		(2,196	)
C-Class		(3,616	)		(5,899	)
Net realized gains
Investor Class		(22,699	)		—
Investor2 Class		(1,157	)		—
Advisor Class		(4,482	)		—
A-Class		(1,101	)		—
C-Class		(1,385	)		—
Total distributions to shareholders		(97,406	)		(82,724	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		9,630,003,112			12,766,483,416
Investor2 Class		48,377,228			39,417,792
Advisor Class		5,264,379,210			12,882,811,665
A-Class		151,697,120			99,314,014
C-Class		322,812,213			1,043,565,916
Distributions reinvested
Investor Class		66,874			53,863
Investor2 Class		3,178			1,613
Advisor Class		18,140			18,334
A-Class		3,160			2,109
C-Class		4,826			5,744
Value of proceeds from merger
Investor2 Class		—			62,269,356
Cost of shares redeemed
Investor Class		(9,668,927,624	)		(13,008,084,870	)
Investor2 Class		(54,121,061	)		(50,501,476	)
Advisor Class		(5,248,363,560	)		(13,100,463,671	)
A-Class		(141,499,697	)		(117,729,668	)
C-Class		(350,392,231	)		(1,102,305,047	)
Net decrease from capital share transactions		(45,939,112	)		(485,140,910	)
Net decrease in net assets		(45,947,713	)		(485,104,968	)
Net assets:
Beginning of year		1,155,063,167			1,640,168,135
End of year	$	1,109,115,454		$	1,155,063,167
Undistributed net investment income at end of year	$	679		$	681
Capital share activity:

262 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010		*
Shares sold
Investor Class		9,630,003,112			12,766,483,413
Investor2 Class		48,377,228			39,417,792
Advisor Class		5,264,379,210			12,882,811,665
A-Class		151,697,119			99,314,014
C-Class		322,812,212			1,043,565,916
Shares issued from reinvestment of distributions
Investor Class		66,868			53,863
Investor2 Class		3,179			1,613
Advisor Class		18,140			18,334
A-Class		3,161			2,109
C-Class		4,825			5,743
Shares from merger
Investor2 Class		—			62,269,356
Shares redeemed
Investor Class		(9,668,927,624	)		(13,008,084,868	)
Investor2 Class		(54,121,059	)		(50,501,476	)
Advisor Class		(5,248,363,560	)		(13,100,463,671	)
A-Class		(141,499,697	)		(117,729,668	)
C-Class		(350,392,230	)		(1,102,305,046	)
Net decrease in shares		(45,939,116	)		(485,140,911	)

^* Since commencement of operations: July 10, 2009-U.S. Government Money Market Fund Investor2 Class.

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 263

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		.01			.04			.04
Net gain on investments (realized and unrealized)		—	a		—			—			—			—
Total from investment operations		—	a		—	a		.01			.04			.04
Less distributions from:
Net investment income		(—	)a		(—	)a		(.01	)		(.04	)		(.04	)
Net realized gain		(—	)a		—			—			—			—
Total distributions		(—	)a		(—	)a		(.01	)		(.04	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.01	%		0.01	%		1.06	%		3.76	%		4.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	833,899		$	872,765		$	1,114,286		$	978,584		$	982,347
Ratios to average net assets:
Net investment income		0.01	%		0.01	%		1.02	%		3.71	%		4.20	%
Total expenses		0.94	%		0.93	%		0.95	%		0.93	%		0.92	%
Net expensesc		0.22	%		0.37	%		0.90	%		0.93	%		0.92	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Period Ended
	March 31,			March 31,
Investor2	2011			2010d,e
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a
Net gain on investments (realized and unrealized)		—	a		—
Total from investment operations		—	a		—	a
Less distributions from:
Net investment income		(—	)a		(—	)a
Net realized gain		(—	)a		—
Total distributions		(—	)a		(—	)a
Net asset value, end of period	$	1.00		$	1.00
Total Returnb		0.01	%		0.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	45,449		$	51,190
Ratios to average net assets:
Net investment income		0.01	%		0.01	%
Total expenses		0.94	%		0.94	%
Net expensesc		0.22	%		0.29	%
Portfolio turnover rate		—			—

264 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		.01			.03			.04
Net gain on investments (realized and unrealized)		—	a		—			—			—			—
Total from investment operations		—	a		—	a		.01			.03			.04
Less distributions from:
Net investment income		(—	)a		(—	)a		(.01	)		(.03	)		(.04	)
Net realized gain		(—	)a		—			—			—			—
Total distributions		(—	)a		(—	)a		(.01	)		(.03	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.01	%		0.01	%		0.65	%		3.24	%		3.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	139,904		$	123,870		$	341,425		$	159,111		$	204,068
Ratios to average net assets:
Net investment income		0.01	%		0.03	%		0.55	%		3.25	%		3.70	%
Total expenses		1.44	%		1.43	%		1.45	%		1.43	%		1.42	%
Net expensesc		0.22	%		0.37	%		1.26	%		1.43	%		1.42	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		(—	)a		.01			.03			.04
Net gain on investments (realized and unrealized)		—	a		—			—			—			—
Total from investment operations		—	a		(—	)a		.01			.03			.04
Less distributions from:
Net investment income		(—	)a		(—	)a		(.01	)		(.03	)		(.04	)
Net realized gain		(—	)a		—			—			—			—
Total distributions		(—	)a		(—	)a		(.01	)		(.03	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.01	%		0.01	%		0.85	%		3.51	%		4.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	40,841		$	30,640		$	49,072		$	21,174		$	18,779
Ratios to average net assets:
Net investment income (loss)		0.01	%		(0.04	%)		0.74	%		3.45	%		3.97	%
Total expenses		1.13	%		1.18	%		1.20	%		1.18	%		1.17	%
Net expensesc		0.21	%		0.38	%		1.09	%		1.18	%		1.17	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds annual report | 265

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		(—	)a		—	a		.03			.03
Net gain on investments (realized and unrealized)		—	a		—			—			—			—
Total from investment operations		—	a		(—	)a		—			.03			.03
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a		(.03	)		(.03	)
Net realized gain		(—	)a		—			—			—			—
Total distributions		(—	)a		(—	)a		(—	)a		(.03	)		(.03	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.01	%		0.01	%		0.26	%		2.74	%		3.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	49,023		$	76,598		$	135,384		$	121,436		$	120,415
Ratios to average net assets:
Net investment income (loss)		0.01	%		(0.05	%)		0.24	%		2.69	%		3.20	%
Total expenses		1.94	%		1.93	%		1.95	%		1.93	%		1.92	%
Net expensesc		0.22	%		0.39	%		1.70	%		1.93	%		1.92	%
Portfolio turnover rate		—			—			—			—			—

a	Less than $0.01 per share.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net expense information reflects the expense ratios after voluntary expense waivers.
d	For the period ended March 31, 2010, percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
e	Since commencement of operations: July 10, 2009 — U.S. Government Money Market Fund Investor2 Class.

266 | the RYDEX | SGI series funds annual report See Notes to Financial Statements.

NOTES TO FINANCIAL STATEMENTS

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 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 front-end sales charge at the net asset value (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 12 months of purchase.

At March 31, 2011, the Trust consisted of fifty-eight separate Funds. This report covers the Target Beta and the Money Market Funds (the “Funds”), while the other Funds are contained in separate reports.

Security Global Investors (“SGI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative, and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. SGI, RFS and RDL 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 March 31, 2011, 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.

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 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, which approximates market value.

Debt securities in a non 2a-7 money market fund with a maturity greater than 60 days at the time of purchase 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 or less at the time of purchase 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 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 swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by

the RYDEX | SGI series funds annual report | 267

NOTES TO FINANCIAL STATEMENTS (continued)

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 SGI 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 a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the 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. Certain Funds entered into stock, bond and currency index 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 futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The following Funds entered into futures contracts for the following purposes:

	Index
Fund	Exposure		Liquidity
Nova Fund		X		X
S&P 500 Fund		X		X
Inverse S&P 500 Strategy Fund		X		X
NASDAQ-100® Fund		X		X
Inverse NASDAQ-100® Strategy Fund		X		X
Mid-Cap 1.5x Strategy Fund		X		X
Inverse Mid-Cap Strategy Fund		X		X
Russell 2000® 1.5x Strategy Fund		X		X
Russell 2000® Fund		X		X
Inverse Russell 2000® Strategy Fund		X		X
Europe 1.25x Strategy Fund		X		X
Japan 2x Strategy Fund		X		X
Strengthening Dollar 2x Strategy Fund		X		X
Weakening Dollar 2x Strategy Fund		X		X
Government Long Bond 1.2x Strategy Fund		X		X
Inverse Government Long Bond Strategy Fund		X		X
High Yield Strategy Fund		X		X
Inverse High Yield Strategy Fund		X		X

268 | the RYDEX | SGI series funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

F. Certain Funds entered 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 following Funds entered into swap agreements for the following purposes:

	Index
Fund	Exposure		Liquidity
Nova Fund		X		X
S&P 500 Fund		X		X
Inverse S&P 500 Strategy Fund		X		X
NASDAQ-100® Fund		X		X
Inverse NASDAQ-100® Strategy Fund		X		X
Mid-Cap 1.5x Strategy Fund		X		X
Inverse Mid-Cap Strategy Fund		X		X
Russell 2000® 1.5x Strategy Fund		X		X
Russell 2000® Fund		X		X
Inverse Russell 2000® Strategy Fund		X		X
Europe 1.25x Strategy Fund		X		X
Japan 2x Strategy Fund		X		X
Strengthening Dollar 2x Strategy Fund		X		X
Weakening Dollar 2x Strategy Fund		X		X
High Yield Strategy Fund		X		X
Inverse High Yield Strategy Fund		X		X

The High Yield Strategy Fund and Inverse High Yield Strategy Fund 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 swap 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.

G. 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.

H. 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.

I. 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, 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.

J. 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.

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2. Financial Instruments

As part of its investment strategy, the Funds utilize short sales and a variety of derivative instruments, including 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 a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, 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.

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 SGI 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, 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 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 had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap,

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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 244 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of March 31, 2011.

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 derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the year ended March 31, 2011, certain Funds sought to gain exposure to their respective benchmarks by investing in currency and financial-linked derivative instruments, including swap agreements and 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
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		75	%
Inverse Mid-Cap Strategy Fund		100	%
Russell 2000® 1.5x Strategy Fund		140	%
Russell 2000® Fund		90	%
Inverse Russell 2000® Strategy Fund		100	%
Europe 1.25x Strategy Fund		45	%*
Japan 2x Strategy Fund		200	%*
Strengthening Dollar 2x Strategy Fund		200	%
Weakening Dollar 2x Strategy Fund		200	%
Government Long Bond 1.2x Strategy Fund		30	%
Inverse Government Long Bond Strategy Fund		30	%
High Yield Strategy Fund		100	%*
Inverse High Yield Strategy Fund		105	%*

* These Funds utilize a combination of currency and/or financial-linked derivatives to obtain exposure to their benchmarks. The combined derivative investment exposure is 95%, 400%, 180%, 105% (Long) and 100% (Short) for the Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, High Yield Strategy Fund, and Inverse High Yield Strategy Fund, respectively.

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2011:

Location on the Statements of Assets and Liabilities

Derivative
Investments Type	Asset Derivatives	Liability Derivatives
Equity, currency, interest rate, and credit contracts	Variation Margin Unrealized Appreciation on Swap Agreements	Variation Margin Unrealized Depreciation on Swap Agreements

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The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2011:

	Asset Derivative Investments Value
	Futures		Swaps		Futures		Swaps		Futures		Credit		Total Value at
	Equity		Equity		Currency		Currency		Interest Rate		Default		March 31,
Fund	Contracts*		Contracts		Contracts*		Contracts		Contracts*		Contracts		2011
Nova Fund	$	114,232	$	597,010	$	—	$	—	$	—	$	—	$	711,242
S&P 500 Fund		410,676		531,121		—		—		—		—		941,797
Inverse S&P 500 Strategy Fund		—		—		—		—		—		—		—
NASDAQ-100® Fund		8,823		770,536		—		—		—		—		779,359
Inverse NASDAQ-100® Strategy Fund		—		—		—		—		—		—		—
Mid-Cap 1.5x Strategy Fund		145		864,707		—		—		—		—		864,852
Inverse Mid-Cap Strategy Fund		—		—		—		—		—		—		—
Russell 2000® 1.5x Strategy Fund		114,640		1,413,606		—		—		—		—		1,528,246
Russell 2000® Fund		313,230		313,018		—		—		—		—		626,248
Inverse Russell 2000® Strategy Fund		—		—		—		—		—		—		—
Europe 1.25x Strategy Fund		8,507		—		136,599		—		—		—		145,106
Japan 2x Strategy Fund		766,681		—		—		—		—		—		766,681
Strengthening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		407,705		139,347		—		—		547,052
Government Long Bond 1.2x Strategy Fund		—		—		—		—		245,985		—		245,985
Inverse Government Long Bond Strategy Fund		—		—		—		—		—		—		—
High Yield Strategy Fund		—		—		—		—		—		1,473		1,473
Inverse High Yield Strategy Fund		—		—		—		—		179,528		—		179,528

	Liability Derivative Investments Value
	Futures		Swaps		Futures		Swaps		Futures		Credit		Total Value at
	Equity		Equity		Currency		Currency		Interest Rate		Default		March 31,
Fund	Contracts*		Contracts		Contracts*		Contracts		Contracts*		Contracts		2011
Nova Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—
S&P 500 Fund		—		—		—		—		—		—		—
Inverse S&P 500 Strategy Fund		368,931		1,010,425		—		—		—		—		1,379,356
NASDAQ-100® Fund		—		—		—		—		—		—		—
Inverse NASDAQ-100® Strategy Fund		173,780		336,328		—		—		—		—		510,108
Mid-Cap 1.5x Strategy Fund		—		—		—		—		—		—		—
Inverse Mid-Cap Strategy Fund		107		45,804		—		—		—		—		45,911
Russell 2000® 1.5x Strategy Fund		—		—		—		—		—		—		—
Russell 2000® Fund		—		—		—		—		—		—		—
Inverse Russell 2000® Strategy Fund		5,510		263,174		—		—		—		—		268,684
Europe 1.25x Strategy Fund		11,114		—		—		—		—		—		11,114
Japan 2x Strategy Fund		—		—		223,123		—		—		—		223,123
Strengthening Dollar 2x Strategy Fund		—		—		316,775		175,684		—		—		492,459
Weakening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Government Long Bond 1.2x Strategy Fund		—		—		—		—		—		—		—
Inverse Government Long Bond Strategy Fund		—		—		—		—		330,388		—		330,388
High Yield Strategy Fund		—		—		—		—		22,955		—		22,955
Inverse High Yield Strategy Fund		—		—		—		—		—		164		164

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

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The following is a summary of the location of derivative investments on the Fund’s Statements of Operations for the year ended March 31, 2011:

Derivative Investment	Location of Gain (Loss) on Derivatives
Equity/currency contracts	Net realized gain (loss) on futures contracts and swap agreements
	Net change in unrealized appreciation (depreciation) on futures contracts and swap agreements
Interest Rate contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Credit contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2011:

	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	$	1,549,993		$	5,592,873		$	—		$	—		$	—		$	—		$	7,142,866
S&P 500 Fund		1,920,190			5,214,039			—			—			—			—			7,134,229
Inverse S&P 500 Strategy Fund		(25,439,615	)		(33,203,942	)		—			—			—			—			(58,643,557	)
NASDAQ-100® Fund		7,016,028			5,611,367			—			—			—			—			12,627,395
Inverse NASDAQ-100® Strategy Fund		(1,214,827	)		(6,089,515	)		—			—			—			—			(7,304,342	)
Mid-Cap 1.5x Strategy Fund		(882,323	)		4,018,534			—			—			—			—			3,136,211
Inverse Mid-Cap Strategy Fund		(518,489	)		(889,945	)		—			—			—			—			(1,408,434	)
Russell 2000® 1.5x Strategy Fund		(1,322,497	)		6,639,594			—			—			—			—			5,317,097
Russell 2000® Fund		(428,348	)		2,748,746			—			—			—			—			2,320,398
Inverse Russell 2000® Strategy Fund		(3,378,455	)		(5,952,367	)		—			—			—			—			(9,330,822	)
Europe 1.25x Strategy Fund		(2,110,604	)		—			481,208						—			—			(1,629,396	)
Japan 2x Strategy Fund		(1,387,694	)		—			1,015,119			—			—			—			(372,576	)
Strengthening Dollar 2x Strategy Fund		—			—			(4,022,081	)		(1,019,822	)		—			—			(5,041,903	)
Weakening Dollar 2x Strategy Fund		—			—			1,875,730			622,510			—			—			2,498,240
Government Long Bond 1.2x Strategy Fund		—			—			—			—			(5,352,702	)		—			(5,352,702	)
Inverse Government Long Bond Strategy Fund		—			—			—			—			(13,783,965	)		—			(13,783,965	)
High Yield Strategy Fund		—			—			—			—			7,429,601			10,552,902			17,982,503
Inverse High Yield Strategy Fund		—			—			—			—			(609,108	)		(3,759,385	)		(4,368,493	)

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	$	34,767		$	(529,928	)	$	—		$	—		$	—			—		$	(495,161	)
S&P 500 Fund		409,936			(1,644,584	)		—			—			—			—			(1,234,648	)
Inverse S&P 500 Strategy Fund		(452,436	)		5,554,508			—			—			—			—			5,102,072
NASDAQ-100® Fund		(15,937	)		691,701			—			—			—			—			675,764
Inverse NASDAQ-100® Strategy Fund		(173,643	)		1,052,542			—			—			—			—			878,899
Mid-Cap 1.5x Strategy Fund		(92,016	)		(292,960	)		—			—			—			—			(384,976	)
Inverse Mid-Cap Strategy Fund		(603	)		124,782			—			—			—			—			124,179
Russell 2000® 1.5x Strategy Fund		117,475			283,934			—			—			—			—			401,409
Russell 2000® Fund		337,317			2,808			—			—			—			—			340,125
Inverse Russell 2000® Strategy Fund		(21,257	)		17,449			—			—			—			—			(3,808	)
Europe 1.25x Strategy Fund		(157,273	)		—			111,435			—			—			—			(45,838	)
Japan 2x Strategy Fund		71,970			—			308,096			—			—			—			380,066
Strengthening Dollar 2x Strategy Fund		—			—			(1,050,235	)		(253,681	)		—			—			(1,303,916	)
Weakening Dollar 2x Strategy Fund		—			—			887,843			171,203			—			—			1,059,046
Government Long Bond 1.2x Strategy Fund		—			—			—			—			(44,492	)		—			(44,492	)
Inverse Government Long Bond Strategy Fund		—			—			—			—			988,589			—			988,589
High Yield Strategy Fund		—			—			—			—			(12,308	)		1,473			(10,835	)
Inverse High Yield Strategy Fund		—			—			—			—			152,696			(164	)		152,532

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5. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Trust pays SGI 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.

RFS 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.

RFS 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.

RFS engages external service providers to perform other necessary services for the Trust, such as 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 RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL 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 shareholders services, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, 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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the Financial Advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

SGI and its affiliates have voluntarily agreed to waive their fees, including but not limited to 12b-1, shareholder services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. SGI 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 year ended March 31, 2011, RDL retained sales charges of $606,415 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

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. 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 2008 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

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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 and the expiration of capital loss carryforward. 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.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2011, the following capital loss carryforward amounts expired or were used to offset current year net realized capital gains:

Fund	Amount
Nova Fund	$	65,514,853
S&P 500 Fund		1,613,176
NASDAQ-100® Fund		302,161,691
Mid-Cap 1.5x Strategy Fund		3,843,966
Russell 2000® 1.5x Strategy Fund		4,618,074
Russell 2000® Fund		2,063,924
S&P 500 Pure Growth Fund		7,558,827
S&P 500 Pure Value Fund		9,362,560
S&P MidCap 400 Pure Growth Fund		13,485,357
S&P SmallCap 600 Pure Growth Fund		488,880
Japan 2x Strategy Fund		7,490
Real Estate Fund		4,234,927
Government Long Bond 1.2x Strategy Fund		1,726,158
High Yield Strategy Fund		8,554,974

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
Nova Fund	$	78,732	$	—	$	78,732
S&P 500 Fund		1,990		—		1,990
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		—		—		—
Russell 2000® Fund		—		—		—
Inverse Russell 2000® Strategy Fund		—		—		—
S&P 500 Pure Growth Fund		—		—		—
S&P 500 Pure Value Fund		223,302		—		223,302
S&P MidCap 400 Pure Growth Fund		—		—		—
S&P MidCap 400 Pure Value Fund		3,747,725		—		3,747,725
S&P SmallCap 600 Pure Growth Fund		—		—		—
S&P SmallCap 600 Pure Value Fund		4,081,852		—		4,081,852
Europe 1.25x Strategy Fund		—		—		—
Japan 2x Strategy Fund		—		—		—
Strengthening Dollar 2x Strategy Fund		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		—
Real Estate Fund		880,108		—		880,108
Government Long Bond 1.2x Strategy Fund		4,552,742		—		4,552,742
Inverse Government Long Bond Strategy Fund		—		—		—
High Yield Strategy Fund		4,810,745		—		4,810,745
Inverse High Yield Strategy Fund		—		—		—
U.S. Government Money Market Fund		97,406		—		97,406

the RYDEX | SGI series funds annual report | 275

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended March 31, 2010 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
Nova Fund	$	607,311	$	—	$	607,311
S&P 500 Fund		755,000		—		755,000
Inverse S&P 500 Strategy Fund		387,064		—		387,064
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		—		—		—
Russell 2000® Fund		—		—		—
Inverse Russell 2000® Strategy Fund		—		—		—
S&P 500 Pure Growth Fund		—		—		—
S&P 500 Pure Value Fund		509,394		—		509,394
S&P MidCap 400 Pure Growth Fund		—		—		—
S&P MidCap 400 Pure Value Fund		143,551		—		143,551
S&P SmallCap 600 Pure Growth Fund		—		—		—
S&P SmallCap 600 Pure Value Fund		6,292,346		—		6,292,346
Europe 1.25x Strategy Fund		—		—		—
Japan 2x Strategy Fund		—		—		—
Strengthening Dollar 2x Strategy Fund		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		—
Real Estate Fund		329,570		—		329,570
Government Long Bond 1.2x Strategy Fund		5,375,548		—		5,375,548
Inverse Government Long Bond Strategy Fund		—		—		—
High Yield Strategy Fund		1,486,833		—		1,486,833
Inverse High Yield Strategy Fund		68,946		—		68,946
U.S. Government Money Market Fund		82,724		—		82,724

The tax character of distributable earnings/(accumulated losses) at March 31, 2011 was as follows:

	Undistributed		Undistributed		Net Unrealized
	Ordinary		Long-Term		Appreciation/			Capital Loss
Fund	Income		Capital Gain		(Depreciation)			Carryforward
Nova Fund	$	—	$	—	$	15,259,436		$	(50,652,648	)
S&P 500 Fund		—		—		13,122,412			(24,576,614	)
Inverse S&P 500 Strategy Fund		—		—		(992,161	)		(340,788,084	)
NASDAQ-100® Fund		—		—		322,543,593			(127,699,182	)
Inverse NASDAQ-100® Strategy Fund		—		—		(332,712	)		(89,741,275	)
Mid-Cap 1.5x Strategy Fund		—		—		4,044,864			(13,204,931	)
Inverse Mid-Cap Strategy Fund		—		—		(45,804	)		(12,618,306	)
Russell 2000® 1.5x Strategy Fund		—		—		2,610,794			(8,306,350	)
Russell 2000® Fund		—		—		739,615			(9,369,414	)
Inverse Russell 2000® Strategy Fund		—		—		(259,558	)		(47,323,919	)
S&P 500 Pure Growth Fund		—		—		8,601,754			(1,012,190	)
S&P 500 Pure Value Fund		—		—		2,374,511			(2,476,550	)
S&P MidCap 400 Pure Growth Fund		—		—		31,321,438			(3,166,543	)
S&P MidCap 400 Pure Value Fund		—		—		3,257,432			(1,769,395	)
S&P SmallCap 600 Pure Growth Fund		—		—		9,752,283			(5,373,391	)
S&P SmallCap 600 Pure Value Fund		—		—		2,465,570			(34,624,971	)
Europe 1.25x Strategy Fund		—		—		540,607			(15,609,588	)
Japan 2x Strategy Fund		—		—		—			(973,570	)
Strengthening Dollar 2x Strategy Fund		—		—		7,753			(20,505,141	)
Weakening Dollar 2x Strategy Fund		—		—		5,846			(10,624,310	)
Real Estate Fund		—		—		2,234,174			(6,552,752	)
Government Long Bond 1.2x Strategy Fund		160,166		—		202,475			(19,633,290	)
Inverse Government Long Bond Strategy Fund		—		—		(13,799,916	)		(341,605,869	)
High Yield Strategy Fund		2,754,226		—		1,473			(5,151,003	)
Inverse High Yield Strategy Fund		—		—		(164	)		(7,717,477	)
U.S. Government Money Market Fund		20,305		—		—			—

276 | the RYDEX | SGI series funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

																									Total
	Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Capital Loss
Fund	2012			2013			2014			2015			2016			2017			2018			2019			Carryforward
Nova Fund	$	—		$	—		$	—		$	—		$	—		$	(48,436,778	)	$	(2,215,870	)	$	—		$	(50,652,648	)
S&P 500 Fund		—			—			—			—			—			(19,626,415	)		(4,950,199	)		—			(24,576,614	)
Inverse S&P 500 Strategy Fund		(5,725,764	)		(65,527,919	)		(37,877,636	)		(59,724,340	)		—			—			(107,667,355	)		(64,265,070	)		(340,788,084	)
NASDAQ-100® Fund		(60,857,728	)		(44,673,639	)		—			—			—			(22,167,815	)		—			—			(127,699,182	)
Inverse NASDAQ-100® Strategy Fund		(19,380,747	)		(3,723,075	)		(17,351,209	)		(15,380,081	)		(8,534,020	)		—			(16,105,314	)		(9,266,829	)		(89,741,275	)
Mid-Cap 1.5x Strategy Fund		—			—			—			—			—			(9,080,922	)		(4,124,009	)		—			(13,204,931	)
Inverse Mid-Cap Strategy Fund		—			—			—			(3,855,787	)		(850,800	)		—			(6,411,872	)		(1,499,847	)		(12,618,306	)
Russell 2000® 1.5x Strategy Fund		—			—			—			—			—			(8,306,350	)		—			—			(8,306,350	)
Russell 2000® Fund		—			—			—			—			—			(4,951,383	)		(4,418,031	)		—			(9,369,414	)
Inverse Russell 2000® Strategy Fund		—			—			—			(13,474,576	)		(7,459,340	)		—			(15,938,452	)		(10,451,551	)		(47,323,919	)
S&P 500 Pure Growth Fund		—			—			—			—			—			—			(1,012,190	)		—			(1,012,190	)
S&P 500 Pure Value Fund		—			—			—			—			—			—			(2,476,550	)		—			(2,476,550	)
S&P MidCap 400 Pure Growth Fund		—			—			—			—			—			—			(3,166,543	)		—			(3,166,543	)
S&P MidCap 400 Pure Value Fund		—			—			—			—			—			—			—			(1,769,395	)		(1,769,395	)
S&P SmallCap 600 Pure Growth Fund		—			—			—			—			—			(5,316,867	)		(56,524	)		—			(5,373,391	)
S&P SmallCap 600 Pure Value Fund		—			—			—			—			—			—			—			(34,624,971	)		(34,624,971	)
Europe 1.25x Strategy Fund		—			—			—			—			—			(12,987,781	)		—			(2,621,807	)		(15,609,588	)
Japan 2x Strategy Fund		—			—			—			—			—			(973,570	)		—			—			(973,570	)
Strengthening Dollar 2x Strategy Fund		—			—			—			—			—			—			(16,109,547	)		(4,395,594	)		(20,505,141	)
Weakening Dollar 2x Strategy Fund		—			—			—			—			—			(6,635,880	)		—			(3,988,430	)		(10,624,310	)
Real Estate Fund		—			—			—			—			—			(2,247,435	)		(4,305,317	)		—			(6,552,752	)
Government Long Bond 1.2x Strategy Fund		—			—			—			—			—			—			(19,633,290	)		—			(19,633,290	)
Inverse Government Long Bond Strategy Fund		(16,998,940	)		(63,759,468	)		(82,212,943	)		(60,731,802	)		(2,188,094	)		(24,167,315	)		(68,305,233	)		(23,242,074	)		(341,605,869	)
High Yield Strategy Fund		—			—			—			—			—			(941,044	)		(4,209,959	)		—			(5,151,003	)
Inverse High Yield Strategy Fund		—			—			—			—			—			—			(3,356,295	)		(4,361,182	)		(7,717,477	)
U.S. Government Money Market Fund		—			—			—			—			—			—			—			—			—

the RYDEX | SGI series funds annual report | 277

NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2011, 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
Nova Fund	$	67,337,768	$	14,857,577	$	(195,151	)	$	14,662,426
S&P 500 Fund		269,317,075		13,117,949		(526,658	)		12,591,291
Inverse S&P 500 Strategy Fund		140,262,392		18,264		—			18,264
NASDAQ-100® Fund		404,323,094		324,622,243		(2,849,186	)		321,773,057
Inverse NASDAQ-100® Strategy Fund		37,069,535		3,616		—			3,616
Mid-Cap 1.5x Strategy Fund		47,975,768		3,756,642		(576,485	)		3,180,157
Inverse Mid-Cap Strategy Fund		2,389,256		—		—			—
Russell 2000® 1.5x Strategy Fund		39,908,982		1,214,873		(17,685	)		1,197,188
Russell 2000® Fund		34,024,620		502,769		(76,172	)		426,597
Inverse Russell 2000® Strategy Fund		11,701,747		3,616		—			3,616
S&P 500 Pure Growth Fund		41,100,704		8,947,144		(345,390	)		8,601,754
S&P 500 Pure Value Fund		32,499,811		2,411,689		(37,178	)		2,374,511
S&P MidCap 400 Pure Growth Fund		216,370,127		34,018,599		(2,697,161	)		31,321,438
S&P MidCap 400 Pure Value Fund		54,095,629		4,301,192		(1,043,760	)		3,257,432
S&P SmallCap 600 Pure Growth Fund		86,709,607		11,709,343		(1,957,060	)		9,752,283
S&P SmallCap 600 Pure Value Fund		24,606,577		2,726,523		(260,953	)		2,465,570
Europe 1.25x Strategy Fund		22,528,366		640,894		(98,069	)		542,825
Japan 2x Strategy Fund		5,970,927		—		—			—
Strengthening Dollar 2x Strategy Fund		30,215,211		7,753		—			7,753
Weakening Dollar 2x Strategy Fund		31,976,017		5,846		—			5,846
Real Estate Fund		26,103,816		2,296,285		(62,111	)		2,234,174
Government Long Bond 1.2x Strategy Fund		82,910,668		280,874		(78,399	)		202,475
Inverse Government Long Bond Strategy Fund		1,084,273,080		122,686		—			122,686
High Yield Strategy Fund		123,631,406		—		—			—
Inverse High Yield Strategy Fund		20,263,657		—		—			—
U.S. Government Money Market Fund		1,173,277,421		—		—			—

Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2011, the following amounts of realized currency and capital losses reflected in the accompanying financial statements were not recognized for Federal income tax purposes until April 1, 2011:

Fund	Currency			Capital
Inverse S&P 500 Strategy Fund	$	—		$	(23,327,367	)
Inverse NASDAQ-100® Strategy Fund		—			(2,570,573	)
Inverse Mid-Cap Strategy Fund		—			(610,252	)
Inverse Russell 2000® Strategy Fund		—			(3,760,504	)
Europe 1.25x Strategy Fund		(18,775	)		—
Strengthening Dollar 2x Strategy Fund		—			(1,950,225	)
Government Long Bond 1.2x Strategy Fund		—			(47,631,309	)
High Yield Strategy Fund		—			(373,991	)
Inverse High Yield Strategy Fund		—			(845,497	)

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.

278 | the RYDEX | SGI series funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral		Par Value		Fair Value
Mizuho Financial Group, Inc.						U.S. Treasury Bills: 0.00%
0.06% Due 04/01/11	$	946,749,442	$	946,751,020		06/02/11 - 09/15/11	$	966,173,600	$	965,684,522
HSBC Group 0.07% Due 04/01/11						U.S. Treasury Bonds: 4.25% - 6.13%
		750,000,000		750,001,458		11/15/27 - 08/15/39		725,409,800		765,000,029
Credit Suisse Group 0.05% Due 04/01/11		314,866,501		314,866,939		U.S. Treasury Note: 0.38% 09/30/12		321,965,500		321,163,885
Deutsche Bank 0.05% Due 04/01/11		50,000,000		50,000,069		U.S. Treasury Note: 4.63% 07/31/12		48,001,800		51,000,078
	$	2,061,615,943	$	2,061,619,486			$	2,061,550,700	$	2,102,848,514

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.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2011:

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
Fund	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Assets
Nova Fund	$	55,450,893	$	114,232	$	26,549,301	$	597,010	$	—	$	82,711,436
S&P 500 Fund		191,772,396		410,676		90,135,970		531,121		—		282,850,163
Inverse S&P 500 Strategy Fund		—		—		140,280,656		—		—		140,280,656
NASDAQ-100® Fund		640,377,487		8,823		85,718,664		770,536		—		726,875,510
Inverse NASDAQ-100® Strategy Fund		—		—		37,073,151		—		—		37,073,151
Mid-Cap 1.5x Strategy Fund		37,241,288		145		13,914,637		864,707		—		52,020,777
Inverse Mid-Cap Strategy Fund		—		—		2,389,256		—		—		2,389,256
Russell 2000® 1.5x Strategy Fund		3,865,607		114,640		37,240,543		1,413,606		20		42,634,416
Russell 2000® Fund		4,158,315		313,230		30,292,877		313,018		25		35,077,465
Inverse Russell 2000® Strategy Fund		—		—		11,705,363		—		—		11,705,363
S&P 500 Pure Growth Fund		49,365,367		—		337,091		—		—		49,702,458
S&P 500 Pure Value Fund		34,707,913		—		166,409		—		—		34,874,322

the RYDEX | SGI series funds annual report | 279

NOTES TO FINANCIAL STATEMENTS (continued)

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
Fund	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Assets (continued)
S&P MidCap 400 Pure Growth Fund	$	246,160,528	$	—	$	1,531,037	$	—	$	—	$	247,691,565
S&P MidCap 400 Pure Value Fund		56,881,601		—		471,460		—		—		57,353,061
S&P SmallCap 600 Pure Growth Fund		95,827,160		—		634,730		—		—		96,461,890
S&P SmallCap 600 Pure Value Fund		26,776,527		—		295,620		—		—		27,072,147
Europe 1.25x Strategy Fund		18,671,954		145,106		4,399,237		—		—		23,216,297
Japan 2x Strategy Fund		—		766,681		5,970,927		—		—		6,737,608
Strengthening Dollar 2x Strategy Fund		—		—		30,222,964		—		—		30,222,964
Weakening Dollar 2x Strategy Fund		—		407,705		31,981,863		139,347		—		32,528,915
Real Estate Fund		28,229,521		—		108,469		—		—		28,337,990
Government Long Bond 1.2x Strategy Fund		75,564,081		245,985		7,549,062		—		—		83,359,128
Inverse Government Long Bond Strategy Fund		—		—		1,084,395,766		—		—		1,084,395,766
High Yield Strategy Fund		—		—		123,631,406		1,473		—		123,632,879
Inverse High Yield Strategy Fund		—		179,528		20,263,657		—		—		20,443,185
U.S. Government Money Market Fund		—		—		1,173,277,421		—		—		1,173,277,421

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
Fund	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Liabilities
Nova Fund	$	—	$	—	$	—	$	—	$	—	$	—
S&P 500 Fund		—		—		—		—		—		—
Inverse S&P 500 Strategy Fund		—		368,931		—		1,010,425		—		1,379,356
NASDAQ-100® Fund		—		—		—		—		—		—
Inverse NASDAQ-100® Strategy Fund		—		173,780		—		336,328		—		510,108
Mid-Cap 1.5x Strategy Fund		—		—		—		—		—		—
Inverse Mid-Cap Strategy Fund		—		107		—		45,804		—		45,911
Russell 2000® 1.5x Strategy Fund		—		—		—		—		—		—
Russell 2000® Fund		—		—		—		—		—		—
Inverse Russell 2000® Strategy Fund		—		5,510		—		263,174		—		268,684
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		—		11,114		—		—		—		11,114
Japan 2x Strategy Fund		—		223,123		—		—		—		223,123
Strengthening Dollar 2x Strategy Fund		—		316,775		—		175,684		—		492,459
Weakening Dollar 2x Strategy Fund		—		—		—		—		—		—
Real Estate Fund		—		—		—		—		—		—
Government Long Bond 1.2x Strategy Fund		—		—		—		—		—		—
Inverse Government Long Bond Strategy Fund		460,246,490		330,388		—		—		—		460,576,878
High Yield Strategy Fund		—		22,955		—		—		—		22,955
Inverse High Yield Strategy Fund		—		—		—		164		—		164
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.

280 | the RYDEX | SGI series funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

The Funds adopted updated provisions surrounding fair value measurements and disclosures effective April 1, 2010. This update applies to the Funds’ disclosures about transfers in and out of all levels 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 of the fair value hierarchy. Effective for 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.

Transfers between investment Levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds recognize transfers between the Levels as of the beginning of the period. During the year ended March 31, 2011, Russell 2000^® 1.5x Strategy Fund and Russell 2000^® Fund had securities transfer from Level 1 to Level 3 as a result of trading on the security being halted. There were no other securities that transferred between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended March 31, 2011:

	Securities
Russell 2000® 1.5x Strategy Fund
Assets:
Beginning Balance	$	—
Total realized gains or losses included in earnings		(375	)
Total change in unrealized gains or losses included in earnings		(420	)
Purchases, sales, issuances, and settlements (net)
Transfers in and/or out of Level 3		815
Ending Balance	$	20

	Securities
Russell 2000® Fund
Assets:
Beginning Balance	$	—
Total realized gains or losses included in earnings		(461	)
Total change in unrealized gains or losses included in earnings		(480	)
Purchases, sales, issuances, and settlements (net)
Transfers in and/or out of Level 3		966
Ending Balance	$	25

The total change in unrealized gains or losses included in the Statement of Operations attributable to Level 3 investments still held at March 31, 2011 was $(420) for the Russell 2000^® 1.5x Strategy Fund and $(480) for the Russell 2000^® Fund.

9. Securities Transactions

For the year ended March 31, 2011, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments and government securities, 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	$	26,028,252	$	279,192,310	$	—	$	207,302,523	$	—	$	55,556,959	$	—
Sales	$	43,780,723	$	188,191,547	$	—	$	242,094,184	$	—	$	45,234,232	$	—

	Russell				Inverse		S&P 500		S&P 500		S&P MidCap		S&P MidCap
	2000®1.5x		Russell 2000®		Russell 2000®		Pure Growth		Pure Value		400 Pure		400 Pure
	Strategy Fund		Fund		Strategy Fund		Fund		Fund		Growth Fund		Value Fund
Purchases	$	17,621,727	$	18,865,338	$	—	$	405,513,534	$	393,850,107	$	656,932,605	$	282,583,243
Sales	$	24,318,530	$	22,775,472	$	—	$	393,536,509	$	520,277,692	$	517,765,735	$	421,605,689

	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	$	399,675,117	$	599,069,438	$	77,937,467	$	—	$	—	$	—	$	192,895,475
Sales	$	325,549,353	$	745,825,154	$	65,526,012	$	—	$	—	$	—	$	209,555,487

the RYDEX | SGI series funds annual report | 281

NOTES TO FINANCIAL STATEMENTS (continued)

	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	$	—	$	24,944,257	$	—	$	—	$	—
Sales	$	—	$	—	$	—	$	—	$	40,410,050

For the year ended March 31, 2011, the cost of purchases and proceeds from sales of government securities were:

	Government		Inverse
	Long Bond		Government
	1.2x Strategy		Long Bond
	Fund		Strategy Fund
Purchases	$	2,674,711,416	$	(3,854,990,710	)
Sales	$	2,889,181,839	$	(3,990,938,902	)

10. Fund Merger

On July 10, 2009, the U.S. Government Money Market Fund acquired all of the net assets of Security Cash Fund, in exchange for shares of the U.S. Government Money Market Fund Investor2 Class, pursuant to an agreement and plan of reorganization approved by the Board of Trustees and approved by the shareholders of the Security Cash Fund. The primary reason for the transaction was to combine a smaller fund into a larger fund with a similar investment objective. The acquisition was accomplished through a combination of a tax-free exchange of Security Cash Fund shares (62,269,356) valued at $62,269,356 for respective shares of the U.S. Government Money Market Fund Investor2 Class (62,269,356). For financial reporting purposes, the net assets received and shares issued by U.S. Government Money Market Fund Investor2 Class were recorded at fair value.

Security Cash Fund’s net assets on July 10, 2009 were $62,217,692. Security Cash Fund’s net assets were primarily comprised of investments with a fair value of $61,601,061 and other assets and liabilities of $616,631. The aggregate net assets of U.S. Government Money Market Fund immediately before and after the acquisition were $1,788,523,047 and $1,850,740,738, respectively.

The financial statements reflect the operations of the U.S. Government Money Market Fund for the period prior to the acquisition and the combined fund for the period subsequent to the fund merger. Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Security Cash Fund that have been included in the combined fund’s Statement of Operations since the acquisition was completed. Assuming the acquisition had been completed on April 1, 2009, U.S. Government Money Market Fund proforma net investment income (loss), net gain (loss) on investments and net increase (decrease) in net assets from operations for the year ended March 31, 2010 would have been $83,364, $35,221 and $118,585, respectively. SGI and its affiliates bore all of the expenses related to the reorganization.

11. 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. As of and for the year ended March 31, 2011, the Funds did not have any borrowings under this agreement.

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 advisor (the “Investment Advisor”), 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 Advisor (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 did not 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.

282 | the RYDEX | SGI series funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

Under the Investment Company Act of 1940, the closing of the Purchase Transaction had the effect of terminating the Funds’ investment advisory agreement with the Investment Advisor (the “Previous Agreement”). A new investment advisory agreement (the “New Agreement”) was approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreement are substantially identical to the Previous Agreement, 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. Pending Litigation

In March, 2010, an action was filed against PADCO Advisors, Inc. (hereinafter, the “Manager”), Rydex Distributors, Inc. (hereinafter, the “Distributor”), 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.

15. Investment Advisor Merger

Effective January 3, 2011, Rydex Advisors, LLC, the Funds’ investment advisor was merged with and into Security Investors, LLC, which will operate under the name SGI.

The foregoing internal restructuring did not affect the investment advisory services rendered to the Funds, which continue to be managed on a day-to-day basis by the same teams of portfolio managers. The investment philosophies, strategies, and processes of the Funds also remained the same.

In order to implement the restructuring, technical amendments were made to the Funds’ investment advisory agreement with Rydex Advisors, LLC, in order to reflect the change of the identity of the investment advisor. No other changes were made to the investment advisory agreement of the Funds, and the fees and expenses of the Funds remained the same.

the RYDEX | SGI series funds annual report | 283

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of
Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the 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, 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, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund, Weakening Dollar 2x Strategy Fund, Real Estate Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, Inverse High Yield Strategy Fund, and U.S. Government Money Market Fund (twenty-six of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

 

McLean, Virginia
May 26, 2011

284 | the RYDEX | SGI series funds annual report

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2011, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Nova Fund		100.00	%
S&P 500 Pure Value Fund		100.00	%
S&P MidCap 400 Pure Value Fund		12.19	%
S&P SmallCap 600 Pure Value Fund		2.05	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
Nova Fund		100.00	%
S&P 500 Pure Value Fund		100.00	%
S&P MidCap 400 Pure Value Fund		9.38	%
S&P SmallCap 600 Pure Value Fund		1.47	%

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 September 30 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.

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 1.800.820.0888.

Change of Address

Effective January 17, 2011, the RYDEX | SGI office was moved to Four Irvington Centre, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

the RYDEX | SGI series funds annual report | 285

OTHER INFORMATION (Unaudited) (concluded)

Office Locations

The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

286 | the RYDEX | SGI series funds annual report

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, 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 Security Global Investors, 805 King Farm Boulevard, Suite 600, 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		148
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		148
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		148
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		148
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		148
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		148
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		148
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 annual report | 287

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)
Nikolaos Bonos* Vice President and Treasurer (1963)	Senior Vice President, Security Investors LLC; and Vice President, Security Benefit Asset Management Holdings LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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 Haigney* Chief Compliance Officer and Secretary (1966)	Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President and Chief Compliance Officer, Security Investors, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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 A. 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)

288 | the RYDEX | SGI series funds 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 J. 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 M. Arruda* Assistant Treasurer (1966)	Vice President, Security Investors, LLC (2010 to present); Vice President, Security Global Investors, LLC (2010 to 2011); 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)

* 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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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RBENF-ANN-2-0311x0312

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With Rydex | SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

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It’s easy to enroll:

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3/ Follow the simple enrollment instructions

If you have questions about Rydex|SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
BANKING FUND	10
BASIC MATERIALS FUND	18
BIOTECHNOLOGY FUND	26
CONSUMER PRODUCTS FUND	34
ELECTRONICS FUND	42
ENERGY FUND	50
ENERGY SERVICES FUND	58
FINANCIAL SERVICES FUND	66
HEALTH CARE FUND	74
INTERNET FUND	82
LEISURE FUND	90
PRECIOUS METALS FUND	98
RETAILING FUND	106
TECHNOLOGY FUND	114
TELECOMMUNICATIONS FUND	122
TRANSPORTATION FUND	130
UTILITIES FUND	138
NOTES TO FINANCIAL STATEMENTS	145
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	152
OTHER INFORMATION	153
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	155

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER,

The U.S. enjoyed economic recovery through the 12 months ended March 31, 2011, despite the poor housing picture and slow-growing labor market. U.S. stocks emerged from the 2008-09 downturn in early 2010, slowed only at mid-year by European debt problems and the worry that expiration of U.S. government stimulus programs might lead to a double-dip recession. Concern that the recovery was not self-sustaining led the U.S. Federal Reserve (the “Fed”) to undertake a second round of quantitative easing in the last part of 2010 to keep long-term rates low and spur economic growth.

Stocks responded to the infusion of liquidity by rising nearly 25% from the end of August through March 2011, then stumbling after rising prices for oil and many other commodities accompanied concerns that inflation might get out of hand. The market’s 2011 gains proceeded to be wiped out by political unrest in the Mid East, renewed worries about the sovereign debt of peripheral European countries and a devastating earthquake and tsunami in Japan. Investor belief that these situations were under control, however, sparked a rebound that helped broad U.S. market measures finish the first quarter moderately higher, and 15% or more above the levels seen 12 months earlier.

Investors searching for higher yields increasingly took on credit risk over the past 12 months, which was reflected in good performance across most fixed income sectors, particularly investment grade corporate bonds and high-yield bonds. The yield on the benchmark 10-year Treasury has been climbing since last fall, as safe-haven buying subsided except during market shocks like the Japanese earthquake.

The Fed said in March 2011 that the economy was on firmer footing and that the run-up in commodity prices would not lead to a sustained increase in inflation. It stuck with its planned purchase of up to $600 billion in government bonds, slated to end in June 2011, and—as it has since December 2008—left short-term rates unchanged.

Many U.S. investors are preparing for the shift away from the bond-buying strategy, which they anticipate could slow or halt the stock market rally and introduce a period of volatility. Investors in global markets, meanwhile, are increasingly concerned about the potential for soaring food and energy prices to derail global economic recovery.

The accumulation of shocks, ranging from higher oil prices to turmoil in the Mid East to the effects of the natural disaster in Japan, has led to a lowering of global growth forecasts for 2011. These overseas events pounded the U.S. economy in the form of higher fuel prices, supply-chain disruptions and financial market volatility, also leading to downgrades in estimates of U.S. GDP growth for the first quarter and entire year of 2011. Continuing weakness in the housing market is still plaguing economic growth. The March labor market report showed job growth was picking up, but flat growth in wages and higher fuel and food costs kept consumers on edge. Increases in energy and food prices seem not yet to have spilled into broader inflation measures. Consumer spending is growing, although slowly, while corporate profits continue to rise impressively.

Geopolitical events and improving economic conditions have generally pushed commodity prices higher over the past 12 months. In the first quarter of 2011, the price of a barrel of oil rose above $100 for the first time since 2008. The higher price of oil as a production cost caused the prices of many metals to slip in early 2011, aided by a pullback in demand due to the Japanese quake or China’s efforts to slow lending. Gold spent much of the first quarter of 2011 in negative territory, but has turned in a spectacular climb over the past 12 months, closing out the period at a record high of $1,438 an ounce.

The dollar gained on the euro in 2010, reflecting concern about Europe’s crisis in sovereign debt, but the rally did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first

2 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

U.S. economic growth, while not robust, has proven strong enough to overcome some major shocks in the first quarter of 2011. The government stimulus package and quantitative easing program have revived the economy, and optimism is growing that the recovery from the financial crisis and ensuing recession is becoming self-sustaining. The end of Fed easing could signal that the policymakers are comfortable with the strength of the expansion, and believe that house prices and joblessness may be poised to recover. For the rest of 2011, investors face interest rate risk arising from inflationary monetary policy and deteriorating credit quality in the industrialized world. Energy shortages that could put upward pressure on the prices of oil, natural gas and coal pose perhaps the largest risk to economic growth.

At Rydex|SGI, our products are designed to help investors navigate uncertain markets, including hedging or augmenting exposures to the equity or fixed-income markets, or introducing alternative assets and strategies to portfolios for overall diversification¹. Thank you for the trust you place in us.

Sincerely,

Michael Byrum
President & Chief Investment Officer

¹ Diversification neither assures a profit nor eliminates the risk of experiencing investment losses.

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

Rydex|SGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

THE RYDEX | SGI SERIES FUNDS 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 September 30, 2010 and ending March 31, 2011.

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 ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Table 1. Based on actual Fund return3
Banking Fund
Investor Class		1.39	%		10.59	%	$	1,000.00	$	1,105.87	$	7.30
Advisor Class		1.89	%		10.33	%		1,000.00		1,103.32		9.91
A-Class		1.64	%		10.46	%		1,000.00		1,104.62		8.61
C-Class		2.39	%		10.10	%		1,000.00		1,100.95		12.52
Basic Materials Fund
Investor Class		1.39	%		21.52	%		1,000.00		1,215.21		7.68
Advisor Class		1.89	%		21.20	%		1,000.00		1,212.02		10.42
A-Class		1.64	%		21.38	%		1,000.00		1,213.84		9.05
C-Class		2.39	%		20.90	%		1,000.00		1,208.99		13.16
Biotechnology Fund
Investor Class		1.39	%		12.41	%		1,000.00		1,124.13		7.36
Advisor Class		1.90	%		12.11	%		1,000.00		1,121.09		10.05
A-Class		1.64	%		12.31	%		1,000.00		1,123.12		8.68
C-Class		2.39	%		11.87	%		1,000.00		1,118.74		12.62
Consumer Products Fund
Investor Class		1.39	%		12.09	%		1,000.00		1,120.87		7.35
Advisor Class		1.89	%		11.82	%		1,000.00		1,118.21		9.98
A-Class		1.64	%		11.93	%		1,000.00		1,119.30		8.67
C-Class		2.39	%		11.55	%		1,000.00		1,115.50		12.61
Electronics Fund
Investor Class		1.40	%		25.51	%		1,000.00		1,255.08		7.87
Advisor Class		1.90	%		25.18	%		1,000.00		1,251.82		10.67
A-Class		1.64	%		25.36	%		1,000.00		1,253.59		9.21
C-Class		2.40	%		24.99	%		1,000.00		1,249.88		13.46
Energy Fund
Investor Class		1.39	%		41.07	%		1,000.00		1,410.73		8.35
Advisor Class		1.89	%		40.74	%		1,000.00		1,407.44		11.34
A-Class		1.64	%		40.92	%		1,000.00		1,409.17		9.85
C-Class		2.39	%		40.38	%		1,000.00		1,403.83		14.32
Energy Services Fund
Investor Class		1.40	%		47.16	%		1,000.00		1,471.58		8.63
Advisor Class		1.89	%		46.80	%		1,000.00		1,468.01		11.63
A-Class		1.64	%		46.98	%		1,000.00		1,469.75		10.10
C-Class		2.39	%		46.42	%		1,000.00		1,464.18		14.68
Financial Services Fund
Investor Class		1.40	%		14.68	%		1,000.00		1,146.76		7.49
Advisor Class		1.89	%		14.37	%		1,000.00		1,143.73		10.10
A-Class		1.64	%		14.53	%		1,000.00		1,145.32		8.77
C-Class		2.39	%		14.15	%		1,000.00		1,141.50		12.76
Health Care Fund
Investor Class		1.39	%		13.06	%		1,000.00		1,130.61		7.38
Advisor Class		1.89	%		12.80	%		1,000.00		1,127.99		10.03
A-Class		1.64	%		12.96	%		1,000.00		1,129.59		8.71
C-Class		2.39	%		12.65	%		1,000.00		1,126.45		12.67

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Internet Fund
Investor Class		1.39	%		16.41	%	$	1,000.00	$	1,164.11	$	7.50
Advisor Class		1.89	%		16.16	%		1,000.00		1,161.60		10.19
A-Class		1.64	%		16.28	%		1,000.00		1,162.84		8.84
C-Class		2.39	%		15.82	%		1,000.00		1,158.18		12.86
Leisure Fund
Investor Class		1.40	%		19.43	%		1,000.00		1,194.30		7.66
Advisor Class		1.89	%		19.11	%		1,000.00		1,191.09		10.32
A-Class		1.64	%		19.18	%		1,000.00		1,191.82		8.96
C-Class		2.39	%		18.73	%		1,000.00		1,187.33		13.03
Precious Metals Fund
Investor Class		1.29	%		15.56	%		1,000.00		1,155.64		6.93
Advisor Class		1.79	%		15.27	%		1,000.00		1,152.67		9.61
A-Class		1.54	%		15.42	%		1,000.00		1,154.19		8.27
C-Class		2.29	%		14.99	%		1,000.00		1,149.94		12.27
Retailing Fund
Investor Class		1.40	%		15.56	%		1,000.00		1,155.61		7.52
Advisor Class		1.89	%		15.38	%		1,000.00		1,153.78		10.15
A-Class		1.65	%		15.47	%		1,000.00		1,154.67		8.86
C-Class		2.39	%		14.83	%		1,000.00		1,148.33		12.80
Technology Fund
Investor Class		1.39	%		16.17	%		1,000.00		1,161.67		7.49
Advisor Class		1.89	%		15.78	%		1,000.00		1,157.85		10.17
A-Class		1.64	%		16.08	%		1,000.00		1,160.84		8.84
C-Class		2.39	%		15.57	%		1,000.00		1,155.74		12.85
Telecommunications Fund
Investor Class		1.39	%		10.02	%		1,000.00		1,100.17		7.28
Advisor Class		1.89	%		9.68	%		1,000.00		1,096.77		9.88
A-Class		1.64	%		9.88	%		1,000.00		1,098.78		8.58
C-Class		2.39	%		9.49	%		1,000.00		1,094.94		12.48
Transportation Fund
Investor Class		1.39	%		14.56	%		1,000.00		1,145.62		7.44
Advisor Class		1.90	%		14.27	%		1,000.00		1,142.73		10.15
A-Class		1.64	%		14.44	%		1,000.00		1,144.42		8.77
C-Class		2.39	%		13.97	%		1,000.00		1,139.65		12.75
Utilities Fund
Investor Class		1.39	%		8.79	%		1,000.00		1,087.89		7.24
Advisor Class		1.88	%		8.56	%		1,000.00		1,085.63		9.78
A-Class		1.64	%		8.70	%		1,000.00		1,087.02		8.53
C-Class		2.39	%		8.36	%		1,000.00		1,083.61		12.42

6 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
Banking Fund
Investor Class		1.39	%		5.00	%	$	1,000.00	$	1,018.00	$	6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Basic Materials Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Biotechnology Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.90	%		5.00	%		1,000.00		1,015.46		9.55
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Consumer Products Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Electronics Fund
Investor Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
Advisor Class		1.90	%		5.00	%		1,000.00		1,015.46		9.55
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.40	%		5.00	%		1,000.00		1,012.96		12.04
Energy Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Energy Services Fund
Investor Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Financial Services Fund
Investor Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Health Care Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Internet Fund
Investor Class		1.39	%		5.00	%	$	1,000.00	$	1,018.00	$	6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Leisure Fund
Investor Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Precious Metals Fund
Investor Class		1.29	%		5.00	%		1,000.00		1,018.50		6.49
Advisor Class		1.79	%		5.00	%		1,000.00		1,016.01		9.00
A-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
C-Class		2.29	%		5.00	%		1,000.00		1,013.51		11.50
Retailing Fund
Investor Class		1.40	%		5.00	%		1,000.00		1,017.95		7.04
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.65	%		5.00	%		1,000.00		1,016.70		8.30
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Technology Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Telecommunications Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Transportation Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.90	%		5.00	%		1,000.00		1,015.46		9.55
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99
Utilities Fund
Investor Class		1.39	%		5.00	%		1,000.00		1,018.00		6.99
Advisor Class		1.88	%		5.00	%		1,000.00		1,015.56		9.45
A-Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
C-Class		2.39	%		5.00	%		1,000.00		1,013.01		11.99

1	Annualized
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2010 to March 31, 2011.

8 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

BANKING FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).

Inception: April 1, 1998

Strong outperformance of the Banking industry in December was the main reason the Fund kept pace with the broader market in 2010. But while credit conditions are gradually improving—and commercial banks are enjoying high levels of capital, ample liquidity and strengthening asset quality—banks are still beset by weak loan demand, face higher levels of potentially delinquent mortgages and are expecting recent financial reform to impact earnings. An underutilized capital markets industry and poor returns from Diversified Financial Services, with heavy exposure to Europe, were drags on Banking Fund performance.

For the one-year period ended March 31, 2011, Banking Fund Investor Class returned -1.66% compared with the S&P 500 Financials Index, which returned 4.01%.

Banco Bradesco S.A. ADR, ICICI Bank Ltd. ADR and Itau Unibanco Holding S.A. ADR were among the best-performing stocks in the Fund for the year. The worst-performing holdings for the period were Bank of America Corp., Wilmington Trust Corp. and Radian Group.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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)
JPMorgan Chase & Co.	4.1	%
Wells Fargo & Co.	4.0	%
U.S. Bancorp	3.9	%
Bank of America Corp.	3.7	%
Bank of New York Mellon Corp.	3.7	%
PNC Financial Services Group, Inc.	3.4	%
Itau Unibanco Holding S.A. ADR	2.9	%
BB&T Corp.	2.6	%
Banco Bradesco S.A. ADR	2.4	%
SunTrust Banks, Inc.	2.3	%
Top Ten Total	33.0	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

10 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/01/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
BANKING FUND		-1.66	%		-12.76	%		-2.95	%		-2.19	%		-13.21	%		-3.52	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 FINANCIALS INDEX***		4.01	%		-10.62	%		-2.41	%		4.01	%		-10.62	%		-2.41	%

	A-Class																		C-Class
	(09/01/04)																		(03/30/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
BANKING FUND		-1.89	%		-6.54	%		-13.02	%		-13.87	%		-9.12	%		-9.79	%		-2.58	%		-3.55	%		-13.55	%		-3.97	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.29	%
S&P 500 FINANCIALS INDEX***		4.01	%		4.01	%		-10.62	%		-10.62	%		-5.80	%		-5.80	%		4.01	%		4.01	%		-10.62	%		-2.41	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a contingent deferred sales charge (“CDSC”) of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Financials Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS March 31, 2011

BANKING FUND

	Shares		Value
COMMON STOCKS† - 100.9%
FINANCIALS - 100.9%
JPMorgan Chase & Co.		11,532	$	531,625
Wells Fargo & Co.		16,390		519,564
U.S. Bancorp		19,508		515,597
Bank of America Corp.		36,763		490,051
Bank of New York Mellon Corp.		16,211		484,223
PNC Financial Services Group, Inc.		7,103		447,417
Itau Unibanco Holding S.A. ADR		15,753		378,861
BB&T Corp.		12,389		340,078
Banco Bradesco S.A. ADR		14,887		308,905
SunTrust Banks, Inc.		10,374		299,186
Fifth Third Bancorp		19,895		276,143
M&T Bank Corp.		2,878		254,617
ICICI Bank Ltd. ADR		4,800		239,184
Regions Financial Corp.		32,309		234,563
CIT Group, Inc.*		5,360		228,068
HSBC Holdings plc ADR		4,367		226,211
KeyCorp		24,887		220,997
New York Community Bancorp, Inc.		12,197		210,520
Comerica, Inc.		5,424		199,169
Bank of Montreal		2,979		193,575
Huntington Bancshares, Inc.		27,886		185,163
Hudson City Bancorp, Inc.		18,304		177,183
Banco Santander S.A. ADR		14,786		173,292
People’s United Financial, Inc.		13,360		168,069
HDFC Bank Ltd. ADR		960		163,142
Marshall & Ilsley Corp.		20,381		162,844
Zions Bancorporation		7,046		162,481
Toronto-Dominion Bank		1,775		157,247
Royal Bank of Canada		2,418		149,843
Cullen		2,523		148,907
Commerce Bancshares, Inc.		3,666		148,253
Banco Santander Brasil S.A. ADR		11,970		146,752
East West Bancorp, Inc.		6,547		143,772
City National Corp.		2,400		136,920
First Horizon National Corp.		12,052		135,103
UBS AG*		7,181		129,617
First Niagara Financial Group, Inc.		9,526		129,363
Associated Banc-Corp.		8,645		128,378
SVB Financial Group*		2,238		127,409
Deutsche Bank AG		2,155		127,296
Signature Bank *		2,205		124,362
Bank of Hawaii Corp.		2,596		124,141
Valley National Bancorp		8,700		121,452
CapitalSource, Inc.		17,200		121,088
Fulton Financial Corp.		10,742		119,344
TCF Financial Corp.		7,398		117,332
Barclays plc ADR		6,452		117,039
Prosperity Bancshares, Inc.		2,678		114,538
Credicorp Ltd.		1,080		113,324
FirstMerit Corp.		6,600		112,596
Webster Financial Corp.		5,164		110,665
MGIC Investment Corp.*		12,269		109,071
Capitol Federal Financial, Inc.		9,601		108,203
Iberiabank Corp.		1,685		101,319
Trustmark Corp.		4,234		99,160
Cathay General Bancorp		5,711		97,373
NewAlliance Bancshares, Inc.		6,470		96,015
Westamerica Bancorporation		1,861		95,600
Washington Federal, Inc.		5,503		95,422
Astoria Financial Corp.		6,542		94,009
Whitney Holding Corp.		6,856		93,379
Umpqua Holdings Corp.		8,147		93,202
Northwest Bancshares, Inc.		7,304		91,592
Wintrust Financial Corp.		2,475		90,956
FNB Corp.		8,596		90,602
Susquehanna Bancshares, Inc.		9,603		89,788
BancorpSouth, Inc.		5,766		89,085
Hancock Holding Co.		2,700		88,668
Radian Group, Inc.		11,904		81,066
Glacier Bancorp, Inc.		5,270		79,314
First Midwest Bancorp, Inc.		6,408		75,550
Provident Financial Services, Inc.		5,075		75,110
Sterling Bancshares, Inc.		8,530		73,443
CVB Financial Corp.		7,440		69,266
Old National Bancorp		6,210		66,571
Texas Capital Bancshares, Inc.*		2,470		64,195
Ocwen Financial Corp.*		5,460		60,169
PrivateBancorp, Inc. — Class A		3,538		54,096
Total Financials				13,217,693
Total Common Stocks (Cost $9,764,681)				13,217,693

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.2%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	152,135		152,135
Total Repurchase Agreement (Cost $152,135)				152,135
Total Investments — 102.1% (Cost $9,916,816)			$	13,369,828
Liabilities, Less Cash & Other Assets — (2.1)%				(272,229	)
Total Net Assets — 100.0%			$	13,097,599

*	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

12 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

BANKING FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	13,217,693
Repurchase agreements, at value		152,135
Total investments		13,369,828
Cash		65
Receivables:
Securities sold		3,682,978
Fund shares sold		2,393
Dividends		12,240
Total assets		17,067,504
Liabilities:
Payable for:
Fund shares redeemed		3,940,605
Management fees		7,873
Custodian fees		260
Transfer agent/maintenance fees		2,316
Distribution and service fees		3,159
Portfolio accounting fees		926
Other		14,766
Total liabilities		3,969,905
Net assets	$	13,097,599
Net assets consist of:
Paid in capital	$	34,936,948
Undistributed net investment income		8,683
Accumulated net realized loss on investments		(25,301,044	)
Net unrealized appreciation on investments		3,453,012
Net assets	$	13,097,599
Investor Class:
Net assets	$	8,710,802
Capital shares outstanding		175,074
Net asset value per share	$	49.75
Advisor Class:
Net assets	$	629,229
Capital shares outstanding		13,790
Net asset value per share	$	45.63
A-Class:
Net assets	$	913,296
Capital shares outstanding		19,694
Net asset value per share	$	46.38
Maximum offering price per share*	$	48.68
C-Class:
Net assets	$	2,844,272
Capital shares outstanding		64,359
Net asset value per share	$	44.20
Investments, at cost	$	9,764,681
Repurchase agreements, at cost		152,135
Total cost	$	9,916,816

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $6,595)	$	322,222
Interest		153
Total investment income		322,375
Expenses:
Management fees		163,421
Transfer agent and administrative fees		48,065
Distribution and Service fees:
Advisor Class		6,108
A-Class		6,369
C-Class		34,655
Portfolio accounting fees		19,226
Trustees’ fees**		2,110
Miscellaneous		33,739
Total expenses		313,693
Net investment income		8,682
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(187,828	)
Net realized loss		(187,828	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,197,289	)
Net change in unrealized appreciation (depreciation)		(1,197,289	)
Net realized and unrealized loss		(1,385,117	)
Net decrease in net assets resulting from operations	$	(1,376,435	)

** 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 ANNUAL REPORT | 13

BANKING FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	8,682		$	53,770
Net realized gain (loss) on investments		(187,828	)		7,119,068
Net change in unrealized appreciation (depreciation) on investments		(1,197,289	)		2,483,173
Net increase (decrease) in net assets resulting from operations		(1,376,435	)		9,656,011
Distributions to shareholders from:
Net investment income
Investor Class		(35,313	)		(161,108	)
Advisor Class		(5,190	)		(40,030	)
A-Class		(2,945	)		(51,784	)
C-Class		(10,322	)		(168,412	)
Total distributions to shareholders		(53,770	)		(421,334	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		164,957,214			111,135,030
Advisor Class		24,430,833			10,401,691
A-Class		5,916,707			8,328,262
C-Class		62,239,417			86,585,614
Distributions reinvested
Investor Class		21,325			158,316
Advisor Class		4,972			40,030
A-Class		2,723			51,338
C-Class		8,842			151,140
Cost of shares redeemed
Investor Class		(182,816,064	)		(114,422,177	)
Advisor Class		(24,348,034	)		(12,673,768	)
A-Class		(10,663,178	)		(3,498,143	)
C-Class		(64,846,218	)		(85,151,619	)
Net increase (decrease) from capital share transactions		(25,091,461	)		1,105,714
Net increase (decrease) in net assets		(26,521,666	)		10,340,391
Net Assets:
Beginning of year		39,619,265			29,278,874
End of year	$	13,097,599		$	39,619,265
Undistributed net investment income at end of year	$	8,683		$	53,771
Capital Share Activity:
Shares sold
Investor Class		3,520,121			2,470,609	†
Advisor Class		551,252			268,841	†
A-Class		125,988			185,253	†
C-Class		1,462,060			2,198,885	†
Shares issued from reinvestment of distributions
Investor Class		484			3,650	†
Advisor Class		123			1,000	†
A-Class		66			1,266	†
C-Class		225			3,875	†
Shares redeemed
Investor Class		(3,864,747	)		(2,684,716	)†
Advisor Class		(565,185	)		(324,898	)†
A-Class		(240,955	)		(79,682	)†
C-Class		(1,521,121	)		(2,150,261	)†
Net decrease in shares		(531,689	)		(106,178	)†

^† Share amounts for the period April 1, 2009 through April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009.

14 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	50.73		$	32.62		$	75.60		$	110.30		$	108.60
Income (loss) from investment operations:
Net investment incomea		.13			.28			1.30			2.50			2.00
Net gain (loss) on investments (realized and unrealized)		(.99	)		20.05			(42.98	)		(36.20	)		.50
Total from investment operations		(.86	)		20.33			(41.68	)		(33.70	)		2.50
Less distributions from:
Net investment income		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	49.75		$	50.73		$	32.62		$	75.60		$	110.30
Total Returnb		(1.66	%)		63.48	%		(55.66	%)		(30.69	%)		2.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,711		$	26,340		$	23,804		$	7,035		$	9,229
Ratios to average net assets:
Net investment income		0.27	%		0.67	%		2.42	%		2.59	%		1.79	%
Total expenses		1.39	%		1.38	%		1.37	%		1.37	%		1.32	%
Portfolio turnover rate		1,130	%		986	%		1,055	%		1,417	%		954	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	46.79		$	30.36		$	70.70		$	103.90		$	103.00
Income (loss) from investment operations:
Net investment income (loss)a		(.08	)		.06			1.20			2.00			1.10
Net gain (loss) on investments (realized and unrealized)		(.96	)		18.59			(40.24	)		(34.20	)		.60
Total from investment operations		(1.04	)		18.65			(39.04	)		(32.20	)		1.70
Less distributions from:
Net investment income		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	45.63		$	46.79		$	30.36		$	70.70		$	103.90
Total Returnb		(2.19	%)		62.66	%		(55.70	%)		(31.14	%)		1.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	629		$	1,291		$	2,509		$	1,449		$	1,836
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		0.17	%		2.42	%		2.32	%		1.08	%
Total expenses		1.89	%		1.88	%		1.88	%		1.85	%		1.88	%
Portfolio turnover rate		1,130	%		986	%		1,055	%		1,417	%		954	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 15

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	47.41		$	30.67		$	71.50		$	104.70		$	103.40
Income (loss) from investment operations:
Net investment incomea		.04			.02			1.30			2.00			1.70
Net gain (loss) on investments (realized and unrealized)		(.95	)		18.94			(40.83	)		(34.20	)		.40
Total from investment operations		(.91	)		18.96			(39.53	)		(32.20	)		2.10
Less distributions from:
Net investment income		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	46.38		$	47.41		$	30.67		$	71.50		$	104.70
Total Returnb		(1.89	%)		63.04	%		(55.77	%)		(30.90	%)		1.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	913		$	6,381		$	851		$	547		$	187
Ratios to average net assets:
Net investment income		0.09	%		0.06	%		2.71	%		2.33	%		1.54	%
Total expenses		1.64	%		1.63	%		1.62	%		1.55	%		1.62	%
Portfolio turnover rate		1,130	%		986	%		1,055	%		1,417	%		954	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	45.51		$	29.90		$	69.50		$	102.70		$	102.00
Income (loss) from investment operations:
Net investment income (loss)a		(.29	)		(.16	)		.90			1.60			.70
Net gain (loss) on investments (realized and unrealized)		(.90	)		17.99			(39.20	)		(33.80	)		.80
Total from investment operations		(1.19	)		17.83			(38.30	)		(32.20	)		1.50
Less distributions from:
Net investment income		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	44.20		$	45.51		$	29.90		$	69.50		$	102.70
Total Returnb		(2.58	%)		60.86	%		(55.64	%)		(31.51	%)		1.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,844		$	5,607		$	2,114		$	3,408		$	3,180
Ratios to average net assets:
Net investment income (loss)		(0.67	%)		(0.42	%)		1.82	%		1.89	%		0.63	%
Total expenses		2.38	%		2.38	%		2.40	%		2.35	%		2.37	%
Portfolio turnover rate		1,130	%		986	%		1,055	%		1,417	%		954	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	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.

16 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 17

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

BASIC MATERIALS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).

Inception: April 1, 1998

For the one-year period ended March 31, 2011, Basic Materials Fund Investor Class returned 26.50% compared with 24.31% for the S&P 500 Materials Index.

The Basic Materials sector was an underperformer for much of 2010, but awakened along with improving economic conditions that solidified demand in the space. Materials stocks have also benefited from the weakening dollar and rising commodity prices, although the latter also drive up production costs. While some segments of this sector (such as industrial metals) are tied closely with global economic growth, the U.S. materials sectors is driven more by performance in chemicals and agricultural products.

Within the sector, both the Chemicals and the Metals & Mining industries turned in very strong performances, rising 33% and 24%, respectively, providing almost all of the Fund’s return. Lightly weighted Construction Materials was the smallest contributor to Fund performance.

The top-performing holdings were Potash Corporation of Saskatchewan, Inc., Silver Wheaton Corp. and E.I. DuPont de Nemours & Co. The worst-performing holdings included Gerdau S.A. ADR, Cia Siderurgica Nacional S.A. ADR and ArcelorMittal.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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)
Barrick Gold Corp.	2.5	%
E.I. du Pont de Nemours & Co.	2.5	%
Freeport-McMoRan Copper & Gold, Inc.	2.4	%
Dow Chemical Co.	2.3	%
Goldcorp, Inc.	2.2	%
Monsanto Co.	2.2	%
Vale S.A. — Class B ADR	2.0	%
Mosaic Co.	2.0	%
Southern Copper Co.	1.9	%
Praxair, Inc.	1.9	%
Top Ten Total	21.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

18 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/14/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
BASIC MATERIALS FUND		26.50	%		10.61	%		11.02	%		25.88	%		10.05	%		10.49	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 MATERIALS INDEX***		24.31	%		6.95	%		9.83	%		24.31	%		6.95	%		9.83	%

	A-Class																		C-Class
	(09/01/04)																		(05/03/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
BASIC MATERIALS FUND		26.20	%		20.20	%		10.35	%		9.28	%		12.59	%		11.76	%		25.21	%		24.21	%		9.50	%		8.95	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.55	%
S&P 500 MATERIALS INDEX***		24.31	%		24.31	%		6.95	%		6.95	%		9.09	%		9.09	%		24.31	%		24.31	%		6.95	%		8.74	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Materials Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS March 31, 2011

BASIC MATERIALS FUND

	Shares		Value
COMMON STOCKS† - 99.5%
MATERIALS - 98.3%
Barrick Gold Corp.		57,448	$	2,982,126
E. I. du Pont de Nemours & Co.		53,069		2,917,204
Freeport-McMoRan Copper & Gold, Inc.		51,240		2,846,382
Dow Chemical Co.		73,738		2,783,610
Goldcorp, Inc.		52,709		2,624,908
Monsanto Co.		35,932		2,596,447
Vale S.A. — Class B ADR		73,954		2,466,366
Mosaic Co.		30,376		2,392,110
Southern Copper Co.		56,780		2,286,531
Praxair, Inc.		22,318		2,267,509
Potash Corporation of Saskatchewan, Inc.		37,324		2,199,503
Newmont Mining Co.		39,824		2,173,594
Alcoa, Inc.		102,932		1,816,750
Air Products & Chemicals, Inc.		20,133		1,815,594
AngloGold Ashanti Ltd. ADR		37,447		1,795,584
Kinross Gold Corp.		111,975		1,763,606
Silver Wheaton Corp.		38,226		1,657,480
PPG Industries, Inc.		17,034		1,621,807
International Paper Co.		51,221		1,545,850
Cliffs Natural Resources, Inc.		15,681		1,541,130
Nucor Corp.		33,368		1,535,595
Gold Fields Ltd. ADR		83,965		1,466,029
BHP Billiton Ltd. ADR		15,014		1,439,542
Ecolab, Inc.		27,711		1,413,816
Cia de Minas Buenaventura S.A. ADR		32,485		1,395,880
Agnico-Eagle Mines Ltd.		20,394		1,353,142
CF Industries Holdings, Inc.		9,044		1,237,129
Rio Tinto plc ADR		17,286		1,229,380
Yamana Gold, Inc.		99,373		1,223,282
Sherwin-Williams Co.		14,560		1,222,895
LyondellBasell Industries N.V. — Class A*		29,600		1,170,680
Randgold Resources Ltd. ADR*		14,199		1,157,786
Sigma-Aldrich Corp.		17,922		1,140,556
Molycorp, Inc.*		18,900		1,134,378
Agrium, Inc.		12,293		1,134,152
Teck Resources Ltd. — Class B		21,369		1,132,984
Celanese Corp. — Class A		25,252		1,120,431
Walter Energy, Inc.		8,260		1,118,652
ArcelorMittal		30,863		1,115,697
Allegheny Technologies, Inc.		16,078		1,088,802
United States Steel Co.		20,123		1,085,435
Eastman Chemical Co.		10,917		1,084,276
Ball Corp.		28,844		1,034,058
Lubrizol Corp.		7,717		1,033,769
Crown Holdings, Inc.*		26,737		1,031,513
FMC Corp.		12,058		1,024,086
Cemex SAB de CV ADR*		114,229		1,020,064
Vulcan Materials Co.		22,215		1,013,004
Cia Siderurgica Nacional S.A. ADR		60,583		1,009,313
Gerdau S.A. ADR		79,890		998,625
Albemarle Corp.		16,594		991,823
Airgas, Inc.		14,932		991,783
MeadWestvaco Corp.		31,196		946,175
Mechel ADR		30,500		939,095
Ivanhoe Mines Ltd.*		33,700		925,402
International Flavors & Fragrances, Inc.		14,777		920,607
Owens-Illinois, Inc.*		30,468		919,829
IAMGOLD Corp.		41,115		905,352
Novagold Resources, Inc.*		68,700		893,100
POSCO ADR		7,563		864,375
Reliance Steel & Aluminum Co.		14,914		861,731
Sealed Air Corp.		32,098		855,732
Silvercorp Metals, Inc.		58,600		853,802
Ashland, Inc.		14,682		848,032
Eldorado Gold Corp.		52,080		846,821
Huntsman Corp.		48,448		842,026
Pan American Silver Corp.		22,526		836,390
Martin Marietta Materials, Inc.		9,209		825,771
Scotts Miracle-Gro Co. — Class A		13,994		809,553
Steel Dynamics, Inc.		43,090		808,799
Domtar Corp.		8,780		805,828
Nalco Holding Co.		29,304		800,292
Valspar Corp.		20,452		799,673
Westlake Chemical Corp.		14,200		798,040
Coeur d’Alene Mines Corp.*		22,900		796,462
Rockwood Holdings, Inc.*		16,150		794,903
Sonoco Products Co.		21,829		790,865
Smurfit-Stone Container Corp.*		20,300		784,595
Bemis Company, Inc.		23,712		777,991
Allied Nevada Gold Corp.*		21,700		769,916
Aptargroup, Inc.		15,200		761,976
Titanium Metals Corp.*		40,465		751,840
Solutia, Inc.*		29,280		743,712
RPM International, Inc.		30,832		731,643
Packaging Corporation of America		24,881		718,812
Hecla Mining Co.*		77,700		705,516
Compass Minerals International, Inc.		7,529		704,187
WR Grace & Co.*		18,347		702,507
Cabot Corp.		15,100		698,979
Rock-Tenn Co. — Class A		10,014		694,471
Cytec Industries, Inc.		12,545		682,072
Temple-Inland, Inc.		29,146		682,016
Silver Standard Resources, Inc.*		21,700		680,946
Royal Gold, Inc.		12,944		678,266
Silgan Holdings, Inc.		17,660		673,552
Stillwater Mining Co.*		29,100		667,263
Intrepid Potash, Inc.*		18,987		661,127
Commercial Metals Co.		33,849		584,572
Thompson Creek Metals Company, Inc.*		45,300		568,062

20 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

BASIC MATERIALS FUND

	Shares		Value
Schnitzer Steel Industries, Inc. — Class A		8,300	$	539,583
AK Steel Holding Corp.		32,703		516,053
Total Materials				119,010,960
FINANCIALS - 1.2%
Weyerhaeuser Co.		59,477		1,463,134
Total Common Stocks (Cost $78,051,612)				120,474,094
	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.0%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	1,210,331		1,210,331
Total Repurchase Agreement (Cost $1,210,331)				1,210,331
Total Investments — 100.5% (Cost $79,261,943)			$	121,684,425
Liabilities, Less Cash & Other Assets — (0.5)%				(553,179	)
Total Net Assets — 100.0%			$	121,131,246

*	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 ANNUAL REPORT | 21

BASIC MATERIALS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	120,474,094
Repurchase agreements, at value		1,210,331
Total investments		121,684,425
Cash		32,944
Receivables:
Fund shares sold		1,037,935
Dividends		82,387
Total assets		122,837,691
Liabilities:
Payable for:
Securities purchased		765,784
Fund shares redeemed		715,369
Management fees		85,178
Custodian fees		2,876
Transfer agent/maintenance fees		25,052
Distribution and service fees		19,407
Portfolio accounting fees		10,021
Other		82,758
Total liabilities		1,706,445
Net Assets	$	121,131,246
Net assets consist of:
Paid in capital	$	104,957,387
Accumulated net investment loss		(28,515	)
Accumulated net realized loss on investments		(26,220,108	)
Net unrealized appreciation on investments		42,422,482
Net assets	$	121,131,246
Investor Class:
Net assets	$	73,606,227
Capital shares outstanding		1,305,997
Net asset value per share	$	56.36
Advisor Class:
Net assets	$	15,985,614
Capital shares outstanding		301,591
Net asset value per share	$	53.00
A-Class:
Net assets	$	18,186,579
Capital shares outstanding		336,858
Net asset value per share	$	53.99
Maximum offering price per share*	$	56.68
C-Class:
Net assets	$	13,352,826
Capital shares outstanding		262,832
Net asset value per share	$	50.80
Investments, at cost	$	78,051,612
Repurchase agreements, at cost		1,210,331
Total cost	$	79,261,943

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $22,958)	$	1,466,321
Interest		837
Total investment income		1,467,158
Expenses:
Management fees		885,645
Transfer agent and administrative fees		260,483
Distribution and Service fees:
Advisor Class		40,795
A-Class		28,273
C-Class		101,719
Portfolio accounting fees		104,192
Trustees’ fees**		9,180
Miscellaneous		185,785
Total expenses		1,616,072
Net investment loss		(148,914	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		11,009,906
Net realized gain		11,009,906
Net change in unrealized appreciation (depreciation) on:
Investments		16,475,314
Net change in unrealized appreciation (depreciation)		16,475,314
Net realized and unrealized gain		27,485,220
Net increase in net assets resulting from operations	$	27,336,306

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

22 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

BASIC MATERIALS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(148,914	)	$	418,960
Net realized gain on investments		11,009,906			2,711,773
Net change in unrealized appreciation (depreciation) on investments		16,475,314			18,662,144
Net increase in net assets resulting from operations		27,336,306			21,792,877
Distributions to shareholders from:
Net investment income
Investor Class		(222,370	)		(236,906	)
Advisor Class		(21,324	)		(29,177	)
A-Class		(31,662	)		(18,345	)
C-Class		(29,598	)		(26,067	)
Total distributions to shareholders		(304,954	)		(310,495	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		290,808,232			327,399,075
Advisor Class		30,920,509			35,932,170
A-Class		17,579,705			10,740,343
C-Class		122,015,297			71,801,108
Distributions reinvested
Investor Class		206,954			220,842
Advisor Class		20,596			20,624
A-Class		25,164			16,149
C-Class		28,100			24,977
Cost of shares redeemed
Investor Class		(282,325,246	)		(395,861,863	)
Advisor Class		(25,392,783	)		(34,027,602	)
A-Class		(10,581,967	)		(8,721,203	)
C-Class		(119,870,587	)		(69,843,154	)
Net increase (decrease) from capital share transactions		23,433,974			(62,298,534	)
Net increase (decrease) in net assets		50,465,326			(40,816,152	)
Net assets:
Beginning of year		70,665,920			111,482,072
End of year	$	121,131,246		$	70,665,920
Undistributed/(Accumulated) net investment income/(loss) at end of year	$	(28,515	)	$	304,957
Capital share activity:
Shares sold
Investor Class		6,100,024			8,763,665
Advisor Class		676,750			993,888
A-Class		361,833			293,045
C-Class		2,837,089			2,030,076
Shares issued from reinvestment of distributions
Investor Class		4,118			5,201
Advisor Class		435			513
A-Class		522			396
C-Class		618			644
Shares redeemed
Investor Class		(5,796,546	)		(11,371,550	)
Advisor Class		(584,091	)		(966,463	)
A-Class		(215,761	)		(254,082	)
C-Class		(2,799,223	)		(1,965,846	)
Net increase (decrease) in shares		585,768			(2,470,513	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 23

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	44.65		$	27.43		$	50.49		$	42.25		$	35.23
Income (loss) from investment operations:
Net investment incomea		—	b		.24			.20			.15			.41
Net gain (loss) on investments (realized and unrealized)		11.82			17.07			(22.77	)		8.18			6.91
Total from investment operations		11.82			17.31			(22.57	)		8.33			7.32
Less distributions from:
Net investment income		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	56.36		$	44.65		$	27.43		$	50.49		$	42.25
Total Returnc		26.50	%		63.12	%		(44.54	%)		19.71	%		20.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	73,606		$	44,582		$	98,767		$	120,870		$	68,862
Ratios to average net assets:
Net investment income		0.00	%		0.65	%		0.46	%		0.31	%		1.09	%
Total expenses		1.39	%		1.39	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		292	%		455	%		288	%		225	%		442	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	42.20		$	26.06		$	48.27		$	40.61		$	34.03
Income (loss) from investment operations:
Net investment income (loss)a		(.20	)		.03			.05			(.11	)		.26
Net gain (loss) on investments (realized and unrealized)		11.11			16.20			(21.77	)		7.86			6.62
Total from investment operations		10.91			16.23			(21.72	)		7.75			6.88
Less distributions from:
Net investment income		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	53.00		$	42.20		$	26.06		$	48.27		$	40.61
Total Returnc		25.88	%		62.30	%		(44.83	%)		19.08	%		20.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,986		$	8,799		$	4,705		$	11,899		$	15,974
Ratios to average net assets:
Net investment income (loss)		(0.44	%)		0.07	%		0.13	%		(0.25	%)		0.72	%
Total expenses		1.89	%		1.89	%		1.88	%		1.87	%		1.87	%
Portfolio turnover rate		292	%		455	%		288	%		225	%		442	%

24 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	42.88		$	26.41		$	48.80		$	40.92		$	34.19
Income (loss) from investment operations:
Net investment income (loss)a		(.09	)		.15			.12			.03			.33
Net gain (loss) on investments (realized and unrealized)		11.31			16.41			(22.02	)		7.94			6.70
Total from investment operations		11.22			16.56			(21.90	)		7.97			7.03
Less distributions from:
Net investment income		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	53.99		$	42.88		$	26.41		$	48.80		$	40.92
Total Returnc		26.20	%		62.72	%		(44.71	%)		19.47	%		20.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,187		$	8,159		$	3,986		$	6,985		$	2,076
Ratios to average net assets:
Net investment income (loss)		(0.19	%)		0.40	%		0.30	%		0.07	%		0.92	%
Total expenses		1.64	%		1.65	%		1.63	%		1.62	%		1.62	%
Portfolio turnover rate		292	%		455	%		288	%		225	%		442	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	40.67		$	25.24		$	47.02		$	39.76		$	33.48
Income (loss) from investment operations:
Net investment income (loss)a		(.40	)		(.13	)		(.18	)		(.28	)		.04
Net gain (loss) on investments (realized and unrealized)		10.64			15.65			(21.11	)		7.63			6.54
Total from investment operations		10.24			15.52			(21.29	)		7.35			6.58
Less distributions from:
Net investment income		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	50.80		$	40.67		$	25.24		$	47.02		$	39.76
Total Returnc		25.21	%		61.51	%		(45.11	%)		18.48	%		19.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,353		$	9,125		$	4,024		$	12,725		$	7,017
Ratios to average net assets:
Net investment income (loss)		(0.93	%)		(0.37	%)		(0.46	%)		(0.63	%)		0.11	%
Total expenses		2.39	%		2.40	%		2.38	%		2.37	%		2.37	%
Portfolio turnover rate		292	%		455	%		288	%		225	%		442	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income is less than $0.01 per share.
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 ANNUAL REPORT | 25

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

BIOTECHNOLOGY FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).

Inception: April 1, 1998

For the one-year period ended March 31, 2011, Biotechnology Fund Investor Class returned 6.66% compared with the S&P 500 Health Care Index, which returned 5.11%.

This capital-intensive industry did not enjoy a rush of capital during the year. This factor, along with the perception that the FDA takes too long to review new drugs and too-quickly rejects new therapies and technologies because of possible future side effects, restrained performance of the industry and the Fund. Among industry news was the $18.5 billion takeover bid of Genzyme, the world’s largest manufacturer of medicines for genetic diseases, by the French company Sanofi-Aventis S.A. After the initial offer was rejected, the two companies agreed on a $20.1 billion deal in February.

Almost all the Fund’s performance was driven by holdings in the Biotechnology segment. Lightly weighted Pharmaceuticals returned nearly 50%, contributing less than a percentage point to Fund return.

The best-performing stocks in the Fund were Genzyme Corp., Alexion Pharmaceuticals, Inc. and Biogen Idec, Inc. The worst-performing stocks in the Fund included Amgen, Inc., Amylin Pharmaceuticals, Inc. and Gilead Sciences, Inc.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	9.3	%
Gilead Sciences, Inc.	8.1	%
Celgene Corp.	7.1	%
Genzyme Corp.	6.0	%
Biogen Idec, Inc.	5.8	%
Vertex Pharmaceuticals, Inc.	4.4	%
Alexion Pharmaceuticals, Inc.	4.2	%
Dendreon Corp.	3.3	%
Human Genome Sciences, Inc.	3.1	%
Pharmasset, Inc.	2.8	%
Top Ten Total	54.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

26 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/01/98)
	ONE			FIVE			TEN				ONE			FIVE			TEN
	YEAR			YEAR			YEAR				YEAR			YEAR			YEAR
BIOTECHNOLOGY FUND		6.66	%		4.45	%		3.02	%			6.08	%		3.94	%		2.51	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%			15.65	%		2.62	%		3.29	%
S&P 500 HEALTH CARE INDEX***		5.11	%		2.73	%		1.93	%			5.11	%		2.73	%		1.93	%

	A-Class																		C-Class
	(09/01/04)																		(03/30/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
BIOTECHNOLOGY FUND		6.39	%		1.32	%		4.20	%		3.19	%		6.84	%		6.05	%		5.65	%		4.65	%		3.45	%		1.99	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.29	%
S&P 500 HEALTH CARE INDEX***		5.11	%		5.11	%		2.73	%		2.73	%		3.72	%		3.72	%		5.11	%		5.11	%		2.73	%		1.93	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS	March 31, 2011
BIOTECHNOLOGY FUND

	Shares		Value
| |
COMMON STOCKS† - 99.3%
HEALTH CARE - 99.3%
Amgen, Inc.*		100,010	$	5,345,534
Gilead Sciences, Inc.*		109,589		4,650,956
Celgene Corp.*		71,598		4,119,032
Genzyme Corp.*		45,394		3,456,752
Biogen Idec, Inc.*		45,833		3,363,684
Vertex Pharmaceuticals, Inc.*		53,091		2,544,652
Alexion Pharmaceuticals, Inc.*		24,745		2,441,837
Dendreon Corp.*		50,871		1,904,102
Human Genome Sciences, Inc.*		65,515		1,798,387
Pharmasset, Inc.*		20,253		1,594,114
United Therapeutics Corp.*		23,081		1,546,889
Regeneron Pharmaceuticals, Inc.*		33,897		1,523,331
InterMune, Inc.*		29,225		1,379,128
BioMarin Pharmaceutical, Inc.*		50,167		1,260,697
Onyx Pharmaceuticals, Inc.*		33,101		1,164,493
Talecris Biotherapeutics Holdings Corp.*		42,972		1,151,650
Incyte Corporation Ltd.*		70,339		1,114,873
Cephalon, Inc.*		14,643		1,109,647
Seattle Genetics, Inc.*		70,674		1,100,394
Amylin Pharmaceuticals, Inc.*		90,327		1,027,018
Theravance, Inc.*		40,755		987,086
Cubist Pharmaceuticals, Inc.*		37,926		957,252
Exelixis, Inc.*		83,810		947,053
Ariad Pharmaceuticals, Inc.*		112,025		842,428
Myriad Genetics, Inc.*		41,718		840,618
Cepheid, Inc.*		26,910		754,018
Acorda Therapeutics, Inc.*		32,116		745,091
Savient Pharmaceuticals, Inc.*		68,860		729,916
PDL BioPharma, Inc.		124,813		723,915
Momenta Pharmaceuticals, Inc.*		45,195		716,341
Alkermes, Inc.*		53,925		698,329
SIGA Technologies, Inc.*		52,945		640,635
Clinical Data, Inc.*		19,700		596,910
Enzon Pharmaceuticals, Inc.*		49,145		535,681
Isis Pharmaceuticals, Inc.*		56,367		509,558
Amarin Corporation plc ADR*		62,900		459,170
NPS Pharmaceuticals, Inc.*		47,700		456,489
Medivation, Inc.*		24,400		454,816
Sangamo Biosciences, Inc.*		47,900		399,007
AMAG Pharmaceuticals, Inc.*		23,235		388,025
Immunogen, Inc.*		37,005		335,635
Total Health Care				57,315,143
Total Common Stocks (Cost $24,371,016)				57,315,143

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 2.5%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	1,443,098	$	1,443,098
Total Repurchase Agreement (Cost $1,443,098)				1,443,098
Total Investments — 101.8% (Cost $25,814,114)			$	58,758,241
Liabilities, Less Other Assets — (1.8)%				(1,058,098	)
Total Net Assets — 100.0%			$	57,700,143

*	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

28 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

BIOTECHNOLOGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	57,315,143
Repurchase agreements, at value		1,443,098
Total investments		58,758,241
Receivables:
Fund shares sold		1,227,184
Total assets		59,985,425
Liabilities:
Payable for:
Securities purchased		1,962,646
Fund shares redeemed		205,156
Management fees		40,406
Custodian fees		1,615
Transfer agent/maintenance fees		11,884
Distribution and service fees		5,596
Portfolio accounting fees		4,754
Other		53,225
Total liabilities		2,285,282
Net assets	$	57,700,143
Net assets consist of:
Paid in capital	$	85,976,548
Accumulated net investment loss		(7,214	)
Accumulated net realized loss on investments		(61,213,318	)
Net unrealized appreciation on investments		32,944,127
Net assets	$	57,700,143
Investor Class:
Net assets	$	44,686,339
Capital shares outstanding		1,532,285
Net asset value per share	$	29.16
Advisor Class:
Net assets	$	7,409,665
Capital shares outstanding		272,166
Net asset value per share	$	27.22
A-Class:
Net assets	$	2,211,490
Capital shares outstanding		80,022
Net asset value per share	$	27.64
Maximum offering price per share*	$	29.02
C-Class:
Net assets	$	3,392,649
Capital shares outstanding		128,620
Net asset value per share	$	26.38
Investments, at cost	$	24,371,016
Repurchase agreements, at cost		1,443,098
Total cost	$	25,814,114

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends	$	78,335
Interest		579
Total investment income		78,914
Expenses:
Management fees		535,192
Transfer agent and administrative fees		157,409
Distribution and Service fees:
Advisor Class		28,557
A-Class		5,853
C-Class		35,685
Portfolio accounting fees		62,963
Trustees’ fees**		7,645
Miscellaneous		110,278
Total expenses		943,582
Net investment loss		(864,668	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,894,249
Net realized gain		5,894,249
Net change in unrealized appreciation (depreciation) on:
Investments		(5,568,909	)
Net change in unrealized appreciation (depreciation)		(5,568,909	)
Net realized and unrealized gain		325,340
Net decrease in net assets resulting from operations	$	(539,328	)

** 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 ANNUAL REPORT |  29

BIOTECHNOLOGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(864,668	)	$	(1,027,989	)
Net realized gain on investments		5,894,249			23,271,294
Net change in unrealized appreciation (depreciation) on investments		(5,568,909	)		17,120,769
Net increase (decrease) in net assets resulting from operations		(539,328	)		39,364,074
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		200,353,498			382,174,346
Advisor Class		32,859,417			30,320,268
A-Class		4,397,821			3,174,070
C-Class		83,602,839			62,222,359
Cost of shares redeemed
Investor Class		(302,455,838	)		(335,407,314	)
Advisor Class		(34,822,391	)		(30,117,369	)
A-Class		(5,002,905	)		(5,562,086	)
C-Class		(85,042,173	)		(62,697,371	)
Net increase (decrease) from capital share transactions		(106,109,732	)		44,106,903
Net increase (decrease) in net assets		(106,649,060	)		83,470,977
Net assets:
Beginning of year		164,349,203			80,878,226
End of year	$	57,700,143		$	164,349,203
Accumulated net investment loss at end of year	$	(7,214	)	$	—
Capital share activity:
Shares sold
Investor Class		7,766,203			16,314,815
Advisor Class		1,325,998			1,372,828
A-Class		181,773			138,965
C-Class		3,546,616			2,885,464
Shares redeemed
Investor Class		(11,632,862	)		(14,313,826	)
Advisor Class		(1,410,259	)		(1,381,852	)
A-Class		(212,222	)		(264,013	)
C-Class		(3,606,457	)		(2,922,461	)
Net increase (decrease) in shares		(4,041,210	)		1,829,920

30 |  THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.34		$	19.37		$	21.51		$	21.21		$	23.45
Income (loss) from investment operations:
Net investment lossa		(.33	)		(.21	)		(.19	)		(.22	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		2.15			8.18			(1.95	)		.52			(1.97	)
Total from investment operations		1.82			7.97			(2.14	)		.30			(2.24	)
Net asset value, end of period	$	29.16		$	27.34		$	19.37		$	21.51		$	21.21
Total Returnb		6.66	%		41.15	%		(9.95	%)		1.41	%		(9.55	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,686		$	147,631		$	65,829		$	47,696		$	61,366
Ratios to average net assets:
Net investment loss		(1.26	%)		(0.90	%)		(0.86	%)		(0.94	%)		(1.23	%)
Total expenses		1.39	%		1.39	%		1.38	%		1.39	%		1.37	%
Portfolio turnover rate		337	%		316	%		370	%		193	%		269	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.66		$	18.27		$	20.39		$	20.20		$	22.44
Income (loss) from investment operations:
Net investment lossa		(.43	)		(.30	)		(.29	)		(.31	)		(.37	)
Net gain (loss) on investments (realized and unrealized)		1.99			7.69			(1.83	)		.50			(1.87	)
Total from investment operations		1.56			7.39			(2.12	)		.19			(2.24	)
Net asset value, end of period	$	27.22		$	25.66		$	18.27		$	20.39		$	20.20
Total Returnb		6.08	%		40.45	%		(10.40	%)		0.94	%		(9.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,410		$	9,144		$	6,675		$	4,220		$	5,295
Ratios to average net assets:
Net investment loss		(1.77	%)		(1.38	%)		(1.40	%)		(1.42	%)		(1.75	%)
Total expenses		1.89	%		1.89	%		1.88	%		1.89	%		1.87	%
Portfolio turnover rate		337	%		316	%		370	%		193	%		269	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT |  31

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.98		$	18.45		$	20.54		$	20.30		$	22.50
Income (loss) from investment operations:
Net investment lossa		(.37	)		(.25	)		(.24	)		(.27	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		2.03			7.78			(1.85	)		.51			(1.89	)
Total from investment operations		1.66			7.53			(2.09	)		.24			(2.20	)
Net asset value, end of period	$	27.64		$	25.98		$	18.45		$	20.54		$	20.30
Total Returnb		6.39	%		40.81	%		(10.18	%)		1.18	%		(9.78	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,211		$	2,869		$	4,346		$	2,321		$	849
Ratios to average net assets:
Net investment loss		(1.51	%)		(1.12	%)		(1.17	%)		(1.26	%)		(1.50	%)
Total expenses		1.64	%		1.64	%		1.64	%		1.62	%		1.62	%
Portfolio turnover rate		337	%		316	%		370	%		193	%		269	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	24.96		$	17.87		$	20.03		$	19.95		$	22.27
Income (loss) from investment operations:
Net investment lossa		(.54	)		(.38	)		(.38	)		(.42	)		(.46	)
Net gain (loss) on investments (realized and unrealized)		1.96			7.47			(1.78	)		.50			(1.86	)
Total from investment operations		1.42			7.09			(2.16	)		.08			(2.32	)
Net asset value, end of period	$	26.38		$	24.96		$	17.87		$	20.03		$	19.95
Total Returnb		5.65	%		39.68	%		(10.78	%)		0.40	%		(10.42	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,393		$	4,705		$	4,028		$	3,671		$	2,678
Ratios to average net assets:
Net investment loss		(2.27	%)		(1.78	%)		(1.89	%)		(1.99	%)		(2.23	%)
Total expenses		2.39	%		2.39	%		2.39	%		2.38	%		2.36	%
Portfolio turnover rate		337	%		316	%		370	%		193	%		269	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

32 |  THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 33

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

CONSUMER PRODUCTS FUND

OBJECTIVE: Seeks capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).

Inception: July 6, 1998

Consumer Products firms performed well, with solid fundamentals—wage growth that was kept in check, lean inventories and strong expense control. But the rise in commodity prices and the group’s lack of pricing power could compress margins going forward. Among the best-performing segments are those with high exposure to emerging markets and strong brands in domestic markets. As a defensive sector, consumer products may do well if the economic recovery stumbles.

For the one-year period ended March 31, 2011, Consumer Products Fund Investor Class returned 14.81%, compared with a gain of 10.56% for the S&P 500 Consumer Staples Index. All industries in the sector were higher for the year.

Within the sector, the Food Products, Beverages and Tobacco industries were the biggest contributors to Fund performance. Household Products was the weakest contributor to Fund performance.

Fund performance for the year got the biggest boost from Philip Morris International, Inc., Coca-Cola Co. and Altria Group, Inc. The weakest performers were Central European Distribution Corp., SUPERVALU, Inc. and Dean Foods Co.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	5.9	%
Coca-Cola Co.	5.8	%
Philip Morris International, Inc.	5.0	%
PepsiCo, Inc.	4.6	%
Altria Group, Inc.	3.4	%
Kraft Foods, Inc. — Class A	3.3	%
Colgate-Palmolive Co.	2.9	%
Kimberly-Clark Corp.	2.3	%
Archer-Daniels-Midland Co.	2.2	%
General Mills, Inc.	2.2	%
Top Ten Total	37.6	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

34 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(07/06/98)									(08/17/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
CONSUMER PRODUCTS FUND		14.81	%		7.41	%		7.75	%		14.32	%		6.89	%		7.27	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 CONSUMER STAPLES INDEX***		10.56	%		7.95	%		6.34	%		10.56	%		7.95	%		6.34	%

	A-Class																		C-Class
	(09/01/04)																		(07/24/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
CONSUMER PRODUCTS FUND		14.58	%		9.14	%		7.15	%		6.11	%		7.11	%		6.32	%		13.78	%		12.84	%		6.36	%		6.80	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.26	%
S&P 500 CONSUMER STAPLES INDEX***		10.56	%		10.56	%		7.95	%		7.95	%		7.60	%		7.60	%		10.56	%		10.56	%		7.95	%		6.86	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS March 31, 2011

CONSUMER PRODUCTS FUND

	Shares		Value
COMMON STOCKS† - 99.5%
CONSUMER STAPLES - 99.5%
Procter & Gamble Co.		67,145	$	4,136,131
Coca-Cola Co.		60,575		4,019,151
Philip Morris International, Inc.		53,461		3,508,646
PepsiCo, Inc.		49,392		3,181,339
Altria Group, Inc.		92,455		2,406,604
Kraft Foods, Inc. — Class A		74,492		2,336,068
Colgate-Palmolive Co.		25,053		2,023,280
Kimberly-Clark Corp.		24,747		1,615,237
Archer-Daniels-Midland Co.		42,342		1,524,735
General Mills, Inc.		41,587		1,520,005
Reynolds American, Inc.		41,778		1,484,372
Estee Lauder Companies, Inc. — Class A		14,890		1,434,800
Kellogg Co.		25,914		1,398,838
Lorillard, Inc.		13,218		1,255,842
Sysco Corp.		45,015		1,246,916
HJ Heinz Co.		25,327		1,236,464
Kroger Co.		50,543		1,211,515
Mead Johnson Nutrition Co. — Class A		19,249		1,115,095
Avon Products, Inc.		40,202		1,087,062
Whole Foods Market, Inc.		16,140		1,063,626
Hershey Co.		19,555		1,062,814
Sara Lee Corp.		60,115		1,062,232
Bunge Ltd.		14,650		1,059,635
ConAgra Foods, Inc.		43,741		1,038,849
Campbell Soup Co.		30,477		1,009,093
Brown-Forman Corp. — Class B		14,773		1,008,996
Clorox Co.		13,879		972,502
Coca-Cola Enterprises, Inc.		35,534		970,078
Molson Coors Brewing Co. — Class B		20,487		960,636
Safeway, Inc.		39,675		933,950
JM Smucker Co.		12,902		921,074
Green Mountain Coffee Roasters, Inc.*		14,178		916,041
Cia de Bebidas das Americas ADR		32,140		909,883
Dr Pepper Snapple Group, Inc.		23,905		888,310
Tyson Foods, Inc. — Class A		45,270		868,731
Hormel Foods Corp.		30,856		859,031
McCormick & Company, Inc.		17,886		855,487
Unilever N.V.		25,668		804,948
Hansen Natural Corp.*		12,465		750,767
Church & Dwight Company, Inc.		9,280		736,275
Energizer Holdings, Inc.*		10,292		732,379
Herbalife Ltd.		8,603		699,940
Constellation Brands, Inc. — Class A*		34,354		696,699
Smithfield Foods, Inc.*		27,932		672,044
Diageo plc ADR		8,388		639,333
Fomento Economico Mexicano SAB de CV ADR		10,748		630,908
Corn Products International, Inc.		12,162		630,235
Anheuser-Busch InBev N.V. ADR		10,940		625,440
Ralcorp Holdings, Inc.*		9,052		619,428
Alberto-Culver Co. — Class B		16,143		601,650
BRF — Brasil Foods S.A. ADR		31,450		600,381
Nestle S.A. ADR		9,870		567,328
Flowers Foods, Inc.		18,274		497,601
United Natural Foods, Inc.*		10,722		480,560
TreeHouse Foods, Inc.*		8,040		457,235
SUPERVALU, Inc.		50,676		452,537
Darling International, Inc.*		28,960		445,115
Ruddick Corp.		11,330		437,225
Nu Skin Enterprises, Inc. — Class A		14,898		428,318
Dean Foods Co.*		42,135		421,350
Casey’s General Stores, Inc.		10,044		391,716
Hain Celestial Group, Inc.*		11,930		385,100
Total Consumer Staples				69,507,580
Total Common Stocks (Cost $56,120,087)				69,507,580
WARRANTS†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc.
$12.21, 03/02/12		125		21
Total Warrants (Cost $—)				21

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	293,301		293,301
Total Repurchase Agreement (Cost $293,301)				293,301
Total Investments — 99.9% (Cost $56,413,388)			$	69,800,902
Other Assets, Less Liabilities — 0.1%				66,978
Total Net Assets — 100.0%			$	69,867,880

*	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

36 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

CONSUMER PRODUCTS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	69,507,601
Repurchase agreements, at value		293,301
Total investments		69,800,902
Receivables:
Fund shares sold		69,878
Dividends		183,988
Total assets		70,054,768
Liabilities:
Payable for:
Fund shares redeemed		85,154
Management fees		38,285
Custodian fees		1,286
Transfer agent/maintenance fees		11,260
Distribution and service fees		5,601
Portfolio accounting fees		4,504
Other		40,798
Total liabilities		186,888
Net assets	$	69,867,880
Net assets consist of:
Paid in capital	$	57,288,909
Undistributed net investment income		1,510,146
Accumulated net realized loss on investments		(2,318,689	)
Net unrealized appreciation on investments		13,387,514
Net assets	$	69,867,880
Investor Class:
Net assets	$	57,875,770
Capital shares outstanding		1,591,347
Net asset value per share	$	36.37
Advisor Class:
Net assets	$	3,474,599
Capital shares outstanding		102,685
Net asset value per share	$	33.84
A-Class:
Net assets	$	5,033,021
Capital shares outstanding		145,908
Net asset value per share	$	34.49
Maximum offering price per share*	$	36.21
C-Class:
Net assets	$	3,484,490
Capital shares outstanding		107,948
Net asset value per share	$	32.28
Investments, at cost	$	56,120,087
Repurchase agreements, at cost		293,301
Total cost	$	56,413,388

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $363)	$	2,783,662
Interest		603
Total investment income		2,784,265
Expenses:
Management fees		735,452
Transfer agent and administrative fees		216,309
Distribution and Service fees:
Advisor Class		27,343
A-Class		13,922
C-Class		40,974
Portfolio accounting fees		86,523
Trustees’ fees**		11,446
Registration fees		64,219
Miscellaneous		77,933
Total expenses		1,274,121
Net investment income		1,510,144
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		23,091,560
Net realized gain		23,091,560
Net change in unrealized appreciation (depreciation) on:
Investments		(13,671,959	)
Net change in unrealized appreciation (depreciation)		(13,671,959	)
Net realized and unrealized gain		9,419,601
Net increase in net assets resulting from operations	$	10,929,745

** 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 ANNUAL REPORT | 37

CONSUMER PRODUCTS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	1,510,144		$	1,580,414
Net realized gain on investments		23,091,560			6,595,196
Net change in unrealized appreciation (depreciation) on investments		(13,671,959	)		26,967,623
Net increase in net assets resulting from operations		10,929,745			35,143,233
Distributions to shareholders from:
Net investment income
Investor Class		(1,233,220	)		(464,050	)
Advisor Class		(155,870	)		(15,832	)
A-Class		(80,810	)		(10,343	)
C-Class		(110,514	)		(12,499	)
Net realized gains
Investor Class		(8,588,996	)		—
Advisor Class		(1,085,584	)		—
A-Class		(562,819	)		—
C-Class		(769,755	)		—
Total distributions to shareholders		(12,587,568	)		(502,724	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		390,995,240			339,328,485
Advisor Class		35,315,185			21,109,662
A-Class		6,689,410			21,203,982
C-Class		68,579,568			51,174,979
Distributions reinvested
Investor Class		9,569,300			458,899
Advisor Class		1,219,720			15,678
A-Class		593,646			7,814
C-Class		861,273			12,307
Cost of shares redeemed
Investor Class		(525,670,868	)		(201,366,844	)
Advisor Class		(38,462,251	)		(29,112,678	)
A-Class		(22,692,937	)		(3,884,119	)
C-Class		(69,681,980	)		(51,159,705	)
Net increase (decrease) from capital share transactions		(142,684,694	)		147,788,460
Net increase (decrease) in net assets		(144,342,517	)		182,428,969
Net assets:
Beginning of year		214,210,397			31,781,428
End of year	$	69,867,880		$	214,210,397
Undistributed net investment income at end of year	$	1,510,146		$	1,580,416
Capital share activity:
Shares sold
Investor Class		10,684,021			10,319,500
Advisor Class		1,029,449			656,386
A-Class		191,526			601,974
C-Class		2,055,708			1,595,030
Shares issued from reinvestment of distributions
Investor Class		283,619			13,194
Advisor Class		38,795			476
A-Class		18,540			234
C-Class		28,671			386
Shares redeemed
Investor Class		(14,211,944	)		(6,054,152	)
Advisor Class		(1,128,358	)		(937,075	)
A-Class		(650,900	)		(129,685	)
C-Class		(2,097,770	)		(1,600,013	)
Net increase (decrease) in shares		(3,758,643	)		4,466,255

38 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	37.83		$	26.39		$	36.40		$	36.11		$	31.03
Income (loss) from investment operations:
Net investment incomea		.69			.50			.55			.52			.43
Net gain (loss) on investments (realized and unrealized)		4.40			11.04			(10.35	)		.13			4.71
Total from investment operations		5.09			11.54			(9.80	)		.65			5.14
Less distributions from:
Net investment income		(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		(5.73	)		—			—			—			—
Total distributions		(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	36.37		$	37.83		$	26.39		$	36.40		$	36.11
Total Returnb		14.81	%		43.75	%		(26.96	%)		1.72	%		16.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	57,876		$	182,915		$	14,703		$	8,722		$	21,814
Ratios to average net assets:
Net investment income		1.84	%		1.46	%		1.81	%		1.37	%		1.29	%
Total expenses		1.38	%		1.37	%		1.38	%		1.37	%		1.37	%
Portfolio turnover rate		400	%		200	%		445	%		449	%		455	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	35.77		$	25.09		$	34.78		$	34.68		$	29.96
Income (loss) from investment operations:
Net investment incomea		.62			.35			.34			.15			.20
Net gain (loss) on investments (realized and unrealized)		4.00			10.43			(9.82	)		.31			4.58
Total from investment operations		4.62			10.78			(9.48	)		.46			4.78
Less distributions from:
Net investment income		(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		(5.73	)		—			—			—			—
Total distributions		(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	33.84		$	35.77		$	25.09		$	34.78		$	34.68
Total Returnb		14.32	%		42.99	%		(27.29	%)		1.25	%		15.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,475		$	5,824		$	11,113		$	5,384		$	5,754
Ratios to average net assets:
Net investment income		1.78	%		1.17	%		1.18	%		0.42	%		0.64	%
Total expenses		1.88	%		1.88	%		1.87	%		1.87	%		1.86	%
Portfolio turnover rate		400	%		200	%		445	%		449	%		455	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 39

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	36.26		$	25.37		$	35.09		$	34.90		$	30.07
Income (loss) from investment operations:
Net investment incomea		.41			.55			.42			.50			.42
Net gain (loss) on investments (realized and unrealized)		4.37			10.44			(9.93	)		.05			4.47
Total from investment operations		4.78			10.99			(9.51	)		.55			4.89
Less distributions from:
Net investment income		(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		(5.73	)		—			—			—			—
Total distributions		(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	34.49		$	36.26		$	25.37		$	35.09		$	34.90
Total Returnb		14.58	%		43.34	%		(27.14	%)		1.50	%		16.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,033		$	21,277		$	2,898		$	1,682		$	3,935
Ratios to average net assets:
Net investment income		1.14	%		1.72	%		1.41	%		1.38	%		1.30	%
Total expenses		1.63	%		1.63	%		1.63	%		1.63	%		1.61	%
Portfolio turnover rate		400	%		200	%		445	%		449	%		455	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.57		$	24.36		$	33.95		$	34.04		$	29.55
Income (loss) from investment operations:
Net investment incomea		.30			.24			.19			.17			.20
Net gain (loss) on investments (realized and unrealized)		3.96			10.07			(9.57	)		.10			4.35
Total from investment operations		4.26			10.31			(9.38	)		.27			4.55
Less distributions from:
Net investment income		(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		(5.73	)		—			—			—			—
Total distributions		(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	32.28		$	34.57		$	24.36		$	33.95		$	34.04
Total Returnb		13.78	%		42.35	%		(27.67	%)		0.71	%		15.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,484		$	4,194		$	3,067		$	3,903		$	5,472
Ratios to average net assets:
Net investment income		0.90	%		0.77	%		0.65	%		0.49	%		0.62	%
Total expenses		2.38	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		400	%		200	%		445	%		449	%		455	%

a	Net investment income per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

40 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ELECTRONICS FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).

Inception: April 1, 1998

The semiconductor group that makes up most of the holdings in the Fund received renewed focus after the Japan earthquake and tsunami, since companies there account for about 30% of worldwide supply. Japan is also a source of many components and materials for electronics. However, the recovery in Japan has been solid despite ongoing concerns about the situation at the nuclear power plant. As for electronics end markets, the corporate market for computing power remains solid, while the consumer market is still a bit soft. Growth in business investment in technology has been higher than total business investment, but many companies are expected to limit capital spending at the same time that governments are planning to cut costs.

For the one-year period ended March 31, 2011, Electronics Fund Investor Class returned 15.75%, compared with a gain of 11.91% for the S&P 500 Information Technology Index.

The Semiconductors & Semiconductor Equipment stocks that make up the Fund contributed nearly all of the Fund’s performance.

For the year, Fund performance got the biggest boost from Atmel Corp., Texas Instruments, Inc. and Altera Corp. Intel Corp., Cree, Inc. and Marvell Technology Group Ltd. were among the stocks which provided the least to Fund performance for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	7.1	%
Texas Instruments, Inc.	4.4	%
Applied Materials, Inc.	3.1	%
Broadcom Corp. — Class A	3.1	%
Altera Corp.	2.6	%
First Solar, Inc.	2.4	%
Analog Devices, Inc.	2.3	%
Micron Technology, Inc.	2.3	%
NVIDIA Corp.	2.2	%
Marvell Technology Group Ltd.	2.1	%
Top Ten Total	31.6	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

42 THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/02/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
ELECTRONICS FUND		15.75	%		-2.17	%		-3.07	%		15.25	%		-2.64	%		-3.54	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		4.88	%		2.36	%		11.91	%		4.88	%		2.36	%

	A-Class																		C-Class
	(09/01/04)																		(03/26/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
ELECTRONICS FUND		15.46	%		9.97	%		-2.44	%		-3.38	%		3.44	%		2.68	%		14.86	%		13.86	%		-3.07	%		-3.99	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.29	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		11.91	%		4.88	%		4.88	%		6.91	%		6.91	%		11.91	%		11.91	%		4.88	%		2.36	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS	March 31, 2011
ELECTRONICS FUND

	Shares		Value
COMMON STOCKS† - 99.6%
INFORMATION TECHNOLOGY - 96.5%
Intel Corp.		45,751	$	922,799
Texas Instruments, Inc.		16,345		564,883
Applied Materials, Inc.		25,567		399,356
Broadcom Corp. — Class A		10,063		396,281
Altera Corp.		7,571		333,275
Analog Devices, Inc.		7,698		303,147
Micron Technology, Inc.*		26,082		298,900
NVIDIA Corp.*		15,680		289,453
Marvell Technology Group Ltd.*		17,763		276,215
Xilinx, Inc.		7,739		253,839
Maxim Integrated Products, Inc.		9,699		248,294
KLA-Tencor Corp.		5,217		247,129
Avago Technologies Ltd.		7,873		244,850
Linear Technology Corp.		7,260		244,154
Atmel Corp.*		17,665		240,774
Lam Research Corp.*		4,242		240,352
Microchip Technology, Inc.		6,198		235,586
Taiwan Semiconductor Manufacturing Company Ltd. ADR		19,255		234,526
Skyworks Solutions, Inc.*		6,827		221,331
Advanced Micro Devices, Inc.*		24,753		212,876
ARM Holdings plc ADR		6,510		183,387
ON Semiconductor Corp.*		18,542		183,010
LSI Corp.*		26,759		181,961
Cree, Inc.*		3,940		181,870
ASML Holding N.V. — Class G		3,908		173,906
Varian Semiconductor Equipment Associates, Inc.*		3,471		168,934
National Semiconductor Corp.		11,354		162,816
Novellus Systems, Inc.*		4,356		161,738
Cypress Semiconductor Corp.*		8,284		160,544
Trina Sola Ltd. ADR*		5,264		158,552
Teradyne, Inc.*		8,898		158,473
Atheros Communications, Inc.*		3,439		153,551
MEMC Electronic Materials, Inc.*		11,529		149,416
Netlogic Microsystems, Inc.*		3,528		148,247
LDK Solar Company, Ltd. ADR*		11,120		136,109
International Rectifier Corp.*		4,102		135,612
Fairchild Semiconductor International, Inc. — Class A*		7,364		134,025
Omnivision Technologies, Inc.*		3,753		133,344
Cavium Networks, Inc.*		2,949		132,499
TriQuint Semiconductor, Inc.*		10,182		131,450
Hittite Microwave Corp.*		2,024		129,070
Rambus, Inc.*		6,393		126,581
Veeco Instruments, Inc.*		2,414		122,728
MKS Instruments, Inc.		3,640		121,212
Silicon Laboratories, Inc.*		2,798		120,902
Cymer, Inc.*		2,132		120,629
RF Micro Devices, Inc.*		18,270		117,111
PMC — Sierra, Inc.*		15,338		115,035
Microsemi Corp.*		5,543		114,796
Semtech Corp.*		4,573		114,416
Intersil Corp. — Class A		9,134		113,718
SunPower Corp. — Class A*		6,510		111,581
Cirrus Logic, Inc.*		4,906		103,173
Diodes, Inc.*		3,020		102,861
Entegris, Inc.*		11,613		101,846
Amkor Technology, Inc.*		15,106		101,814
FEI Co.*		3,010		101,497
Integrated Device Technology, Inc.*		13,085		96,436
Cabot Microelectronics Corp.*		1,800		94,050
Tessera Technologies, Inc.*		4,694		85,712
Entropic Communications, Inc.*		9,303		78,610
Silicon Image, Inc.*		8,560		76,783
Advanced Energy Industries, Inc.*		4,651		76,044
Kulicke & Soffa Industries, Inc.*		8,010		74,894
Lattice Semiconductor Corp.*		12,320		72,688
Power Integrations, Inc.		1,863		71,409
Volterra Semiconductor Corp.*		2,844		70,617
Applied Micro Circuits Corp.*		6,624		68,757
Rubicon Technology, Inc.*		2,356		65,214
MIPS Technologies, Inc. — Class A*		6,070		63,674
Total Information Technology				12,471,322
INDUSTRIALS - 3.1%
First Solar, Inc.*		1,910		307,205
GT Solar International, Inc.*		8,623		91,921
Total Industrials				399,126
Total Common Stocks (Cost $7,966,240)				12,870,448

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.3%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	170,300		170,300
Total Repurchase Agreement (Cost $170,300)				170,300
Total Investments — 100.9% (Cost $8,136,540)			$	13,040,748
Liabilities, Less Other Assets — (0.9)%				(119,014	)
Total Net Assets — 100.0%			$	12,921,734

*	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

44 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

ELECTRONICS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	12,870,448
Repurchase agreements, at value		170,300
Total investments		13,040,748
Receivables:
Securities sold		1,089,668
Fund shares sold		322,604
Dividends		1,773
Total assets		14,454,793
Liabilities:
Payable for:
Fund shares redeemed		1,443,272
Management fees		35,461
Custodian fees		1,190
Transfer agent/maintenance fees		10,430
Distribution and service fees		3,452
Portfolio accounting fees		4,172
Other		35,082
Total liabilities		1,533,059
Net assets	$	12,921,734
Net assets consist of:
Paid in capital	$	60,880,123
Accumulated net investment loss		—
Accumulated net realized loss on investments		(52,862,597	)
Net unrealized appreciation on investments		4,904,208
Net assets	$	12,921,734
Investor Class:
Net assets	$	6,975,937
Capital shares outstanding		115,175
Net asset value per share	$	60.57
Advisor Class:
Net assets	$	3,081,363
Capital shares outstanding		54,274
Net asset value per share	$	56.77
A-Class:
Net assets	$	1,618,830
Capital shares outstanding		28,109
Net asset value per share	$	57.59
Maximum offering price per share*	$	60.46
C-Class:
Net assets	$	1,245,604
Capital shares outstanding		22,636
Net asset value per share	$	55.03
Investments, at cost	$	7,966,240
Repurchase agreements, at cost		170,300
Total cost	$	8,136,540

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $230)	$	345,928
Interest		197
Total investment income		346,125
Expenses:
Management fees		254,842
Transfer agent and administrative fees		74,953
Distribution and Service fees:
Advisor Class		6,934
A-Class		2,886
C-Class		16,184
Portfolio accounting fees		29,981
Trustees’ fees**		2,444
Miscellaneous		55,217
Total expenses		443,441
Net investment loss		(97,316	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,831,352	)
Net realized loss		(1,831,352	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,072,361	)
Net change in unrealized appreciation (depreciation)		(1,072,361	)
Net realized and unrealized loss		(2,903,713	)
Net decrease in net assets resulting from operations	$	(3,001,029	)

** 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 ANNUAL REPORT | 45

ELECTRONICS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(97,316	)	$	(66,359	)
Net realized gain (loss) on investments		(1,831,352	)		13,159,163
Net change in unrealized appreciation (depreciation) on investments		(1,072,361	)		(2,372,844	)
Net increase (decrease) in net assets resulting from operations		(3,001,029	)		10,719,960
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		353,378,731			316,164,916
Advisor Class		29,701,725			13,959,995
A-Class		7,556,407			12,783,547
C-Class		128,873,486			104,366,297
Cost of shares redeemed
Investor Class		(359,599,458	)		(416,397,442	)
Advisor Class		(28,156,131	)		(16,125,892	)
A-Class		(6,829,314	)		(11,646,403	)
C-Class		(131,295,692	)		(101,888,992	)
Net decrease from capital share transactions		(6,370,246	)		(98,783,974	)
Net decrease in net assets		(9,371,275	)		(88,064,014	)
Net assets:
Beginning of year		22,293,009			110,357,023
End of year	$	12,921,734		$	22,293,009
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		6,465,968			6,827,464	†
Advisor Class		577,894			326,605	†
A-Class		144,798			280,864	†
C-Class		2,693,693			2,506,446	†
Shares redeemed
Investor Class		(6,656,304	)		(9,779,092	)†
Advisor Class		(556,791	)		(395,089	)†
A-Class		(143,325	)		(255,566	)†
C-Class		(2,740,831	)		(2,451,879	)†
Net decrease in shares		(214,898	)		(2,940,247	)†

^† Share amounts for the period April 1, 2009 through April 19, 2009 have been restated to reflect a 1:5 reverse stock split effective April 20, 2009.

46 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	52.33		$	32.76		$	50.30		$	62.30		$	67.60
Income (loss) from investment operations:
Net investment lossa		(.13	)		(.02	)		—	b		(.25	)		(.50	)
Net gain (loss) on investments (realized and unrealized)		8.37			19.59			(17.54	)		(11.75	)		(4.80	)
Total from investment operations		8.24			19.57			(17.54	)		(12.00	)		(5.30	)
Net asset value, end of period	$	60.57		$	52.33		$	32.76		$	50.30		$	62.30
Total Returnc		15.75	%		59.74	%		(34.89	%)		(19.26	%)		(7.84	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,976		$	15,988		$	106,703		$	9,835		$	15,376
Ratios to average net assets:
Net investment loss		(0.23	%)		(0.06	%)		(0.03	%)		(0.37	%)		(0.76	%)
Total expenses		1.39	%		1.38	%		1.34	%		1.36	%		1.37	%
Portfolio turnover rate		1,171	%		592	%		408	%		784	%		759	%

	Year Ended				Year Ended			Year Ended			Year Ended			Year Ended
	March 31,				March 31,			March 31,			March 31,			March 31,
Advisor Class	2011				2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	49.26			$	31.01		$	47.80		$	59.40		$	64.90
Income (loss) from investment operations:
Net investment lossa		(.41	)			(.16	)		(.10	)		(.60	)		(.75	)
Net gain (loss) on investments (realized and unrealized)		7.92				18.41			(16.69	)		(11.00	)		(4.75	)
Total from investment operations		7.51				18.25			(16.79	)		(11.60	)		(5.50	)
Net asset value, end of period	$	56.77			$	49.26		$	31.01		$	47.80		$	59.40
Total Returnc		15.25	%			58.85	%		(35.15	%)		(19.53	%)		(8.47	%)
Ratios/Supplemental Data				��
Net assets, end of period (in thousands)	$	3,081			$	1,634		$	3,152		$	566		$	1,511
Ratios to average net assets:
Net investment loss		(0.79	%)			(0.39	%)		(0.29	%)		(0.98	%)		(1.20	%)
Total expenses		1.89	%			1.87	%		1.86	%		1.88	%		1.87	%
Portfolio turnover rate		1,171	%			592	%		408	%		784	%		759	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 47

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	49.88		$	31.31		$	48.25		$	59.95		$	65.15
Income (loss) from investment operations:
Net investment lossa		(.21	)		(.14	)		(.10	)		(.55	)		(.55	)
Net gain (loss) on investments (realized and unrealized)		7.92			18.71			(16.84	)		(11.15	)		(4.65	)
Total from investment operations		7.71			18.57			(16.94	)		(11.70	)		(5.20	)
Net asset value, end of period	$	57.59		$	49.88		$	31.31		$	48.25		$	59.95
Total Returnc		15.46	%		59.31	%		(35.13	%)		(19.52	%)		(7.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,619		$	1,329		$	42		$	85		$	130
Ratios to average net assets:
Net investment loss		(0.43	%)		(0.31	%)		(0.26	%)		(0.90	%)		(0.94	%)
Total expenses		1.64	%		1.62	%		1.60	%		1.62	%		1.63	%
Portfolio turnover rate		1,171	%		592	%		408	%		784	%		759	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	47.90		$	30.28		$	46.90		$	58.65		$	64.30
Income (loss) from investment operations:
Net investment lossa		(.65	)		(.51	)		(.30	)		(.75	)		(1.00	)
Net gain (loss) on investments (realized and unrealized)		7.78			18.13			(16.32	)		(11.00	)		(4.65	)
Total from investment operations		7.13			17.62			(16.62	)		(11.75	)		(5.65	)
Net asset value, end of period	$	55.03		$	47.90		$	30.28		$	46.90		$	58.65
Total Returnc		14.86	%		58.19	%		(35.39	%)		(20.03	%)		(8.79	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,246		$	3,342		$	460		$	962		$	2,876
Ratios to average net assets:
Net investment loss		(1.31	%)		(1.21	%)		(0.74	%)		(1.26	%)		(1.72	%)
Total expenses		2.39	%		2.38	%		2.42	%		2.38	%		2.36	%
Portfolio turnover rate		1,171	%		592	%		408	%		784	%		759	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	Net investment loss is less than $0.01 per share.
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 1:5 reverse stock split effective April 20, 2009.

48 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ENERGY FUND

OBJECTIVE: Seeks capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).

Inception: April 21, 1998

The energy sector’s performance was driven largely by the upward trend in the price of a barrel of oil, which in the first quarter of 2011 rose above $100 for the first time since 2008. The sector also benefited from a gradual economic recovery and U.S. quantitative easing that has pushed the dollar lower, supporting oil prices. Loosening monetary policy globally has been keeping upward pressure on economic growth, and developing countries have been leading the demand for more fuel. However, some countries are beginning to tamp down growth—and the potential for higher inflation—by imposing austerity measures. China, for example, a leading oil user, has recently increased interest rates and tightened lending.

For the one-year period ended March 31, 2011, Energy Fund Investor Class returned 37.43%, compared with the 39.81% increase in the S&P 500 Energy Index.

Within the sector, the segment most sensitive to changes in the price of oil, Energy Equipment & Services, accounted for only about 26% of the holdings. Its contribution to return (11%) was second to the contribution from much more heavily weighted Oil, Gas & Consumable Fuels. That segment accounts for 73% of the portfolio weight and advanced 38%, contributing 27% to Fund performance.

Exxon Mobil Corp., Chevron Corp. and Schlumberger Ltd. were among the most significant positive contributors to Fund performance for the year, while XTO Energy, Diamond Offshore Drilling, Inc. and Smith International were among the weakest contributors.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	6.0	%
Chevron Corp.	4.2	%
Schlumberger Ltd.	3.3	%
ConocoPhillips	3.1	%
Occidental Petroleum Corp.	2.7	%
Petroleo Brasileiro S.A. ADR	2.2	%
Apache Corp.	2.1	%
Halliburton Co.	2.0	%
Anadarko Petroleum Corp.	1.9	%
Marathon Oil Corp.	1.8	%
Top Ten Total	29.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

50 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/21/98)									(05/05/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
ENERGY FUND		37.43	%		7.84	%		11.13	%		36.75	%		7.30	%		10.58	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 ENERGY INDEX***		39.81	%		9.82	%		12.38	%		39.81	%		9.82	%		12.38	%

	A-Class																		C-Class
	(09/01/04)																		(04/19/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
ENERGY FUND		37.11	%		30.59	%		7.57	%		6.53	%		14.43	%		13.59	%		36.09	%		35.09	%		6.78	%		9.67	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.50	%
S&P 500 ENERGY INDEX***		39.81	%		39.81	%		9.82	%		9.82	%		15.39	%		15.39	%		39.81	%		39.81	%		9.82	%		12.05	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Energy Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS	March 31, 2011
ENERGY FUND

	Shares		Value
COMMON STOCKS† - 99.4%
ENERGY - 99.4%
Exxon Mobil Corp.		102,522	$	8,625,177
Chevron Corp.		57,029		6,126,625
Schlumberger Ltd.		51,139		4,769,224
ConocoPhillips		55,843		4,459,622
Occidental Petroleum Corp.		37,592		3,927,988
Petroleo Brasileiro S.A. ADR		77,905		3,149,699
Apache Corp.		23,330		3,054,363
Halliburton Co.		58,505		2,915,889
Anadarko Petroleum Corp.		33,084		2,710,240
Marathon Oil Corp.		49,181		2,621,839
Devon Energy Corp.		28,022		2,571,579
National Oilwell Varco, Inc.		29,729		2,356,618
Baker Hughes, Inc.		31,941		2,345,428
EOG Resources, Inc.		19,355		2,293,761
Hess Corp.		26,762		2,280,390
Transocean Ltd.*		27,170		2,117,902
Chesapeake Energy Corp.		56,008		1,877,388
BP plc ADR		41,617		1,836,974
Williams Companies, Inc.		57,532		1,793,848
Weatherford International Ltd.*		78,137		1,765,896
Spectra Energy Corp.		64,780		1,760,720
Peabody Energy Corp.		24,253		1,745,245
Noble Energy, Inc.		17,682		1,708,965
Valero Energy Corp.		56,908		1,696,997
Southwestern Energy Co.*		37,093		1,593,886
Murphy Oil Corp.		21,381		1,569,793
El Paso Corp.		85,288		1,535,184
Cameron International Corp.*		26,115		1,491,167
Suncor Energy, Inc.		33,076		1,483,128
Continental Resources, Inc.*		20,358		1,454,986
Noble Corp.		30,809		1,405,507
Pioneer Natural Resources Co.		13,760		1,402,419
FMC Technologies, Inc.*		14,638		1,382,998
Diamond Offshore Drilling, Inc.		17,755		1,379,564
Newfield Exploration Co.*		17,812		1,353,890
Denbury Resources, Inc.*		55,472		1,353,517
Concho Resources, Inc.*		12,553		1,346,937
Cimarex Energy Co.		11,444		1,318,807
Consol Energy, Inc.		24,555		1,316,885
Nabors Industries Ltd.*		41,485		1,260,314
Whiting Petroleum Corp.*		16,942		1,244,390
Range Resources Corp.		21,137		1,235,669
Royal Dutch Shell plc ADR		16,798		1,223,902
Total S.A. ADR		19,954		1,216,595
Ensco plc ADR		20,912		1,209,550
Encana Corp.		34,350		1,186,106
Canadian Natural Resources Ltd.		23,570		1,165,065
EQT Corp.		23,102		1,152,790
Helmerich & Payne, Inc.		16,589		1,139,498
Pride International, Inc.*		26,514		1,138,776
Massey Energy Co.		16,239		1,110,098
Alpha Natural Resources, Inc.*		18,683		1,109,210
Petrohawk Energy Corp.*		44,871		1,101,134
Ultra Petroleum Corp.*		22,239		1,095,271
QEP Resources, Inc.		26,948		1,092,472
Cameco Corp. — Class A		35,274		1,059,631
McDermott International, Inc.*		41,355		1,050,003
Tenaris S.A. ADR		20,722		1,024,910
SandRidge Energy, Inc.*		79,611		1,019,021
Cabot Oil & Gas Corp.		18,712		991,175
Rowan Companies, Inc.*		22,310		985,656
Arch Coal, Inc.		27,094		976,468
CNOOC Ltd. ADR		3,830		969,143
Oceaneering International, Inc.*		10,715		958,457
PetroChina Company Ltd. ADR		6,280		956,130
Sunoco, Inc.		20,966		955,840
Nexen, Inc.		37,102		924,582
Talisman Energy, Inc.		37,336		922,199
Plains Exploration & Production Co.*		25,400		920,242
EXCO Resources, Inc.		43,945		907,904
Cenovus Energy, Inc.		22,881		901,054
SM Energy Co.		12,135		900,296
Core Laboratories N.V.		8,759		894,907
Patterson-UTI Energy, Inc.		30,183		887,078
Brigham Exploration Co.*		23,723		882,021
Dresser-Rand Group, Inc.*		15,986		857,169
Oil States International, Inc.*		11,215		853,910
RPC, Inc.		33,600		850,752
Forest Oil Corp.*		22,418		848,073
Tesoro Corp.*		29,888		801,895
Superior Energy Services, Inc.*		19,464		798,024
Southern Union Co.		27,748		794,148
CARBO Ceramics, Inc.		5,500		776,160
Holly Corp.		12,450		756,462
Dril-Quip, Inc.*		9,506		751,259
Frontier Oil Corp.		25,200		738,864
Tidewater, Inc.		12,294		735,796
InterOil Corp.*		9,820		732,965
Unit Corp.*		11,700		724,815
World Fuel Services Corp.		17,700		718,797
Atwood Oceanics, Inc.*		15,400		715,022
Oasis Petroleum, Inc.*		21,960		694,375
Quicksilver Resources, Inc.*		45,531		651,549
Total Energy				143,468,637
Total Common Stocks (Cost $92,960,305)				143,468,637

52 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
ENERGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.2%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	326,714	$	326,714
Total Repurchase Agreement (Cost $326,714)				326,714
Total Investments — 99.6% (Cost $93,287,019)			$	143,795,351
Cash & Other Assets, Less Liabilities — 0.4%				612,503
Total Net Assets — 100.0%			$	144,407,854

*	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. RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 53

ENERGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	143,468,637
Repurchase agreements, at value		326,714
Total investments		143,795,351
Cash		10,422
Receivables:
Fund shares sold		2,298,754
Dividends		55,295
Total assets		146,159,822
Liabilities:
Payable for:
Securities purchased		1,057,675
Fund shares redeemed		452,004
Management fees		100,250
Custodian fees		3,340
Transfer agent/maintenance fees		29,485
Distribution and service fees		26,554
Portfolio accounting fees		11,794
Other		70,866
Total liabilities		1,751,968
Net assets	$	144,407,854
Net assets consist of:
Paid in capital	$	111,572,535
Accumulated net investment loss		—
Accumulated net realized loss on investments		(17,673,013	)
Net unrealized appreciation on investments		50,508,332
Net assets	$	144,407,854
Investor Class:
Net assets	$	93,647,688
Capital shares outstanding		3,262,603
Net asset value per share	$	28.70
Advisor class:
Net assets	$	16,014,721
Capital shares outstanding		594,581
Net asset value per share	$	26.93
A-Class:
Net assets	$	14,752,068
Capital shares outstanding		538,404
Net asset value per share	$	27.40
Maximum offering price per share*	$	28.77
C-Class:
Net assets	$	19,993,377
Capital shares outstanding		775,531
Net asset value per share	$	25.78
Investments, at cost	$	92,960,305
Repurchase agreements, at cost		326,714
Total cost	$	93,287,019

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $18,686)	$	1,063,573
Interest		561
Total investment income		1,064,134
Expenses:
Management fees		654,649
Transfer agent and administrative fees		192,543
Distribution and Service fees:
Advisor Class		38,484
A-Class		13,430
C-Class		145,036
Portfolio accounting fees		77,017
Trustees’ fees**		6,663
Miscellaneous		138,178
Total expenses		1,266,000
Net investment loss		(201,866	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,967,964
Net realized gain		4,967,964
Net change in unrealized appreciation (depreciation) on:
Investments		24,910,039
Net change in unrealized appreciation (depreciation)		24,910,039
Net realized and unrealized gain		29,878,003
Net increase in net assets resulting from operations	$	29,676,137
.

*	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.

54 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

ENERGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(201,866	)	$	134,928
Net realized gain on investments		4,967,964			6,591,106
Net change in unrealized appreciation (depreciation) on investments		24,910,039			15,267,322
Net increase in net assets resulting from operations		29,676,137			21,993,356
Distributions to shareholders from:
Net investment income
Investor Class		(57,578	)		(23,766	)
Advisor Class		(8,833	)		(6,343	)
A-Class		(6,392	)		(2,905	)
C-Class		(19,609	)		(11,544	)
Total distributions to shareholders		(92,412	)		(44,558	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		288,061,481			130,635,169
Advisor Class		18,472,831			26,610,999
A-Class		18,443,868			4,285,714
C-Class		76,637,847			77,225,005
Distributions reinvested
Investor Class		56,100			22,854
Advisor Class		8,744			6,290
A-Class		4,737			2,427
C-Class		18,406			10,909
Cost of shares redeemed
Investor Class		(248,929,384	)		(162,468,687	)
Advisor Class		(11,587,850	)		(26,878,717	)
A-Class		(10,355,093	)		(6,863,378	)
C-Class		(75,599,238	)		(77,961,140	)
Net increase (decrease) from capital share transactions		55,232,449			(35,372,555	)
Net increase (decrease) in net assets		84,816,174			(13,423,757	)
Net assets:
Beginning of year		59,591,680			73,015,437
End of year	$	144,407,854		$	59,591,680
Undistributed net investment income at end of year	$	—		$	92,412
Capital share activity:
Shares sold
Investor Class		11,988,260			6,736,451
Advisor Class		820,658			1,493,002
A-Class		766,871			250,032
C-Class		3,852,683			4,470,462
Shares issued from reinvestment of distributions
Investor Class		2,456			1,178
Advisor Class		407			343
A-Class		217			131
C-Class		894			618
Shares redeemed
Investor Class		(10,412,527	)		(8,881,132	)
Advisor Class		(555,486	)		(1,516,738	)
A-Class		(423,733	)		(415,616	)
C-Class		(3,814,448	)		(4,502,875	)
Net increase (decrease) in shares		2,226,252			(2,364,144	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 55

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.91		$	14.01		$	27.29		$	23.19		$	21.68
Income (loss) from investment operations:
Net investment income (loss)a		—	b		.10			.06			(.03	)		—	b
Net gain (loss) on investments (realized and unrealized)		7.82			6.82			(12.61	)		4.86			1.92
Total from investment operations		7.82			6.92			(12.55	)		4.83			1.92
Less distributions from:
Net investment income		(.03	)		(.02	)		—			—			—
Net realized gains		—			—			(.73	)		(.73	)		(.41	)
Total distributions		(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	28.70		$	20.91		$	14.01		$	27.29		$	23.19
Total Returnc		37.43	%		49.37	%		(46.01	)%		20.91	%		8.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	93,648		$	35,228		$	53,627		$	63,325		$	75,204
Ratios to average net assets:
Net investment income (loss)		0.00	%		0.51	%		0.28	%		(0.10	)%		(0.01	)%
Total expenses		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		273	%		228	%		310	%		188	%		283	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.72		$	13.28		$	26.07		$	22.29		$	20.96
Income (loss) from investment operations:
Net investment lossa		(.11	)		—	b		(.04	)		(.15	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		7.35			6.46			(12.02	)		4.66			1.86
Total from investment operations		7.24			6.46			(12.06	)		4.51			1.74
Less distributions from:
Net investment income		(.03	)		(.02	)		—			—			—
Net realized gains		—			—			(.73	)		(.73	)		(.41	)
Total distributions		(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	26.93		$	19.72		$	13.28		$	26.07		$	22.29
Total Returnc		36.75	%		48.62	%		(46.29	%)		20.31	%		8.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,015		$	6,489		$	4,679		$	17,713		$	14,613
Ratios to average net assets:
Net investment loss		(0.53	)%		(0.02	)%		(0.16	)%		(0.58	)%		(0.54	)%
Total expenses		1.89	%		1.88	%		1.88	%		1.86	%		1.86	%
Portfolio turnover rate		273	%		228	%		310	%		188	%		283	%

56 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.01		$	13.44		$	26.30		$	22.44		$	21.04
Income (loss) from investment operations:
Net investment income (loss)a		(.08	)		.06			.02			(.08	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		7.50			6.53			(12.15	)		4.67			1.87
Total from investment operations		7.42			6.59			(12.13	)		4.59			1.81
Less distributions from:
Net investment income		(.03	)		(.02	)		—			—			—
Net realized gains		—			—			(.73	)		(.73	)		(.41	)
Total distributions		(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	27.40		$	20.01		$	13.44		$	26.30		$	22.44
Total Returnc		37.11	%		49.01	%		(46.15	)%		20.54	%		8.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,752		$	3,903		$	4,845		$	6,378		$	3,307
Ratios to average net assets:
Net investment income (loss)		(0.38	)%		0.35	%		0.10	%		(0.31	)%		(0.29	)%
Total expenses		1.64	%		1.63	%		1.63	%		1.61	%		1.61	%
Portfolio turnover rate		273	%		228	%		310	%		188	%		283	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	18.97		$	12.84		$	25.37		$	21.81		$	20.62
Income (loss) from investment operations:
Net investment lossa		(.20	)		(.08	)		(.14	)		(.27	)		(.21	)
Net gain (loss) on investments (realized and unrealized)		7.04			6.23			(11.66	)		4.56			1.81
Total from investment operations		6.84			6.15			(11.80	)		4.29			1.60
Less distributions from:
Net investment income		(.03	)		(.02	)		—			—			—
Net realized gains		—			—			(.73	)		(.73	)		(.41	)
Total distributions		(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	25.78		$	18.97		$	12.84		$	25.37		$	21.81
Total Returnc		36.09	%		47.87	%		(46.55	)%		19.74	%		7.77	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,993		$	13,972		$	9,865		$	20,989		$	18,624
Ratios to average net assets:
Net investment loss		(0.99	)%		(0.48	)%		(0.65	)%		(1.07	)%		(1.00	)%
Total expenses		2.39	%		2.38	%		2.38	%		2.36	%		2.36	%
Portfolio turnover rate		273	%		228	%		310	%		188	%		283	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income is less than $0.01 per share.
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 ANNUAL REPORT | 57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ENERGY SERVICES FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production (“Energy Services Companies”).

Inception: April 1, 1998

The energy equipment and services providers that make up this Fund, and typically are sensitive to changes in the price of oil, responded to the jump in oil prices over 2010 and early 2011, which rose above $100 in the first quarter of 2011. The greatest threat to the companies in the industry is that turmoil in the Middle East and North Africa could result in production and delivery problems that could drive prices a lot higher and many economies back into recession.

For the one-year period ended March 31, 2011, Energy Services Fund Investor Class returned 46.27%, compared with the S&P 500 Energy Index, which returned 39.81%.

The Energy Equipment & Services holdings in this Fund, which makes up 99% of the portfolio, rose about 48% over the last 12 months, contributing most of the Fund’s return for the period.

Schlumberger Ltd., National Oilwell Varco, Inc. and Halliburton Co. were among the Fund’s best-performing stocks for the year. The Fund’s worst-performing holdings included Diamond Offshore Drilling, Inc., Smith International and Transocean Ltd.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	10.4	%
Halliburton Co.	6.4	%
National Oilwell Varco, Inc.	5.1	%
Baker Hughes, Inc.	5.1	%
Transocean Ltd.	4.7	%
Weatherford International Ltd.	3.8	%
Cameron International Corp.	3.2	%
Noble Corp.	3.1	%
FMC Technologies, Inc.	3.0	%
Diamond Offshore Drilling, Inc.	3.0	%
Top Ten Total	47.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

58 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/02/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
ENERGY SERVICES FUND		46.27	%		6.82	%		8.66	%		45.61	%		6.29	%		8.14	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 ENERGY INDEX***		39.81	%		9.82	%		12.38	%		39.81	%		9.82	%		12.38	%

	A-Class																		C-Class
	(09/01/04)																		(03/30/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
ENERGY SERVICES FUND		45.94	%		39.01	%		6.56	%		5.53	%		15.56	%		14.70	%		44.85	%		43.85	%		5.77	%		7.60	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.29	%
S&P 500 ENERGY INDEX***		39.81	%		39.81	%		9.82	%		9.82	%		15.39	%		15.39	%		39.81	%		39.81	%		9.82	%		12.38	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Energy Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS	March 31, 2011
ENERGY SERVICES FUND

	Shares		Value
COMMON STOCKS† - 99.8%
ENERGY - 99.8%
Schlumberger Ltd.		232,442	$	21,677,540
Halliburton Co.		268,385		13,376,307
National Oilwell Varco, Inc.		134,929		10,695,822
Baker Hughes, Inc.		144,886		10,638,979
Transocean Ltd.*		124,511		9,705,633
Weatherford International Ltd.*		354,817		8,018,864
Cameron International Corp.*		118,636		6,774,116
Noble Corp.		141,450		6,452,949
FMC Technologies, Inc.*		66,547		6,287,361
Diamond Offshore Drilling, Inc.		80,529		6,257,103
Nabors Industries Ltd.*		189,528		5,757,861
Pride International, Inc.*		120,313		5,167,443
Helmerich & Payne, Inc.		75,188		5,164,664
Ensco plc ADR		85,957		4,971,753
McDermott International, Inc.*		189,240		4,804,804
Rowan Companies, Inc.*		100,617		4,445,259
Oceaneering International, Inc.*		48,888		4,373,032
Patterson-UTI Energy, Inc.		136,942		4,024,725
Tenaris S.A. ADR		80,790		3,995,873
Oil States International, Inc.*		51,124		3,892,581
Dresser-Rand Group, Inc.*		72,442		3,884,340
RPC, Inc.		153,126		3,877,150
Superior Energy Services, Inc.*		87,962		3,606,442
CARBO Ceramics, Inc.		25,297		3,569,913
Dril-Quip, Inc.*		43,455		3,434,249
Tidewater, Inc.		56,044		3,354,233
Lufkin Industries, Inc.		35,461		3,314,540
Atwood Oceanics, Inc.*		70,379		3,267,697
Seadrill, Ltd.		89,705		3,235,659
Core Laboratories N.V.		29,675		3,031,895
Complete Production Services, Inc.*		92,321		2,936,731
Unit Corp.*		44,218		2,739,305
Key Energy Services, Inc.*		175,330		2,726,382
Helix Energy Solutions Group, Inc.*		157,222		2,704,218
ION Geophysical Corp.*		207,262		2,630,155
SEACOR Holdings, Inc.		28,278		2,614,584
Exterran Holdings, Inc.*		100,605		2,387,357
Gulfmark Offshore, Inc. — Class A*		46,374		2,064,107
Bristow Group, Inc.*		42,059		1,989,391
Hercules Offshore, Inc.*		265,700		1,756,277
Tetra Technologies, Inc.*		106,552		1,640,901
Hornbeck Offshore Services, Inc.*		30,536		942,036
Total Energy				208,190,231
Total Common Stocks (Cost $130,726,382)				208,190,231

*	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

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.8%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	1,761,174	$	1,761,174
Total Repurchase Agreement (Cost $1,761,174)				1,761,174
Total Investments - 100.6% (Cost $132,487,556)			$	209,951,405
Liabilities, Less Other Assets — (0.6)%				(1,286,059	)
Total Net Assets — 100.0%			$	208,665,346

60 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

ENERGY SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	208,190,231
Repurchase agreements, at value		1,761,174
Total investments		209,951,405
Receivables:
Fund shares sold		830,726
Dividends		66,675
Total assets		210,848,806
Liabilities:
Payable for:
Fund shares redeemed		1,831,809
Management fees		151,648
Custodian fees		5,008
Transfer agent/maintenance fees		44,602
Distribution and service fees		23,226
Portfolio accounting fees		17,841
Other		109,326
Total liabilities		2,183,460
Net assets	$	208,665,346
Net assets consist of:
Paid in capital	$	185,661,041
Accumulated net investment loss		—
Accumulated net realized loss on investments		(54,459,544	)
Net unrealized appreciation on investments		77,463,849
Net assets	$	208,665,346
Investor Class:
Net assets	$	151,318,341
Capital shares outstanding		2,414,762
Net asset value per share	$	62.66
Advisor Class:
Net assets	$	17,221,926
Capital shares outstanding		292,041
Net asset value per share	$	58.97
A-Class:
Net assets	$	24,849,472
Capital shares outstanding		414,113
Net asset value per share	$	60.01
Maximum offering price per share*	$	63.00
C-Class:
Net assets	$	15,275,607
Capital shares outstanding		268,890
Net asset value per share	$	56.81
Investments, at cost	$	130,726,382
Repurchase agreements, at cost		1,761,174
Total cost	$	132,487,556
*    Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).
STATEMENT OF OPERATIONS For the Year Ended March 31, 2011
Investment Income:
Dividends (net of foreign withholding tax of $2,011)	$	1,062,945
Interest		861
Total investment income		1,063,806
Expenses:
Management fees		929,437
Transfer agent and administrative fees		273,363
Distribution and Service fees:
Advisor Class		41,040
A-Class		33,636
C-Class		112,250
Portfolio accounting fees		109,345
Trustees’ fees**		8,503
Miscellaneous		200,753
Total expenses		1,708,327
Net investment loss		(644,521	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		11,780,705
Net realized gain		11,780,705
Net change in unrealized appreciation (depreciation) on:
Investments		38,608,948
Net change in unrealized appreciation (depreciation)		38,608,948
Net realized and unrealized gain		50,389,653
Net increase in net assets resulting from operations	$	49,745,132

** 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 ANNUAL REPORT | 61

ENERGY SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(644,521	)	$	(260,197	)
Net realized gain (loss) on investments		11,780,705			(3,669,197	)
Net change in unrealized appreciation (depreciation) on investments		38,608,948			27,010,971
Net increase in net assets resulting from operations		49,745,132			23,081,577
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		325,185,196			423,854,073
Advisor Class		49,966,638			74,622,197
A-Class		20,554,024			11,759,367
C-Class		75,084,065			90,977,214
Cost of shares redeemed
Investor Class		(258,712,201	)		(447,317,610	)
Advisor Class		(42,622,239	)		(77,173,599	)
A-Class		(11,461,422	)		(10,636,373	)
C-Class		(75,092,139	)		(94,028,572	)
Net increase (decrease) from capital share transactions		82,901,922			(27,943,303	)
Net increase (decrease) in net assets		132,647,054			(4,861,726	)
Net assets:
Beginning of year		76,018,292			80,880,018
End of year	$	208,665,346		$	76,018,292
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		6,666,644			10,928,957
Advisor Class		1,113,500			2,065,711
A-Class		435,077			330,237
C-Class		1,773,704			2,570,094
Shares redeemed
Investor Class		(5,404,466	)		(12,157,631	)
Advisor Class		(985,175	)		(2,198,134	)
A-Class		(238,789	)		(316,274	)
C-Class		(1,786,808	)		(2,684,708	)
Net increase (decrease) in shares		1,573,687			(1,461,748	)

62 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	42.83		$	25.07		$	58.04		$	47.47		$	45.05
Income (loss) from investment operations:
Net investment lossa		(.21	)		(.01	)		(.24	)		(.43	)		(.36	)
Net gain (loss) on investments (realized and unrealized)		20.04			17.77			(32.73	)		11.00			2.78
Total from investment operations		19.83			17.76			(32.97	)		10.57			2.42
Net asset value, end of period	$	62.66		$	42.83		$	25.07		$	58.04		$	47.47
Total Returnb		46.27	%		70.84	%		(56.81	)%		22.27	%		5.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	151,318		$	49,371		$	59,706		$	82,691		$	91,095
Ratios to average net assets:
Net investment loss		(0.42	)%		(0.01	)%		(0.48	)%		(0.77	)%		(0.80	)%
Total expenses		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		205	%		472	%		207	%		193	%		196	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	40.50		$	23.83		$	55.45		$	45.58		$	43.46
Income (loss) from investment operations:
Net investment lossa		(.42	)		(.26	)		(.43	)		(.69	)		(.58	)
Net gain (loss) on investments (realized and unrealized)		18.89			16.93			(31.19	)		10.56			2.70
Total from investment operations		18.47			16.67			(31.62	)		9.87			2.12
Net asset value, end of period	$	58.97		$	40.50		$	23.83		$	55.45		$	45.58
Total Returnb		45.61	%		69.95	%		(57.02	)%		21.65	%		4.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,222		$	6,631		$	7,058		$	15,929		$	18,237
Ratios to average net assets:
Net investment loss		(0.93	)%		(0.70	)%		(0.92	)%		(1.28	)%		(1.35	)%
Total expenses		1.89	%		1.88	%		1.88	%		1.87	%		1.86	%
Portfolio turnover rate		205	%		472	%		207	%		193	%		196	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 63

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	41.12		$	24.13		$	55.99		$	45.90		$	43.67
Income (loss) from investment operations:
Net investment lossa		(.31	)		(.16	)		(.31	)		(.55	)		(.41	)
Net gain (loss) on investments (realized and unrealized)		19.20			17.15			(31.55	)		10.64			2.64
Total from investment operations		18.89			16.99			(31.86	)		10.09			2.23
Net asset value, end of period	$	60.01		$	41.12		$	24.13		$	55.99		$	45.90
Total Returnb		45.94	%		70.41	%		(56.90	)%		21.98	%		5.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24,849		$	8,957		$	4,920		$	11,450		$	6,151
Ratios to average net assets:
Net investment loss		(0.67	)%		(0.43	)%		(0.68	)%		(1.01	)%		(0.97	)%
Total expenses		1.64	%		1.63	%		1.63	%		1.62	%		1.61	%
Portfolio turnover rate		205	%		472	%		207	%		193	%		196	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	39.22		$	23.19		$	54.22		$	44.79		$	42.92
Income (loss) from investment operations:
Net investment lossa		(.60	)		(.44	)		(.64	)		(.93	)		(.74	)
Net gain (loss) on investments (realized and unrealized)		18.19			16.47			(30.39	)		10.36			2.61
Total from investment operations		17.59			16.03			(31.03	)		9.43			1.87
Net asset value, end of period	$	56.81		$	39.22		$	23.19		$	54.22		$	44.79
Total Returnb		44.85	%		69.12	%		(57.23	)%		21.05	%		4.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,276		$	11,059		$	9,196		$	29,316		$	24,500
Ratios to average net assets:
Net investment loss		(1.43	)%		(1.25	)%		(1.41	)%		(1.76	)%		(1.77	)%
Total expenses		2.39	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		205	%		472	%		207	%		193	%		196	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

64 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 65

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

FINANCIAL SERVICES FUND

OBJECTIVE: Seeks capital appreciation by investing in companies involved in the financial services sector (“Financial Services Companies”).

Inception: April 2, 1998

Gradually improving credit conditions and some easing in lending standards helped the Financial Services sector to finish the year strongly and perform in-line with the market for 2010. More financial institutions have been repaying government loans, and prospects for capital markets activity, weak throughout the year, may be improving. New regulations, however, are limiting banks’ proprietary trading, and new capital requirements could hold back lending—both to the detriment of profits. Although housing continues to stabilize, it hasn’t returned to normal, and the industry may be at risk as foreclosures mount.

For the period, REITs, Insurance, and Commercial Banks were the highest-contributing segments. The Capital Markets segment was the lowest-contributing, while Diversified Financial Services detracted from performance.

For the one-year period ended March 31, 2011, Financial Services Fund Investor Class returned 9.33%, while the S&P 500 Financials Index gained 4.01% over the same period.

Banco Bradesco S.A. ADR, American International Group, Inc. and Discover Financial Services were among the stocks which contributed the most to Fund performance during the year. Bank of America Corp., Genworth Financial, Inc.—Class A and BB&T Corp. were among the stocks that contributed the least to Fund performance for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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	3.1	%
JPMorgan Chase & Co.	3.0	%
Wells Fargo & Co.	2.8	%
Bank of America Corp.	2.4	%
Goldman Sachs Group, Inc.	2.0	%
American International Group, Inc.	1.7	%
American Express Co.	1.6	%
U.S. Bancorp	1.5	%
MetLife, Inc.	1.5	%
BlackRock, Inc. — Class A	1.5	%
Top Ten Total	21.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

66 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/02/98)									(04/06/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
FINANCIAL SERVICES FUND		9.33	%		-7.86	%		-0.94	%		8.76	%		-8.36	%		-1.38	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 FINANCIALS INDEX***		4.01	%		-10.62	%		-2.41	%		4.01	%		-10.62	%		-2.41	%

							A-Class															C-Class
							(09/01/04)															(04/19/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
FINANCIAL SERVICES FUND		9.06	%		3.88	%		-8.08	%		-8.97	%		-3.32	%		-4.04	%		8.28	%		7.28	%		-8.75	%		-2.31	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.50	%
S&P 500 FINANCIALS INDEX***		4.01	%		4.01	%		-10.62	%		-10.62	%		-5.80	%		-5.80	%		4.01	%		4.01	%		-10.62	%		-2.91	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Financials Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 67

SCHEDULE OF INVESTMENTS March 31, 2011

FINANCIAL SERVICES FUND

	Shares		Value
COMMON STOCKS† - 99.3%
FINANCIALS - 99.3%
Berkshire Hathaway, Inc. — Class B*		4,237	$	354,340
JPMorgan Chase & Co.		7,338		338,281
Wells Fargo & Co.		10,016		317,508
Bank of America Corp.		20,838		277,771
Goldman Sachs Group, Inc.		1,470		232,950
American International Group, Inc.*		5,501		193,305
American Express Co.		4,057		183,376
U.S. Bancorp		6,633		175,310
MetLife, Inc.		3,901		174,492
BlackRock, Inc. — Class A		864		173,674
Morgan Stanley		5,812		158,784
Bank of New York Mellon Corp.		5,068		151,381
Simon Property Group, Inc.		1,308		140,165
PNC Financial Services Group, Inc.		2,216		139,585
Prudential Financial, Inc.		2,262		139,294
Franklin Resources, Inc.		1,081		135,211
Aflac, Inc.		2,449		129,258
Travelers Companies, Inc.		2,069		123,064
Charles Schwab Corp.		6,524		117,628
ACE Ltd.		1,811		117,172
State Street Corp.		2,597		116,709
Capital One Financial Corp.		2,231		115,923
CME Group, Inc. — Class A		378		113,985
Public Storage		999		110,798
T. Rowe Price Group, Inc.		1,604		106,538
Chubb Corp.		1,737		106,495
BB&T Corp.		3,873		106,314
Itau Unibanco Holding S.A. ADR		4,403		105,892
Loews Corp.		2,410		103,848
Allstate Corp.		3,184		101,188
AON Corp.		1,908		101,048
Equity Residential		1,762		99,394
Marsh & McLennan Companies, Inc.		3,319		98,939
Vornado Realty Trust		1,129		98,787
Banco Bradesco S.A. ADR		4,713		97,795
Ameriprise Financial, Inc.		1,568		95,773
General Growth Properties, Inc.		6,150		95,202
SunTrust Banks, Inc.		3,237		93,355
Discover Financial Services		3,832		92,428
Progressive Corp.		4,357		92,063
HCP, Inc.		2,425		92,005
Hartford Financial Services Group, Inc.		3,368		90,700
Boston Properties, Inc.		950		90,108
ICICI Bank Ltd. ADR		1,798		89,594
Annaly Capital Management, Inc.		5,122		89,379
TD Ameritrade Holding Corp.		4,236		88,405
Fifth Third Bancorp		6,209		86,181
Northern Trust Corp.		1,698		86,174
Invesco Ltd.		3,365		86,009
Weyerhaeuser Co.		3,494		85,952
Host Hotels & Resorts, Inc.		4,869		85,743
HSBC Holdings plc ADR		1,595		82,621
HDFC Bank Ltd. ADR		474		80,552
Principal Financial Group, Inc.		2,495		80,114
M&T Bank Corp.		896		79,269
ProLogis		4,892		78,174
AvalonBay Communities, Inc.		651		78,172
Banco Santander Brasil S.A. ADR		6,300		77,238
Lincoln National Corp.		2,568		77,143
Toronto-Dominion Bank		870		77,073
Banco Santander S.A. ADR		6,512		76,321
Barclays plc ADR		4,160		75,462
Leucadia National Corp.		2,009		75,418
Health Care REIT, Inc.		1,435		75,251
Manulife Financial Corp.		4,220		74,652
Royal Bank of Canada		1,202		74,488
Brookfield Properties Corp.		4,200		74,424
Ventas, Inc.		1,353		73,468
Regions Financial Corp.		10,092		73,268
IntercontinentalExchange, Inc.*		593		73,259
Deutsche Bank AG		1,229		72,597
NYSE Euronext		2,062		72,521
SLM Corp.*		4,702		71,941
XL Group plc — Class A		2,911		71,611
CB Richard Ellis Group, Inc. — Class A*		2,674		71,396
CIT Group, Inc.*		1,672		71,144
China Life Insurance Company Ltd. ADR		1,266		70,959
Unum Group		2,701		70,901
Credit Suisse Group AG ADR		1,665		70,896
Moody’s Corp.		2,080		70,533
UBS AG*		3,883		70,088
CNA Financial Corp.		2,350		69,443
Credicorp Ltd.		660		69,254
KeyCorp		7,778		69,069
Kimco Realty Corp.		3,752		68,812
New York Community Bancorp, Inc.		3,807		65,709
Genworth Financial, Inc. — Class A*		4,853		65,321
Plum Creek Timber Company, Inc.		1,472		64,194
AMB Property Corp.		1,759		63,271
Macerich Co.		1,274		63,101
Affiliated Managers Group, Inc.*		570		62,341
Comerica, Inc.		1,696		62,277
SL Green Realty Corp.		814		61,213
PartnerRe Ltd.		756		59,905
Legg Mason, Inc.		1,655		59,729
Lazard Ltd. — Class A		1,432		59,543
Huntington Bancshares, Inc.		8,705		57,801
Nationwide Health Properties, Inc.		1,354		57,586
Digital Realty Trust, Inc.		986		57,326
Everest Re Group Ltd.		642		56,612
Cincinnati Financial Corp.		1,725		56,580
Torchmark Corp.		845		56,176
NASDAQ OMX Group, Inc.*		2,148		55,504
Rayonier, Inc.		890		55,456

68 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

FINANCIAL SERVICES FUND

	Shares		Value
Hudson City Bancorp, Inc.		5,717	$	55,340
Federal Realty Investment Trust		675		55,053
SEI Investments Co.		2,243		53,563
Axis Capital Holdings Ltd.		1,527		53,323
W.R. Berkley Corp.		1,655		53,308
Arch Capital Group Ltd.*		535		53,067
MSCI, Inc. — Class A*		1,435		52,837
Jefferies Group, Inc.		2,118		52,823
People’s United Financial, Inc.		4,172		52,484
UDR, Inc.		2,135		52,030
Alexandria Real Estate Equities, Inc.		660		51,460
Marshall & Ilsley Corp.		6,369		50,888
Zions Bancorporation		2,200		50,732
Realty Income Corp.		1,450		50,678
Jones Lang LaSalle, Inc.		500		49,870
Liberty Property Trust		1,464		48,166
Assurant, Inc.		1,242		47,829
Total Financials				11,335,901
Total Common Stocks (Cost $7,300,676)				11,335,901

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	84,217	$	84,217
Total Repurchase Agreement (Cost $84,217)				84,217
Total Investments — 100.0% (Cost $7,384,893)			$	11,420,118
Liabilities, Less Cash & Other Assets — 0.0%				(5,701	)
Total Net Assets — 100.0%			$	11,414,417

*	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
REIT — Real Estate Investment Trust

See Notes to Financial Statements THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 69

FINANCIAL SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	11,335,901
Repurchase agreements, at value		84,217
Total investments		11,420,118
Cash		1,585
Receivables:
Securities sold		1,007,904
Fund shares sold		161,606
Dividends		18,537
Total assets		12,609,750
Liabilities:
Payable for:
Fund shares redeemed		1,159,521
Management fees		10,981
Custodian fees		366
Transfer agent/maintenance fees		3,230
Distribution and service fees		3,232
Portfolio accounting fees		1,292
Other		16,711
Total liabilities		1,195,333
Net assets	$	11,414,417
Net assets consist of:
Paid in capital	$	14,604,446
Undistributed net investment income		5,638
Accumulated net realized loss on investments		(7,230,892	)
Net unrealized appreciation on investments		4,035,225
Net assets	$	11,414,417
Investor Class:
Net assets	$	4,885,024
Capital shares outstanding		60,174
Net asset value per share	$	81.18
Advisor Class:
Net assets	$	3,633,545
Capital shares outstanding		47,514
Net asset value per share	$	76.47
A-Class:
Net assets	$	1,781,615
Capital shares outstanding		22,880
Net asset value per share	$	77.87
Maximum offering price per share*	$	81.75
C-Class:
Net assets	$	1,114,233
Capital shares outstanding		15,177
Net asset value per share	$	73.42
Investments, at cost	$	7,300,676
Repurchase agreements, at cost		84,217
Total cost	$	7,384,893

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $2,550)	$	274,108
Interest		145
Total investment income		274,253
Expenses:
Management fees		144,677
Transfer agent and administrative fees		42,552
Distribution and Service fees:
Advisor Class		13,615
A-Class		3,528
C-Class		14,905
Portfolio accounting fees		17,021
Trustees’ fees**		1,738
Miscellaneous		30,606
Total expenses		268,642
Net investment income		5,611
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,285,469
Net realized gain		4,285,469
Net change in unrealized appreciation (depreciation) on:
Investments		(4,675,933	)
Net change in unrealized appreciation (depreciation)		(4,675,933	)
Net realized and unrealized loss		(390,464	)
Net decrease in net assets resulting from operations	$	(384,853	)

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

70 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements

FINANCIAL SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	5,611		$	129,311
Net realized gain on investments		4,285,469			3,945,234
Net change in unrealized appreciation (depreciation) on investments		(4,675,933	)		7,333,150
Net increase (decrease) in net assets resulting from operations		(384,853	)		11,407,695
Distributions to shareholders from:
Net investment income
Investor Class		(64,919	)		(161,423	)
Advisor Class		(33,103	)		(16,765	)
A-Class		(15,355	)		(18,842	)
C-Class		(15,591	)		(19,410	)
Total distributions to shareholders		(128,968	)		(216,440	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		82,605,048			97,528,492
Advisor Class		13,931,559			15,582,018
A-Class		8,082,499			3,005,218
C-Class		35,513,916			22,146,643
Distributions reinvested
Investor Class		63,278			159,275
Advisor Class		32,905			16,668
A-Class		8,992			17,247
C-Class		14,303			18,363
Cost of shares redeemed
Investor Class		(103,700,539	)		(92,412,709	)
Advisor Class		(13,783,069	)		(16,437,842	)
A-Class		(7,670,882	)		(5,229,362	)
C-Class		(36,169,022	)		(22,643,373	)
Net increase (decrease) from capital share transactions		(21,071,012	)		1,750,638
Net increase (decrease) in net assets		(21,584,833	)		12,941,893
Net assets:
Beginning of year		32,999,250			20,057,357
End of year	$	11,414,417		$	32,999,250
Undistributed net investment income at end of year	$	5,638		$	129,062
Capital share activity:
Shares sold
Investor Class		1,092,006			1,499,575	†
Advisor Class		199,648			264,201	†
A-Class		111,610			47,120	†
C-Class		522,367			364,549	†
Shares issued from reinvestment of distributions
Investor Class		876			2,367	†
Advisor Class		483			261	†
A-Class		130			266	†
C-Class		218			298	†
Shares redeemed
Investor Class		(1,383,149	)		(1,450,270	)†
Advisor Class		(198,704	)		(282,482	)†
A-Class		(108,312	)		(90,609	)†
C-Class		(535,638	)		(370,922	)†
Net decrease in shares		(298,465	)		(15,646	)†

^† Share amounts for the period April 1, 2009 through 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 ANNUAL REPORT | 71

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	75.23		$	44.37		$	101.80		$	142.50		$	132.60
Income (loss) from investment operations:
Net investment incomea		.15			.41			1.60			1.70			1.40
Net gain (loss) on investments (realized and unrealized)		6.75			31.07			(57.13	)		(40.20	)		9.14
Total from investment operations		6.90			31.48			(55.53	)		(38.50	)		10.54
Less distributions from:
Net investment income		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	81.18		$	75.23		$	44.37		$	101.80		$	142.50
Total Returnb		9.33	%		71.12	%		(54.76	)%		(27.26	)%		7.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,885		$	26,364		$	13,257		$	4,640		$	22,658
Ratios to average net assets:			��
Net investment income		0.19	%		0.64	%		2.16	%		1.25	%		1.03	%
Total expenses		1.39	%		1.38	%		1.37	%		1.38	%		1.34	%
Portfolio turnover rate		601	%		447	%		755	%		913	%		534	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	71.29		$	42.28		$	97.80		$	137.60		$	128.80
Income (loss) from investment operations:
Net investment income (loss)a		(.14	)		.12			1.30			.90			.70
Net gain (loss) on investments (realized and unrealized)		6.27			29.51			(54.92	)		(38.50	)		8.74
Total from investment operations		6.13			29.63			(53.62	)		(37.60	)		9.44
Less distributions from:
Net investment income		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	76.47		$	71.29		$	42.28		$	97.80		$	137.60
Total Returnb		8.76	%		70.26	%		(55.06	)%		(27.58	)%		7.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,634		$	3,285		$	2,710		$	1,957		$	16,786
Ratios to average net assets:
Net investment income (loss)		(0.20	%)		0.21	%		1.83	%		0.70	%		0.54	%
Total expenses		1.89	%		1.88	%		1.88	%		1.89	%		1.84	%
Portfolio turnover rate		601	%		447	%		755	%		913	%		534	%

72 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	72.38		$	42.80		$	98.60		$	138.20		$	129.10
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		.30			1.30			1.60			1.00
Net gain (loss) on investments (realized and unrealized)		6.45			29.90			(55.20	)		(39.00	)		8.74
Total from investment operations		6.44			30.20			(53.90	)		(37.40	)		9.74
Less distributions from:
Net investment income		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	77.87		$	72.38		$	42.80		$	98.60		$	138.20
Total Returnb		9.06	%		70.74	%		(54.92	)%		(27.32	)%		7.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,782		$	1,408		$	2,683		$	1,367		$	1,107
Ratios to average net assets:
Net investment income (loss)		(0.01	)%		0.50	%		1.97	%		1.42	%		0.74	%
Total expenses		1.64	%		1.63	%		1.62	%		1.59	%		1.61	%
Portfolio turnover rate		601	%		447	%		755	%		913	%		534	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010c			2009c			2008c			2007c
Per Share Data
Net asset value, beginning of period	$	68.79		$	41.01		$	95.10		$	134.60		$	126.70
Income (loss) from investment operations:
Net investment income (loss)a		(.49	)		(.24	)		.80			.50			.10
Net gain (loss) on investments (realized and unrealized)		6.07			28.64			(52.99	)		(37.80	)		8.44
Total from investment operations		5.58			28.40			(52.19	)		(37.30	)		8.54
Less distributions from:
Net investment income		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	73.42		$	68.79		$	41.01		$	95.10		$	134.60
Total Returnb		8.28	%		69.44	%		(55.16	%)		(27.98	%)		6.73	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,114		$	1,942		$	1,407		$	2,847		$	5,382
Ratios to average net assets:
Net investment income (loss)		(0.72	)%		(0.40	)%		1.13	%		0.45	%		0.06	%
Total expenses		2.39	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		601	%		447	%		755	%		913	%		534	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	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 ANNUAL REPORT | 73

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

HEALTH CARE FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).

Inception: April 17, 1998

The health care sector did not stand out in 2010, despite attractive fundamentals, largely because it was beaten down prior to passage of the healthcare bill in March, even though the more damaging provisions to profitability will take effect well down the road. Investors in 2010 appeared to be more concerned over the strength of the drug pipeline and how regulations could impact the group. The large pharmaceutical industry is looking at a significant level of patent expirations, and investors are unsure where future growth will come from.

For the one-year period ended March 31, 2011, Health Care Fund Investor Class returned 8.48%, compared with a 5.11% gain for the S&P 500 Health Care Index.

The biggest positive contributors to Fund performance included Health Care Providers & Services, which composed 22% of the portfolio. The Pharmaceuticals segment was also a significant contributor to Fund return. All industries in the portfolio generated positive returns for the year, but Health Care Technology was the segment contributing least to Fund performance.

The year’s top-performing holdings included Valeant Pharmaceuticals International, Inc., Pfizer and UnitedHealth Group, Inc. Teva Pharmaceutical Industries Ltd. ADR, Medtronic, Inc. and Amgen, Inc. were among the Fund’s weakest performers for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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	3.7	%
Pfizer, Inc.	3.6	%
Merck & Company, Inc.	3.0	%
Abbott Laboratories	2.6	%
UnitedHealth Group, Inc.	2.1	%
Teva Pharmaceutical Industries Ltd. ADR	2.0	%
Bristol-Myers Squibb Co.	2.0	%
Amgen, Inc.	2.0	%
Alcon, Inc.	2.0	%
Medtronic, Inc.	1.9	%
Top Ten Total	24.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

74 | THE RYDEX SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/17/98)									(05/11/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
HEALTH CARE FUND		8.48	%		3.36	%		4.31	%		8.01	%		2.86	%		3.79	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 HEALTH CARE INDEX***		5.11	%		2.73	%		1.93	%		5.11	%		2.73	%		1.93	%

	A-Class																		C-Class
	(09/01/04)																		(03/30/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			TEN
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			YEAR
HEALTH CARE FUND		8.31	%		3.16	%		3.13	%		2.13	%		5.25	%		4.48	%		7.71	%		6.71	%		2.38	%		3.26	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		3.29	%
S&P 500 HEALTH CARE INDEX***		5.11	%		5.11	%		2.73	%		2.73	%		3.72	%		3.72	%		5.11	%		5.11	%		2.73	%		1.93	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 75

SCHEDULE OF INVESTMENTS March 31, 2011

HEALTH CARE FUND

	Shares		Value
COMMON STOCKS† - 99.5%
HEALTH CARE - 99.5%
Johnson & Johnson		16,755	$	992,735
Pfizer, Inc.		47,654		967,853
Merck & Company, Inc.		24,370		804,454
Abbott Laboratories		13,975		685,474
UnitedHealth Group, Inc.		12,458		563,101
Teva Pharmaceutical Industries Ltd. ADR		10,807		542,187
Bristol-Myers Squibb Co.		19,986		528,230
Amgen, Inc.*		9,863		527,178
Alcon, Inc.		3,161		523,177
Medtronic, Inc.		13,231		520,641
Eli Lilly & Co.		14,172		498,429
Gilead Sciences, Inc.*		10,806		458,607
Baxter International, Inc.		8,227		442,366
Express Scripts, Inc. — Class A*		7,640		424,860
WellPoint, Inc.		5,833		407,085
Celgene Corp.*		7,059		406,104
Covidien plc		7,510		390,069
Medco Health Solutions, Inc.*		6,904		387,729
Stryker Corp.		6,232		378,906
Thermo Fisher Scientific, Inc.*		6,679		371,018
Allergan, Inc.		4,888		347,146
McKesson Corp.		4,278		338,175
St. Jude Medical, Inc.		6,447		330,473
Genzyme Corp.*		4,331		329,806
Biogen Idec, Inc.*		4,375		321,081
Becton Dickinson and Co.		3,998		318,321
Agilent Technologies, Inc.*		7,090		317,490
Aetna, Inc.		8,246		308,648
Cardinal Health, Inc.		7,216		296,794
CIGNA Corp.		6,249		276,706
Valeant Pharmaceuticals International, Inc.		5,480		272,959
Intuitive Surgical, Inc.*		811		270,436
AmerisourceBergen Corp. — Class A		6,686		264,498
Humana, Inc.*		3,750		262,275
Boston Scientific Corp.*		36,415		261,824
Zimmer Holdings, Inc.*		4,248		257,131
Mylan, Inc.*		11,026		249,959
Novartis AG ADR		4,529		246,151
Quest Diagnostics, Inc.		4,234		244,386
Forest Laboratories, Inc.*		7,539		243,510
Vertex Pharmaceuticals, Inc.*		5,070		243,005
Hospira, Inc.*		4,272		235,814
Life Technologies Corp.*		4,494		235,575
Illumina, Inc.*		3,361		235,505
Edwards Lifesciences Corp.*		2,700		234,900
Laboratory Corporation of America Holdings*		2,536		233,642
Alexion Pharmaceuticals, Inc.*		2,362		233,082
Cerner Corp.*		2,077		230,962
Sanofi-Aventis S.A. ADR		6,310		222,238
GlaxoSmithKline plc ADR		5,764		221,395
CR Bard, Inc.		2,212		219,674
DaVita, Inc.*		2,554		218,393
Waters Corp.*		2,502		217,424
Varian Medical Systems, Inc.*		3,205		216,786
Perrigo Co.		2,600		206,752
AstraZeneca plc ADR		4,379		201,959
Watson Pharmaceuticals, Inc.*		3,599		201,580
CareFusion Corp.*		6,992		197,174
Henry Schein, Inc.*		2,804		196,757
Warner Chilcott plc — Class A		8,362		194,667
Hologic, Inc.*		8,266		183,505
Dendreon Corp.*		4,859		181,872
Mettler-Toledo International, Inc.*		1,050		180,600
Beckman Coulter, Inc.		2,159		179,348
DENTSPLY International, Inc.		4,810		177,922
Human Genome Sciences, Inc.*		6,457		177,245
Coventry Health Care, Inc.*		5,463		174,215
QIAGEN N.V.*		8,550		171,428
Endo Pharmaceuticals Holdings, Inc.*		4,450		169,812
Universal Health Services, Inc. — Class B		3,370		166,511
ResMed, Inc.*		5,488		164,640
Regeneron Pharmaceuticals, Inc.*		3,550		159,537
IDEXX Laboratories, Inc.*		2,048		158,147
Bruker Corp.*		7,400		154,290
Tenet Healthcare Corp.*		20,330		151,459
Allscripts Healthcare Solutions, Inc.*		7,210		151,338
Patterson Companies, Inc.		4,645		149,523
Kinetic Concepts, Inc.*		2,740		149,111
United Therapeutics Corp.*		2,202		147,578
Community Health Systems, Inc.*		3,679		147,123
Brookdale Senior Living, Inc. — Class A*		5,140		143,920
Omnicare, Inc.		4,769		143,022
SXC Health Solutions Corp.*		2,600		142,480
Alere, Inc.*		3,610		141,295
Cooper Companies, Inc.		2,020		140,289
Bio-Rad Laboratories, Inc. — Class A*		1,150		138,161
Talecris Biotherapeutics Holdings Corp.*		5,130		137,484
Mednax, Inc.*		2,057		137,017
Gen-Probe, Inc.*		2,060		136,681
Health Net, Inc.*		4,170		136,359
PerkinElmer, Inc.		5,145		135,159
Pharmaceutical Product Development, Inc.		4,870		134,948
Covance, Inc.*		2,447		133,900

76 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

HEALTH CARE FUND

	Shares		Value
BioMarin Pharmaceutical, Inc.*		5,200	$	130,676
Lincare Holdings, Inc.		4,227		125,373
Hill-Rom Holdings, Inc.		3,200		121,536
Cephalon, Inc.*		1,538		116,550
Salix Pharmaceuticals Ltd.*		3,051		106,877
Total Health Care				26,672,187
Total Common Stocks (Cost $18,751,412)				26,672,187

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.9%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	232,839	$	232,839
Total Repurchase Agreement (Cost $232,839)			$	232,839
Total Investments — 100.4% (Cost $18,984,251)			$	26,905,026
Liabilities, Less Other Assets — (0.4)%				(115,392	)
Total Net Assets — 100.0%			$	26,789,634

*	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 ANNUAL REPORT | 77

HEALTH CARE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	26,672,187
Repurchase agreements, at value		232,839
Total investments		26,905,026
Receivables:
Fund shares sold		1,258,351
Dividends		34,486
Total assets		28,197,863
Liabilities:
Payable for:
Securities purchased		523,990
Fund shares redeemed		843,657
Management fees		18,202
Custodian fees		610
Transfer agent/maintenance fees		5,354
Distribution and service fees		3,711
Portfolio accounting fees		2,141
Other		10,564
Total liabilities		1,408,229
Net assets	$	26,789,634
Net assets consist of:
Paid in capital	$	26,707,539
Accumulated net investment loss		—
Accumulated net realized loss on investments		(7,838,680	)
Net unrealized appreciation on investments		7,920,775
Net assets	$	26,789,634
Investor Class:
Net assets	$	19,534,435
Capital shares outstanding		1,139,412
Net asset value per share	$	17.14
Advisor Class:
Net assets	$	2,229,266
Capital shares outstanding		138,950
Net asset value per share	$	16.04
A-Class:
Net assets	$	1,156,081
Capital shares outstanding		70,939
Net asset value per share	$	16.30
Maximum offering price per share*	$	17.11
C-Class:
Net assets	$	3,869,852
Capital shares outstanding		249,729
Net asset value per share	$	15.50
Investments, at cost	$	18,751,412
Repurchase agreements, at cost		232,839
Total cost	$	18,984,251

*   Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,545)	$	377,135
Interest		182
Total investment income		377,317
Expenses:
Management fees		235,238
Transfer agent and administrative fees		69,188
Distribution and Service fees:
Advisor Class		11,608
A-Class		3,883
C-Class		37,766
Portfolio accounting fees		27,675
Trustees’ fees**		4,462
Registration fees		32,265
Miscellaneous		14,230
Total expenses		436,315
Net investment loss		(58,998	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		14,717,139
Net realized gain		14,717,139
Net change in unrealized appreciation (depreciation) on:
Investments		(15,485,060	)
Net change in unrealized appreciation (depreciation)		(15,485,060	)
Net realized and unrealized loss		(767,921	)
Net decrease in net assets resulting from operations	$	(826,919	)

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

78 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

HEALTH CARE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(58,998	)	$	(98,128	)
Net realized gain on investments		14,717,139			5,745,341
Net change in unrealized appreciation (depreciation) on investments		(15,485,060	)		19,815,215
Net increase (decrease) in net assets resulting from operations		(826,919	)		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		199,840,233			376,924,923
Advisor Class		29,192,400			26,624,310
A-Class		2,774,503			8,065,607
C-Class		104,802,117			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		(375,189,188	)		(217,426,813	)
Advisor Class		(30,446,417	)		(30,904,957	)
A-Class		(7,868,260	)		(3,245,485	)
C-Class		(109,133,717	)		(70,234,350	)
Net increase (decrease) from capital share transactions		(186,028,329	)		161,932,359
Net increase (decrease) in net assets		(186,855,248	)		187,274,359
Net assets:
Beginning of year		213,644,882			26,370,523
End of year	$	26,789,634		$	213,644,882
Accumulated net investment loss at end of year	$	—		$	—
Capital Share Activity:
Shares sold
Investor Class		12,963,598			27,251,381
Advisor Class		2,051,470			2,055,170
A-Class		186,925			550,092
C-Class		7,534,727			5,738,394
Shares issued from reinvestment of distributions
Investor Class		—			7,596
Advisor Class		—			249
A-Class		—			56
C-Class		—			238
Shares redeemed
Investor Class		(24,208,012	)		(16,118,063	)
Advisor Class		(2,143,572	)		(2,424,711	)
A-Class		(528,117	)		(231,279	)
C-Class		(7,868,157	)		(5,650,598	)
Net increase (decrease) in shares		(12,011,138	)		11,178,525

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 79

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.80		$	11.20		$	14.28		$	15.28		$	14.54
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.01	)		.07			(.02	)		.03
Net gain (loss) on investments (realized and unrealized)		1.36			4.62			(3.15	)		(.98	)		.71
Total from investment operations		1.34			4.61			(3.08	)		(1.00	)		.74
Less distributions from:
Net investment income		—			(.01	)		—			—			—
Total distributions		—			(.01	)		—			—			—
Net asset value, end of period	$	17.14		$	15.80		$	11.20		$	14.28		$	15.28
Total Returnb		8.48	%		41.17	%		(21.57	)%		(6.54	)%		5.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,534		$	195,616		$	13,920		$	22,062		$	33,878
Ratios to average net assets:
Net investment income (loss)		(0.10	)%		(0.04	)%		0.48	%		(0.13	)%		0.23	%
Total expenses		1.38	%		1.37	%		1.36	%		1.37	%		1.35	%
Portfolio turnover rate		619	%		241	%		745	%		444	%		545	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.85		$	10.58		$	13.57		$	14.59		$	13.94
Income (loss) from investment operations:
Net investment income (loss)a		(.05	)		(.04	)		.01			(.09	)		(.05	)
Net gain (loss) on investments (realized and unrealized)		1.24			4.32			(3.00	)		(.93	)		.70
Total from investment operations		1.19			4.28			(2.99	)		(1.02	)		.65
Less distributions from:
Net investment income		—			(.01	)		—			—			—
Total distributions		—			(.01	)		—			—			—
Net asset value, end of period	$	16.04		$	14.85		$	10.58		$	13.57		$	14.59
Total Returnb		8.01	%		40.46	%		(22.03	%)		(6.99	%)		4.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,229		$	3,432		$	6,353		$	13,099		$	17,327
Ratios to average net assets:
Net investment income (loss)		(0.36	%)		(0.33	%)		0.04	%		(0.60	%)		(0.37	%)
Total expenses		1.88	%		1.88	%		1.93	%		1.86	%		1.85	%
Portfolio turnover rate		619	%		241	%		745	%		444	%		545	%

80 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.05		$	10.69		$	13.68		$	14.67		$	13.98
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.03	)		.02			(.06	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		1.27			4.40			(3.01	)		(.93	)		.71
Total from investment operations		1.25			4.37			(2.99	)		(.99	)		.69
Less distributions from:
Net investment income		—			(.01	)		—			—			—
Total distributions		—			(.01	)		—			—			—
Net asset value, end of period	$	16.30		$	15.05		$	10.69		$	13.68		$	14.67
Total Returnb		8.31	%		40.88	%		(21.86	%)		(6.75	%)		4.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,156		$	6,204		$	997		$	730		$	818
Ratios to average net assets:
Net investment income (loss)		(0.14	%)		(0.25	%)		0.15	%		(0.36	%)		(0.13	%)
Total expenses		1.63	%		1.62	%		1.63	%		1.61	%		1.60	%
Portfolio turnover rate		619	%		241	%		745	%		444	%		545	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.39		$	10.30		$	13.28		$	14.35		$	13.79
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.11	)		(.08	)		(.16	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		1.22			4.21			(2.90	)		(.91	)		.66
Total from investment operations		1.11			4.10			(2.98	)		(1.07	)		.56
Less distributions from:
Net investment income		—			(.01	)		—			—			—
Total distributions		—			(.01	)		—			—			—
Net asset value, end of period	$	15.50		$	14.39		$	10.30		$	13.28		$	14.35
Total Returnb		7.71	%		39.81	%		(22.44	%)		(7.46	%)		4.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,870		$	8,393		$	5,101		$	5,677		$	8,720
Ratios to average net assets:
Net investment loss		(0.76	%)		(0.91	%)		(0.65	%)		(1.12	%)		(0.73	%)
Total expenses		2.38	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		619	%		241	%		745	%		444	%		545	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 81

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

INTERNET FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).

Inception: April 6, 2000

Internet companies benefited from improving economic conditions, retail spending and consumers that were particularly confident around the end of 2010. The industry is also experiencing considerable growth in developing countries, for example, China, where internet search provider Baidu saw revenue double from 2009 to 2010. The industry is also benefiting from new trends like cloud computing and innovation in delivery of services via the internet.

For the one-year period ended March 31, 2011, Internet Fund Investor Class returned 25.25%, compared with a gain of 11.91% for the S&P 500 Information Technology Index.

Within the sector, Internet Software & Services, Internet & Catalog Retail and Software were the biggest positive contributors to Fund performance. Commercial Services & Supplies and Communications Equipment were the biggest detractors from performance.

Baidu, Inc. ADR, Netflix, Inc. and Priceline.com, Inc. were among the stocks which added the most to Fund performance for the year, while Cisco Systems, Inc., Research in Motion Ltd. and VistaPrint N.V. were among the stocks which added the least to Fund performance for the year.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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	8.2	%
Cisco Systems, Inc.	5.6	%
QUALCOMM, Inc.	5.6	%
Amazon.com, Inc.	5.6	%
Baidu, Inc. ADR	4.2	%
eBay, Inc.	3.8	%
Time Warner, Inc.	3.6	%
Priceline.com, Inc.	3.1	%
Research In Motion Ltd.	3.0	%
Yahoo!, Inc.	2.8	%
Top Ten Total	45.5	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

82 THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/06/00)									(04/06/00)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
INTERNET FUND		25.25	%		5.89	%		2.50	%		24.61	%		5.36	%		1.97	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		4.88	%		2.36	%		11.91	%		4.88	%		2.36	%

	A-Class															C-Class
	(09/01/04)															(04/19/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
INTERNET FUND		24.95	%		19.02	%		5.63	%		4.60	%		8.17	%		7.37	%		23.92	%		22.92	%		4.85	%		-0.96	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.50	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		11.91	%		4.88	%		4.88	%		6.91	%		6.91	%		11.91	%		11.91	%		4.88	%		0.16	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 83

SCHEDULE OF INVESTMENTS March 31, 2011

INTERNET FUND

	Shares		Value
COMMON STOCKS† - 98.7%
INFORMATION TECHNOLOGY - 78.5%
Google, Inc. — Class A*		3,588	$	2,103,322
Cisco Systems, Inc.		83,702		1,435,490
QUALCOMM, Inc.		25,992		1,425,141
Baidu, Inc. ADR*		7,784		1,072,713
eBay, Inc.*		31,017		962,768
Research In Motion Ltd.*		13,650		772,181
Yahoo!, Inc.*		43,693		727,488
Juniper Networks, Inc.*		16,829		708,164
Broadcom Corp. — Class A		17,135		674,776
Intuit, Inc.*		11,622		617,128
Symantec Corp.*		30,856		572,070
Sina Corp.*		5,040		539,482
Check Point Software Technologies Ltd.*		9,752		497,840
Red Hat, Inc.*		10,306		467,789
BMC Software, Inc.*		9,050		450,147
F5 Networks, Inc.*		4,141		424,742
Akamai Technologies, Inc.*		10,424		396,112
MercadoLibre, Inc.		4,720		385,294
Sohu.com, Inc.*		4,270		381,567
VeriSign, Inc.		10,390		376,222
Rackspace Hosting, Inc.*		8,629		369,753
TIBCO Software, Inc.*		12,239		333,513
Equinix, Inc.*		3,444		313,748
WebMD Health Corp. — Class A*		4,922		262,933
IAC/InterActiveCorp.*		8,327		257,221
GSI Commerce, Inc.*		8,720		255,234
OpenTable, Inc.*		2,314		246,094
Ciena Corp.*		9,081		235,743
VistaPrint N.V.*		4,400		228,360
SAVVIS, Inc.*		6,070		225,136
AOL, Inc.*		11,369		222,037
Monster Worldwide, Inc.*		13,600		216,240
Ancestry.com, Inc.*		5,740		203,483
Digital River, Inc.*		4,891		183,070
Travelzoo, Inc.*		2,560		170,470
Terremark Worldwide, Inc.*		8,810		167,390
ValueClick, Inc.*		11,538		166,839
Constant Contact, Inc.*		4,620		161,238
LogMeIn, Inc.*		3,760		158,522
RightNow Technologies, Inc.*		4,870		152,431
Websense, Inc.*		6,330		145,400
j2 Global Communications, Inc.*		4,770		140,763
Limelight Networks, Inc.*		19,640		140,622
Earthlink, Inc.		17,459		136,704
Total Information Technology				20,083,380
CONSUMER DISCRETIONARY - 17.1%
Amazon.com, Inc.*		7,907		1,424,288
Time Warner, Inc.		25,958		926,701
Priceline.com, Inc.*		1,546		782,956
Netflix, Inc.*		2,209		524,262
Expedia, Inc.		16,452		372,802
Shutterfly, Inc.*		3,830		200,539
Blue Nile, Inc.*		2,500		134,975
Total Information Technology				4,366,523
TELECOMMUNICATION SERVICES - 2.0%
Qwest Communications International, Inc.		74,760		510,611
FINANCIALS - 1.1%
E*Trade Financial Corp.*		17,920		280,090
Total Common Stocks (Cost $14,009,559)				25,240,604

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.2%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	311,772		311,772
Total Repurchase Agreement (Cost $311,772)				311,772
Total Investments — 99.9% (Cost $14,321,331)			$	25,552,376
Other Assets, Less, Liabilities — 0.1%				31,708
Total Net Assets — 100.0%			$	25,584,084

*	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

84 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INTERNET FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	25,240,604
Repurchase agreements, at value		311,772
Total investments		25,552,376
Receivables:
Fund shares sold		319,824
Dividends		5,987
Total assets		25,878,187
Liabilities:
Payable for:
Fund shares redeemed		150,720
Management fees		45,392
Custodian fees		1,622
Transfer agent/maintenance fees		13,351
Distribution and service fees		3,049
Portfolio accounting fees		5,340
Other		74,629
Total liabilities		294,103
Net assets	$	25,584,084
Net assets consist of:
Paid in capital	$	29,331
Accumulated net investment loss		—
Undistributed net realized gain on investments		14,323,708
Net unrealized appreciation on investments		11,231,045
Net assets	$	25,584,084
Investor Class:
Net assets	$	20,589,269
Capital shares outstanding		393,850
Net asset value per share	$	52.28
Advisor Class:
Net assets	$	2,124,341
Capital shares outstanding		43,082
Net asset value per share	$	49.31
A-Class:
Net assets	$	1,100,738
Capital shares outstanding		21,956
Net asset value per share	$	50.13
Maximum offering price per share*	$	52.63
C-Class:
Net assets	$	1,769,736
Capital shares outstanding		37,412
Net asset value per share	$	47.30
Investments, at cost	$	14,009,559
Repurchase agreements, at cost		311,772
Total cost	$	14,321,331

*    Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends	$	655,568
Interest		720
Total investment income		656,288
Expenses:
Management fees		808,473
Transfer agent and administrative fees		237,785
Distribution and Service fees:
Advisor Class		13,006
A-Class		3,250
C-Class		15,527
Portfolio accounting fees		95,113
Trustees’ fees**		7,453
Miscellaneous		173,094
Total expenses		1,353,701
Net investment loss		(697,413	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		26,981,612
Net realized gain		26,981,612
Net change in unrealized appreciation (depreciation) on:
Investments		1,549,620
Net change in unrealized appreciation (depreciation)		1,549,620
Net realized and unrealized gain		28,531,232
Net increase in net assets resulting from operations	$	27,833,819

** 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 ANNUAL REPORT | 85

INTERNET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(697,413	)	$	(528,956	)
Net realized gain on investments		26,981,612			17,110,852
Net change in unrealized appreciation (depreciation) on investments		1,549,620			4,224,318
Net increase in net assets resulting from operations		27,833,819			20,806,214
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		236,370,905			177,542,033
Advisor Class		21,569,818			24,730,965
A-Class		3,274,554			4,695,216
C-Class		51,664,283			41,013,515
Cost of shares redeemed
Investor Class		(264,624,471	)		(236,380,728	)
Advisor Class		(23,765,932	)		(25,593,202	)
A-Class		(5,523,556	)		(2,050,114	)
C-Class		(51,093,192	)		(40,927,304	)
Net decrease from capital share transactions		(32,127,591	)		(56,969,619	)
Net decrease in net assets		(4,293,772	)		(36,163,405	)
Net assets:
Beginning of year		29,877,856			66,041,261
End of year	$	25,584,084		$	29,877,856
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		5,219,504			5,313,352
Advisor Class		490,716			705,697
A-Class		74,437			127,396
C-Class		1,264,666			1,209,155
Shares redeemed
Investor Class		(5,350,861	)		(7,110,764	)
Advisor Class		(546,388	)		(749,250	)
A-Class		(126,995	)		(56,423	)
C-Class		(1,254,939	)		(1,205,994	)
Net decrease in shares		(229,860	)		(1,766,831	)

86  |  THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	41.74		$	26.58		$	38.55		$	41.11		$	40.22
Income (loss) from investment operations:
Net investment income (loss)a		(.34	)		(.38	)		(.29	)		.46			(.44	)
Net gain (loss) on investments (realized and unrealized)		10.88			15.54			(11.23	)		(2.87	)		1.33
Total from investment operations		10.54			15.16			(11.52	)		(2.41	)		.89
Less distributions from:
Net investment income		—			—			(.45	)		(.15	)		—
Total distributions		—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	52.28		$	41.74		$	26.58		$	38.55		$	41.11
Total Returnb		25.25	%		57.04	%		(29.63	%)		(5.92	%)		2.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	20,589		$	21,924		$	61,745		$	4,365		$	5,496
Ratios to average net assets:
Net investment income (loss)		(0.69	%)		(1.12	%)		(1.01	%)		1.00	%		(1.09	%)
Total expenses		1.39	%		1.37	%		1.35	%		1.38	%		1.37	%
Portfolio turnover rate		291	%		443	%		550	%		870	%		864	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	39.57		$	25.32		$	36.95		$	39.61		$	38.94
Income (loss) from investment operations:
Net investment lossa		(.59	)		(.58	)		(.41	)		(.09	)		(.63	)
Net gain (loss) on securities (realized and unrealized)		10.33			14.83			(10.77	)		(2.42	)		1.30
Total from investment operations		9.74			14.25			(11.18	)		(2.51	)		.67
Less distributions from:
Net investment income		—			—			(.45	)		(.15	)		—
Total distributions		—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	49.31		$	39.57		$	25.32		$	36.95		$	39.61
Total Returnb		24.61	%		56.28	%		(29.99	%)		(6.40	%)		1.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,124		$	3,908		$	3,604		$	1,364		$	863
Ratios to average net assets:
Net investment loss		(1.32	%)		(1.74	%)		(1.43	%)		(0.21	%)		(1.60	%)
Total expenses		1.89	%		1.88	%		1.87	%		1.88	%		1.87	%
Portfolio turnover rate		291	%		443	%		550	%		870	%		864	%

See Notes to Financial Statements. THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT |  87

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	40.12		$	25.62		$	37.29		$	39.87		$	39.07
Income (loss) from investment operations:
Net investment lossa		(.46	)		(.50	)		(.33	)		(.19	)		(.52	)
Net gain (loss) on securities (realized and unrealized)		10.47			15.00			(10.89	)		(2.24	)		1.32
Total from investment operations		10.01			14.50			(11.22	)		(2.43	)		.80
Less distributions from:
Net investment income		—			—			(.45	)		(.15	)		—
Total distributions		—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	50.13		$	40.12		$	25.62		$	37.29		$	39.87
Total Returnb		24.95	%		56.60	%		(29.82	%)		(6.16	%)		2.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,101		$	2,989		$	91		$	116		$	139
Ratios to average net assets:
Net investment loss		(1.01	%)		(1.44	%)		(1.07	%)		(0.44	%)		(1.37	%)
Total expenses		1.64	%		1.63	%		1.62	%		1.63	%		1.61	%
Portfolio turnover rate		291	%		443	%		550	%		870	%		864	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	38.17		$	24.56		$	36.01		$	38.79		$	38.30
Income (loss) from investment operations:
Net investment lossa		(.83	)		(.66	)		(.59	)		(.38	)		(.78	)
Net gain (loss) on securities (realized and unrealized)		9.96			14.27			(10.41	)		(2.25	)		1.27
Total from investment operations		9.13			13.61			(11.00	)		(2.63	)		.49
Less distributions from:
Net investment income		—			—			(.45	)		(.15	)		—
Total distributions		—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	47.30		$	38.17		$	24.56		$	36.01		$	38.79
Total Returnb		23.92	%		55.42	%		(30.28	%)		(6.84	%)		1.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,770		$	1,057		$	602		$	1,608		$	1,017
Ratios to average net assets:
Net investment loss		(1.92	%)		(2.00	%)		(1.95	%)		(0.89	%)		(2.10	%)
Total expenses		2.39	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		291	%		443	%		550	%		870	%		864	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

88 |  THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT  |  89

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

LEISURE FUND

OBJECTIVE: Seeks capital appreciation by investing in companies in leisure and entertainment businesses (“Leisure Companies”).

Inception: April 1, 1998

Profits of consumer discretionary companies were strong during 2010, as consumer spending rebounded along with the overall economy. The Fund is composed largely of media companies and hotels and restaurants, and both benefited from a slightly better outlook for employment that gave consumers a little more confidence in their ability to spend. The consumer discretionary sector tends to perform well in the early stages of an economic recovery, but may lag as the recovery matures. Also, the recent rise in the cost of commodities could crimp profits going forward.

For the one-year period ended March 31, 2011, Leisure Fund Investor Class returned 21.91%, compared with a gain of 21.18% for the S&P 500 Consumer Discretionary Index.

Within the sector, the Hotels, Restaurants & Leisure segment, which made up 40% of the portfolio, contributed about half of the Fund’s return for the year, while Media holdings were the next-largest contributor. Communications Equipment and Diversified Consumer Services were the weakest contributors to performance, while the distributors segment detracted from performance.

Among the stocks that contributed the most to the Fund’s annual performance were Las Vegas Sands Corp., Chipotle Mexican Grill, Inc. and Comcast Corp.—Class A. Eastman Kodak Co., Live Nation Entertainment, Inc. and DreamWorks Animation SKG, Inc.—Class A were among the Fund’s weakest holdings for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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)
Walt Disney Co.	4.5	%
McDonald’s Corp.	4.3	%
Comcast Corp. — Class A	4.0	%
News Corp. — Class A	3.4	%
Time Warner, Inc.	3.0	%
DIRECTV — Class A	2.9	%
Las Vegas Sands Corp.	2.9	%
Thomson Reuters Corp.	2.8	%
Carnival Corp.	2.7	%
Viacom, Inc. — Class B	2.6	%
Top Ten Total	33.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

90  |  THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(06/03/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
LEISURE FUND		21.91	%		0.57	%		2.74	%		21.23	%		0.08	%		2.30	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 CONSUMER DISCRETIONARY INDEX***		21.18	%		4.70	%		3.99	%		21.18	%		4.70	%		3.99	%

	A-Class																		C-Class
	(09/01/04)																		(05/03/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
LEISURE FUND		21.51	%		15.75	%		0.32	%		-0.65	%		3.96	%		3.19	%		20.52	%		19.52	%		-0.45	%		0.46	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.55	%
S&P 500 CONSUMER DISCRETIONARY INDEX***		21.18	%		21.18	%		4.70	%		4.70	%		5.41	%		5.41	%		21.18	%		21.18	%		4.70	%		3.07	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. ‘
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT  |  91

SCHEDULE OF INVESTMENTS March 31, 2011

LEISURE FUND

	Shares		Value
COMMON STOCKS† - 99.5%
CONSUMER DISCRETIONARY - 95.3%
Walt Disney Co.		4,877	$	210,150
McDonald’s Corp.		2,689		204,605
Comcast Corp. — Class A		7,593		187,699
News Corp. — Class A		9,090		159,620
Time Warner, Inc.		3,964		141,515
DIRECTV — Class A*		2,957		138,388
Las Vegas Sands Corp.*		3,238		136,709
Thomson Reuters Corp.		3,325		130,474
Carnival Corp.		3,322		127,432
Viacom, Inc. — Class B		2,664		123,929
Starbucks Corp.		3,320		122,674
Time Warner Cable, Inc. — Class A		1,600		114,144
Yum! Brands, Inc.		2,149		110,416
CBS Corp. — Class B		3,814		95,503
Wynn Resorts Ltd.		737		93,783
Discovery Communications, Inc. — Class A*		2,327		92,847
Marriott International, Inc. — Class A		2,252		80,126
McGraw-Hill Companies, Inc.		2,022		79,667
Starwood Hotels & Resorts Worldwide, Inc.		1,300		75,556
DISH Network Corp. — Class A*		3,018		73,518
Harley-Davidson, Inc.		1,700		72,233
Liberty Global, Inc. — Class A*		1,734		71,805
Cablevision Systems Corp. — Class A		2,029		70,224
Virgin Media, Inc.		2,455		68,224
Royal Caribbean Cruises Ltd.*		1,652		68,162
Mattel, Inc.		2,679		66,787
Chipotle Mexican Grill, Inc. — Class A*		245		66,731
Scripps Networks Interactive, Inc. — Class A		1,313		65,768
Darden Restaurants, Inc.		1,224		60,135
MGM Resorts International*		4,416		58,070
Hasbro, Inc.		1,231		57,660
Liberty Media Corp. — Capital*		775		57,094
Ctrip.com International Ltd. ADR*		1,359		56,385
Wyndham Worldwide Corp.		1,706		54,268
International Game Technology		3,132		50,832
Grupo Televisa S.A. ADR*		2,068		50,728
Imax Corp.*		1,538		49,185
Melco Crown Entertainment Ltd. — Class Participation Certificate ADR*		6,274		47,682
Panera Bread Co. — Class A*		366		46,482
Gannett Company, Inc.		2,875		43,786
Liberty Media Corp. — Starz*		563		43,689
Washington Post Co. — Class B		98		42,881
Hyatt Hotels Corporation — Class A*		990		42,610
Penn National Gaming, Inc.*		1,078		39,951
Polaris Industries, Inc.		449		39,072
DreamWorks Animation SKG, Inc. — Class A*		1,309		36,560
Brunswick Corp.		1,400		35,602
Brinker International, Inc.		1,388		35,116
Cinemark Holdings, Inc.		1,774		34,327
Bally Technologies, Inc.*		880		33,308
WMS Industries, Inc.*		902		31,886
Regal Entertainment Group — Class A		2,360		31,860
Cheesecake Factory, Inc.*		1,027		30,902
Live Nation Entertainment, Inc.*		3,045		30,450
Vail Resorts, Inc.*		616		30,036
Gaylord Entertainment Co.*		818		28,368
Life Time Fitness, Inc.*		760		28,356
New York Times Co. — Class A*		2,986		28,277
Orient-Express Hotels Ltd. — Class A*		2,263		27,993
Meredith Corp.		825		27,984
Valassis Communications, Inc.*		960		27,974
Texas Roadhouse, Inc. — Class A		1,584		26,912
Madison Square Garden, Inc. — Class A*		928		25,047
Cracker Barrel Old
Country Store, Inc.		497		24,423
Jack in the Box, Inc.*		1,070		24,268
Total Consumer Discretionary				4,488,848
INFORMATION TECHNOLOGY - 4.2%
Activision Blizzard, Inc.		7,646		83,877
Electronic Arts, Inc.*		2,938		57,379
RealD, Inc.*		1,077		29,467
Take-Two Interactive Software, Inc.*		1,687		25,929
Total Information Technology				196,652
Total Common Stocks (Cost $2,878,028)				4,685,500
WARRANTS†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		350		60
Total Warrants (Cost $—)				60

92  | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

LEISURE FUND

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.8%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	38,363	$	38,363
Total Repurchase Agreement (Cost $38,363)				38,363
Total Investments — 100.3% (Cost $2,916,391)			$	4,723,923
Liabilities, Less Other Assets — (0.3)%				(16,074	)
Total Net Assets — 100.0%			$	4,707,849

*	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

See Notes to Financial Statements. THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT | 93

LEISURE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011
Assets:
Investments, at value	$	4,685,560
Repurchase agreements, at value		38,363
Total investments		4,723,923
Receivables:
Fund shares sold		103,112
Dividends		5,653
Total assets		4,832,688
Liabilities:
Payable for:
Securities purchased		108,931
Fund shares redeemed		2
Management fees		4,508
Custodian fees		156
Transfer agent/maintenance fees		1,326
Distribution and service fees		1,111
Portfolio accounting fees		530
Other		8,275
Total liabilities		124,839
Net assets	$	4,707,849
Net assets consist of:
Paid in capital	$	7,175,551
Accumulated net investment loss		—
Accumulated net realized loss on investments		(4,275,234	)
Net unrealized appreciation on investments		1,807,532
Net assets	$	4,707,849
Investor Class:
Net assets	$	2,140,558
Capital shares outstanding		63,899
Net asset value per share	$	33.50
Advisor Class:
Net assets	$	581,973
Capital shares outstanding		18,601
Net asset value per share	$	31.29
A-Class:
Net assets	$	1,157,038
Capital shares outstanding		36,441
Net asset value per share	$	31.75
Maximum offering price per share*	$	33.33
C-Class:
Net assets	$	828,280
Capital shares outstanding		27,280
Net asset value per share	$	30.36
Investments, at cost	$	2,878,028
Repurchase agreements, at cost		38,363
Total cost	$	2,916,391

* Net asset value adjusted for the maximum sales charges of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011
Investment Income:
Dividends (net of foreign withholding tax of $581)	$	188,042
Interest		140
Total investment income		188,182
Expenses:
Management fees		121,173
Transfer agent and administrative fees		35,639
Distribution and Service fees:
Advisor Class		6,081
A-Class		2,867
C-Class		9,954
Portfolio accounting fees		14,256
Trustees’ fees**		1,594
Miscellaneous		25,220
Total expenses		216,784
Net investment loss		(28,602	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,115,448
Net realized gain		1,115,448
Net change in unrealized appreciation (depreciation) on:
Investments		(464,544	)
Net change in unrealized appreciation (depreciation)		(464,544	)
Net realized and unrealized gain		650,904
Net increase in net assets resulting from operations	$	622,302

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

94 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

LEISURE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(28,602	)	$	(845	)
Net realized gain on investments		1,115,448			503,279
Net change in unrealized appreciation (depreciation) on investments		(464,544	)		2,073,611
Net increase in net assets resulting from operations		622,302			2,576,045
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		125,035,458			53,130,447
Advisor Class		16,335,922			7,271,169
A-Class		2,661,993			1,301,093
C-Class		13,154,026			12,727,164
Cost of shares redeemed
Investor Class		(136,617,181	)		(46,005,393	)
Advisor Class		(16,737,008	)		(6,947,713	)
A-Class		(2,179,683	)		(954,546	)
C-Class		(13,283,662	)		(12,035,560	)
Net increase (decrease) from capital share transactions		(11,630,135	)		8,486,661
Net increase (decrease) in net assets		(11,007,833	)		11,062,706
Net assets:
Beginning of year		15,715,682			4,652,976
End of year	$	4,707,849		$	15,715,682
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		4,337,324			2,292,342
Advisor Class		613,234			366,181
A-Class		96,339			57,242
C-Class		514,174			640,225
Shares redeemed
Investor Class		(4,753,299	)		(2,080,802	)
Advisor Class		(637,678	)		(348,824	)
A-Class		(78,619	)		(40,237	)
C-Class		(523,771	)		(611,956	)
Net increase (decrease) in shares		(432,296	)		274,171

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 95

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.48		$	15.40		$	31.72		$	35.87		$	32.56
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		.03			.01			.09			—	b
Net gain (loss) on investments (realized and unrealized)		6.04			12.05			(16.33	)		(4.24	)		3.31
Total from investment operations		6.02			12.08			(16.32	)		(4.15	)		3.31
Net asset value, end of period	$	33.50		$	27.48		$	15.40		$	31.72		$	35.87
Total Returnc		21.91	%		78.44	%		(51.45	%)		(11.57	%)		10.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,141		$	13,186		$	4,132		$	3,283		$	9,130
Ratios to average net assets:
Net investment income (loss)		(0.07	%)		0.13	%		0.05	%		0.24	%		(0.01	%)
Total expenses		1.39	%		1.37	%		1.37	%		1.39	%		1.37	%
Portfolio turnover rate		963	%		943	%		1,529	%		646	%		675	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.81		$	14.53		$	30.06		$	34.14		$	31.15
Income (loss) from investment operations:
Net investment lossa		(.16	)		(.11	)		(.03	)		(.07	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		5.64			11.39			(15.50	)		(4.01	)		3.09
Total from investment operations		5.48			11.28			(15.53	)		(4.08	)		2.99
Net asset value, end of period	$	31.29		$	25.81		$	14.53		$	30.06		$	34.14
Total Returnc		21.23	%		77.63	%		(51.66	%)		(11.95	%)		9.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	582		$	1,111		$	373		$	1,611		$	4,903
Ratios to average net assets:
Net investment loss		(0.61	%)		(0.56	%)		(0.11	%)		(0.22	%)		(0.32	%)
Total expenses		1.89	%		1.88	%		1.88	%		1.89	%		1.87	%
Portfolio turnover rate		963	%		943	%		1,529	%		646	%		675	%

96 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.13		$	14.67		$	30.30		$	34.32		$	31.24
Income (loss) from investment operations:
Net investment income (loss)a		(.05	)		.17			(.04	)		(.07	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		5.67			11.29			(15.59	)		(3.95	)		3.22
Total from investment operations		5.62			11.46			(15.63	)		(4.02	)		3.08
Net asset value, end of period	$	31.75		$	26.13		$	14.67		$	30.30		$	34.32
Total Returnc		21.51	%		78.12	%		(51.58	%)		(11.71	%)		9.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,157		$	489		$	25		$	206		$	2,198
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		0.74	%		(0.16	%)		(0.20	%)		(0.41	%)
Total expenses		1.63	%		1.63	%		1.63	%		1.67	%		1.60	%
Portfolio turnover rate		963	%		943	%		1,529	%		646	%		675	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.19		$	14.26		$	29.66		$	33.86		$	31.05
Income (loss) from investment operations:
Net investment lossa		(.30	)		(.22	)		(.18	)		(.28	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		5.47			11.15			(15.22	)		(3.92	)		3.12
Total from investment operations		5.17			10.93			(15.40	)		(4.20	)		2.81
Net asset value, end of period	$	30.36		$	25.19		$	14.26		$	29.66		$	33.86
Total Returnc		20.52	%		76.65	%		(51.92	%)		(12.40	%)		9.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	828		$	929		$	123		$	430		$	3,091
Ratios to average net assets:
Net investment loss		(1.13	%)		(1.01	%)		(0.78	%)		(0.81	%)		(0.96	%)
Total expenses		2.39	%		2.38	%		2.38	%		2.40	%		2.36	%
Portfolio turnover rate		963	%		943	%		1,529	%		646	%		675	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income is less than $0.01 per share.
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 ANNUAL REPORT | 97

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

PRECIOUS METALS FUND

OBJECTIVE: To provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).

Inception: December 1, 1993

The precious metals market and commodities generally moved up strongly in 2010, in conjunction with the improving global economy and demand from China and other fast-growing nations. Concern about economic instability in the West and the potential for inflation in China also drove demand from hedge funds and institutional investors. Participation among individual investors also benefited this group, as they snapped up ETFs and futures contracts in seeking a perceived safe haven. Gold finished 2010 at $1,421 an ounce, up almost 30% for the year, and continued to rise in 2011 to a new nominal record. Prices of other metals in early 2011 varied according to the impact recent global events could have on supply and demand.

For the one-year period ended March 31, 2011, Precious Metals Fund Investor Class returned 40.57%, compared with the 24.31% increase in the S&P 500 Materials Index.

The Metals & Mining holdings that account for most of the portfolio advanced about 40% for the year.

Silver Wheaton Corp., Freeport-McMoRan Copper & Gold, Inc. and Barrick Gold Corp. were among the stocks which added the most to Fund performance during the year. Jaguar Mining, Inc., Kinross Gold Corp. and Golden Star Resources Ltd. were among the stocks which contributed the least to Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	11.1	%
Silver Wheaton Corp.	6.8	%
Newmont Mining Co.	6.5	%
Barrick Gold Corp.	6.4	%
Goldcorp, Inc.	5.5	%
Agnico-Eagle Mines Ltd.	4.1	%
Hecla Mining Co.	3.5	%
Kinross Gold Corp.	3.4	%
AngloGold Ashanti Ltd. ADR	3.1	%
Yamana Gold, Inc.	2.9	%
Top Ten Total	53.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

98 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(12/01/93)									(08/01/03)
	ONE			FIVE			TEN			ONE			FIVE			SINCE
	YEAR			YEAR			YEAR			YEAR			YEAR			INCEPTION
PRECIOUS METALS FUND		40.57	%		9.80	%		17.32	%		39.87	%		9.26	%		13.54	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		6.12	%
S&P 500 MATERIALS INDEX***		24.31	%		6.95	%		9.83	%		24.31	%		6.95	%		10.75	%

	A-Class																		C-Class
	(09/01/04)																		(04/27/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
PRECIOUS METALS FUND		40.21	%		33.55	%		9.54	%		8.48	%		13.40	%		12.56	%		39.18	%		38.18	%		8.69	%		14.68	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.51	%
S&P 500 MATERIALS INDEX***		24.31	%		24.31	%		6.95	%		6.95	%		9.09	%		9.09	%		24.31	%		24.31	%		6.95	%		8.66	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Materials Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 99

SCHEDULE OF INVESTMENTS	March 31, 2011
PRECIOUS METALS FUND

	Shares		Value
COMMON STOCKS† - 99.5%
MATERIALS - 99.5%
Freeport-McMoRan Copper & Gold, Inc.		451,471	$	25,079,214
Silver Wheaton Corp.		357,020		15,480,387
Newmont Mining Co.		269,281		14,697,357
Barrick Gold Corp.		281,653		14,620,607
Goldcorp, Inc.		251,344		12,516,931
Agnico-Eagle Mines Ltd.		139,141		9,232,005
Hecla Mining Co.*		877,597		7,968,581
Kinross Gold Corp.		488,744		7,697,718
AngloGold Ashanti Ltd. ADR		144,363		6,922,206
Yamana Gold, Inc.		528,785		6,509,343
Coeur d’Alene Mines Corp.*		185,844		6,463,654
Randgold Resources Ltd. ADR*		78,001		6,360,202
Southern Copper Co.		155,702		6,270,119
Stillwater Mining Co.*		267,889		6,142,695
Novagold Resources, Inc.*		464,115		6,033,495
Eldorado Gold Corp.		355,318		5,777,471
Pan American Silver Corp.		155,058		5,757,304
IAMGOLD Corp.		256,578		5,649,848
Gold Fields Ltd. ADR		305,762		5,338,604
Titanium Metals Corp.*		281,003		5,221,036
Cia de Minas Buenaventura S.A. ADR		117,574		5,052,155
Silver Standard Resources, Inc.*		141,104		4,427,843
Silvercorp Metals, Inc.		290,453		4,231,900
Harmony Gold Mining Company Ltd. ADR		273,538		4,067,510
New Gold, Inc.*		345,520		4,046,039
Royal Gold, Inc.		68,863		3,608,421
Allied Nevada Gold Corp.*		95,742		3,396,926
US Gold Corp.*		340,065		3,002,774
Gammon Gold, Inc.*		265,998		2,779,679
Fronteer Gold, Inc.*		148,110		2,232,018
Rare Element Resources Ltd.*		150,440		1,981,295
North American Palladium Ltd.*		274,040		1,778,520
Seabridge Gold, Inc.*		53,439		1,700,429
Jaguar Mining, Inc.*		271,781		1,418,697
Northgate Minerals Corp.*		431,300		1,164,510
Golden Star Resources Ltd.*		381,295		1,132,446
Total Materials				225,759,939
Total Common Stocks (Cost $98,506,483)				225,759,939

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	1,551,167	$	1,551,167
Total Repurchase Agreement (Cost $1,551,167)				1,551,167
Total Investments — 100.2% (Cost $100,057,650)			$	227,311,106
Liabilities, Less Cash & Other Assets — (0.2)%				(525,813	)
Total Net Assets — 100.0%			$	226,785,293

*	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

100 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

PRECIOUS METALS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	225,759,939
Repurchase agreements, at value		1,551,167
Total investments		227,311,106
Cash		29,158
Receivables:
Fund shares sold		4,544,980
Dividends		26,522
Interest		31
Total assets		231,911,797
Liabilities:
Payable for:
Fund shares redeemed		4,716,886
Management fees		136,145
Custodian fees		5,173
Transfer agent/maintenance fees		45,382
Distribution and service fees		45,215
Portfolio accounting fees		18,152
Other		159,551
Total liabilities		5,126,504
Net assets	$	226,785,293
Net assets consist of:
Paid in capital	$	137,583,223
Accumulated net investment loss		(1,020,463	)
Accumulated net realized loss on investments		(37,030,951	)
Net unrealized appreciation on investments		127,253,484
Net assets	$	226,785,293
Investor Class:
Net assets	$	141,798,194
Capital shares outstanding		1,634,668
Net asset value per share	$	86.74
Advisor Class:
Net assets	$	30,417,708
Capital shares outstanding		363,873
Net asset value per share	$	83.59
A-Class:
Net assets	$	14,918,937
Capital shares outstanding		175,576
Net asset value per share	$	84.97
Maximum offering price per share*	$	89.21
C-Class:
Net assets	$	39,650,454
Capital shares outstanding		503,791
Net asset value per share	$	78.70
Investments, at cost	$	98,506,483
Repurchase agreements, at cost		1,551,167
Total cost	$	100,057,650

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $86,254)	$	2,168,584
Interest		2,154
Total investment income		2,170,738
Expenses:
Management fees		1,785,811
Transfer agent and administrative fees		595,270
Distribution and Service fees:
Advisor Class		114,807
A-Class		34,882
C-Class		334,166
Portfolio accounting fees		234,116
Trustees’ fees**		24,143
Miscellaneous		417,985
Total expenses		3,541,180
Net investment loss		(1,370,442	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		31,189,708
Foreign currency		251
Net realized gain		31,189,959
Net change in unrealized appreciation (depreciation) on:
Investments		31,925,087
Net change in unrealized appreciation (depreciation)		31,925,087
Net realized and unrealized gain		63,115,046
Net increase in net assets resulting from operations	$	61,744,604

** 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 ANNUAL REPORT | 101

PRECIOUS METALS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,370,442	)	$	(2,166,985	)
Net realized gain on investments and foreign currency		31,189,959			13,492,994
Net change in unrealized appreciation (depreciation) on investments		31,925,087			13,352,516
Net increase in net assets resulting from operations		61,744,604			24,678,525
Distributions to shareholders from:
Net investment income
Investor Class		(94,591	)		—
Advisor Class		(11,506	)		—
A-Class		(7,004	)		—
C-Class		(19,112	)		—
Net realized gains
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		(132,213	)		(713,030	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		824,385,947			915,789,879
Advisor Class		364,066,887			322,513,759
A-Class		29,625,719			20,994,273
C-Class		145,601,909			154,061,224
Distributions reinvested
Investor Class		92,212			567,650
Advisor Class		11,341			42,644
A-Class		6,500			21,122
C-Class		17,945			62,132
Cost of shares redeemed
Investor Class		(834,585,403	)		(979,875,546	)
Advisor Class		(361,238,854	)		(316,640,330	)
A-Class		(27,278,650	)		(22,945,686	)
C-Class		(139,661,292	)		(156,178,689	)
Net increase (decrease) from capital share transactions		1,044,261			(61,587,568	)
Net increase (decrease) in net assets		62,656,652			(37,622,073	)
Net assets:
Beginning of year		164,128,641			201,750,714
End of year	$	226,785,293		$	164,128,641
Accumulated net investment loss at end of year	$	(1,020,463	)	$	—

102 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

PRECIOUS METALS FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Capital share activity:
Shares sold
Investor Class		11,212,113			16,254,367
Advisor Class		5,207,693			5,449,720
A-Class		411,950			375,253
C-Class		2,195,554			2,894,055
Shares issued from reinvestment of distributions
Investor Class		1,121			8,519
Advisor Class		143			661
A-Class		81			323
C-Class		240			1,015
Shares redeemed
Investor Class		(11,417,831	)		(17,891,314	)
Advisor Class		(5,156,332	)		(5,405,181	)
A-Class		(375,373	)		(422,541	)
C-Class		(2,107,087	)		(2,956,535	)
Net decrease in shares		(27,728	)		(1,691,658	)

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 103

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	61.73		$	46.36		$	69.89		$	56.21		$	54.50
Income (loss) from investment operations:
Net investment lossa		(.28	)		(.44	)		(.23	)		(.37	)		(.03	)
Net gain (loss) on investments (realized and unrealized)		25.32			15.96			(23.30	)		14.05			1.74
Total from investment operations		25.04			15.52			(23.53	)		13.68			1.71
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Net realized gains		—			(.08	)		—			—			—
Return of capital		—			(.07	)		—			—			—
Total distributions		(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	86.74		$	61.73		$	46.36		$	69.89		$	56.21
Total Returnb		40.57	%		33.44	%		(33.67	%)		24.34	%		3.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	141,798		$	113,546		$	160,759		$	149,805		$	149,876
Ratios to average net assets:
Net investment loss		(0.37	%)		(0.76	%)		(0.48	%)		(0.58	%)		(0.05	%)
Total expenses		1.28	%		1.28	%		1.28	%		1.27	%		1.26	%
Portfolio turnover rate		322	%		383	%		245	%		203	%		259	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	59.79		$	45.12		$	68.36		$	55.24		$	53.83
Income (loss) from investment operations:
Net investment lossa		(.61	)		(.79	)		(.50	)		(.69	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		24.44			15.61			(22.74	)		13.81			1.68
Total from investment operations		23.83			14.82			(23.24	)		13.12			1.41
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Net realized gains		—			(.08	)		—			—			—
Return of capital		—			(.07	)		—			—			—
Total distributions		(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	83.59		$	59.79		$	45.12		$	68.36		$	55.24
Total Returnb		39.87	%		32.81	%		(34.00	%)		23.75	%		2.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	30,418		$	18,677		$	12,056		$	11,817		$	8,387
Ratios to average net assets:
Net investment loss		(0.86	%)		(1.35	%)		(1.02	%)		(1.09	%)		(0.51	%)
Total expenses		1.78	%		1.77	%		1.77	%		1.77	%		1.76	%
Portfolio turnover rate		322	%		383	%		245	%		203	%		259	%

104 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	60.63		$	45.64		$	68.96		$	55.59		$	54.03
Income (loss) from investment operations:
Net investment lossa		(.45	)		(.59	)		(.36	)		(.55	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		24.82			15.73			(22.96	)		13.92			1.71
Total from investment operations		24.37			15.14			(23.32	)		13.37			1.56
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Net realized gains		—			(.08	)		—			—			—
Return of capital		—			(.07	)		—			—			—
Total distributions		(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	84.97		$	60.63		$	45.64		$	68.96		$	55.59
Total Returnb		40.21	%		33.14	%		(33.82	%)		24.05	%		2.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,919		$	8,422		$	8,484		$	10,911		$	4,778
Ratios to average net assets:
Net investment loss		(0.63	%)		(1.04	%)		(0.71	%)		(0.84	%)		(0.28	%)
Total expenses		1.53	%		1.52	%		1.53	%		1.52	%		1.51	%
Portfolio turnover rate		322	%		383	%		245	%		203	%		259	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	56.58		$	42.92		$	65.38		$	53.12		$	52.02
Income (loss) from investment operations:
Net investment lossa		(.94	)		(.97	)		(.68	)		(.97	)		(.51	)
Net gain (loss) on investments (realized and unrealized)		23.09			14.78			(21.78	)		13.23			1.61
Total from investment operations		22.15			13.81			(22.46	)		12.26			1.10
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Net realized gains		—			(.08	)		—			—			—
Return of capital		—			(.07	)		—			—			—
Total distributions		(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	78.70		$	56.58		$	42.92		$	65.38		$	53.12
Total Returnb		39.18	%		32.14	%		(34.35	%)		23.08	%		2.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	39,650		$	23,483		$	20,452		$	26,319		$	23,486
Ratios to average net assets:
Net investment loss		(1.37	%)		(1.81	%)		(1.43	%)		(1.60	%)		(1.00	%)
Total expenses		2.28	%		2.28	%		2.27	%		2.27	%		2.26	%
Portfolio turnover rate		322	%		383	%		245	%		203	%		259	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	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 ANNUAL REPORT | 105

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

RETAILING FUND

OBJECTIVE: Seeks capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, restaurant franchises, mail-order operations and other companies involved in selling products to consumers (“Retailing Companies”).

Inception: April 1, 1998

Late-year reports indicating strong holiday sales boosted the shares of many retailers, but the sector is also facing the impact of recent spikes in commodity prices and a beleaguered consumer market dealing with continued high unemployment and low levels of confidence.

For the one-year period ended March 31, 2011, Retailing Fund Investor Class returned 15.20%, compared with a gain of 21.18% for the S&P 500 Consumer Discretionary Index.

Within the sector, heavily weighted Specialty Retail contributed about half of the Fund performance. Internet Catalog & Retail and Multiline Retail contributed most of the remainder of the Fund’s total return.

Higher-growth industries, including Internet & Catalog Retail, posted the strongest gains for the year, while lower-growth, lower-risk industries, including Distributors and Food & Staples Retailing, had weak performance and made low contributions to return. Consumer Finance segment detracted from return.

Fund performance for the year benefited most from Priceline.com, Inc., Netflix, Inc. and Amazon.com, Inc. Best Buy Company, Inc., Sears Holdings Corp. and Office Depot were among the Fund’s weakest-performing stocks for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	6.5	%
Amazon.com, Inc.	4.6	%
Home Depot, Inc.	3.8	%
CVS Caremark Corp.	3.3	%
Lowe’s Companies, Inc.	2.9	%
Walgreen Co.	2.9	%
Target Corp.	2.8	%
Costco Wholesale Corp.	2.8	%
Priceline.com, Inc.	2.5	%
TJX Companies, Inc.	2.1	%
Top Ten Total	34.2	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

106 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/21/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
RETAILING FUND		15.20	%		1.73	%		3.62	%		14.81	%		1.29	%		3.20	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 CONSUMER DISCRETIONARY INDEX***		21.18	%		4.70	%		3.99	%		21.18	%		4.70	%		3.99	%

	A-Class																		C-Class
	(09/01/04)																		(05/09/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
RETAILING FUND		15.09	%		9.66	%		1.58	%		0.60	%		4.74	%		3.97	%		14.14	%		13.14	%		0.77	%		2.24	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.49	%
S&P 500 CONSUMER
DISCRETIONARY INDEX***		21.18	%		21.18	%		4.70	%		4.70	%		5.41	%		5.41	%		21.18	%		21.18	%		4.70	%		3.14	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 107

SCHEDULE OF INVESTMENTS March 31, 2011

RETAILING FUND

	Shares		Value
COMMON STOCKS† - 99.3%
CONSUMER DISCRETIONARY - 83.0%
Amazon.com, Inc.*		2,180	$	392,684
Home Depot, Inc.		8,844		327,759
Lowe’s Companies, Inc.		9,391		248,204
Target Corp.		4,843		242,199
Priceline.com, Inc.*		430		217,769
TJX Companies, Inc.		3,680		183,007
Kohl’s Corp.		3,049		161,718
Staples, Inc.		7,903		153,475
The Gap, Inc.		6,687		151,528
Bed Bath & Beyond, Inc.*		3,027		146,112
Netflix, Inc.*		614		145,721
AutoZone, Inc.*		525		143,620
Limited Brands, Inc.		4,217		138,656
Nordstrom, Inc.		3,008		134,999
Macy’s, Inc.		5,548		134,594
Dollar General Corp.*		4,201		131,701
Best Buy Company, Inc.		4,585		131,681
Liberty Media Corp — Interactive*		8,139		130,549
Sears Holdings Corp.*		1,527		126,207
Tiffany & Co.		2,006		123,249
Genuine Parts Co.		2,269		121,709
Ross Stores, Inc.		1,685		119,837
JC Penney Company, Inc.		3,324		119,365
O’Reilly Automotive, Inc.*		2,046		117,563
CarMax, Inc.*		3,392		108,883
Dollar Tree, Inc.*		1,931		107,209
Expedia, Inc.		4,546		103,012
Family Dollar Stores, Inc.		1,997		102,486
Abercrombie & Fitch Co. — Class A		1,666		97,794
AutoNation, Inc.*		2,721		96,242
Advance Auto Parts, Inc.		1,431		93,902
Dick’s Sporting Goods, Inc.*		2,273		90,875
Tractor Supply Co.		1,508		90,269
PetSmart, Inc.		2,188		89,599
Urban Outfitters, Inc.*		2,930		87,402
Signet Jewelers Ltd.*		1,888		86,886
Guess?, Inc.		2,144		84,366
Williams-Sonoma, Inc.		2,036		82,458
LKQ Corp.*		3,308		79,723
GameStop Corp. — Class A*		3,326		74,902
Big Lots, Inc.*		1,722		74,786
American Eagle Outfitters, Inc.		4,636		73,666
Foot Locker, Inc.		3,698		72,925
Chico’s FAS, Inc.		4,496		66,990
Ascena Retail Group, Inc.*		2,061		66,797
Ulta Salon Cosmetics & Fragrance, Inc.*		1,380		66,419
Sally Beauty Holdings, Inc.*		4,670		65,427
Dillard’s, Inc. — Class A		1,606		64,433
Rent-A-Center, Inc. — Class A		1,797		62,733
Aeropostale, Inc.*		2,537		61,700
Buckle, Inc.		1,473		59,509
Aaron’s, Inc.		2,310		58,582
Penske Automotive Group, Inc.*		2,910		58,258
HSN, Inc.*		1,758		56,309
Saks, Inc.*		4,922		55,668
Cabela’s, Inc.*		2,220		55,522
Shutterfly, Inc.*		1,056		55,292
RadioShack Corp.		3,624		54,396
DSW, Inc. — Class A*		1,350		53,946
ANN, Inc.*		1,773		51,612
Jos A. Bank Clothiers, Inc.*		1,007		51,236
Men’s Wearhouse, Inc.		1,849		50,034
Collective Brands, Inc.*		2,257		48,706
Childrens Place Retail Stores, Inc.*		941		46,890
Pier 1 Imports, Inc.*		4,550		46,183
99 Cents Only Stores*		2,240		43,904
OfficeMax, Inc.*		3,358		43,453
Group 1 Automotive, Inc.		1,010		43,228
Total Consumer Discretionary				7,128,518
CONSUMER STAPLES - 16.3%
Wal-Mart Stores, Inc.		10,782		561,203
CVS Caremark Corp.		8,358		286,846
Walgreen Co.		6,140		246,460
Costco Wholesale Corp.		3,257		238,803
BJ’s Wholesale Club, Inc.*		1,374		67,079
Total Consumer Staples				1,400,391
Total Common Stocks (Cost $5,923,893)				8,528,909

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	48,002		48,002
Total Repurchase Agreement (Cost $48,002)				48,002
Total Investments — 99.9% (Cost $5,971,895)			$	8,576,911
Other Assets, Less Liabilities — 0.1%				4,666
Total Net Assets — 100.0%			$	8,581,577

*	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.

108 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

RETAILING FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	8,528,909
Repurchase agreements, at value		48,002
Total investments		8,576,911
Receivables:
Fund shares sold		1,386,916
Dividends		8,775
Total assets		9,972,602
Liabilities:
Payable for:
Securities purchased		1,305,622
Fund shares redeemed		64,678
Management fees		6,147
Custodian fees		211
Transfer agent/maintenance fees		1,808
Distribution and service fees		1,970
Portfolio accounting fees		723
Other		9,866
Total liabilities		1,391,025
Net assets	$	8,581,577
Net assets consist of:
Paid in capital	$	11,513,152
Undistributed net investment income		16,042
Accumulated net realized loss on investments		(5,552,633	)
Net unrealized appreciation on investments		2,605,016
Net assets	$	8,581,577
Investor Class:
Net assets	$	3,776,498
Capital shares outstanding		257,645
Net asset value per share	$	14.66
Advisor Class:
Net assets	$	1,582,673
Capital shares outstanding		113,778
Net asset value per share	$	13.91
A-Class:
Net assets	$	516,987
Capital shares outstanding		36,571
Net asset value per share	$	14.14
Maximum offering price per share*	$	14.85
C-Class:
Net assets	$	2,705,419
Capital shares outstanding		203,842
Net asset value per share	$	13.27
Investments, at cost	$	5,923,893
Repurchase agreements, at cost		48,002
Total cost	$	5,971,895

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends	$	214,905
Interest		119
Total investment income		215,024
Expenses:
Management fees		104,867
Transfer agent and administrative fees		30,843
Distribution and Service fees:
Advisor Class		6,611
A-Class		2,290
C-Class		18,366
Portfolio accounting fees		12,337
Trustees’ fees**		1,228
Miscellaneous		22,440
Total expenses		198,982
Net investment income		16,042
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		836,451
Net realized gain		836,451
Net change in unrealized appreciation (depreciation) on:
Investments		(384,162	)
Net change in unrealized appreciation (depreciation)		(384,162	)
Net realized and unrealized gain		452,289
Net increase in net assets resulting from operations	$	468,331

** 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 ANNUAL REPORT | 109

RETAILING FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	16,042		$	50,077
Net realized gain on investments		836,451			13,906,162
Net change in unrealized appreciation (depreciation) on investments		(384,162	)		(2,188,787	)
Net increase in net assets resulting from operations		468,331			11,767,452
Distributions to shareholders from:
Net investment income
Investor Class		(35,479	)		—
Advisor Class		(1,353	)		—
A-Class		(9,855	)		—
C-Class		(3,390	)		—
Total distributions to shareholders		(50,077	)		—
Capital share transactions:
Proceeds from sale of shares
Investor Class		112,945,561			231,519,396
Advisor Class		26,751,400			23,430,046
A-Class		8,381,272			824,746
C-Class		65,235,224			59,631,158
Distributions reinvested
Investor Class		34,766			—
Advisor Class		1,339			—
A-Class		821			—
C-Class		1,554			—
Cost of shares redeemed
Investor Class		(121,601,948	)		(314,999,705	)
Advisor Class		(27,523,161	)		(22,343,021	)
A-Class		(8,427,176	)		(543,161	)
C-Class		(64,150,957	)		(59,624,643	)
Net decrease from capital share transactions		(8,351,305	)		(82,105,184	)
Net decrease in net assets		(7,933,051	)		(70,337,732	)
Net assets:
Beginning of year		16,514,628			86,852,360
End of year	$	8,581,577		$	16,514,628
Undistributed net investment income at end of year	$	16,042		$	50,077
Capital share activity:
Shares sold
Investor Class		8,649,369			22,245,116
Advisor Class		2,198,130			2,256,831
A-Class		661,053			83,532
C-Class		5,633,007			5,943,831
Shares issued from reinvestment of distributions
Investor Class		2,489			—
Advisor Class		101			—
A-Class		61			—
C-Class		122			—
Shares redeemed
Investor Class		(9,340,211	)		(31,199,256	)
Advisor Class		(2,278,060	)		(2,173,081	)
A-Class		(656,603	)		(57,371	)
C-Class		(5,575,994	)		(5,924,368	)
Net decrease in shares		(706,536	)		(8,824,766	)

110 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.75		$	8.58		$	11.54		$	14.47		$	13.48
Income (loss) from investment operations:
Net investment income (loss)a		.05			.03			(.01	)		(.04	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		1.89			4.14			(2.95	)		(2.89	)		1.05
Total from investment operations		1.94			4.17			(2.96	)		(2.93	)		.99
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Total distributions		(.03	)		—			—			—			—
Net asset value, end of period	$	14.66		$	12.75		$	8.58		$	11.54		$	14.47
Total Returnb		15.20	%		48.60	%		(25.65	%)		(20.25	%)		7.34	%
Ratios/Supplemental Data															��
Net assets, end of period (in thousands)	$	3,776		$	12,060		$	84,894		$	3,152		$	4,033
Ratios to average net assets:
Net investment income (loss)		0.34	%		0.28	%		(0.14	%)		(0.27	%)		(0.45	%)
Total expenses		1.39	%		1.38	%		1.32	%		1.37	%		1.36	%
Portfolio turnover rate		1,062	%		1,049	%		461	%		1,205	%		952	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.14		$	8.20		$	11.10		$	13.97		$	13.07
Income (loss) from investment operations:
Net investment lossa		(.07	)		(.06	)		(.02	)		(.12	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		1.87			4.00			(2.88	)		(2.75	)		1.00
Total from investment operations		1.80			3.94			(2.90	)		(2.87	)		.90
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Total distributions		(.03	)		—			—			—			—
Net asset value, end of period	$	13.91		$	12.14		$	8.20		$	11.10		$	13.97
Total Returnb		14.81	%		48.05	%		(26.13	%)		(20.54	%)		6.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,583		$	2,350		$	901		$	800		$	2,791
Ratios to average net assets:
Net investment loss		(0.58	%)		(0.57	%)		(0.26	%)		(0.89	%)		(0.73	%)
Total expenses		1.89	%		1.87	%		1.88	%		1.87	%		1.86	%
Portfolio turnover rate		1,062	%		1,049	%		461	%		1,205	%		952	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 111

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.31		$	8.30		$	11.18		$	14.04		$	13.10
Income (loss) from investment operations:
Net investment income (loss)a		.18			(.01	)		(.02	)		(.10	)		(.07	)
Net gain (loss) on investments (realized and unrealized)		1.68			4.02			(2.86	)	��	(2.76	)		1.01
Total from investment operations		1.86			4.01			(2.88	)		(2.86	)		.94
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Total distributions		(.03	)		—			—			—			—
Net asset value, end of period	$	14.14		$	12.31		$	8.30		$	11.18		$	14.04
Total Returnb		15.09	%		48.31	%		(25.76	%)		(20.37	%)		7.18	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	517		$	395		$	49		$	101		$	385
Ratios to average net assets:
Net investment income (loss)		1.42	%		(0.12	%)		(0.17	%)		(0.73	%)		(0.54	%)
Total expenses		1.64	%		1.62	%		1.63	%		1.63	%		1.57	%
Portfolio turnover rate		1,062	%		1,049	%		461	%		1,205	%		952	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.65		$	7.92		$	10.76		$	13.62		$	12.80
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.10	)		(.07	)		(.17	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		1.76			3.83			(2.77	)		(2.69	)		.97
Total from investment operations		1.65			3.73			(2.84	)		(2.86	)		.82
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Total distributions		(.03	)		—			—			—			—
Net asset value, end of period	$	13.27		$	11.65		$	7.92		$	10.76		$	13.62
Total Returnb		14.14	%		47.10	%		(26.39	%)		(21.00	%)		6.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,705		$	1,709		$	1,008		$	1,291		$	2,650
Ratios to average net assets:
Net investment loss		(0.96	%)		(1.08	%)		(0.76	%)		(1.36	%)		(1.17	%)
Total expenses		2.39	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		1,062	%		1,049	%		461	%		1,205	%		952	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

112 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 113

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

TECHNOLOGY FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).

Inception: April 14, 1998

The technology sector performed in line with the market for the past 12 months, largely due to higher spending from businesses that had been putting off technology investments. Companies in the sector often carry large cash balances and relatively low debt, and may be poised to increase dividends or consider mergers and acquisitions. The sector is benefiting from the secular change away from desktop PCs and into smartphones and tablets.

For the one-year period ended March 31, 2011, Technology Fund Investor Class returned 15.88%, compared with a gain of 11.91% for the S&P 500 Information Technology Index.

Within the sector, Software, Internet Software & Services, IT Services and Semiconductors provided almost all of Fund return. Leisure Equipment and Office Electronics were the weakest contributors to Fund performance.

Fund performance for the year got the biggest boost from Apple, Inc., Baidu, Inc. ADR and Oracle Corp. Cisco Systems, Inc., Hewlett-Packard Co. and Microsoft Corp. were among the weakest-performing stocks for the period.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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	%
International Business Machines Corp.	3.2	%
Google, Inc. — Class A	3.1	%
Oracle Corp.	3.1	%
Intel Corp.	2.4	%
Cisco Systems, Inc.	2.2	%
QUALCOMM, Inc.	2.2	%
Hewlett-Packard Co.	2.1	%
EMC Corp.	1.7	%
Top Ten Total	27.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

114 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

				Investor Class									Advisor Class
				(04/14/98)									(04/29/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
TECHNOLOGY FUND		15.88	%		2.45	%		0.96	%		15.28	%		1.92	%		0.53	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		4.88	%		2.36	%		11.91	%		4.88	%		2.36	%

							A-Class															C-Class
							(09/01/04)															(04/18/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
TECHNOLOGY FUND		15.58	%		10.12	%		2.13	%		1.14	%		5.58	%		4.80	%		14.84	%		13.84	%		1.45	%		-1.52	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.63	%
S&P 500 INFORMATION TECHNOLOGY INDEX***		11.91	%		11.91	%		4.88	%		4.88	%		6.91	%		6.91	%		11.91	%		11.91	%		4.88	%		0.86	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 115

SCHEDULE OF INVESTMENTS March 31, 2011

TECHNOLOGY FUND

	Shares		Value
COMMON STOCKS† - 99.4%
INFORMATION TECHNOLOGY - 98.6%
Apple, Inc.*		5,326	$	1,855,844
Microsoft Corp.		60,270		1,528,446
International Business Machines Corp.		9,138		1,490,134
Google, Inc. — Class A*		2,442		1,431,525
Oracle Corp.		42,382		1,414,286
Intel Corp.		54,844		1,106,203
Cisco Systems, Inc.		59,803		1,025,621
QUALCOMM, Inc.		18,422		1,010,078
Hewlett-Packard Co.		23,409		959,067
EMC Corp.*		29,345		779,110
Baidu, Inc. ADR*		5,289		728,877
Visa, Inc. — Class A		9,804		721,771
Accenture plc — Class A		12,617		693,556
Infosys Technologies Ltd. ADR		9,552		684,878
Texas Instruments, Inc.		19,596		677,238
eBay, Inc.*		21,559		669,191
VMware, Inc. — Class A*		7,566		616,932
Corning, Inc.		28,500		587,955
Mastercard, Inc. — Class A		2,324		584,997
Dell, Inc.*		39,027		566,282
Automatic Data Processing, Inc.		10,445		535,933
Research In Motion Ltd.*		9,393		531,362
Cognizant Technology Solutions Corp. — Class A*		6,460		525,844
Yahoo!, Inc.*		30,357		505,444
Juniper Networks, Inc.*		11,865		499,279
Sina Corp.*		4,580		490,243
Applied Materials, Inc.		30,655		478,831
Broadcom Corp. — Class A		12,052		474,608
Nokia Oyj ADR		52,096		443,337
Adobe Systems, Inc.*		13,348		442,621
Salesforce.com, Inc.*		3,311		442,283
Taiwan Semiconductor
Manufacturing Company Ltd. ADR		36,104		439,747
NetApp, Inc.*		8,889		428,272
MercadoLibre, Inc.		5,235		427,333
Intuit, Inc.*		8,040		426,924
TE Connectivity, Ltd.		12,167		423,654
ARM Holdings plc ADR		14,855		418,465
Symantec Corp.*		22,101		409,753
Xerox Corp.		38,210		406,937
Sohu.com, Inc.*		4,532		404,980
Motorola Solutions, Inc.*		8,993		401,897
ASML Holding N.V. — Class G		9,029		401,791
Trina Sola Ltd. ADR*		13,220		398,186
Citrix Systems, Inc.*		5,351		393,084
Telefonaktiebolaget LM Ericsson ADR		30,525		392,552
Altera Corp.		8,896		391,602
SAP AG ADR		6,368		390,740
Activision Blizzard, Inc.		35,170		385,815
Western Union Co.		18,334		380,797
CA, Inc.		15,382		371,937
Micron Technology, Inc.*		31,265		358,297
Analog Devices, Inc.		9,047		356,271
LDK Solar Company, Ltd. ADR*		29,090		356,062
Paychex, Inc.		11,253		352,894
SanDisk Corp.*		7,573		349,040
NVIDIA Corp.*		18,794		346,937
Autodesk, Inc.*		7,748		341,764
Check Point Software Technologies Ltd.*		6,660		339,993
Fidelity National Information Services, Inc.		10,224		334,223
Marvell Technology Group Ltd.*		21,292		331,091
Red Hat, Inc.*		7,107		322,587
Western Digital Corp.*		8,422		314,056
Fiserv, Inc.*		4,988		312,847
Amphenol Corp. — Class A		5,751		312,797
BMC Software, Inc.*		6,231		309,930
Xilinx, Inc.		9,098		298,414
Maxim Integrated Products, Inc.		11,632		297,779
Teradata Corp.*		5,855		296,849
F5 Networks, Inc.*		2,832		290,478
KLA-Tencor Corp.		6,118		289,810
Atmel Corp.*		21,180		288,683
Avago Technologies Ltd.		9,252		287,737
Linear Technology Corp.		8,530		286,864
Computer Sciences Corp.		5,816		283,414
Lam Research Corp.*		4,964		281,260
Microchip Technology, Inc.		7,289		277,055
Seagate Technology plc*		19,053		274,363
Motorola Mobility Holdings, Inc.*		11,068		270,059
Akamai Technologies, Inc.*		7,105		269,990
Nuance Communications, Inc.*		13,503		264,119
Electronic Arts, Inc.*		13,514		263,928
Trimble Navigation Ltd.*		5,214		263,516
Harris Corp.		5,292		262,483
Skyworks Solutions, Inc.*		8,027		260,235
SAIC, Inc.*		15,340		259,553
VeriSign, Inc.		7,075		256,186
Advanced Micro Devices, Inc.*		29,677		255,222
Flextronics International Ltd.*		33,691		251,672
Amdocs Ltd.*		8,508		245,456
FLIR Systems, Inc.		7,047		243,897
Dolby Laboratories, Inc. — Class A*		4,952		243,688
Avnet, Inc.*		7,051		240,369
Riverbed Technology, Inc.*		6,370		239,831
Rovi Corp.*		4,404		236,275
JDS Uniphase Corp.*		11,212		233,658
Cree, Inc.*		4,624		213,444
Equinix, Inc.*		2,340		213,174
Total Information Technology				45,674,492
INDUSTRIALS - 0.8%
First Solar, Inc.*		2,240		360,282
Total Common Stocks (Cost $33,797,067)				46,034,774

116 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2011

TECHNOLOGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	294,035	$	294,035
Total Repurchase Agreement (Cost $294,035)				294,035
Total Investments - 100.0% (Cost $34,091,102)			$	46,328,809
Liabilities, Less
Other Assets — (0.0)%				(12,538	)
Total Net Assets — 100.0%			$	46,316,271

*	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 ANNUAL REPORT | 117

TECHNOLOGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	46,034,774
Repurchase agreements, at value		294,035
Total investments		46,328,809
Receivables:
Fund shares sold		980,359
Dividends		17,496
Total assets		47,326,664
Liabilities:
Payable for:
Securities purchased		843,742
Fund shares redeemed		82,068
Management fees		31,829
Custodian fees		1,050
Transfer agent/maintenance fees		9,361
Distribution and service fees		6,149
Portfolio accounting fees		3,744
Other		32,450
Total liabilities		1,010,393
Net assets	$	46,316,271
Net assets consist of:
Paid in capital	$	54,167,376
Accumulated net investment loss		—
Accumulated net realized loss on investments		(20,088,812	)
Net unrealized appreciation on investments		12,237,707
Net assets	$	46,316,271
Investor Class:
Net assets	$	35,407,880
Capital shares outstanding		2,540,907
Net asset value per share	$	13.94
Advisor Class:
Net assets	$	6,564,729
Capital shares outstanding		499,957
Net asset value per share	$	13.13
A-Class:
Net assets	$	1,725,447
Capital shares outstanding		129,961
Net asset value per share	$	13.28
Maximum offering price per share*	$	13.94
C-Class:
Net assets	$	2,618,215
Capital shares outstanding		206,327
Net asset value per share	$	12.69
Investments, at cost	$	33,797,067
Repurchase agreements, at cost		294,035
Total cost	$	34,091,102

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $3,757)	$	391,185
Interest		402
Total investment income		391,587
Expenses:
Management fees		365,317
Transfer agent and administrative fees		107,446
Distribution and Service fees:
Advisor Class		50,828
A-Class		5,342
C-Class		33,675
Portfolio accounting fees		42,978
Trustees’ fees**		4,582
Miscellaneous		75,803
Total expenses		685,971
Net investment loss		(294,384	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		6,855,354
Net realized gain		6,855,354
Net change in unrealized appreciation (depreciation) on:
Investments		(3,631,811	)
Net change in unrealized appreciation (depreciation)		(3,631,811	)
Net realized and unrealized gain		3,223,543
Net increase in net assets resulting from operations	$	2,929,159

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

118 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

TECHNOLOGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(294,384	)	$	(339,603	)
Net realized gain on investments		6,855,354			1,770,571
Net change in unrealized appreciation (depreciation) on investments		(3,631,811	)		13,057,669
Net increase in net assets resulting from operations		2,929,159			14,488,637
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		135,813,468			140,714,130
Advisor Class		28,472,116			42,864,952
A-Class		4,442,948			12,309,707
C-Class		88,193,972			62,125,549
Cost of shares redeemed
Investor Class		(139,967,215	)		(124,009,356	)
Advisor Class		(40,011,196	)		(30,029,626	)
A-Class		(6,872,533	)		(11,211,951	)
C-Class		(89,700,251	)		(60,755,874	)
Net increase (decrease) from capital share transactions		(19,628,691	)		32,007,531
Net increase (decrease) in net assets		(16,699,532	)		46,496,168
Net assets:
Beginning of year		63,015,803			16,519,635
End of year	$	46,316,271		$	63,015,803
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		10,630,438			13,517,205
Advisor Class		2,464,584			4,325,684
A-Class		365,677			1,248,922
C-Class		7,895,392			6,099,863
Shares redeemed
Investor Class		(11,196,482	)		(11,917,824	)
Advisor Class		(3,541,746	)		(3,009,928	)
A-Class		(578,302	)		(1,132,707	)
C-Class		(8,025,633	)		(5,950,283	)
Net increase (decrease) in shares		(1,986,072	)		3,180,932

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 119

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.03		$	7.70		$	11.77		$	12.53		$	12.35
Income (loss) from investment operations:
Net investment lossa		(.06	)		(.05	)		(.03	)		(.10	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		1.97			4.38			(4.04	)		(.66	)		.29
Total from investment operations		1.91			4.33			(4.07	)		(.76	)		.18
Net asset value, end of period	$	13.94		$	12.03		$	7.70		$	11.77		$	12.53
Total Returnb		15.88	%		56.23	%		(34.58	%)		(6.07	%)		1.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,408		$	37,391		$	11,601		$	9,916		$	14,274
Ratios to average net assets:
Net investment loss		(0.48	%)		(0.52	%)		(0.29	%)		(0.72	%)		(0.91	%)
Total expenses		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		393	%		335	%		564	%		694	%		684	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.39		$	7.32		$	11.27		$	12.05		$	11.94
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.11	)		(.05	)		(.15	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		1.85			4.18			(3.90	)		(.63	)		.27
Total from investment operations		1.74			4.07			(3.95	)		(.78	)		.11
Net asset value, end of period	$	13.13		$	11.39		$	7.32		$	11.27		$	12.05
Total Returnb		15.28	%		55.60	%		(35.05	%)		(6.47	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,565		$	17,969		$	1,914		$	2,077		$	4,807
Ratios to average net assets:
Net investment loss		(0.94	%)		(1.04	%)		(0.53	%)		(1.16	%)		(1.41	%)
Total expenses		1.88	%		1.87	%		1.87	%		1.88	%		1.86	%
Portfolio turnover rate		393	%		335	%		564	%		694	%		684	%

120 | THE RYDEX | SGI SERIES FUNDS 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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.49		$	7.37		$	11.32		$	12.09		$	11.95
Income (loss) from investment operations:
Net investment lossa		(.09	)		(.08	)		(.04	)		(.11	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		1.88			4.20			(3.91	)		(.66	)		.28
Total from investment operations		1.79			4.12			(3.95	)		(.77	)		.14
Net asset value, end of period	$	13.28		$	11.49		$	7.37		$	11.32		$	12.09
Total Returnb		15.58	%		55.90	%		(34.89	%)		(6.37	%)		1.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,725		$	3,936		$	1,669		$	546		$	278
Ratios to average net assets:
Net investment loss		(0.73	%)		(0.78	%)		(0.41	%)		(0.86	%)		(1.18	%)
Total expenses		1.64	%		1.63	%		1.63	%		1.60	%		1.61	%
Portfolio turnover rate		393	%		335	%		564	%		694	%		684	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.05		$	7.14		$	11.04		$	11.87		$	11.81
Income (loss) from investment operations:
Net investment lossa		(.17	)		(.14	)		(.12	)		(.21	)		(.22	)
Net gain (loss) on investments (realized and unrealized)		1.81			4.05			(3.78	)		(.62	)		.28
Total from investment operations		1.64			3.91			(3.90	)		(.83	)		.06
Net asset value, end of period	$	12.69		$	11.05		$	7.14		$	11.04		$	11.87
Total Returnb		14.84	%		54.76	%		(35.33	%)		(6.99	%)		0.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,618		$	3,719		$	1,335		$	2,448		$	1,538
Ratios to average net assets:
Net investment loss		(1.53	%)		(1.49	%)		(1.24	%)		(1.67	%)		(1.91	%)
Total expenses		2.39	%		2.38	%		2.38	%		2.35	%		2.35	%
Portfolio turnover rate		393	%		335	%		564	%		694	%		684	%

^a Net investment loss per share was computed using average shares outstanding throughout the period. ^b 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 ANNUAL REPORT | 121

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

TELECOMMUNICATIONS FUND

OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the development, manufacture or sale of communications services or communications equipment (“Telecommunications Companies”).

Inception: April 1, 1998

Telecommunication firms posted returns in line with the broad equity market over the past 12 months, benefiting from investors’ seeking higher-yielding areas of the market. Even though consumers’ demand for wireless devices appears to be increasing, it means the sector is facing a continued secular decline in wireline revenue and greater competition among wireless carriers, with five or more networks in all major markets. The sector has the highest debt-to-equity ratio of a non-financial sector, which could be a drag on profits if credit remains tight.

For the one-year period ended March 31, 2011, Telecommunications Fund Investor Class returned 15.06%, compared with a gain of 30.37% for the S&P 500 Telecommunication Services Index.

Industries within the sector that contributed most of the Fund’s return were Diversified Telecommunication Services, Wireless Telecommunications Services and Communications Equipment.

Verizon Communications, Inc., Vodafone Group plc ADR and AT&T, Inc. were among the strongest performers for the year. Cisco Systems, Inc., Research in Motion Ltd. and Nokia Corp. were among the stocks which added least to Fund performance during the year.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	7.7	%
Vodafone Group plc ADR	6.8	%
Verizon Communications, Inc.	5.9	%
Cisco Systems, Inc.	5.4	%
QUALCOMM, Inc.	5.3	%
Research In Motion Ltd.	2.8	%
Juniper Networks, Inc.	2.6	%
American Tower Corp. — Class A	2.5	%
Motorola Solutions, Inc.	2.2	%
Crown Castle International Corp.	1.9	%
Top Ten Total	43.1	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

122 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/01/98)									(04/01/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
TELECOMMUNICATIONS FUND		15.06	%		-0.99	%		-3.15	%		14.59	%		-1.44	%		-3.54	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 TELECOMMUNICATION SERVICES INDEX***		30.37	%		4.77	%	��	0.23	%		30.37	%		4.77	%		0.23	%

							A-Class															C-Class
							(09/01/04)															(04/18/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
TELECOMMUNICATIONS FUND		14.75	%		9.32	%		-1.29	%		-2.25	%		3.04	%		2.27	%		14.22	%		13.22	%		-1.92	%		-5.17	%
S&P 500 INDEX S&P 500		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.63	%
TELECOMMUNICATION SERVICES INDEX***		30.37	%		30.37	%		4.77	%		4.77	%		6.28	%		6.28	%		30.37	%		30.37	%		4.77	%		-0.14	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Telecommunication Services Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 123

SCHEDULE OF INVESTMENTS March 31, 2011

TELECOMMUNICATIONS FUND

	Shares		Value
COMMON STOCKS† - 99.2%
TELECOMMUNICATION SERVICES - 53.5%
AT&T, Inc.		131,330	$	4,018,697
Vodafone Group plc ADR		123,995		3,564,857
Verizon Communications, Inc.		80,479		3,101,660
American Tower Corp. — Class A*		24,830		1,286,692
Crown Castle International Corp.*		23,808		1,013,030
CenturyLink, Inc.		24,086		1,000,773
Millicom International Cellular S.A.		10,090		970,355
Sprint Nextel Corp.*		209,040		969,946
Qwest Communications International, Inc.		141,942		969,464
Frontier Communications Corp.		97,808		803,982
NII Holdings, Inc.*		18,693		778,937
America Movil SAB de CV ADR		13,327		774,299
Windstream Corp.		55,787		717,979
MetroPCS Communications, Inc.*		43,505		706,521
SBA Communications Corp. — Class A*		14,915		591,827
China Mobile Ltd. ADR		12,601		582,670
Clearwire Corp. — Class A*		102,481		572,869
Mobile Telesystems OJSC ADR		24,523		520,623
Vivo Participacoes S.A. ADR		12,253		494,776
tw telecom, Inc. — Class A*		25,190		483,648
Telefonica S.A. ADR		17,310		436,558
China Unicom Hong Kong Ltd. ADR		26,291		436,431
Telephone & Data Systems, Inc.		12,830		432,371
Tele Norte Leste Participacoes S.A. ADR		24,120		422,824
KT Corp ADR		21,470		419,309
VimpelCom Ltd. ADR		28,950		408,774
SK Telecom Company Ltd. ADR		21,726		408,666
Chunghwa Telecom Company Ltd. ADR		12,616		393,115
BCE, Inc.		10,381		377,246
Leap Wireless International, Inc.*		23,060		357,199
Total Telecommunication Services				28,016,098
INFORMATION TECHNOLOGY - 45.7%
Cisco Systems, Inc.		164,190		2,815,858
QUALCOMM, Inc.		50,613		2,775,111
Research In Motion Ltd.*		26,295		1,487,508
Juniper Networks, Inc.*		32,561		1,370,167
Motorola Solutions, Inc.*		25,206		1,126,456
Nokia Oyj ADR		100,619		856,268
F5 Networks, Inc.*		7,900		810,303
Motorola Mobility Holdings, Inc.*		30,337		740,223
Harris Corp.		14,904		739,238
Riverbed Technology, Inc.*		17,920		674,688
Alcatel-Lucent ADR		113,722		660,725
JDS Uniphase Corp.*		30,817		642,226
Acme Packet, Inc.*		8,740		620,190
Polycom, Inc.*		11,686		605,919
Aruba Networks, Inc.*		15,888		537,650
Brocade Communications Systems, Inc.*		82,494		507,338
Telefonaktiebolaget LM Ericsson ADR		37,778		485,825
ADTRAN, Inc.		10,563		448,505
InterDigital, Inc.		9,390		447,997
Finisar Corp.*		18,096		445,162
Ciena Corp.*		17,065		443,007
Tellabs, Inc.		76,266		399,634
Plantronics, Inc.		10,690		391,468
Viasat, Inc.*		9,550		380,472
Arris Group, Inc.*		29,058		370,199
RADWARE Ltd.*		9,540		338,098
Blue Coat Systems, Inc.*		11,437		322,066
Harmonic, Inc.*		34,180		320,608
Netgear, Inc.*		9,750		316,290
Ixia*		19,210		305,055
Infinera Corp.*		33,999		285,252
Emulex Corp.*		26,717		285,070
DG FastChannel, Inc.*		8,830		284,503
Comtech Telecommunications Corp.		9,131		248,181
Oclaro, Inc.*		20,130		231,696
Tekelec*		27,976		227,165
Total Information Technology				23,946,121
Total Common Stocks (Cost $48,416,985)				51,962,219

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.5%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	254,608		254,608
Total Repurchase Agreement (Cost $254,608)				254,608
Total Investments - 99.7% (Cost $48,671,593)			$	52,216,827
Other Assets, Less Liabilities — 0.3%				161,991
Total Net Assets — 100.0%			$	52,378,818

*	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

124 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

TELECOMMUNICATIONS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	51,962,219
Repurchase agreements, at value		254,608
Total investments		52,216,827
Receivables:
Fund shares sold		1,591,180
Dividends		24,376
Total assets		53,832,383
Liabilities:
Payable for:
Securities purchased		1,226,855
Fund shares redeemed		197,929
Management fees		11,588
Custodian fees		382
Transfer agent/maintenance fees		3,408
Distribution and service fees		1,792
Portfolio accounting fees		1,363
Other		10,248
Total liabilities		1,453,565
Net assets	$	52,378,818
Net assets consist of:
Paid in capital	$	54,001,930
Undistributed net investment income		80,971
Accumulated net realized loss on investments		(5,249,317	)
Net unrealized appreciation on investments		3,545,234
Net assets	$	52,378,818
Investor Class:
Net assets	$	48,088,942
Capital shares outstanding		3,061,238
Net asset value per share	$	15.71
Advisor Class:
Net assets	$	695,081
Capital shares outstanding		47,162
Net asset value per share	$	14.74
A-Class:
Net assets	$	698,957
Capital shares outstanding		46,888
Net asset value per share	$	14.91
Maximum offering price per share*	$	15.65
C-Class:
Net assets	$	2,895,838
Capital shares outstanding		204,076
Net asset value per share	$	14.19
Investments, at cost	$	48,416,985
Repurchase agreements, at cost		254,608
Total cost	$	48,671,593

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $4,763)	$	286,366
Interest		87
Total investment income		286,453
Expenses:
Management fees		111,533
Transfer agent and administrative fees		32,804
Distribution and Service fees:
Advisor Class		3,831
A-Class		2,211
C-Class		17,421
Portfolio accounting fees		13,121
Trustees’ fees**		1,235
Miscellaneous		23,326
Total expenses		205,482
Net investment income		80,971
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		588,234
Net realized gain		588,234
Net change in unrealized appreciation (depreciation) on:
Investments		1,503,267
Net change in unrealized appreciation (depreciation)		1,503,267
Net realized and unrealized gain		2,091,501
Net increase in net assets resulting from operations	$	2,172,472

** 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 ANNUAL REPORT | 125

TELECOMMUNICATIONS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	80,971		$	244,261
Net realized gain on investments		588,234			3,628,955
Net change in unrealized appreciation (depreciation) on investments		1,503,267			233,436
Net increase in net assets resulting from operations		2,172,472			4,106,652
Distributions to shareholders from:
Net investment income
Investor Class		(67,481	)		(201,940	)
Advisor Class		(5,275	)		(33,798	)
A-Class		(4,577	)		(16,499	)
C-Class		(18,522	)		(25,934	)
Total distributions to shareholders		(95,855	)		(278,171	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		134,026,357			69,585,026
Advisor Class		14,787,230			17,955,896
A-Class		3,138,157			2,200,098
C-Class		101,895,836			56,923,676
Distributions reinvested
Investor Class		66,267			198,455
Advisor Class		4,612			32,841
A-Class		4,413			14,616
C-Class		16,598			24,656
Cost of shares redeemed
Investor Class		(92,550,806	)		(70,446,599	)
Advisor Class		(14,584,997	)		(29,801,508	)
A-Class		(3,561,229	)		(2,722,245	)
C-Class		(100,130,077	)		(57,632,310	)
Net increase (decrease) from capital share transactions		43,112,361			(13,667,398	)
Net increase (decrease) in net assets		45,188,978			(9,838,917	)
Net assets:
Beginning of year		7,189,840			17,028,757
End of year	$	52,378,818		$	7,189,840
Undistributed net investment income at end of year	$	80,971		$	95,855
Capital share activity:
Shares sold
Investor Class		9,014,851			5,418,401
Advisor Class		1,144,045			1,513,965
A-Class		239,651			184,119
C-Class		7,870,456			4,881,373
Shares issued from reinvestment of distributions
Investor Class		4,511			15,042
Advisor Class		334			2,638
A-Class		316			1,163
C-Class		1,246			2,044
Shares redeemed
Investor Class		(6,298,891	)		(5,524,377	)
Advisor Class		(1,118,811	)		(2,519,297	)
A-Class		(276,676	)		(235,714	)
C-Class		(7,758,916	)		(4,927,198	)
Net increase (decrease) in shares		2,822,116			(1,187,841	)

126 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

TELECOMMUNICATIONS FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.73		$	10.29		$	17.04		$	19.02		$	17.74
Income (loss) from investment operations:
Net investment incomea		.10			.26			.27			.12			.16
Net gain (loss) on investments (realized and unrealized)		1.96			3.52			(6.68	)		(2.08	)		1.23
Total from investment operations		2.06			3.78			(6.41	)		(1.96	)		1.39
Less distributions from:
Net investment income		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	15.71		$	13.73		$	10.29		$	17.04		$	19.02
Total Returnb		15.06	%		36.88	%		(37.55	%)		(10.32	%)		7.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	48,089		$	4,677		$	4,440		$	11,134		$	16,699
Ratios to average net assets:
Net investment income		0.73	%		2.03	%		1.92	%		0.58	%		0.89	%
Total expenses		1.39	%		1.39	%		1.39	%		1.37	%		1.37	%
Portfolio turnover rate		1,008	%		867	%		672	%		528	%		430	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.94		$	9.75		$	16.26		$	18.24		$	17.10
Income (loss) from investment operations:
Net investment income (loss)a		.03			.23			.17			(.02	)		.04
Net gain (loss) on investments (realized and unrealized)		1.85			3.30			(6.34	)		(1.94	)		1.21
Total from investment operations		1.88			3.53			(6.17	)		(1.96	)		1.25
Less distributions from:
Net investment income		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	14.74		$	12.94		$	9.75		$	16.26		$	18.24
Total Returnb		14.59	%		36.35	%		(37.88	%)		(10.76	%)		7.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	695		$	279		$	9,991		$	835		$	6,584
Ratios to average net assets:
Net investment income (loss)		0.25	%		1.94	%		1.53	%		(0.09	%)		0.22	%
Total expenses		1.88	%		1.89	%		1.81	%		1.88	%		1.83	%
Portfolio turnover rate		1,008	%		867	%		672	%		528	%		430	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 127

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.07		$	9.83		$	16.33		$	18.28		$	17.15
Income (loss) from investment operations:
Net investment incomea		.14			.17			.27			.03			.05
Net gain (loss) on investments (realized and unrealized)		1.78			3.41			(6.43	)		(1.96	)		1.19
Total from investment operations		1.92			3.58			(6.16	)		(1.93	)		1.24
Less distributions from:
Net investment income		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	14.91		$	13.07		$	9.83		$	16.33		$	18.28
Total Returnb		14.75	%		36.57	%		(37.66	%)		(10.57	%)		7.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	699		$	1,093		$	1,317		$	451		$	2,126
Ratios to average net assets:
Net investment income		1.01	%		1.45	%		2.15	%		0.13	%		0.28	%
Total expenses		1.64	%		1.63	%		1.63	%		1.61	%		1.49	%
Portfolio turnover rate		1,008	%		867	%		672	%		528	%		430	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.50		$	9.48		$	15.91		$	17.93		$	16.90
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		.10			.13			(.10	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		1.78			3.26			(6.22	)		(1.90	)		1.20
Total from investment operations		1.77			3.36			(6.09	)		(2.00	)		1.14
Less distributions from:
Net investment income		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	14.19		$	12.50		$	9.48		$	15.91		$	17.93
Total Returnb		14.22	%		35.59	%		(38.21	%)		(11.17	%)		6.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,896		$	1,141		$	1,281		$	2,846		$	4,763
Ratios to average net assets:
Net investment income (loss)		(0.07	%)		0.86	%		0.99	%		(0.50	%)		(0.35	%)
Total expenses		2.39	%		2.39	%		2.42	%		2.37	%		2.33	%
Portfolio turnover rate		1,008	%		867	%		672	%		528	%		430	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

128 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 129

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

TRANSPORTATION FUND

OBJECTIVE: Seeks capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution or sale of transportation equipment (“Transportation Companies”).

Inception: April 2, 1998

Transportation firms have slightly outpaced the broader equity market in the past 12 months, particularly in the Road & Rail segment, the largest in the Fund. The other large component of the Fund, Air Freight & Logistics, also performed well. The two smallest segments, Marine and Gas Utilities, had poor performance for the year and produced a drag on Fund performance.

For the one-year period ended March 31, 2011, Transportation Fund Investor Class returned 17.07%, compared with a gain of 21.91% for the S&P 500 Industrials Index.

CSX Corp., Union Pacific Corp. and United Parcel Service, Inc. — Class B were among the biggest contributors to Fund performance for the year. Delta Air Lines, Inc., DryShips, Inc. and Genco Shipping & Trading Ltd. were among the stocks which provided the least performance to the Fund during the year. Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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	10.3	%
Union Pacific Corp.	8.3	%
FedEx Corp.	6.6	%
CSX Corp.	6.4	%
Norfolk Southern Corp.	5.9	%
CH Robinson Worldwide, Inc.	4.2	%
Expeditors International of Washington, Inc.	4.0	%
Southwest Airlines Co.	3.8	%
Delta Air Lines, Inc.	3.5	%
United Continental Holdings, Inc.	3.5	%
Top Ten Total	56.5	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

130 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/02/98)									(06/09/98)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
TRANSPORTATION FUND		17.07	%		-0.19	%		3.82	%		16.55	%		-0.66	%		3.37	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 INDUSTRIALS INDEX***		21.91	%		3.49	%		4.64	%		21.91	%		3.49	%		4.64	%

	A-Class																		C-Class
	(09/01/04)																		(05/14/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
TRANSPORTATION FUND		16.90	%		11.32	%		-0.41	%		-1.37	%		5.31	%		4.54	%		16.05	%		15.05	%		-1.19	%		2.49	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.55	%
S&P 500 INDUSTRIALS INDEX***		21.91	%		21.91	%		3.49	%		3.49	%		5.90	%		5.90	%		21.91	%		21.91	%		3.49	%		3.30	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 131

SCHEDULE OF INVESTMENTS March 31, 2011

TRANSPORTATION FUND

			��
	Shares			Value
COMMON STOCKS† - 99.4%
INDUSTRIALS - 99.4%
United Parcel Service, Inc. — Class B		15,951		$	1,185,477
Union Pacific Corp.		9,725			956,259
FedEx Corp.		8,150			762,433
CSX Corp.		9,334			733,652
Norfolk Southern Corp.		9,810			679,539
CH Robinson Worldwide, Inc.		6,499			481,771
Expeditors International of Washington, Inc.		9,131			457,828
Southwest Airlines Co.		34,588			436,845
Delta Air Lines, Inc.*		41,487			406,573
United Continental Holdings, Inc.*		17,320			398,187
Hertz Global Holdings, Inc.*		22,268			348,048
Kansas City Southern*		6,068			330,403
J.B. Hunt Transport Services, Inc.		7,162			325,298
Kirby Corp.*		3,938			225,607
Ryder System, Inc.		4,446			224,968
Alaska Air Group, Inc.*		3,449			218,736
Landstar System, Inc.		4,488			205,012
AMR Corp.*		31,682			204,666
Con-way, Inc.		5,138			201,872
Dollar Thrifty Automotive Group, Inc.*		3,019			201,458
JetBlue Airways Corp.*		31,295			196,220
Avis Budget Group, Inc.*		10,937			195,882
Atlas Air Worldwide Holdings, Inc.*		2,789			194,449
Werner Enterprises, Inc.		7,240			191,643
Old Dominion Freight Line, Inc.*		5,399			189,451
Genesee & Wyoming, Inc. — Class A*		3,074			178,907
Knight Transportation, Inc.		8,928			171,864
Alexander & Baldwin, Inc.		3,710			169,362
US Airways Group, Inc.*		19,354			168,573
AirTran Holdings, Inc.*		18,542			138,138
Allegiant Travel Co. — Class A		2,905			127,268
Heartland Express, Inc.		6,427			112,858
Copa Holdings S.A. — Class A		2,106			111,197
Arkansas Best Corp.		3,390			87,869
Genco Shipping & Trading Ltd.*		7,949			85,611
UTI Worldwide, Inc.		4,090			82,782
HUB Group, Inc. — Class A*		2,236			80,921
Total Industrials					11,467,627
Total Common Stocks (Cost $6,702,618)					11,467,627

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	63,442	$	63,442
Total Repurchase Agreement (Cost $63,442)				63,442
Total Investments - 100.0% (Cost $6,766,060)			$	11,531,069
Liabilities, Less Cash & Other Assets - 0.0%				(1,366	)
Total Net Assets — 100.0%			$	11,529,703

*	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.

132 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

TRANSPORTATION FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	11,467,627
Repurchase agreements, at value		63,442
Total investments		11,531,069
Cash		1,057
Receivables:
Fund shares sold		817,648
Dividends		7,551
Total assets		12,357,325
Liabilities:
Payable for:
Securities purchased		472,977
Fund shares redeemed		329,166
Management fees		9,316
Custodian fees		313
Transfer agent/maintenance fees		2,740
Distribution and service fees		2,915
Portfolio accounting fees		1,096
Other		9,099
Total liabilities		827,622
Net assets	$	11,529,703
Net assets consist of:
Paid in capital	$	33,895,235
Accumulated net investment loss		—
Accumulated net realized loss on investments		(27,130,541	)
Net unrealized appreciation on investments		4,765,009
Net assets	$	11,529,703
Investor Class:
Net assets	$	5,319,879
Capital shares outstanding		191,016
Net asset value per share	$	27.85
Advisor Class:
Net assets	$	2,902,048
Capital shares outstanding		112,900
Net asset value per share	$	25.70
A-Class:
Net assets	$	1,238,713
Capital shares outstanding		47,376
Net asset value per share	$	26.15
Maximum offering price per share*	$	27.45
C-Class:
Net assets	$	2,069,063
Capital shares outstanding		81,532
Net asset value per share	$	25.38
Investments, at cost	$	6,702,618
Repurchase agreements, at cost		63,442
Total cost	$	6,766,060

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,874)	$	312,062
Interest		262
Total investment income		312,324
Expenses:
Management fees		195,474
Transfer agent and administrative fees		57,492
Distribution and Service fees:
Advisor Class		10,722
A-Class		4,973
C-Class		20,861
Portfolio accounting fees		22,997
Trustees’ fees**		2,500
Miscellaneous		39,945
Total expenses		354,964
Net investment loss		(42,640	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(7,140,358	)
Net realized loss		(7,140,358	)
Net change in unrealized appreciation (depreciation) on:
Investments		(334,950	)
Net change in unrealized appreciation (depreciation)		(334,950	)
Net realized and unrealized loss		(7,475,308	)
Net decrease in net assets resulting from operations	$	(7,517,948	)

** 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 ANNUAL REPORT | 133

TRANSPORTATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (decrease) in net assets from operations:
Net investment loss	$	(42,640	)	$	(126,770	)
Net realized gain (loss) on investments		(7,140,358	)		2,728,041
Net change in unrealized appreciation (depreciation) on investments		(334,950	)		3,744,101
Net increase (decrease) in net assets resulting from operations		(7,517,948	)		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		228,555,205			157,093,305
Advisor Class		27,043,322			18,324,095
A-Class		7,772,436			1,699,281
C-Class		76,303,386			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		(238,376,331	)		(160,537,241	)
Advisor Class		(26,790,951	)		(16,959,390	)
A-Class		(8,264,038	)		(906,222	)
C-Class		(77,498,784	)		(66,016,877	)
Net decrease from capital share transactions		(11,255,755	)		(853,530	)
Net increase (decrease) in net assets		(18,773,703	)		5,427,263
Net assets:
Beginning of year		30,303,406			24,876,143
End of year	$	11,529,703		$	30,303,406
Accumulated net investment loss at end of year	$	—		$	—
Capital share activity:
Shares sold
Investor Class		9,276,996			7,533,509
Advisor Class		1,198,656			950,836
A-Class		337,827			86,665
C-Class		3,303,513			3,656,133
Shares issued from reinvestment of distributions
Investor Class		—			1,583
Advisor Class		—			830
A-Class		—			413
C-Class		—			247
Shares redeemed
Investor Class		(10,023,188	)		(8,058,029	)
Advisor Class		(1,212,479	)		(909,945	)
A-Class		(372,787	)		(46,165	)
C-Class		(3,376,280	)		(3,665,209	)
Net decrease in shares		(867,742	)		(449,132	)

134 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

TRANSPORTATION FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended				Year Ended			Year Ended			Year Ended			Year Ended
	March 31,				March 31,			March 31,			March 31,			March 31,
Investor Class	2011				2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	23.79			$	14.38		$	25.21		$	29.16		$	28.30
Income (loss) from investment operations:
Net investment income (loss)a		—b				(.15	)		.07			.06			(.14	)
Net gain (loss) on investments (realized and unrealized)		4.06				9.70			(10.90	)		(4.01	)		1.00
Total from investment operations		4.06				9.55			(10.83	)		(3.95	)		.86
Less distributions from:
Net investment income		—				(.14	)		—			—			—
Total distributions		—				(.14	)		—			—			—
Net asset value, end of period	$	27.85			$	23.79		$	14.38		$	25.21		$	29.16
Total Returnc		17.07	%			66.51	%		(42.96	)%		(13.55	)%		3.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,320			$	22,292		$	20,990		$	17,420		$	6,635
Ratios to average net assets:
Net investment income (loss)		0.02	%	��		(0.68	)%		0.33	%		0.22	%		(0.48	)%
Total expenses		1.38	%			1.37	%		1.38	%		1.36	%		1.36	%
Portfolio turnover rate		1,217	%			1,073	%		875	%		952	%		686	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	22.05		$	13.40		$	23.59		$	27.42		$	26.75
Income (loss) from investment operations:
Net investment income (loss)a		(.17	)		(.18	)		.10			(.01	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		3.82			8.97			(10.29	)		(3.82	)		.93
Total from investment operations		3.65			8.79			(10.19	)		(3.83	)		.67
Less distributions from:
Net investment income		—			(.14	)		—			—			—
Total distributions		—			(.14	)		—			—			—
Net asset value, end of period	$	25.70		$	22.05		$	13.40		$	23.59		$	27.42
Total Returnc		16.55	%		65.70	%		(43.20	)%		(13.97	)%		2.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,902		$	2,795		$	1,139		$	5,152		$	3,556
Ratios to average net assets:
Net investment income (loss)		(0.74	)%		(0.95	)%		0.51	%		(0.05	)%		(0.97	)%
Total expenses		1.89	%		1.88	%		1.90	%		1.87	%		1.86	%
Portfolio turnover rate		1,217	%		1,073	%		875	%		952	%		686	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 135

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	22.37		$	13.55		$	23.81		$	27.60		$	26.87
Income (loss) from investment operations:
Net investment income (loss)a		(.10	)		(.04	)		.08			—b			(.19	)
Net gain (loss) on investments (realized and unrealized)		3.88			9.00			(10.34	)		(3.79	)		.92
Total from investment operations		3.78			8.96			(10.26	)		(3.79	)		.73
Less distributions from:
Net investment income		—			(.14	)		—			—			—
Total distributions		—			(.14	)		—			—			—
Net asset value, end of period	$	26.15		$	22.37		$	13.55		$	23.81		$	27.60
Total Returnc		16.90	%		66.22	%		(43.09	)%		(13.73	)%		2.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,239		$	1,842		$	561		$	228		$	483
Ratios to average net assets:
Net investment income (loss)		(0.42	)%		(0.22	)%		0.43	%		—	%		(0.70	)%
Total expenses		1.64	%		1.62	%		1.67	%		1.62	%		1.61	%
Portfolio turnover rate		1,217	%		1,073	%		875	%		952	%		686	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	21.87		$	13.40		$	23.70		$	27.68		$	27.14
Income (loss) from investment operations:
Net investment lossa		(.24	)		(.24	)		(.16	)		(.20	)		(.40	)
Net gain (loss) on investments (realized and unrealized)		3.75			8.85			(10.14	)		(3.78	)		.94
Total from investment operations		3.51			8.61			(10.30	)		(3.98	)		.54
Less distributions from:
Net investment income		—			(.14	)		—			—			—
Total distributions		—			(.14	)		—			—			—
Net asset value, end of period	$	25.38		$	21.87		$	13.40		$	23.70		$	27.68
Total Returnc		16.05	%		64.35	%		(43.46	)%		(14.38	)%		1.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,069		$	3,375		$	2,186		$	845		$	4,894
Ratios to average net assets:
Net investment loss		(1.04	)%		(1.31	)%		(0.79	)%		(0.73	)%		(1.47	)%
Total expenses		2.39	%		2.38	%		2.40	%		2.38	%		2.37	%
Portfolio turnover rate		1,217	%		1,073	%		875	%		952	%		686	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income is less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

136 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 137

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

UTILITIES FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).

Inception: April 3, 2000

Utility companies performed in line with the broader equity market in the past 12 months, as investors sought out dependable dividend-paying companies. Regulated utilities have been steady performers, despite lower demand based on a weak housing market, and earnings are expected to grow moderately. A glut of capacity, however, will keep pressure on prices the less-regulated power generators can charge.

For the one-year period ended March 31, 2011, Utilities Fund Investor Class returned 15.94%, compared with a gain of 12.36% for the S&P 500 Utilities Index.

Within the sector, Electric Utilities, 45% of the portfolio weight, provided the largest contribution to performance. The Multi-Utilities segment, a third of the portfolio weight, was next. Oil, Gas & Consumable Fuels, relatively lightly weighted in the sector, had negative performance and detracted from Fund return.

Southern Co., Oneok, Inc. and National Fuel Gas Co. were among the Fund’s best-performing stocks over the one-year period, while Entergy Corp., Constellation Energy Group, Inc. and EQT Corp. were among the weakest performers.

Performance displayed represents past performance which is no guarantee of future results.

Industry Diversification (Market Exposure as % of Net Assets)

“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.	3.3	%
Exelon Corp.	3.1	%
Dominion Resources, Inc.	3.0	%
Duke Energy Corp.	2.8	%
NextEra Energy, Inc.	2.8	%
PG&E Corp.	2.5	%
American Electric Power Company, Inc.	2.4	%
Public Service Enterprise Group, Inc.	2.3	%
FirstEnergy Corp.	2.3	%
Consolidated Edison, Inc.	2.2	%
Top Ten Total	26.7	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

138 THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

†	Initial investment has been adjusted for the maximum sales charge of 4.75%.
††	Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	Investor Class									Advisor Class
	(04/03/00)									(04/03/00)
	ONE			FIVE			TEN			ONE			FIVE			TEN
	YEAR			YEAR			YEAR			YEAR			YEAR			YEAR
UTILITIES FUND		15.94	%		4.80	%		0.51	%		15.43	%		4.29	%		-0.02	%
S&P 500 INDEX		15.65	%		2.62	%		3.29	%		15.65	%		2.62	%		3.29	%
S&P 500 UTILITIES INDEX***		12.36	%		4.71	%		1.80	%		12.36	%		4.71	%		1.80	%

	A-Class																		C-Class
	(09/01/04)																		(04/27/01)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
UTILITIES FUND		15.70	%		10.18	%		4.56	%		3.54	%		6.45	%		5.67	%		14.85	%		13.85	%		3.77	%		-1.23	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.92	%		4.92	%		15.65	%		15.65	%		2.62	%		2.51	%
S&P 500 UTILITIES INDEX***		12.36	%		12.36	%		4.71	%		4.71	%		7.83	%		7.83	%		12.36	%		12.36	%		4.71	%		1.25	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
***	Returns in the table reflect the reinvestment of dividends on securities in the index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 139

SCHEDULE OF INVESTMENTS	March 31, 2011
UTILITIES FUND

	Shares		Value
COMMON STOCKS† - 99.3%
UTILITIES - 99.3%
Southern Co.		16,092	$	613,265
Exelon Corp.		13,798		569,030
Dominion Resources, Inc.		12,340		551,597
Duke Energy Corp.		29,144		528,964
NextEra Energy, Inc.		9,527		525,128
PG&E Corp.		10,434		460,973
American Electric Power Company, Inc.		12,876		452,463
Public Service Enterprise Group, Inc.		13,861		436,759
FirstEnergy Corp.		11,423		423,679
Consolidated Edison, Inc.		8,097		410,680
Progress Energy, Inc.		8,700		401,418
Sempra Energy		7,300		390,550
Entergy Corp.		5,773		388,003
PPL Corp.		15,030		380,259
Edison International		10,258		375,340
Xcel Energy, Inc.		15,177		362,579
AES Corp.*		26,262		341,407
CenterPoint Energy, Inc.		17,867		313,745
DTE Energy Co.		6,339		310,357
Calpine Corp.*		18,244		289,532
Oneok, Inc.		4,320		288,921
Wisconsin Energy Corp.		9,440		287,920
Ameren Corp.		10,053		282,188
Constellation Energy Group, Inc.		8,596		267,593
Northeast Utilities		7,678		265,659
National Fuel Gas Co.		3,583		265,141
NiSource, Inc.		13,111		251,469
SCANA Corp.		6,168		242,834
CMS Energy Corp.		12,301		241,592
OGE Energy Corp.		4,751		240,211
NRG Energy, Inc.*		11,115		239,417
American Water Works Company, Inc.		8,475		237,724
NSTAR		5,106		236,255
Pinnacle West Capital Corp.		5,454		233,377
Cia Energetica de Minas Gerais ADR		12,020		231,625
MDU Resources Group, Inc.		9,793		224,945
Energen Corp.		3,546		223,824
Pepco Holdings, Inc.		11,886		221,674
Alliant Energy Corp.		5,689		221,473
TECO Energy, Inc.		11,629		218,160
Integrys Energy Group, Inc.		4,228		213,556
UGI Corp.		6,327		208,158
ITC Holdings Corp.		2,915		203,759
N.V. Energy, Inc.		13,539		201,596
DPL, Inc.		7,032		192,747
Aqua America, Inc.		8,401		192,299
Atmos Energy Corp.		5,557		189,494
Westar Energy, Inc.		7,098		187,529
AGL Resources, Inc.		4,677		186,332
Questar Corp.		10,607		185,092
National Grid plc ADR		3,789		182,024
Great Plains Energy, Inc.		8,923		178,638
Hawaiian Electric Industries, Inc.		6,692		165,962
Nicor, Inc.		3,055		164,054
Piedmont Natural Gas Company, Inc.		5,354		162,494
Vectren Corp.		5,903		160,562
Cleco Corp.		4,594		157,528
WGL Holdings, Inc.		3,879		151,281
IDACORP, Inc.		3,895		148,400
Southwest Gas Corp.		3,717		144,851
Portland General Electric Co.		6,003		142,691
UIL Holdings Corp.		4,420		134,898
New Jersey Resources Corp.		3,130		134,434
El Paso Electric Co.*		4,165		126,616
Avista Corp.		5,436		125,735
Black Hills Corp.		3,749		125,367
Unisource Energy Corp.		3,461		125,046
PNM Resources, Inc.		8,261		123,254
South Jersey Industries, Inc.		2,052		114,850
NorthWestern Corp.		3,670		111,201
Northwest Natural Gas Co.		2,367		109,190
Dynegy, Inc. — Class A*		15,370		87,455
Total Utilities				18,484,823
Total Common Stocks (Cost $12,687,799)				18,484,823
	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	71,097		71,097
Total Repurchase Agreement (Cost $71,097)				71,097
Total Investments - 99.7% (Cost $12,758,896)			$	18,555,920
Other Assets,
Less Liabilities — 0.3%				53,136
Total Net Assets — 100.0%			$	18,609,056

*	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

140 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

UTILITIES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	18,484,823
Repurchase agreements, at value		71,097
Total investments		18,555,920
Receivables:
Fund shares sold		238,953
Dividends		56,165
Total assets		18,851,038
Liabilities:
Payable for:
Securities purchased		100,775
Fund shares redeemed		101,294
Management fees		17,182
Custodian fees		645
Transfer agent/maintenance fees		5,053
Distribution and service fees		5,026
Portfolio accounting fees		2,021
Other		9,986
Total liabilities		241,982
Net assets	$	18,609,056
Net assets consist of:
Paid in capital	$	22,539,110
Undistributed net investment income		188,174
Accumulated net realized loss on investments		(9,915,252	)
Net unrealized appreciation on investments		5,797,024
Net assets	$	18,609,056
Investor Class:
Net assets	$	9,328,452
Capital shares outstanding		345,464
Net asset value per share	$	27.00
Advisor Class:
Net assets	$	1,240,294
Capital shares outstanding		49,096
Net asset value per share	$	25.26
A-Class:
Net assets	$	3,289,324
Capital shares outstanding		127,740
Net asset value per share	$	25.75
Maximum offering price per share*	$	27.03
C-Class:
Net assets	$	4,750,986
Capital shares outstanding		199,968
Net asset value per share	$	23.76
Investments, at cost	$	12,687,799
Repurchase agreements, at cost		71,097
Total cost	$	12,758,896

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

For the Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,607)	$	2,091,427
Interest		291
Total investment income		2,091,718
Expenses:
Management fees		388,077
Transfer agent and administrative fees		114,140
Distribution and Service fees:
Advisor Class		15,681
A-Class		6,079
C-Class		52,973
Portfolio accounting fees		45,656
Trustees’ fees**		4,926
Tax expense		1,070
Miscellaneous		71,917
Total expenses		700,519
Net investment income		1,391,199
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		373,049
Net realized gain		373,049
Net change in unrealized appreciation (depreciation) on:
Investments		1,578,780
Net change in unrealized appreciation (depreciation)		1,578,780
Net realized and unrealized gain		1,951,829
Net increase in net assets resulting from operations	$	3,343,028

** 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 ANNUAL REPORT | 141

UTILITIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year			Year
	Ended			Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	1,391,199		$	697,734
Net realized gain on investments		373,049			1,168,856
Net change in unrealized appreciation (depreciation) on investments		1,578,780			2,060,198
Net increase in net assets resulting from operations		3,343,028			3,926,788
Distributions to shareholders from:
Net investment income
Investor Class		(705,132	)		(443,269	)
Advisor Class		(226,210	)		(150,527	)
A-Class		(134,548	)		(70,862	)
C-Class		(413,324	)		(203,012	)
Total distributions to shareholders		(1,479,214	)		(867,670	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		323,523,204			189,197,372
Advisor Class		51,448,065			18,745,544
A-Class		11,412,994			6,451,789
C-Class		119,886,227			108,354,662
Distributions reinvested
Investor Class		681,476			423,986
Advisor Class		219,223			145,991
A-Class		94,343			50,251
C-Class		371,617			182,345
Cost of shares redeemed
Investor Class		(325,638,244	)		(191,518,650	)
Advisor Class		(51,854,302	)		(23,786,471	)
A-Class		(10,071,727	)		(6,611,351	)
C-Class		(123,450,180	)		(106,474,172	)
Net decrease from capital share transactions		(3,377,304	)		(4,838,704	)
Net decrease in net assets		(1,513,490	)		(1,779,586	)
Net assets:
Beginning of year		20,122,546			21,902,132
End of year	$	18,609,056		$	20,122,546
Undistributed net investment income at end of year	$	188,174		$	275,119
Capital share activity:
Shares sold
Investor Class		12,458,666			7,861,775
Advisor Class		2,121,840			805,986
A-Class		468,693			282,563
C-Class		5,265,040			5,007,623
Shares issued from reinvestment of distributions
Investor Class		27,270			17,143
Advisor Class		9,364			6,244
A-Class		3,956			2,118
C-Class		16,853			8,206
Shares redeemed
Investor Class		(12,540,196	)		(7,982,458	)
Advisor Class		(2,132,698	)		(1,065,226	)
A-Class		(417,328	)		(287,483	)
C-Class		(5,410,845	)		(4,907,526	)
Net decrease in shares		(129,385	)		(251,035	)

142 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

UTILITIES FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	24.80		$	20.56		$	29.29		$	31.89		$	24.90
Income (loss) from investment operations:
Net investment incomea		.86			.61			.72			.51			.52
Net gain (loss) on investments (realized and unrealized)		2.96			4.85			(9.32	)		(2.31	)		6.83
Total from investment operations		3.82			5.46			(8.60	)		(1.80	)		7.35
Less distributions from:
Net investment income		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	27.00		$	24.80		$	20.56		$	29.29		$	31.89
Total Returnb		15.94	%		26.58	%		(29.40	%)		(5.88	%)		29.64	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,328		$	9,912		$	10,348		$	11,242		$	84,150
Ratios to average net assets:
Net investment income		3.35	%		2.49	%		2.90	%		1.57	%		1.86	%
Total expenses		1.37	%		1.39	%		1.39	%		1.39	%		1.37	%
Portfolio turnover rate		800	%		758	%		684	%		375	%		557	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	23.40		$	19.56		$	28.00		$	30.65		$	24.08
Income (loss) from investment operations:
Net investment incomea		.62			.47			.63			.32			.37
Net gain (loss) on investments (realized and unrealized)		2.86			4.59			(8.94	)		(2.17	)		6.56
Total from investment operations		3.48			5.06			(8.31	)		(1.85	)		6.93
Less distributions from:
Net investment income		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	25.26		$	23.40		$	19.56		$	28.00		$	30.65
Total Returnb		15.43	%		25.89	%		(29.72	%)		(6.28	%)		28.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,240		$	1,184		$	5,939		$	2,960		$	11,929
Ratios to average net assets:
Net investment income		2.53	%		2.07	%		2.72	%		1.02	%		1.38	%
Total expenses		1.87	%		1.88	%		1.90	%		1.88	%		1.86	%
Portfolio turnover rate		800	%		758	%		684	%		375	%		557	%

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 143

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	23.77		$	19.80		$	28.27		$	30.87		$	24.18
Income (loss) from investment operations:
Net investment incomea		.54			.65			.54			.42			.43
Net gain (loss) on investments (realized and unrealized)		3.06			4.54			(8.88	)		(2.22	)		6.62
Total from investment operations		3.60			5.19			(8.34	)		(1.80	)		7.50
Less distributions from:
Net investment income		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	25.75		$	23.77		$	19.80		$	28.27		$	30.87
Total Returnb		15.70	%		26.24	%		(29.54	%)		(6.07	%)		29.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,289		$	1,721		$	1,489		$	3,032		$	4,756
Ratios to average net assets:
Net investment income		2.23	%		2.81	%		2.15	%		1.38	%		1.52	%
Total expenses		1.63	%		1.64	%		1.64	%		1.63	%		1.61	%
Portfolio turnover rate		800	%		758	%		684	%		375	%		557	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	22.21		$	18.71		$	26.93		$	29.66		$	23.42
Income (loss) from investment operations:
Net investment incomea		.39			.39			.32			.18			.22
Net gain (loss) on investments (realized and unrealized)		2.78			4.33			(8.41	)		(2.11	)		6.38
Total from investment operations		3.17			4.72			(8.09	)		(1.93	)		6.60
Less distributions from:
Net investment income		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	23.76		$	22.21		$	18.71		$	26.93		$	29.66
Total Returnb		14.85	%		25.24	%		(30.08	%)		(6.77	%)		28.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,751		$	7,306		$	4,127		$	8,934		$	11,013
Ratios to average net assets:
Net investment income		1.72	%		1.77	%		1.31	%		0.60	%		0.82	%
Total expenses		2.38	%		2.39	%		2.39	%		2.38	%		2.36	%
Portfolio turnover rate		800	%		758	%		684	%		375	%		557	%

a	Net investment income per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

144 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

NOTES TO FINANCIAL STATEMENTS

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 front-end 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. 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 12 months of purchase.

At March 31, 2011, 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.

Security Global Investors (“SGI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. SGI, RFS and RDL 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 Sector Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.

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.

Repurchase agreements are valued at amortized cost, which approximates market value.

Investments for which market quotations are not readily available are fair valued as determined in good faith by SGI 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 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. 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,

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NOTES TO FINANCIAL STATEMENTS (continued)

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 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 SGI 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.

RFS 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.

RFS 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.

RFS 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 RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL 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, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, 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 distribution fee of 0.75% reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the Financial Advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the period ended March 31, 2011, RDL retained sales charges of $606,415 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

3. Federal Income Tax Information

The Funds intend to comply with the provisions of Sub-chapter 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 2008-2011), 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period, the expiration of capital loss carryforward, 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.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2011, the following capital loss carryforward amounts expired or were used to offset current year net realized capital gains:

Fund	Amount
Banking Fund	$	2,693,804
Basic Materials Fund		11,703,832
Biotechnology Fund		36,091,267
Consumer Products Fund		5,582,951
Electronics Fund		2,910,729
Energy Fund		3,994,871
Energy Services Fund		1,565,855
Financial Services Fund		1,033,523
Health Care Fund		12,156,762
Internet Fund		9,473,239
Leisure Fund		1,440,998
Precious Metals Fund		25,970,579
Retailing Fund		915,442
Technology Fund		23,884,414
Telecommunications Fund		5,780,960
Transportation Fund		2,503,694

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
Banking Fund	$	53,770	$	—	$	53,770
Basic Materials Fund		304,954		—		304,954
Biotechnology Fund		—		—		—
Consumer Products Fund		12,587,568		—		12,587,568
Electronics Fund		—		—		—
Energy Fund		92,412		—		92,412
Energy Services Fund		—		—		—
Financial Services Fund		128,968		—		128,968
Health Care Fund		—		—		—
Internet Fund		—		—		—
Leisure Fund		—		—		—
Precious Metals Fund		132,213		—		132,213
Retailing Fund		50,077		—		50,077
Technology Fund		—		—		—
Telecommunications Fund		95,855		—		95,855
Transportation Fund		—		—		—
Utilities Fund		1,479,214		—		1,479,214

The tax character of distributions paid during the year ended March 31, 2010 was as follows:

	Ordinary		Long-Term		Return		Total
Fund	Income		Capital Gain		of Capital		Distributions
Banking Fund	$	421,334	$	—	$	—	$	421,334
Basic Materials Fund		310,495		—		—		310,495
Biotechnology Fund		—		—		—		—
Consumer Products Fund		502,724		—		—		502,724
Electronics Fund		—		—		—		—
Energy Fund		44,558		—		—		44,558
Energy Services Fund		—		—		—		—

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NOTES TO FINANCIAL STATEMENTS (continued)

	Ordinary		Long-Term		Return		Total
Fund	Income		Capital Gain		of Capital		Distributions
Financial Services Fund	$	216,440	$	—	$	—	$	216,440
Health Care Fund		120,428		—		—		120,428
Internet Fund		—		—		—		—
Leisure Fund		—		—		—		—
Precious Metals Fund		391,506		—		321,524		713,030
Retailing Fund		—		—		—		—
Technology Fund		—		—		—		—
Telecommunications Fund		278,171		—		—		278,171
Transportation Fund		64,579		—		—		64,579
Utilities Fund		867,670		—		—		867,670

The tax character of distributable earnings/(accumulated losses) at March 31, 2011 was as follows:

	Undistributed		Undistributed		Net Unrealized
	Ordinary		Long-Term		Appreciation/			Capital Loss
Fund	Income		Capital Gain		Depreciation			Carryforward1
Banking Fund	$	8,683	$	—	$	(1,575,285	)	$	(19,634,843	)
Basic Materials Fund		—		—		30,335,040			(14,161,181	)
Biotechnology Fund		—		—		25,075,191			(53,351,596	)
Consumer Products Fund		3,934,425		—		8,644,546			—
Electronics Fund		—		—		1,622,315			(49,431,011	)
Energy Fund		—		—		39,843,645			(7,008,326	)
Energy Services Fund		—		—		66,267,814			(43,263,509	)
Financial Services Fund		5,633		—		366,585			(3,516,727	)
Health Care Fund		—		—		4,039,429			(3,957,334	)
Internet Fund		14,186,556		2,500,004		8,868,193			—
Leisure Fund		—		—		1,114,489			(3,582,191	)
Precious Metals Fund		601,456		—		99,729,869			(11,129,255	)
Retailing Fund		16,042		—		1,117,611			(4,008,082	)
Technology Fund		—		—		6,270,953			(14,122,058	)
Telecommunications Fund		80,971		—		660,007			(2,364,090	)
Transportation Fund		—		—		1,416,023			(23,727,603	)
Utilities Fund		188,174		—		2,301,854			(6,385,394	)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹ A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

																									Total
	Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Capital Loss
Fund	2012			2013			2014			2015			2016			2017			2018			2019			Carryforward
Banking Fund	$	—		$	—		$	(214,478	)	$	—		$	(311,892	)	$	(1,809,926	)	$	(16,385,824	)	$	(912,723	)	$	(19,634,843	)
Basic Materials Fund		—			—			—			—			—			(6,151,760	)		(8,009,421	)		—			(14,161,181	)
Biotechnology Fund		—			(53,351,596	)		—			—			—			—			—			—			(53,351,596	)
Consumer Products Fund		—			—			—			—			—			—			—			—			—
Electronics Fund		(21,975,263	)		(6,480,667	)		(2,395,860	)		(5,495,145	)		(1,900,883	)		(6,118,835	)		—			(5,064,358	)		(49,431,011	)
Energy Fund		—			—			—			—			—			—			(7,008,326	)		—			(7,008,326	)
Energy Services Fund		(10,710,084	)		—			—			—			—			(26,850,596	)		(5,702,829	)		—			(43,263,509	)
Financial Services Fund		—			—			—			—			—			(3,098,998	)		(417,729	)		—			(3,516,727	)
Health Care Fund		—			—			—			—			—			(676,233	)		(3,281,101	)		—			(3,957,334	)
Internet Fund		—			—			—			—			—			—			—			—			—
Leisure Fund		(76,092	)		(353,498	)		(1,914,441	)		—			—			(652,027	)		(586,133	)		—			(3,582,191	)
Precious Metals Fund		—			—			—			—			—			—			(11,129,255	)		—			(11,129,255	)
Retailing Fund		—			(819,113	)		—			—			—			(3,188,969	)		—			—			(4,008,082	)
Technology Fund		—			(5,462,751	)		(3,582,117	)		—			—			(5,077,190	)		—			—			(14,122,058	)
Telecommunications Fund		—			(618,538	)		—			—			—			(1,745,552	)		—			—			(2,364,090	)
Transportation Fund		(1,263,341	)		(894,874	)		—			—			—			(795,900	)		(13,907,033	)		(6,866,455	)		(23,727,603	)
Utilities Fund		—			—			—			—			—			(1,315,205	)		(3,228,655	)		(1,841,534	)		(6,385,394	)

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NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2011, 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	$	14,945,113	$	—	$	(1,575,285	)	$	(1,575,285	)
Basic Materials Fund		91,349,385		30,641,700		(306,660	)		30,335,040
Biotechnology Fund		33,683,050		25,131,265		(56,074	)		25,075,191
Consumer Products Fund		61,156,356		8,740,650		(96,104	)		8,644,546
Electronics Fund		11,418,433		1,665,517		(43,202	)		1,622,315
Energy Fund		103,951,706		39,962,698		(119,053	)		39,843,645
Energy Services Fund		143,683,591		66,653,745		(385,931	)		66,267,814
Financial Services Fund		11,053,533		384,332		(17,747	)		366,585
Health Care Fund		22,865,597		4,059,786		(20,357	)		4,039,429
Internet Fund		16,684,183		8,946,859		(78,666	)		8,868,193
Leisure Fund		3,609,434		1,118,619		(4,130	)		1,114,489
Precious Metals Fund		127,581,237		100,528,594		(798,725	)		99,729,869
Retailing Fund		7,459,300		1,132,574		(14,963	)		1,117,611
Technology Fund		40,057,856		6,487,851		(216,898	)		6,270,953
Telecommunications Fund		51,556,820		946,264		(286,257	)		660,007
Transportation Fund		10,115,046		1,431,467		(15,444	)		1,416,023
Utilities Fund		16,254,066		2,302,987		(1,133	)		2,301,854

Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2011, the following amounts of realized capital losses reflected in the accompanying financial statements were not recognized for Federal income tax purposes until April 1, 2011:

Fund
Banking Fund	$	(637,904	)
Electronics Fund		(149,693	)
Financial Services		(45,520	)
Retailing Fund		(57,146	)
Transportation Fund		(53,952	)
Utilities Fund		(34,688	)

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.

The repurchase agreements executed by the joint account and outstanding at March 31, 2011, were as follows:

Counterparty	Terms of Agreement	Face Value		Market Value		Repurchase Price
Credit Suisse Group	0.05% due 04/01/11	$	83,257,483	$	83,257,483	$	83,257,599

At March 31, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Security Type	Maturity Date	Rate			Par Value		Market Value
U.S. Treasury Note	09/30/2012		0.38	%	$	85,134,600	$	84,922,636

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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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 investments.

Level 1 —	quoted prices in active markets for identical investments.
Level 2 —	other significant observable inputs (including quoted prices for similar investments, 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 investments are not necessarily an indication of the risk associated with investing in those investments.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2011:

	Level 1		Level 2		Level 3
	Investments		Investments		Investments
Fund	In Securities		In Securities		In Securities		Total
Assets
Banking Fund	$	13,217,693	$	152,135	$	—	$	13,369,828
Basic Materials Fund		120,474,094		1,210,331		—		121,684,425
Biotechnology Fund		57,315,143		1,443,098		—		58,758,241
Consumer Products Fund		69,507,580		293,322		—		69,800,902
Electronics Fund		12,870,448		170,300		—		13,040,748
Energy Fund		143,468,637		326,714		—		143,795,351
Energy Services Fund		208,190,231		1,761,174		—		209,951,405
Financial Services Fund		11,335,901		84,217		—		11,420,118
Health Care Fund		26,672,187		232,839		—		26,905,026
Internet Fund		25,240,604		311,772		—		25,552,376
Leisure Fund		4,685,500		38,423		—		4,723,923
Precious Metals Fund		225,759,939		1,551,167		—		227,311,106
Retailing Fund		8,528,909		48,002		—		8,576,911
Technology Fund		46,034,774		294,035		—		46,328,809
Telecommunications Fund		51,962,219		254,608		—		52,216,827
Transportation Fund		11,467,627		63,442		—		11,531,069
Utilities Fund		18,484,823		71,097		—		18,555,920

The Funds adopted updated provisions surrounding fair value measurements and disclosures effective April 1, 2010. This update applies to the Funds’ disclosures about transfers in and out of all levels 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. Effective for 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.

For the year ended March 31, 2011, there were no significant transfers between Levels.

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NOTES TO FINANCIAL STATEMENTS (concluded)

6. Securities Transactions

During the year ended March 31, 2011, 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	$	190,058,815	$	323,973,551	$	218,359,033	$	372,996,889	$	409,838,630	$	273,969,893	$	311,701,224
Sales	$	214,800,492	$	301,280,273	$	324,911,007	$	526,395,407	$	416,256,130	$	219,546,646	$	229,566,099

	Financial		Health						Precious
	Services		Care		Internet		Leisure		Metals		Retailing		Technology
	Fund		Fund		Fund		Fund		Fund		Fund		Fund
Purchases	$	103,137,861	$	229,647,305	$	276,788,822	$	125,416,610	$	742,859,110	$	141,677,411	$	174,577,633
Sales	$	124,229,051	$	414,752,001	$	309,796,049	$	136,997,506	$	742,814,215	$	150,016,154	$	194,474,973

	Telecommunications		Transportation		Utilities
	Fund		Fund		Fund
Purchases	$	201,474,743	$	246,814,580	$	362,011,710
Sales	$	158,752,731	$	257,846,673	$	365,311,191

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 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. As of and for the year ended March 31, 2011, the Funds did not have any outstanding borrowings under this agreement.

8. 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 advisor (the “Investment Advisor”), 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 Advisor (the “Purchase Transaction”). Guggen-heim is a global, independent, privately held, diversified financial services firm with more than $100 billion in assets under supervision. The Purchase Transaction did not 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 agreement with the Investment Advisor (the “Previous Agreement”). A new investment advisory agreement (“New Agreement”) was approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreement are substantially identical to the Previous Agreement, except with respect to the date of execution.

9. Distributor and Transfer Agent Change

Effective July 30, 2010, the Funds’ Distributor, Rydex Distributors, LLC, 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. Investment Advisor Merger

Effective January 3, 2011, Rydex Advisors, LLC, the Funds’ investment advisor was merged with and into Security Investors, LLC, which operates under the name SGI.

The foregoing internal restructuring did not affect the investment advisory services rendered to the Funds, which continue to be managed on a day-to-day basis by the same teams of portfolio managers. The investment philosophies, strategies, and processes of the Funds also remained the same.

In order to implement the restructuring, technical amendments were made to the Funds’ investment advisory agreement with Rydex Advisors, LLC, in order to reflect the change of the identity of the investment advisor. No other changes were made to the investment advisory agreement of the Funds, and the fees and expenses of the Funds remained the same.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 151

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (seventeen of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

 

McLean, Virginia
May 26, 2011

152 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2011, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Banking Fund		100.00	%
Basic Materials Fund		100.00	%
Consumer Products Fund		25.51	%
Energy Fund		100.00	%
Financial Services Fund		100.00	%
Precious Metals Fund		100.00	%
Retailing Fund		100.00	%
Telecommunications Fund		100.00	%
Utilities Fund		100.00	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
Banking Fund		100.00	%
Basic Materials Fund		100.00	%
Consumer Products Fund		25.28	%
Energy Fund		100.00	%
Financial Services Fund		100.00	%
Precious Metals Fund		100.00	%
Retailing Fund		100.00	%
Telecommunications Fund		100.00	%
Utilities Fund		68.91	%

With respect to the taxable year ended March 31, 2011, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

	Consumer
	Products
	Fund
From long-term capital gains, subject to the 15% rate gains category:	$	—
From long-term capital gains, using proceeds from shareholder redemptions:		830,046

For the fiscal year ending March 31, 2011, Precious Metals Fund earned gross income derived from foreign sources totaling $815,353. The Precious Metals Fund paid foreign taxes totaling $86,254 for the fiscal year and may pass these taxes through to shareholders, who may be able to claim them as a foreign tax credit. A final determination will be made at the end of the calendar year. The Funds will notify shareholders of amounts for use in preparing 2011 income tax forms in January 2012.

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.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 153

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.

Change of Address
Effective January 17, 2011, the RYDEX | SGI office was moved to Four Irvington Centre, 805 King Farm Boulevard, Suite 600,
Rockville, MD 20850.

Office Locations
The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

154 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, 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, 805 King Farm Boulevard, Suite 600, 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		148
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	148
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	148
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	148
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	148
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	148
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	148
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 ANNUAL REPORT | 155

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)
Nikolaos Bonos* Vice President and Treasurer (1963)	Senior Vice President, Security Investors, LLC and Vice President, Security Benefit Asset Management Holdings, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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 Haigney* Chief Compliance Officer and Secretary (1966)	Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President and Chief Compliance Officer, Security Investors, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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); Secre- tary 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 A. 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)

156 | THE RYDEX | SGI SERIES FUNDS 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 J. 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 M. Arruda* Assistant Treasurer (1966)	Vice President, Security Investors, LLC (2010 to present); Vice President, Security Global Investors, LLC (2010 to 2011); 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)

* 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 ANNUAL REPORT | 157

805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSECF-ANN-2-0311x0312

GO GREEN!

ELIMINATE MAILBOX CLUTTER

Go paperless with Rydex|SGI eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.

With Rydex|SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

• Access prospectuses, annual reports and semiannual reports online.

It’s easy to enroll:

1/ Visit www.rydex-sgi.com and select “Individual Investors”

2/ Click on “eDelivery Sign-Up”    

3/ Follow the simple enrollment instructions

If you have questions about Rydex | SGI e Delivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
U.S. LONG SHORT MOMENTUM FUND	8
ALTERNATIVE STRATEGIES ALLOCATION FUND	18
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND	26
ALTERNATIVE STRATEGIES FUND	32
LONG SHORT EQUITY STRATEGY FUND	38
LONG SHORT INTEREST RATE STRATEGY FUND	44
EMERGING MARKETS 2x STRATEGY FUND	50
INVERSE EMERGING MARKETS 2x STRATEGY FUND	58
NOTES TO FINANCIAL STATEMENTS	64
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	76
OTHER INFORMATION	77
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	79

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER,

The U.S. enjoyed economic recovery through the 12 months ended March 31, 2011, despite the poor housing picture and slow-growing labor market. U.S. stocks emerged from the 2008-09 downturn in early 2010, slowed only at mid-year by European debt problems and the worry that expiration of U.S. government stimulus programs might lead to a double-dip recession. Concern that the recovery was not self-sustaining led the U.S. Federal Reserve (the “Fed”) to undertake a second round of quantitative easing in the last part of 2010 to keep long-term rates low and spur economic growth.

Stocks responded to the infusion of liquidity by rising nearly 25% from the end of August through March 2011, then stumbling after rising prices for oil and many other commodities accompanied concerns that inflation might get out of hand. The market’s 2011 gains proceeded to be wiped out by political unrest in the Mid East, renewed worries about the sovereign debt of peripheral European countries and a devastating earthquake and tsunami in Japan. Investor belief that these situations were under control, however, sparked a rebound that helped broad U.S. market measures finish the first quarter moderately higher, and 15% or more above the levels seen 12 months earlier.

Investors searching for higher yields increasingly took on credit risk over the past 12 months, which was reflected in good performance across most fixed income sectors, particularly investment grade corporate bonds and high-yield bonds. The yield on the benchmark 10-year Treasury has been climbing since last fall, as safe-haven buying subsided except during market shocks like the Japanese earthquake.

The Fed said in March 2011 that the economy was on firmer footing and that the run-up in commodity prices would not lead to a sustained increase in inflation. It stuck with its planned purchase of up to $600 billion in government bonds, slated to end in June 2011, and—as it has since December 2008—left short-term rates unchanged.

Many U.S. investors are preparing for the shift away from the bond-buying strategy, which they anticipate could slow or halt the stock market rally and introduce a period of volatility. Investors in global markets, meanwhile, are increasingly concerned about the potential for soaring food and energy prices to derail global economic recovery.

The accumulation of shocks, ranging from higher oil prices to turmoil in the Mid East to the effects of the natural disaster in Japan, has led to a lowering of global growth forecasts for 2011. These overseas events pounded the U.S. economy in the form of higher fuel prices, supply-chain disruptions and financial market volatility, also leading to downgrades in estimates of U.S. GDP growth for the first quarter and entire year of 2011. Continuing weakness in the housing market is still plaguing economic growth. The March labor market report showed job growth was picking up, but flat growth in wages and higher fuel and food costs kept consumers on edge. Increases in energy and food prices seem not yet to have spilled into broader inflation measures. Consumer spending is growing, although slowly, while corporate profits continue to rise impressively.

Geopolitical events and improving economic conditions have generally pushed commodity prices higher over the past 12 months. In the first quarter of 2011, the price of a barrel of oil rose above $100 for the first time since 2008. The higher price of oil as a production cost caused the prices of many metals to slip in early 2011, aided by a pullback in demand due to the Japanese quake or China’s efforts to slow lending. Gold spent much of the first quarter of 2011 in negative territory, but has turned in a spectacular climb over the past 12 months, closing out the period at a record high of $1,438 an ounce.

2 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

The dollar gained on the euro in 2010, reflecting concern about Europe’s crisis in sovereign debt, but the rally did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

U.S. economic growth, while not robust, has proven strong enough to overcome some major shocks in the first quarter of 2011. The government stimulus package and quantitative easing program have revived the economy, and optimism is growing that the recovery from the financial crisis and ensuing recession is becoming self-sustaining. The end of Fed easing could signal that the policymakers are comfortable with the strength of the expansion, and believe that house prices and joblessness may be poised to recover. For the rest of 2011, investors face interest rate risk arising from inflationary monetary policy and deteriorating credit quality in the industrialized world. Energy shortages that could put upward pressure on the prices of oil, natural gas and coal pose perhaps the largest risk to economic growth.

At Rydex|SGI, our products are designed to help investors navigate uncertain markets, including hedging or augmenting exposures to the equity or fixed-income markets, or introducing alternative assets and strategies to portfolios for overall diversification¹. Thank you for the trust you place in us.

Sincerely,

Michael Byrum
President & Chief Investment Officer

¹ Diversification neither assures a profit nor eliminates the risk of experiencing investment losses.

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

Rydex|SGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 3

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund 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 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 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 September 30, 2010 and ending March 31, 2011.

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), Rydex 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 ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Table 1. Based on actual Fund return3
U.S. Long Short Momentum Fund
A-Class		1.71	%		16.86	%	$	1,000.00	$	1,168.60	$	9.25
C-Class		2.46	%		16.42	%		1,000.00		1,164.20		13.27
H-Class		1.70	%		16.80	%		1,000.00		1,168.00		9.19
Alternative Strategies Allocation Fund5
A-Class		0.00	%		5.24	%		1,000.00		1,052.40		—
C-Class		0.75	%		4.92	%		1,000.00		1,049.20		3.83
H-Class		0.00	%		5.29	%		1,000.00		1,052.90		—
Event Driven and Distressed Strategies Fund
A-Class		1.89	%		8.27	%		1,000.00		1,082.70		9.81
C-Class		2.65	%		7.87	%		1,000.00		1,078.70		13.73
H-Class		1.90	%		8.27	%		1,000.00		1,082.70		9.87
Institutional Class		1.64	%		8.42	%		1,000.00		1,084.20		8.52
Alternative Strategies Fund
A-Class		1.89	%		2.31	%		1,000.00		1,023.10		9.53
C-Class		2.64	%		1.96	%		1,000.00		1,019.60		13.29
H-Class		1.89	%		2.31	%		1,000.00		1,023.10		9.53
Institutional Class		1.65	%		2.46	%		1,000.00		1,024.60		8.33
Long Short Equity Strategy Fund
A-Class		2.35	%		6.82	%		1,000.00		1,068.20		12.12
C-Class		3.07	%		6.45	%		1,000.00		1,064.50		15.80
H-Class		2.32	%		6.83	%		1,000.00		1,068.30		11.96
Institutional Class		2.19	%		6.94	%		1,000.00		1,069.40		11.30
Long Short Interest Rate Strategy Fund
A-Class		1.54	%		(1.64	)%		1,000.00		983.60		7.62
C-Class		2.30	%		(1.99	)%		1,000.00		980.10		11.35
H-Class		1.55	%		(1.64	)%		1,000.00		983.60		7.67
Institutional Class		1.30	%		(1.52	)%		1,000.00		984.80		6.43
Emerging Markets 2x Strategy Fund4
A-Class		1.73	%		7.80	%		1,000.00		1,078.00		7.44
C-Class		2.49	%		7.32	%		1,000.00		1,073.20		10.68
H-Class		1.74	%		7.76	%		1,000.00		1,077.60		7.48
Inverse Emerging Markets 2x Strategy Fund4
A-Class		1.73	%		(15.40	)%		1,000.00		846.00		6.61
C-Class		2.49	%		(14.68	)%		1,000.00		853.20		9.54
H-Class		1.74	%		(15.40	)%		1,000.00		846.00		6.64

6 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
U.S. Long Short Momentum Fund
A-Class		1.71	%		5.00	%	$	1,000.00	$	1,016.40	$	8.60
C-Class		2.46	%		5.00	%		1,000.00		1,012.67		12.34
H-Class		1.70	%		5.00	%		1,000.00		1,016.45		8.55
Alternative Strategies Allocation Fund5
A-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.19		3.78
H-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
Event Driven and Distressed Strategies Fund
A-Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
C-Class		2.65	%		5.00	%		1,000.00		1,011.72		13.29
H-Class		1.90	%		5.00	%		1,000.00		1,015.46		9.55
Institutional Class		1.64	%		5.00	%		1,000.00		1,016.75		8.25
Alternative Strategies Fund
A-Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
C-Class		2.64	%		5.00	%		1,000.00		1,011.77		13.24
H-Class		1.89	%		5.00	%		1,000.00		1,015.51		9.50
Institutional Class		1.65	%		5.00	%		1,000.00		1,016.70		8.30
Long Short Equity Strategy Fund
A-Class		2.35	%		5.00	%		1,000.00		1,013.21		11.80
C-Class		3.07	%		5.00	%		1,000.00		1,009.62		15.38
H-Class		2.32	%		5.00	%		1,000.00		1,013.36		11.65
Institutional Class		2.19	%		5.00	%		1,000.00		1,014.01		11.00
Long Short Interest Rate Strategy Fund
A-Class		1.54	%		5.00	%		1,000.00		1,017.25		7.75
C-Class		2.30	%		5.00	%		1,000.00		1,013.46		11.55
H-Class		1.55	%		5.00	%		1,000.00		1,017.20		7.80
Institutional Class		1.30	%		5.00	%		1,000.00		1,018.45		6.54
Emerging Markets 2x Strategy Fund
A-Class		1.73	%		5.00	%		1,000.00		1,016.31		8.70
C-Class		2.49	%		5.00	%		1,000.00		1,012.52		12.49
H-Class		1.74	%		5.00	%		1,000.00		1,016.26		8.75
Inverse Emerging Markets 2x Strategy Fund
A-Class		1.73	%		5.00	%		1,000.00		1,016.31		8.70
C-Class		2.49	%		5.00	%		1,000.00		1,012.52		12.49
H-Class		1.74	%		5.00	%		1,000.00		1,016.26		8.75

1	This ratio represents annualized Net Expenses, which includes interest and dividend expense related to securities sold short. Excluding short dividend expense and prime broker interest expense, the operating expense ratio would be: U.S. Long Short Momentum Fund 0.03%, 0.03%, and 0.02% lower in the A-Class, C-Class and H-Class, respectively; Long Short Equity Strategy Fund 0.46%, 0.43%, 0.43%, and 0.54% 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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2010 to March 31, 2011.
4	Since the commencement of operations: October 29, 2010.
5	Excludes expenses of the underlying funds in which the Fund invests.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)

March 31, 2011

U.S. LONG SHORT MOMENTUM FUND
(Formerly, All-Cap Opportunity Fund)

OBJECTIVE: Seeks long-term capital appreciation.

Inception: March 22, 2002

For the one-year period ended March 31, 2011, the U.S. Long Short Momentum Fund H-Class returned 13.38% as opposed to its benchmark, the Russell 3000^® Index, which ended the year up 17.41%. The performance differential for the Fund can be attributed to three major sources of relative returns: core momentum strategy, defensive hedge and transaction costs/fees.

After a difficult 2009, the performance of momentum strategies in 2010 was mixed. In contrast to 2009, 12-month momentum signals fared better than three-month signals. The former contributed positively to Fund return but was overwhelmed by losses from the shorter-term signal. The net effect was that the core momentum model trailed the Russell 3000^® Index benchmark.

At the end of May 2010, an active hedging model was introduced to the Fund based on the breadth of industry strength. This hedge utilizes S&P 500^® Index equity futures to dial down the Fund’s equity exposure when a large number of industries have negative 12-month and three-month price momentum. This hedge was initiated at approximately 8% at the end of May, meaning that the Fund reduced its long equity exposure by 8% and introduced a short equity exposure with a notional value equal to 8% of AUM. The hedge consistently declined in value and ended the year at 3%. These are small hedge ratios relative to the amounts expected to be realized in a downward trending market. However, they did cost the Fund relative performance, as the Russell 3000 Index rallied from the end of May through year end. Transaction costs were relatively low given the high turnover of the momentum strategy. Combined with management fees, these operational costs reduced Fund performance versus the Russell 3000^® Index benchmark. Within the Fund, large overweights of Internet & Catalog Retail and Auto Components contributed positively to benchmark relative return. Among the biggest detractors from relative performance were allocations to Internet Software and Metals & Mining industries.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception 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.	2.8	%
General Electric Co.	2.5	%
Siemens AG ADR	2.0	%
Priceline.com, Inc.	1.8	%
Schlumberger, Ltd.	1.7	%
Johnson Controls, Inc.	1.7	%
Fastenal Co.	1.5	%
3M Co.	1.4	%
WW Grainger, Inc.	1.4	%
Caterpillar, Inc.	1.4	%
Top Ten Total	18.2	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

8 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class																		C-Class
	(03/31/04)																		(03/22/02)
	ONE			ONE			FIVE			FIVE			SINCE			SINCE			ONE			ONE			FIVE			SINCE
	YEAR			YEAR*			YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			YEAR			INCEPTION
U.S. LONG SHORT MOMENTUM FUND		13.42	%		8.02	%		2.06	%		1.06	%		5.96	%		5.22	%		12.49	%		11.49	%		1.30	%		4.35	%
S&P 500 INDEX		15.65	%		15.65	%		2.62	%		2.62	%		4.45	%		4.45	%		15.65	%		15.65	%		2.62	%		3.61	%
RUSSELL 3000 INDEX		17.41	%		17.41	%		2.98	%		2.98	%		5.12	%		5.12	%		17.41	%		17.41	%		2.98	%		4.41	%

	H-Class
	(03/22/02)
	ONE			FIVE			SINCE
	YEAR			YEAR			INCEPTION
U.S. LONG SHORT MOMENTUM FUND		13.38	%		2.07	%		5.13	%
S&P 500 INDEX		15.65	%		2.62	%		3.61	%
RUSSELL 3000 INDEX		17.41	%		2.98	%		4.41	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a contingent deferred sales charge (“CDSC”) of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Russell 3000 Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS	March 31, 2011
U.S. LONG SHORT MOMENTUM FUND

	Shares		Value
COMMON STOCKS† - 97.5%
INDUSTRIALS - 48.5%
General Electric Co.		200,480	$	4,019,624
Siemens AG ADR		23,740		3,260,452
Fastenal Co.		36,550		2,369,537
3M Co.		25,100		2,346,850
WW Grainger, Inc.		16,230		2,234,546
Caterpillar, Inc.		19,990		2,225,886
Fluor Corp.		29,370		2,163,394
Deere & Co.		17,210		1,667,477
Jacobs Engineering Group, Inc.*		29,850		1,535,186
KBR, Inc.		40,220		1,519,109
Masco Corp.		106,420		1,481,366
Danaher Corp.		28,090		1,457,871
Owens Corning*		39,980		1,438,880
Quanta Services, Inc.*		58,590		1,314,174
MSC Industrial Direct Co. — Class A		18,910		1,294,768
WESCO International, Inc.*		20,690		1,293,125
Tyco International Ltd.		28,480		1,275,050
United Rentals, Inc.*		38,150		1,269,632
Chicago Bridge & Iron Company N.V.		31,010		1,260,867
Illinois Tool Works, Inc.		23,220		1,247,378
URS Corp.*		25,420		1,170,591
Cummins, Inc.		10,620		1,164,164
Union Pacific Corp.		11,700		1,150,461
RSC Holdings, Inc.*		79,540		1,143,785
Lennox International, Inc.		21,190		1,114,170
Armstrong World Industries, Inc.		23,310		1,078,554
Eaton Corp.		19,360		1,073,318
Textainer Group Holdings Ltd.		28,840		1,071,694
Watsco, Inc.		14,880		1,037,285
Aecom Technology Corp.*		37,330		1,035,161
Shaw Group, Inc.*		28,550		1,010,956
GATX Corp.		25,990		1,004,773
PACCAR, Inc.		19,130		1,001,455
Canadian National Railway Co.		13,010		979,263
Parker Hannifin Corp.		10,310		976,151
Ingersoll-Rand plc		20,200		975,862
CSX Corp.		11,330		890,538
AO Smith Corp.		20,030		888,130
Dover Corp.		13,370		878,944
MasTec, Inc.*		41,630		865,904
Applied Industrial Technologies, Inc.		25,690		854,449
EMCOR Group, Inc.*		27,560		853,533
Norfolk Southern Corp.		12,170		843,016
USG Corp.*		49,920		831,667
TAL International Group, Inc.		22,600		819,702
CNH Global N.V.		16,730		812,242
Joy Global, Inc.		8,160		806,290
Textron, Inc.		28,730		786,915
Beacon Roofing Supply, Inc.*		37,120		759,846
Aircastle Ltd.		62,730		757,151
Kaman Corp.		21,300		749,760
Simpson Manufacturing Company, Inc.		25,280		744,749
Pall Corp.		11,770		678,070
Flowserve Corp.		5,240		674,912
Tutor Perini Corp.		26,730		651,143
Granite Construction, Inc.		21,460		603,026
Griffon Corp.*		44,200		580,346
Insituform Technologies, Inc. — Class A*		21,420		572,985
Interline Brands, Inc.*		27,650		564,060
Quanex Building Products Corp.		28,230		554,155
Bucyrus International, Inc. — Class A		6,040		552,358
Trex Company, Inc.*		15,920		519,310
Universal Forest Products, Inc.		14,120		517,498
Carlisle Companies, Inc.		11,070		493,168
Ameron International Corp.		6,990		487,832
Dycom Industries, Inc.*		27,820		482,399
Layne Christensen Co.*		13,720		473,340
Hertz Global Holdings, Inc.*		27,200		425,136
Kansas City Southern*		7,270		395,852
J.B. Hunt Transport Services, Inc.		8,630		391,975
Apogee Enterprises, Inc.		28,510		376,047
Raven Industries, Inc.		5,160		316,927
NCI Building Systems, Inc.*		23,660		299,772
Ryder System, Inc.		5,300		268,180
Genesee & Wyoming, Inc. — Class A*		4,330		252,006
Landstar System, Inc.		5,400		246,672
Con-way, Inc.		6,210		243,991
Old Dominion Freight Line, Inc.*		6,660		233,699
Dollar Thrifty Automotive Group, Inc.*		3,460		230,886
Avis Budget Group, Inc.*		12,870		230,502
Amerco, Inc.*		133		12,901
Total Industrials				79,134,799
CONSUMER DISCRETIONARY - 23.0%
Amazon.com, Inc.*		25,311		4,559,271
Priceline.com, Inc.*		5,662		2,867,463
Johnson Controls, Inc.		66,920		2,781,864
Netflix, Inc.*		8,980		2,131,223
BorgWarner, Inc.*		21,760		1,734,054
Magna International, Inc. — Class A		35,240		1,688,348
Liberty Media Corp — Interactive*		96,522		1,548,213
TRW Automotive Holdings Corp.*		24,760		1,363,781
Autoliv, Inc.		17,060		1,266,364
Gentex Corp.		40,750		1,232,688

10 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2011
U.S. LONG SHORT MOMENTUM FUND

	Shares		Value
Expedia, Inc.		54,203	$	1,228,240
Goodyear Tire & Rubber Co.*		74,830		1,120,953
Lear Corporation		22,680		1,108,372
Federal-Mogul Corp.*		37,420		931,758
Tenneco, Inc.*		20,940		888,903
NIKE, Inc. — Class B		11,260		852,382
Dana Holding Corp.*		48,060		835,763
Shutterfly, Inc.*		14,202		743,617
HSN, Inc.*		22,104		707,991
Cooper Tire & Rubber Co.		26,680		687,010
Coach, Inc.		11,890		618,756
American Axle & Manufacturing Holdings, Inc.*		41,800		526,262
VF Corp.		5,300		522,209
Modine Manufacturing Co.*		28,710		463,379
Polo Ralph Lauren Corp. — Class A		3,620		447,613
Blue Nile, Inc.*		8,126		438,723
Iconix Brand Group, Inc.*		19,620		421,438
Fossil, Inc.*		4,170		390,521
Phillips-Van Heusen Corp.		5,110		332,303
Fuel Systems Solutions, Inc.*		9,980		301,196
Overstock.com, Inc.*		18,867		296,589
PetMed Express, Inc.		18,540		294,044
Deckers Outdoor Corp.*		3,360		289,464
NutriSystem, Inc.		18,198		263,689
Hanesbrands, Inc.*		9,500		256,880
Under Armour, Inc. — Class A*		3,740		254,507
Warnaco Group, Inc.*		4,360		249,348
Columbia Sportswear Co.		3,790		225,202
CROCS, Inc.*		12,240		218,362
Wolverine World Wide, Inc.		5,780		215,478
Carter’s, Inc.*		7,120		203,846
Vitacost.com, Inc.*,††,1		34,500		17,250
Total Consumer Discretionary				37,525,317
ENERGY - 15.1%
Schlumberger Ltd.		30,620		2,855,621
Halliburton Co.		35,660		1,777,294
Baker Hughes, Inc.		21,270		1,561,856
National Oilwell Varco, Inc.		18,890		1,497,410
Tenaris S.A. ADR		26,430		1,307,228
Transocean Ltd.*		15,690		1,223,036
Exxon Mobil Corp.		11,750		988,527
Weatherford International Ltd.*		43,360		979,936
Cameron International Corp.*		16,190		924,449
Noble Corp.		19,120		872,254
FMC Technologies, Inc.*		8,740		825,755
Diamond Offshore Drilling, Inc.		10,340		803,418
Nabors Industries Ltd.*		25,990		789,576
Helmerich & Payne, Inc.		10,870		746,660
Pride International, Inc.*		16,830		722,849
Chevron Corp.		6,580		706,889
McDermott International, Inc.*		26,120		663,187
Petroleo Brasileiro S.A. ADR		14,600		590,278
Total S.A. ADR		9,530		581,044
BP plc ADR		12,510		552,191
Royal Dutch Shell plc ADR		7,530		548,636
ConocoPhillips		6,510		519,889
Occidental Petroleum Corp.		4,290		448,262
Canadian Natural Resources Ltd.		7,190		355,402
Apache Corp.		2,640		345,629
Anadarko Petroleum Corp.		3,780		309,658
Marathon Oil Corp.		5,690		303,334
Devon Energy Corp.		3,240		297,335
EOG Resources, Inc.		2,310		273,758
Hess Corp.		3,080		262,447
Total Energy				24,633,808
UTILITIES - 4.3%
Oneok, Inc.		12,410		829,981
National Fuel Gas Co.		10,440		772,560
Energen Corp.		10,470		660,867
UGI Corp.		18,110		595,819
AGL Resources, Inc.		13,710		546,206
Questar Corp.		31,200		544,440
Atmos Energy Corp.		15,910		542,531
Nicor, Inc.		8,980		482,226
Piedmont Natural Gas Company, Inc.		15,080		457,678
WGL Holdings, Inc.		11,210		437,190
New Jersey Resources Corp.		9,620		413,179
Southwest Gas Corp.		10,590		412,692
Northwest Natural Gas Co.		7,330		338,133
Total Utilities				7,033,502
HEALTH CARE - 3.7%
Cerner Corp.*		14,240		1,583,488
Allscripts Healthcare Solutions, Inc.*		49,290		1,034,597
SXC Health Solutions Corporation*		17,800		975,440
Athenahealth, Inc.*		14,480		653,483
Emdeon, Inc. — Class A*		36,354		585,663
Medidata Solutions, Inc.*		16,170		413,467
MedAssets, Inc.*		22,904		349,744
Quality Systems, Inc.		4,045		337,110
Computer Programs & Systems, Inc.		447		28,733
Total Health Care				5,961,725
FINANCIALS - 2.9%
Brookfield Asset Management, Inc. — Class A		39,980		1,297,751
Brookfield Properties Corp.		48,190		853,927
CB Richard Ellis Group, Inc. — Class A*		31,690		846,123

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2011
U.S. LONG SHORT MOMENTUM FUND

	Shares		Value
Forestar Group, Inc.*		32,410	$	616,438
Jones Lang LaSalle, Inc.		5,940		592,456
Forest City Enterprises, Inc. — Class A*		24,460		460,582
China Housing & Land Development, Inc.*		38,570		75,404
Total Financials				4,742,681
Total Common Stocks (Cost $136,468,931)				159,031,832
Total Investments - 97.5% (Cost $136,468,931)			$	159,031,832
Cash & Other Assets, Less Liabilities - 2.5%				4,009,356
Total Net Assets - 100.0%			$	163,041,188

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $396,375)		6	$	(6,023	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs, except as noted — See Note 7.
††	Value determined based on Level 3 inputs — See Note 7.
1	Illiquid security.
ADR —	American Depositary Receipt
plc —	Public Limited Company

12 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

U.S. LONG SHORT MOMENTUM FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	159,031,832
Segregated cash with broker		324,000
Cash		23,065
Receivables:
Variation margin		7,851
Securities sold		17,772,323
Fund shares sold		69,239
Dividends		115,704
Total assets		177,344,014
Liabilities:
Line of credit borrowings		815,000
Payable for:
Securities purchased		12,778,527
Fund shares redeemed		353,125
Management fees		122,396
Custodian fees		4,200
Transfer agent/maintenance fees		33,999
Distribution and service fees		65,598
Portfolio accounting fees		13,599
Licensing fees		2,122
Other		114,260
Total liabilities		14,302,826
Net assets	$	163,041,188
Net assets consist of:
Paid in capital	$	224,514,658
Accumulated net investment loss		(150,484	)
Accumulated net realized loss on investments		(83,879,864	)
Net unrealized appreciation on investments		22,556,878
Net assets	$	163,041,188
A-Class:
Net assets	$	25,447,237
Capital shares outstanding		1,782,560
Net asset value per share	$	14.28
Maximum offering price per share*	$	14.99
C-Class:
Net assets	$	50,381,470
Capital shares outstanding		3,778,902
Net asset value per share	$	13.33
H-Class:
Net assets	$	87,212,481
Capital shares outstanding		6,089,267
Net asset value per share	$	14.32
Investments, at cost	$	136,468,931

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends (net of foreign withholding tax of $32,369)	$	2,362,096
Interest		8,283
Total investment income		2,370,379
Expenses:
Management fees		1,546,882
Transfer agent and administrative fees		429,689
Distribution and service fees:
A-Class		73,421
C-Class		541,342
H-Class		220,933
Portfolio accounting fees		171,874
Trustees’ fees**		18,676
Short sales dividend expense		13,587
Prime broker interest expense		4,829
Miscellaneous		311,912
Total expenses		3,333,145
Net investment loss		(962,766	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		24,726,929
Futures contracts		(2,380,442	)
Securities sold short		(1,071,051	)
Net realized gain		21,275,436
Net change in unrealized appreciation (depreciation) on:
Investments		(1,826,401	)
Futures contracts		(6,023	)
Net change in unrealized appreciation (depreciation)		(1,832,424	)
Net realized and unrealized gain		19,443,012
Net increase in net assets resulting from operations	$	18,480,246

** 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 ANNUAL REPORT | 13

U.S. LONG SHORT MOMENTUM FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(962,766	)	$	(1,691,200	)
Net realized gain on investments		21,275,436			49,744,867
Net change in unrealized appreciation (depreciation) on investments		(1,832,424	)		22,166,738
Net increase in net assets resulting from operations		18,480,246			70,220,405
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		7,048,585			16,336,174
C-Class		3,608,855			7,596,790
H-Class		38,536,319			42,371,395
Redemption fees collected
A-Class		1,640			3,166
C-lass		3,071			5,697
H-Class		4,901			7,927
Cost of shares redeemed
A-Class		(21,035,067	)		(25,309,254	)
C-Class		(23,551,234	)		(23,736,570	)
H-Class		(60,622,746	)		(52,726,299	)
Net decrease from capital share transactions		(56,005,676	)		(35,450,974	)
Net increase (decrease) in net assets		(37,525,430	)		34,769,431
Net assets:
Beginning of year		200,566,618			165,797,187
End of year	$	163,041,188		$	200,566,618
Accumulated net investment loss at end of year	$	(150,484	)	$	—
Capital share activity:
Shares sold
A-Class		571,914			1,495,974
C-Class		306,995			718,311
H-Class		3,071,070			3,958,395
Shares redeemed
A-Class		(1,666,394	)		(2,322,899	)
C-Class		(2,006,910	)		(2,312,679	)
H-Class		(4,850,644	)		(4,887,679	)
Net decrease in shares		(4,573,969	)		(3,350,577	)

See Notes to Financial Statements.

14 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.59		$	8.62		$	13.45		$	14.08		$	14.15
Income (loss) from investment operations:
Net investment income (loss)a		(.04	)		(.07	)		.01			(.01	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		1.73			4.04			(4.84	)		.30			.38
Total from investment operations		1.69			3.97			(4.83	)		.29			.37
Less distributions from:
Net realized gains		—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			(.93	)		(.44	)
Redemption fees collected		—	b		—	b		—	b		.01			—	b
Net asset value, end of period	$	14.28		$	12.59		$	8.62		$	13.45		$	14.08
Total Returnc		13.42	%		46.06	%		(35.91	%)		1.50	%		2.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	25,447		$	36,231		$	31,925		$	49,148		$	39,804
Ratios to average net assets:
Net investment income (loss)		(0.33	%)		(0.62	%)		0.13	%		(0.08	%)		(0.09	%)
Total expenses		1.71	%		1.68	%		1.69	%		1.65	%		1.64	%
Operating expensesd		1.69	%		1.68	%		1.69	%		1.65	%		1.64	%
Portfolio turnover rate		231	%		375	%		528	%		278	%		373	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.85		$	8.17		$	12.85		$	13.58		$	13.76
Income (loss) from investment operations:
Net investment lossa		(.13	)		(.14	)		(.07	)		(.12	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		1.61			3.82			(4.61	)		.31			.37
Total from investment operations		1.48			3.68			(4.68	)		.19			.26
Less distributions from:
Net realized gains		—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			(.93	)		(.44	)
Redemption fees collected		—	b		—	b		—	b		.01			—	b
Net asset value, end of period	$	13.33		$	11.85		$	8.17		$	12.85		$	13.58
Total Returnc		12.49	%		45.04	%		(36.42	%)	$	0.81	%	$	2.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	50,381		$	64,918		$	57,792			115,136			118,422
Ratios to average net assets:
Net investment loss		(1.08	%)		(1.37	%)		(0.66	%)		(0.80	%)		(0.86	%)
Total expenses		2.46	%		2.43	%		2.44	%		2.41	%		2.39	%
Operating expensesd		2.44	%		2.43	%		2.44	%		2.41	%		2.39	%
Portfolio turnover rate		231	%		375	%		528	%		278	%		373	%

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 15

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.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.63		$	8.65		$	13.49		$	14.12		$	14.18
Income (loss) from investment operations:
Net investment lossa		(.04	)		(.07	)		—	b		(.02	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		1.73			4.05			(4.84	)		.31			.40
Total from investment operations		1.69			3.98			(4.84	)		.29			.38
Less distributions from:
Net realized gains		—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			(.93	)		(.44	)
Redemption fees collected		—	b		—	b		—	b		.01			—	b
Net asset value, end of period	$	14.32		$	12.63		$	8.65		$	13.49		$	14.12
Total Returnc		13.38	%		46.01	%		(35.88	%)		1.50	%		2.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	87,212		$	99,418		$	76,080		$	178,949		$	140,774
Ratios to average net assets:
Net investment loss		(0.31	%)		(0.63	%)		(0.01	%)		(0.13	%)		(0.16	%)
Total expenses		1.70	%		1.68	%		1.68	%		1.65	%		1.65	%
Operating expensesd		1.69	%		1.68	%		1.68	%		1.65	%		1.65	%
Portfolio turnover rate		231	%		375	%		528	%		278	%		373	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Less than $0.01 per share.
c	Total return does not 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.

16 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 17

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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.

Inception: March 7, 2008

The Fed was the dominant force in the market for the past 12 months. The year 2010 began with the break out of the sovereign debt crisis in Europe, and equity markets fell off on the news. After a brief recovery during earnings season, the markets were reminded of the European crisis and fell off again. However, the Fed’s announcement of its second quantitative easing policy changed the market sentiment. Beginning in late August, sentiment moved to risk-on. In the meantime, macroeconomic numbers showed the economy was improving. Despite the emergence of the Ireland crisis and the crisis in other European countries still lingering, the equity and commodities markets ignored these developments, and more than covered the losses from earlier in the year. Short-term bond yields late in the year touched record-low levels. Alternative investment strategies did not shine in this environment, and some momentum strategies that were designed to capture the trend quicker actually lost money in the market swings. The economy continued its slow recovery in the first quarter of 2011, as equity markets benefited from extensive liquidity.

The Alternative Strategies Allocation Fund H-Class returned 2.26%. Equities, as represented by the S&P 500^® Index, returned 15.65%. The Barclays Capital U.S. Aggregate Bond Index rose 5.12%. In the whole period, the Long/Short Commodities Strategy Fund, Event Driven and Distressed Strategies Fund, and Long Short Equity Strategy Fund were the largest contributors to Fund performance. Equity Market Neutral Fund, Managed Futures Strategy Fund and PowerShares DB G10 Currency Harvest Fund contributed the least to performance.

Derivatives in the Fund are used to provide broad index exposure and liquidity. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Alternative Strategies Allocation Fund

“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 Fund1	18.5	%
RSF — Long Short Interest Rate Strategy Fund1	14.9	%
RSF — Multi-Hedge Strategies Fund1	11.9	%
RSF — Long/Short Commodities Strategy Fund1	11.5	%
RSF — Event Driven and Distressed Strategies Fund1	11.4	%
RSF — Alternative Strategies Fund1	11.3	%
RSF — Long Short Equity Strategy Fund1	8.4	%
PowerShares DB G10 Currency Harvest Fund	3.8	%
RSF — Real Estate Fund1	3.5	%
RSF — Commodities Strategy Fund1	3.4	%
Top Ten Total	98.6	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments

¹ Class A shares

18 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class
	(03/07/08)												(03/07/08)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION
ALTERNATIVE STRATEGIES ALLOCATION FUND		2.21	%		-2.66	%		-5.41	%		-6.90	%		1.49	%		0.49	%		-6.10	%
S&P 500 INDEX		15.65	%		15.65	%		3.09	%		3.09	%		15.65	%		15.65	%		3.09	%
BARCLAYS CAPITAL U.S. AGGREGATE BOND INDEX		5.12	%		5.12	%		5.67	%		5.67	%		5.12	%		5.12	%		5.67	%

	H-Class
	(03/07/08)
	ONE			SINCE
	YEAR			INCEPTION
ALTERNATIVE STRATEGIES ALLOCATION FUND		2.26	%		-5.41	%
S&P 500 INDEX		15.65	%		3.09	%
BARCLAYS CAPITAL U.S. AGGREGATE BOND INDEX		5.12	%		5.67	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS March 31, 2011

ALTERNATIVE STRATEGIES ALLOCATION FUND

	Shares		Value
CURRENCY EXCHANGE TRADED FUND† - 3.8%
PowerShares DB G10 Currency Harvest Fund		32,644	$	795,208
Total Currency Exchange Traded Fund (Cost $660,449)				795,208
MUTUAL FUNDS†,1 - 94.8%
RSF — Managed Futures Strategy Fund*		145,795		3,850,450
RSF — Long Short Interest Rate Strategy Fund*		124,159		3,100,249
RSF — Multi-Hedge Strategies Fund*		112,812		2,468,319
RSF — Long/Short Commodities Strategy Fund		87,062		2,382,010
RSF — Event Driven and Distressed Strategies Fund*		88,315		2,372,139
RSF — Alternative Strategies Fund*		92,510		2,356,225
RSF — Long Short Equity Strategy Fund*		65,860		1,748,585
RSF — Real Estate Fund		24,677		717,114
RSF — Commodities Strategy Fund*		36,644		707,954
Total Mutual Funds (Cost $18,518,434)				19,703,045

	Face
	Amount
REPURCHASE AGREEMENT††,2 - 1.5%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	314,033		314,033
Total Repurchase Agreement (Cost $314,033)				314,033
Total Investments - 100.1% (Cost $19,492,916)			$	20,812,286
Liabilities, Less Cash & Other Assets - (0.1)%				(22,200	)
Total Net Assets - 100.0%			$	20,790,086

*	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	A—Class shares of Affiliated security.
2	Repurchase Agreement — See Note 6.
RSF — Rydex Series Funds

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $594,563)		9	$	9,011
June 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $583,164)		5		(5,789	)
(Total Aggregate Value of Contracts $1,177,727)			$	3,222
FUTURES CONTRACTS SOLD SHORT†
June 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $590,205)		7	$	(6,659	)

See Notes to Financial Statements.

20 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments in unaffiliated issuers, at value	$	795,208
Investments in affiliated issuers, at value		19,703,045
Repurchase agreements, at value		314,033
Total investments		20,812,286
Segregated cash with broker		20,931
Receivables:
Variation margin		1,013
Fund shares sold		3,220
Total assets		20,837,450
Liabilities:
Payable for:
Fund shares redeemed		45,188
Distribution and service fees		2,176
Total liabilities		47,364
Net assets	$	20,790,086
Net assets consist of:
Paid in capital	$	28,203,059
Undistributed net investment income		225,866
Accumulated net realized loss on investments		(8,954,772	)
Net unrealized appreciation on investments		1,315,933
Net assets	$	20,790,086
A-Class:
Net assets	$	3,257,045
Capital shares outstanding		160,885
Net asset value per share	$	20.24
Maximum offering price per share*	$	21.25
C-Class:
Net assets	$	3,406,965
Capital shares outstanding		172,256
Net asset value per share	$	19.78
H-Class:
Net assets	$	14,126,076
Capital shares outstanding		697,805
Net asset value per share	$	20.24
Investments in unaffiliated issuers, at cost	$	660,449
Investments in affiliated issuers, at cost		18,518,434
Repurchase agreements, at cost		314,033
Total cost	$	19,492,916

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends from affiliated issuers	$	204,112
Interest		354
Total investment income		204,466
Expenses:
Distribution and service fees:
C-Class		35,385
Miscellaneous		680
Total expenses		36,065
Net investment income		168,401
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(280,840	)
Investments in affiliated issuers		(1,367,640	)
Realized gain distributions received from affiliated issuers		382,189
Futures contracts		12,379
Net realized loss		(1,253,912	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,321,897
Futures contracts		(3,437	)
Net change in unrealized appreciation (depreciation)		1,318,460
Net realized and unrealized gain		64,548
Net increase in net assets resulting from operations	$	232,949

See Notes to Financial Statements.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 21

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	168,401		$	(45,512	)
Net realized loss on investments		(1,253,912	)		(769,516	)
Net change in unrealized appreciation (depreciation) on investments		1,318,460			2,196,621
Net increase in net assets resulting from operations		232,949			1,381,593
Distributions to shareholders from:
Net investment income
A-Class		(28,424	)a		—
C-Class		(26,948	)a		—
H-Class		(106,353	)a		—
Net realized gains
A-Class		(44,683	)a		—
C-Class		(42,363	)a		—
H-Class		(167,188	)a		—
Total distributions to shareholders		(415,959	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		1,435,110			2,960,895
C-Class		812,636			3,011,663
H-Class		6,506,749			16,931,859
Redemption fees collected
A-Class		54			1,867
C-Class		68			3,336
H-Class		209			9,800
Distributions reinvested
A-Class		65,586			—
C-Class		66,099			—
H-Class		140,841			—
Cost of shares redeemed
A-Class		(2,710,954	)		(4,545,011	)
C-Class		(4,349,793	)		(4,063,013	)
H-Class		(11,518,009	)		(17,262,772	)
Net decrease from capital share transactions		(9,551,404	)		(2,951,376	)
Net decrease in net assets		(9,734,414	)		(1,569,783	)
Net assets:
Beginning of year		30,524,500			32,094,283
End of year	$	20,790,086		$	30,524,500
Undistributed net investment income at end of year	$	225,866		$	191,922
Capital share activity:
Shares sold
A-Class		72,012			147,132
C-Class		41,750			151,348
H-Class		330,334			842,841
Shares issued from reinvestment of distributions
A-Class		3,316			—
C-Class		3,412			—
H-Class		7,120			—
Shares redeemed
A-Class		(137,310	)		(225,223	)
C-Class		(224,330	)		(204,224	)
H-Class		(585,220	)		(856,182	)
Net decrease in shares		(488,916	)		(144,308	)

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

22 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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
	Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008a,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 incomec		.17			—	d		.62			—	d
Net gain (loss) on investments (realized and unrealized)		.27			.82			(5.69	)		(.16	)
Total from investment operations		.44			.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		(.14	)e		—			(.44	)e		—
Net realized gains		(.22	)e		—			(.03	)e		—
Total distributions		(.36	)		—			(.47	)		—
Redemption fees collected		—	d		.01			.03			—	d
Net asset value, end of period	$	20.24		$	20.16		$	19.33		$	24.84
Total Returng		2.21	%		4.29	%		(20.39	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,257		$	4,492		$	5,816		$	1,121
Ratios to average net assets:
Net investment income		0.85	%		0.16	%		2.82	%		0.16	%
Total expensesh		—	f		—	f		—	f		—
Portfolio turnover rate		123	%		79	%		88	%		—

										Period
	Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008a,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		.01			(.14	)		.39			(.01	)
Net gain (loss) on investments (realized and unrealized)		.28			.81			(5.60	)		(.16	)
Total from investment operations		.29			.67			(5.21	)		(.17	)
Less distributions from:			��
Net investment income		(.14	)e		—			(.44	)e		—
Net realized gains		(.22	)e		—			(.03	)e		—
Total distributions		(.36	)		—			(.47	)		—
Redemption fees collected		—	d		.01			.02			—	d
Net asset value, end of period	$	19.78		$	19.85		$	19.17		$	24.83
Total Returng		1.49	%		3.55	%		(21.00	%)		(0.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,407		$	6,975		$	7,750		$	152
Ratios to average net assets:
Net investment income (loss)		0.04	%		(0.58	%)		1.77	%		(0.56	%)
Total expensesh		0.75	%		0.75	%		0.75	%		0.68	%
Portfolio turnover rate		123	%		79	%		88	%		—

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 23

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
	Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008a,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 incomec		.16			.01			.56			—	d
Net gain (loss) on investments (realized and unrealized)		.29			.81			(5.63	)		(.16	)
Total from investment operations		.45			.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		(.14	)e		—			(.44	)e		—
Net realized gains		(.22	)e		—			(.03	)e		—
Total distributions		(.36	)		—			(.47	)		—
Redemption fees collected		—	d		.01			.02			—	d
Net asset value, end of period	$	20.24		$	20.15		$	19.32		$	24.84
Total Returng		2.26	%		4.30	%		(20.43	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,126		$	19,057		$	18,528		$	3,893
Ratios to average net assets:
Net investment income		0.79	%		0.19	%		2.55	%		0.12	%
Total expensesh		—	f		—	f		—	f		—
Portfolio turnover rate		123	%		79	%		88	%		—

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: March 7, 2008
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Less than $0.01 per share.
e	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
f	Less than 0.01%.
g	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
h	Does not include expenses of the underlying funds in which the Fund invests.

24 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 25

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)	March 31, 2011
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”).

Inception: June 30, 2010

The Fund was opened on June 30, 2010. The Event Driven and Distressed Strategies Fund H-Class performed strongly and was up 16.24% in the nine-month period from its inception through March 31, 2011. Its benchmark, the Credit Suisse Event Driven Liquid Index, returned 16.74% over the same period.

The Fund gains exposure to event driven and distressed situations through various exposures, such as merger arbitrage, high yield, equities and volatility. During the period, the Fund used derivatives, such as swaps, as the primary instrument to gain exposure to these factors. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

The main drivers of performance were from equity and high yield exposures. Equity exposures, through small cap equities and stocks of high yield companies, contributed more than 7% of the return during the period. High yield exposures, through high yield bonds and credit spreads, contributed just under 7% of the return. Merger arbitrage exposure added almost 3% of the return. There was no exposure to market volatility during the period.

Performance displayed represents past performance which is no guarantee of future results

Holdings Diversification (Market Exposure as % of Net Assets)

Event Driven and	Credit Suisse Event
Distressed Strategies Fund	Driven Liquid Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

Inception Dates:

A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in derivative investments such as index swap agreements.

26 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class						C-Class						H-Class			Institutional Class
	(06/30/10)						(06/30/10)						(06/30/10)			(06/30/10)
	SINCE			SINCE			SINCE			SINCE			SINCE			SINCE
	INCEPTION			INCEPTION*			INCEPTION			INCEPTION**			INCEPTION			INCEPTION
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND		16.24	%		10.71	%		15.46	%		14.46	%		16.24	%		16.45	%
S&P 500 INDEX		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%
CREDIT SUISSE EVENT DRIVEN LIQUID INDEX		16.74	%		16.74	%		16.74	%		16.74	%		16.74	%		16.74	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Credit Suisse Event Driven Liquid Index are unmanaged indicies and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class and Institutional Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS	March 31, 2011
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES† - 41.1%
Freddie Mac1
0.35% due 06/21/11	$	3,000,000	$	2,999,394
0.22% due 01/18/12		3,000,000		2,994,900
Farmer Mac2
0.36% due 05/31/11		2,000,000		1,999,834
Fannie Mae1
0.20% due 05/02/11		1,000,000		999,957
Total Federal Agency Discount Notes (Cost $8,990,912)				8,994,085
REPURCHASE AGREEMENTS†,3 - 58.4%
HSBC Group
issued 03/31/11 at 0.07% due 04/01/11		6,110,375		6,110,375
Credit Suisse Group
issued 03/31/11 at 0.05% due 04/01/114		4,009,425		4,009,425
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06% due 04/01/11		2,266,036		2,266,036
Deutsche Bank
issued 03/31/11 at 0.05% due 04/01/11		407,358		407,358
Total Repurchase Agreements (Cost $12,793,194)				12,793,194
Total Investments - 99.5% (Cost $21,784,106)			$	21,787,279
Other Assets, Less Liabilities - 0.5%				111,547
Total Net Assets - 100.0%			$	21,898,826

			Unrealized
	Units		Gain
EQUITY INDEX SWAP AGREEMENTS†
Credit Suisse Capital LLC
Russell 2000 April 2011 Index Swap, Terminating 04/28/115 (Notional Value $4,703,738)		5,576	$	111,924
Credit Suisse Capital LLC
April 2011 Credit Suisse Merger Arbitrage Liquid Index Swap, Terminating 04/28/116 (Notional Value $5,850,905)		5,220		28,419
Credit Suisse Capital LLC
April 2011 Leveraged Equity Index (Custom Credit Suisse Index) Swap, Terminating 04/28/117 (Notional Value $1,664,158)		924		17,297
(Total Notional Value $12,218,801)			$	157,640
CORPORATE BOND INDEX SWAP AGREEMENT†
Credit Suisse Capital LLC
April 2011 iShares iBoxx High Yield Corporate Bond Fund Index Swap, Terminating 04/28/118 (Notional Value $6,604,907)		71,824	$	12,028

†	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 operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 6.
4	All or a portion of this security is pledged as swap collateral at March 31, 2011.
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 Leveraged Equity Index (Custom Credit Suisse Index) +/– financing at a variable rate.
8	Total Return based on iShares iBoxx High Yield Corporate Bond Fund Index +/– financing at a variable rate.

28 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	8,994,085
Repurchase agreements, at value		12,793,194
Total investments		21,787,279
Unrealized appreciation on swap agreements		169,668
Receivables:
Fund shares sold		77
Interest		22
Other		2,152
Total assets		21,959,198
Liabilities:
Payable for:
Fund shares redeemed		10,000
Management fees		13,544
Custodian fees		422
Transfer agent/maintenance fees		3,762
Distribution and service fees		4,592
Portfolio accounting fees		1,505
Licensing fees		20,147
Other		6,400
Total liabilities		60,372
Net assets	$	21,898,826
Net assets consist of:
Paid in capital	$	21,365,462
Undistributed net investment income		—
Accumulated net realized gain on investments		360,523
Net unrealized appreciation on investments		172,841
Net assets	$	21,898,826
A-Class:
Net assets	$	11,590,588
Capital shares outstanding		431,553
Net asset value per share	$	26.86
Maximum offering price per share*	$	28.20
C-Class:
Net assets	$	1,362,966
Capital shares outstanding		51,114
Net asset value per share	$	26.67
H-Class:
Net assets	$	8,886,159
Capital shares outstanding		330,864
Net asset value per share	$	26.86
Institutional Class:
Net assets	$	59,113
Capital shares outstanding		2,197
Net asset value per share	$	26.91
Investments, at cost	$	8,990,912
Repurchase agreements, at cost		12,793,194
Total cost	$	21,784,106

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Period Ended March 31, 2011^†

Investment Income:
Interest	$	21,962
Total investment income		21,962
Expenses:
Management fees		83,525
Transfer agent and administrative fees		23,201
Distribution and service fees:
A-Class		15,805
C-Class		4,697
H-Class		6,189
Portfolio accounting fees		9,280
Trustees’ fees**		903
Licensing fees		32,482
Miscellaneous		15,985
Total expenses		192,067
Less expenses waived by Advisor		(12,710	)
Net expenses		179,357
Net investment loss		(157,395	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		1,757,786
Net realized gain		1,757,786
Net change in unrealized appreciation (depreciation) on:
Investments		3,173
Swap agreements		169,668
Net change in unrealized appreciation (depreciation)		172,841
Net realized and unrealized gain		1,930,627
Net increase in net assets resulting from operations	$	1,773,232

†	Since the commencement of operations: June 30, 2010.
**	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 ANNUAL REPORT | 29

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(157,395	)
Net realized gain on investments		1,757,786
Net change in unrealized appreciation (depreciation) on investments		172,841
Net increase in net assets resulting from operations		1,773,232
Distributions to shareholders from:
Net realized gains
A-Class		(585,261	)
C-Class		(53,531	)
H-Class		(238,566	)
Institutional Class		(984	)
Total distributions to shareholders		(878,342	)
Capital share transactions:
Proceeds from sale of shares
A-Class		23,804,628
C-Class		1,566,171
H-Class		10,028,018
Institutional Class		66,975
Redemption fees collected
A-Class		144
C-Class*		—
H-Class		26
Institutional Class*		—
Distributions reinvested
A-Class		547,724
C-Class		38,503
H-Class		222,004
Institutional Class		984
Cost of shares redeemed
A-Class		(13,391,287	)
C-Class		(253,411	)
H-Class		(1,616,324	)
Institutional Class		(10,219	)
Net increase from capital share transactions		21,003,936
Net increase in net assets		21,898,826
Net assets:
Beginning of period		—
End of period	$	21,898,826
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		917,830
C-Class		59,379
H-Class		383,699
Institutional Class		2,546
Shares issued from reinvestment of distributions
A-Class		21,530
C-Class		1,521
H-Class		8,727
Institutional Class		39
Shares redeemed
A-Class		(507,807	)
C-Class		(9,786	)
H-Class		(61,562	)
Institutional Class		(388	)
Net increase in shares		815,728

†	Since the commencement of operations: June 30, 2010.
*	Redemptions fees collected are less than a $1.00.

30 | THE RYDEX | SGI SERIES FUNDS 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
	March 31,			March 31,
	2011a,b			2011a,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		(.33	)		(.48	)
Net gain on investments (realized and unrealized)		4.27			4.23
Total from investment operations		3.94			3.75
Less distributions from:
Net realized gains		(2.08	)		(2.08	)
Total distributions		(2.08	)		(2.08	)
Net asset value, end of period	$	26.86		$	26.67
Total Returnd		16.24	%		15.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,591		$	1,363
Ratios to average net assets:
Net investment loss		(1.65	%)		(2.42	%)
Total expenses		2.03	%		2.79	%
Net expensese		1.89	%		2.65	%
Portfolio turnover rate		—			—
	Period Ended			Period Ended
	March 31,			March 31,
	2011a,b			2011a,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		(.33	)		(.27	)
Net gain on investments (realized and unrealized)		4.27			4.26
Total from investment operations		3.94			3.99
Less distributions from:
Net realized gains		(2.08	)		(2.08	)
Total distributions		(2.08	)		(2.08	)
Net asset value, end of period	$	26.86		$	26.91
Total Returnd		16.24	%		16.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,886		$	59
Ratios to average net assets:
Net investment loss		(1.67	%)		(1.42	%)
Total expenses		2.04	%		1.79	%
Net expensese		1.90	%		1.65	%
Portfolio turnover rate		—			—

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010.
c	Net investment loss per share 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 expense waivers.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 31

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)	March 31, 2011
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”).

Inception: June 30, 2010

The Fund was opened on June 30, 2010. The Alternative Strategies Fund H-Class performed well and was up 6.89% in the nine-month period from its inception through March 31, 2011. Its benchmark, the Merrill Lynch Factor Model, returned 7.78% over the same period.

The Fund gains exposure to alternative strategies, or hedge fund beta, through various domestic and international equity exposures and currency exposure. During the period, the Fund used derivatives, such as futures, as the primary instrument to gain exposure to these factors. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

At the start of the period, the Fund held long positions in domestic equities, international equities, emerging markets and the U.S. dollar. The only short position was to domestic small cap equities. Throughout the period, the Fund remained long international equities and emerging markets equities. By the end of the period, domestic large cap exposure had shifted to a short position and domestic small cap exposure had shifted to a long position. As well, currency exposure had also switched and the Fund was long the euro at the end of the period.

The main driver of positive performance was from emerging market equity exposure, which added almost 6% of return for the period. Other positive contributors were international equities (just over 3%) and domestic large cap equities (just over 2.5%). The main detractors to performance were through a short exposure to domestic small cap equities, which hurt performance by just over -2%, and being long the U.S. dollar relative to the euro, which hurt performance by just under -2%.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Alternative	Merrill Lynch
Strategies Fund	Factor Model

“Holdings Diversification (Market Exposure as % of Net Assets)”

Inception Dates:

A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in derivative investments such as futures contracts.

32 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class						C-Class						H-Class			Institutional Class
	(06/30/10)						(06/30/10)						(06/30/10)			(06/30/10)
	SINCE			SINCE			SINCE			SINCE			SINCE			SINCE
	INCEPTION			INCEPTION*			INCEPTION			INCEPTION**			INCEPTION			INCEPTION
ALTERNATIVE STRATEGIES FUND		6.89	%		1.80	%		6.32	%		5.32	%		6.89	%		7.09	%
S&P 500 INDEX		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%
MERRILL LYNCH FACTOR MODEL		7.78	%		7.78	%		7.78	%		7.78	%		7.78	%		7.78	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Merrill Lynch Factor Model are unmanaged indicies and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class and Institutional Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS	March 31, 2011
ALTERNATIVE STRATEGIES FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 55.9%
Freddie Mac1 0.32% due 06/21/11	$	2,000,000	$	1,999,596
Farmer Mac2 0.36% due 05/31/11		1,000,000		999,917
Total Federal Agency Discount Notes (Cost $2,997,937)				2,999,513
REPURCHASE AGREEMENTS††,3 - 42.2%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		1,386,714		1,386,714
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		514,264		514,264
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11		268,785		268,785
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		92,448		92,448
Total Repurchase Agreements (Cost $2,262,211)				2,262,211
Total Investments - 98.1% (Cost $5,260,148)			$	5,261,724
Cash & Other Assets, Less Liabilities - 1.9%				104,352
Total Net Assets - 100.0%			$	5,366,076

				Unrealized
	Contracts			Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $525,825)		9		$	28,123
June 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $420,600)		5			21,553
June 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $590,205)		7			8,819
(Total Aggregate Value of Contracts $1,536,630)				$	58,495
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2011 EURO Currency Futures Contracts (Aggregate Value of Contracts $353,825)		2		$	3,870
FUTURES CONTRACTS SOLD SHORT†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $330,312)		5		$	(6,425	)
			��

†	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 operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 6.

34 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

ALTERNATIVE STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011
Assets:
Investments, at value	$	2,999,513
Repurchase agreements, at value		2,262,211
Total investments		5,261,724
Segregated cash with broker		120,175
Receivables:
Variation margin		3,977
Fund shares sold		1,432
Other		769
Total assets		5,388,077
Liabilities:
Payable for:
Management fees		3,587
Custodian fees		111
Transfer agent/maintenance fees		997
Distribution and service fees		1,034
Portfolio accounting fees		399
Licensing fees		13,833
Other		2,040
Total liabilities		22,001
Net assets	$	5,366,076
Net assets consist of:
Paid in capital	$	5,288,442
Undistributed net investment income		—
Accumulated net realized gain on investments		20,118
Net unrealized appreciation on investments		57,516
Net assets	$	5,366,076
A-Class:
Net assets	$	3,503,400
Capital shares outstanding		137,542
Net asset value per share	$	25.47
Maximum offering price per share*	$	26.74
C-Class:
Net assets	$	65,102
Capital shares outstanding		2,570
Net asset value per share	$	25.33
H-Class:
Net assets	$	1,786,864
Capital shares outstanding		70,149
Net asset value per share	$	25.47
Institutional Class:
Net assets	$	10,710
Capital shares outstanding		420
Net asset value per share	$	25.52
Investments, at cost	$	2,997,937
Repurchase agreements, at cost		2,262,211
Total cost	$	5,260,148

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Period Ended March 31, 2011^†

Investment Income:
Interest	$	9,019
Total investment income		9,019
Expenses:
Management fees		31,124
Transfer agent and administrative fees		8,645
Distribution and service fees:
A-Class		5,878
C-Class		329
H-Class		2,666
Portfolio accounting fees		3,458
Trustees’ fees**		352
Licensing fees		13,833
Miscellaneous		5,881
Total expenses		72,166
Less expenses waived by Advisor		(6,417	)
Net expenses		65,749
Net investment loss		(56,730	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		310,930
Net realized gain		310,930
Net change in unrealized appreciation (depreciation) on:
Investments		1,576
Futures contracts		55,940
Net change in unrealized appreciation (depreciation)		57,516
Net realized and unrealized gain		368,446
Net increase in net assets resulting from operations	$	311,716

†	Since the commencement of operations: June 30, 2010.
**	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 ANNUAL REPORT | 35

ALTERNATIVE STRATEGIES FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(56,730	)
Net realized gain on investments		310,930
Net change in unrealized appreciation (depreciation) on investments		57,516
Net increase in net assets resulting from operations		311,716
Distributions to shareholders from:
Net realized gains
A-Class		(138,451	)
C-Class		(2,119	)
H-Class		(67,622	)
Institutional Class		(496	)
Total distributions to shareholders		(208,688	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,899,753
C-Class		96,599
H-Class		2,713,303
Institutional Class		10,000
Distributions reinvested
A-Class		137,098
C-Class		1,383
H-Class		67,621
Institutional Class		496
Cost of shares redeemed
A-Class		(1,616,918	)
C-Class		(32,330	)
H-Class		(1,013,957	)
Institutional Class		—
Net increase from capital share transactions		5,263,048
Net increase in net assets		5,366,076
Net assets:
Beginning of period		—
End of period	$	5,366,076
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		194,909
C-Class		3,792
H-Class		106,986
Institutional Class		400
Shares issued from reinvestment of distributions
A-Class		5,430
C-Class		55
H-Class		2,678
Institutional Class		20
Shares redeemed
A-Class		(62,797	)
C-Class		(1,277	)
H-Class		(39,515	)
Institutional Class		—
Net increase in shares		210,681

^† Since the commencement of operations: June 30, 2010.

36 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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
	March 31,			March 31,
	2011a,b			2011a,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		(.32	)		(.46	)
Net gain on investments (realized and unrealized)		2.03			2.03
Total from investment operations		1.71			1.57
Less distributions from:
Net realized gains		(1.24	)		(1.24	)
Total distributions		(1.24	)		(1.24	)
Net asset value, end of period	$	25.47		$	25.33
Total Returnd		6.89	%		6.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,503		$	65
Ratios to average net assets:
Net investment loss		(1.63	%)		(2.38	%)
Total expenses		2.08	%		2.84	%
Net expensese		1.89	%		2.64	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	March 31,			March 31,
	2011a,b			2011a,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		(.31	)		(.27	)
Net gain on investments (realized and unrealized)		2.02			2.03
Total from investment operations		1.71			1.76
Less distributions from:
Net realized gains		(1.24	)		(1.24	)
Total distributions		(1.24	)		(1.24	)
Net asset value, end of period	$	25.47		$	25.52
Total Returnd		6.89	%		7.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,787		$	11
Ratios to average net assets:
Net investment loss		(1.63	%)		(1.38	%)
Total expenses		2.08	%		1.83	%
Net expensese		1.89	%		1.64	%
Portfolio turnover rate		—			—

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010.
c	Net investment loss per share 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 expense waivers.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 37

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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”).

Inception: June 30, 2010

The Fund was opened on June 30, 2010. The Long Short Equity Strategy Fund H-Class performed strongly and was up 13.92% in the nine-month period from its inception through March 31, 2011. Its benchmark, the Credit Suisse Long/Short Liquid Index, returned 14.64% over the same period.

The Fund gains exposure to long-short equity exposure through various investable market factors covering five base index factors, four style factors, and nine sector factors. During the period, the Fund used derivatives, such as futures, and exchange traded funds, as the primary instruments to gain exposure to these factors. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

The main driver of performance was exposures to the base factors, which contributed almost 13% of the return for the period. The sector factors contributed almost 2% to return and the style factors were slightly positive.

At the individual factor level, the top-performing factors were exposures to the U.S. broad large cap stocks, U.S. concentrated large cap stocks, emerging markets stocks, growth stocks and health care stocks. The individual factors that contributed negatively to performance were from short positions in value stocks, international large cap stocks and short positions in financials.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Long Short Equity	Credit Suisse Long/
Strategy Fund	Short Liquid Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

Inception Dates:
A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in futures contracts and exchange traded funds.

38 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class						C-Class						H-Class			Institutional Class
	(06/30/10)						(06/30/10)						(06/30/10)			(06/30/10)
	SINCE			SINCE			SINCE			SINCE			SINCE			SINCE
	INCEPTION			INCEPTION*			INCEPTION			INCEPTION**			INCEPTION			INCEPTION
LONG SHORT EQUITY STRATEGY FUND		13.92	%		8.49	%		13.30	%		12.30	%		13.92	%		14.12	%
S&P 500 INDEX		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%		30.56	%
CREDIT SUISSE LONG/ SHORT LIQUID INDEX		14.64	%		14.64	%		14.64	%		14.64	%		14.64	%		14.64	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the Credit Suisse Long/Short Liquid Index are unmanaged indicies and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class and Institutional Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS March 31, 2011

LONG SHORT EQUITY STRATEGY FUND

	Shares		Value
EXCHANGE TRADED FUNDS† - 33.0%
iShares Russell 2000 Growth Index Fund*		10,850	$	1,034,439
Consumer Staples Select Sector SPDR Fund4		30,400		910,176
Total Exchange Traded Funds (Cost $1,857,308)				1,944,615

	Face
	Amount
FEDERAL AGENCY DISCOUNT NOTES†† - 25.4%
Freddie Mac1 0.32% due 06/21/11	$	1,000,000		999,798
Farmer Mac2 0.36% due 05/31/11		500,000		499,959
Total Federal Agency Discount Notes (Cost $1,498,971)				1,499,757
REPURCHASE AGREEMENTS††,3 - 33.7%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		1,161,561		1,161,561
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		430,766		430,766
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/114		315,145		315,145
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		77,437		77,437
Total Repurchase Agreements (Cost $1,984,909)				1,984,909
Total Long Investments - 92.1% (Cost $5,341,188)			$	5,429,281
	Shares		Value
EXCHANGE TRADED FUND SOLD SHORT† - (17.2)%
iShares Russell 2000 Value Index Fund		13,450	$	(1,013,861	)
Total Exchange Traded Fund Sold Short
(proceeds $959,053)				(1,013,861	)
Cash & Other Assets, Less Liabilities - 25.1%				1,479,391
Total Net Assets - 100.0%			$	5,894,811

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $1,717,625)		26	$	36,331
June 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $408,975)		7		22,075
(Total Aggregate Value of Contracts $2,126,600)			$	58,406

*	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	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
2	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 6.
4	All or a portion of this security is pledged as short security collateral at March 31, 2011.

40 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

LONG SHORT EQUITY STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	3,444,372
Repurchase agreements, at value		1,984,909
Total investments		5,429,281
Segregated cash with broker		1,489,940
Receivables:
Other		616
Total assets		6,919,837
Liabilities:
Securities sold short, at value		1,013,861
Payable for:
Variation margin		330
Management fees		3,850
Custodian fees		120
Transfer agent/maintenance fees		1,070
Distribution and service fees		1,183
Portfolio accounting fees		428
Licensing fees		2,093
Interest		186
Other		1,905
Total liabilities		1,025,026
Net assets	$	5,894,811
Net assets consist of:
Paid in capital	$	5,720,303
Undistributed net investment income		—
Accumulated net realized gain on investments		82,817
Net unrealized appreciation on investments		91,691
Net assets	$	5,894,811
A-Class:
Net assets	$	3,648,485
Capital shares outstanding		137,406
Net asset value per share	$	26.55
Maximum offering price per share*	$	27.87
C-Class:
Net assets	$	190,636
Capital shares outstanding		7,220
Net asset value per share	$	26.40
H-Class:
Net assets	$	2,001,380
Capital shares outstanding		75,374
Net asset value per share	$	26.55
Institutional Class:
Net assets	$	54,310
Capital shares outstanding		2,041
Net asset value per share	$	26.60
Investments, at cost	$	3,356,279
Repurchase agreements, at cost		1,984,909
Total cost	$	5,341,188
Securities sold short, proceeds	$	959,053

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Period Ended March 31, 2011^†

Investment Income:
Dividends	$	8,782
Interest		4,619
Total investment income		13,401
Expenses:
Management fees		23,127
Transfer agent and administrative fees		6,424
Distribution and service fees:
A-Class		3,962
C-Class		892
H-Class		2,210
Portfolio accounting fees		2,570
Trustees’ fees**		239
Short sales dividend expense		10,885
Prime broker interest expense		1,407
Licensing fees		8,994
Miscellaneous		4,470
Total expenses		65,180
Less expenses waived by Advisor		(3,550	)
Net expenses		61,630
Net investment loss		(48,229	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		52,958
Futures contracts		333,850
Securities sold short		(5,287	)
Net realized gain		381,521
Net change in unrealized appreciation (depreciation) on:
Investments		88,093
Securities sold short		(54,808	)
Futures contracts		58,406
Net change in unrealized appreciation (depreciation)		91,691
Net realized and unrealized gain		473,212
Net increase in net assets resulting from operations	$	424,983

†	Since the commencement of operations: June 30, 2010.
**	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 ANNUAL REPORT | 41

LONG SHORT EQUITY STRATEGY FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(48,229	)
Net realized gain on investments		381,521
Net change in unrealized appreciation (depreciation) on investments		91,691
Net increase in net assets resulting from operations		424,983
Distributions to shareholders from:
Net realized gains
A-Class		(138,650	)
C-Class		(11,501	)
H-Class		(73,618	)
Institutional Class		(746	)
Total distributions to shareholders		(224,515	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,544,525
C-Class		221,155
H-Class		3,147,114
Institutional Class		52,500
Distributions reinvested
A-Class		138,650
C-Class		11,501
H-Class		73,616
Institutional Class		746
Cost of shares redeemed
A-Class		(1,168,664	)
C-Class		(41,123	)
H-Class		(1,285,677	)
Institutional Class		—
Net increase from capital share transactions		5,694,343
Net increase in net assets		5,894,811
Net assets:
Beginning of period		—
End of period	$	5,894,811
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		176,581
C-Class		8,371
H-Class		121,888
Institutional Class		2,012
Shares issued from reinvestment of distributions
A-Class		5,401
C-Class		450
H-Class		2,869
Institutional Class		29
Shares redeemed
A-Class		(44,576	)
C-Class		(1,601	)
H-Class		(49,383	)
Institutional Class		—
Net increase in shares		222,041

^† Since the commencement of operations: June 30, 2010.

42 | THE RYDEX | SGI SERIES FUNDS 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
	March 31,			March 31,
	2011a,b			2011a,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		(.36	)		(.49	)
Net gain on investments (realized and unrealized)		3.78			3.76
Total from investment operations		3.42			3.27
Less distributions from:
Net realized gains		(1.87	)		(1.87	)
Total distributions		(1.87	)		(1.87	)
Net asset value, end of period	$	26.55		$	26.40
Total Returnd		13.92	%		13.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,648		$	191
Ratios to average net assets:
Net investment loss		(1.86	%)		(2.48	%)
Total expenses		2.52	%		3.23	%
Net expensese		2.38	%		3.08	%
Operating expensesf		1.90	%		2.65	%
Portfolio turnover rate		142	%		142	%

	Period Ended			Period Ended
	March 31,			March 31,
	2010a,b			2011a,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		(.36	)		(.28	)
Net gain on investments (realized and unrealized)		3.78			3.75
Total from investment operations		3.42			3.47
Less distributions from:
Net realized gains		(1.87	)		(1.87	)
Total distributions		(1.87	)		(1.87	)
Net asset value, end of period	$	26.55		$	26.60
Total Returnd		13.92	%		14.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,001		$	54
Ratios to average net assets:
Net investment loss		(1.85	%)		(1.45	%)
Total expenses		2.50	%		2.33	%
Net expensese		2.36	%		2.19	%
Operating expensesf		1.89	%		1.65	%
Portfolio turnover rate		142	%		142	%

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010.
c	Net investment loss per share 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 expense waivers.
f	Operating expenses exclude interest and dividend expense from securities sold short.

THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT  |  43

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

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.

Inception: June 30, 2010

The Fund was opened on June 30, 2010. The Long Short Interest Rate Strategy Fund H-Class had positive return of 0.92% in the nine-month period from its inception through March 31, 2011. In comparison a long-only exposure to the Barclay’s Capital U.S. Aggregate Government Treasury Index for the same period would have resulted in a return of -0.15%.

The Fund attempts to capitalize on interest rate trends by using different duration targets. The Fund is able to have five signals: fully bullish, moderately bullish, neutral, moderately bearish and fully bearish. During the period, the Fund used derivatives, such as bond futures, as the primary instrument to gain its exposures. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

During the period and relative to the duration of the Barclay’s Capital U.S. Aggregate Government Treasury Index, the Fund had a fully bullish or moderately bullish duration position 11% of the time, a neutral duration position 35% of the time, and a fully bearish or moderately bearish duration position 54% of the time.

The main contributor to performance was during fully bearish periods when the Fund is short at twice the duration of the Barclay’s Capital U.S. Aggregate Government Treasury index. Fully bearish periods contributed almost 1% of the relative performance against a long-only investment in bonds. There was also a small positive contribution to return from being moderately bullish.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Long Short Interest Rate
Strategy Fund Barclays Capital U.S.
Aggregate Government
Treasury Index

“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
Institutional Class	June 30, 2010

The Fund invests principally in derivative investments such as futures contracts.

44  |  THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class						C-Class						H-Class			Institutional Class
	(06/30/10)						(06/30/10)						(06/30/10)			(06/30/10)
	SINCE			SINCE			SINCE			SINCE			SINCE			SINCE
	INCEPTION			INCEPTION*			INCEPTION			INCEPTION**			INCEPTION			INCEPTION
LONG SHORT INTEREST RATE STRATEGY FUND		0.92	%		-3.88	%		0.36	%		-0.63	%		0.92	%		1.08	%
BARCLAYS CAPITAL U.S. AGGREGATE GOVERNMENT TREASURY INDEX		-0.15	%		-0.15	%		-0.15	%		-0.15	%		-0.15	%		-0.15	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Barclays Capital U.S. Aggregate Government Treasury Index is an unmanaged index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class and Institutional Class shares will vary due to differences in fee structures.

THE RYDEX  |  SGI SERIES FUNDS ANNUAL REPORT  |  45

SCHEDULE OF INVESTMENTS March 31, 2011

LONG SHORT INTEREST RATE STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 60.6%
Freddie Mac1
0.24% due 11/01/11	$	10,000,000	$	9,989,310
0.22% due 12/01/11		10,000,000		9,987,140
0.22% due 01/18/12		10,000,000		9,983,000
0.23% due 03/14/12		10,000,000		9,975,890
0.19% due 05/31/11		5,000,000		4,999,585
0.21% due 05/23/11		3,000,000		2,999,784
0.25% due 06/07/11		3,000,000		2,999,499
0.30% due 06/21/11		3,000,000		2,999,394
0.23% due 08/16/11		3,000,000		2,998,518
Fannie Mae1
0.21% due 06/15/11		10,000,000		9,998,130
0.23% due 02/21/12		10,000,000		9,979,220
0.20% due 07/11/11		3,000,000		2,999,073
0.20% due 05/02/11		2,000,000		1,999,914
0.23% due 06/01/11		2,000,000		1,999,694
0.22% due 07/18/11		2,000,000		1,999,340
Farmer Mac2
0.33% due 12/23/11		5,000,000		4,992,990
0.36% due 05/31/11		1,000,000		999,917
Total Federal Agency Discount Notes (Cost $91,880,083)				91,900,398
REPURCHASE AGREEMENTS††,3 - 36.7%
HSBC Group
issued 03/31/11 at 0.07% due 04/01/11		34,129,231		34,129,231
Mizuho Financial Group, Inc.
issued 03/31/11 at 0.06% due 04/01/11		12,656,842		12,656,842
Credit Suisse Group
issued 03/31/11 at 0.05% due 04/01/11		6,615,231		6,615,231
Deutsche Bank
issued 03/31/11 at 0.05% due 04/01/11		2,275,282		2,275,282
Total Repurchase Agreements (Cost $55,676,586)				55,676,586
Total Investments - 97.3% (Cost $147,556,669)			$	147,576,984
Cash & Other Assets, Less Liabilities - 2.7%				4,027,424
Total Net Assets - 100.0%			$	151,604,408

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS SOLD SHORT†
June 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $101,237,281)		868	$	48,724
June 2011 U.S. Treasury 2 Year Note Futures Contracts (Aggregate Value of Contracts $117,929,547)		541		44,789
June 2011 U.S. Treasury Long Bond Futures Contracts (Aggregate Value of Contracts $18,974,813)		158		(79,979	)
June 2011 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $73,108,125)		615		(103,196	)
June 2011 Ultra Long-Term U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $19,503,125)		158		(254,596	)
(Total Aggregate Value of Contracts $330,752,891)			$	(344,258	)

†	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 operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 6.

46 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	91,900,398
Repurchase agreements, at value		55,676,586
Total investments		147,576,984
Segregated cash with broker		3,382,800
Receivables:
Variation margin		347,640
Fund shares sold		569,461
Interest		100
Total assets		151,876,985
Liabilities:
Payable for:
Fund shares redeemed		64,637
Management fees		85,639
Custodian fees		3,197
Transfer agent/maintenance fees		28,546
Distribution and service fees		32,203
Portfolio accounting fees		11,418
Other		46,937
Total liabilities		272,577
Net assets	$	151,604,408
Net assets consist of:
Paid in capital	$	155,129,219
Undistributed net investment income		—
Accumulated net realized loss on investments		(3,200,868	)
Net unrealized depreciation on investments		(323,943	)
Net assets	$	151,604,408
A-Class:
Net assets	$	51,915,459
Capital shares outstanding		2,078,853
Net asset value per share	$	24.97
Maximum offering price per share*	$	26.22
C-Class:
Net assets	$	15,086,186
Capital shares outstanding		607,478
Net asset value per share	$	24.83
H-Class:
Net assets	$	47,251,692
Capital shares outstanding		1,892,183
Net asset value per share	$	24.97
Institutional Class:
Net assets	$	37,351,071
Capital shares outstanding		1,493,205
Net asset value per share	$	25.01
Investments, at cost	$	91,880,083
Repurchase agreements, at cost		55,676,586
Total cost	$	147,556,669

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Period Ended March 31, 2011^†

Investment Income:
Interest	$	72,720
Total investment income		72,720
Expenses:
Management fees		298,378
Transfer agent and administrative fees		99,459
Distribution and service fees:
A-Class		37,242
C-Class		38,587
H-Class		40,934
Portfolio accounting fees		39,783
Trustees’ fees**		3,406
Miscellaneous		73,229
Total expenses		631,018
Net investment loss		(558,298	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		(2,608,946	)
Net realized loss		(2,608,946	)
Net change in unrealized appreciation (depreciation) on:
Investments		20,315
Futures contracts		(344,258	)
Net change in unrealized appreciation (depreciation)		(323,943	)
Net realized and unrealized loss		(2,932,889	)
Net decrease in net assets resulting from operations	$	(3,491,187	)

†	Since the commencement of operations: June 30, 2010.
**	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 ANNUAL REPORT | 47

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(558,298	)
Net realized loss on investments		(2,608,946	)
Net change in unrealized appreciation (depreciation) on investments		(323,943	)
Net decrease in net assets resulting from operations		(3,491,187	)
Distributions to shareholders from:
Net realized gains
A-Class		(170,618	)
C-Class		(60,418	)
H-Class		(213,112	)
Institutional Class		(58,988	)
Total distributions to shareholders		(503,136	)
Capital share transactions:
Proceeds from sale of shares
A-Class		60,601,738
C-Class		17,451,313
H-Class		60,389,752
Institutional Class		38,029,920
Redemption fees collected
A-Class		213
C-Class		12
H-Class		179
Institutional Class*		—
Distributions reinvested
A-Class		149,959
C-Class		59,528
H-Class		204,615
Institutional Class		55,179
Cost of shares redeemed
A-Class		(7,435,129	)
C-Class		(1,951,006	)
H-Class		(11,546,620	)
Institutional Class		(410,922	)
Net increase from capital share transactions		155,598,731
Net increase in net assets		151,604,408
Net assets:
Beginning of period		—
End of period		151,604,408
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		2,365,260
C-Class		681,438
H-Class		2,343,550
Institutional Class		1,507,953
Shares issued from reinvestment of distributions
A-Class		5,761
C-Class		2,295
H-Class		7,861
Institutional Class		2,118
Shares redeemed
A-Class		(292,168	)
C-Class		(76,255	)
H-Class		(459,228	)
Institutional Class		(16,866	)
Net increase in shares		6,071,719

†	Since the commencement of operations: June 30, 2010.
*	Redemption fees collected are less than a $1.00

48 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

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
	March 31,			March 31,
	2011a,b			2011a,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		(.26	)		(.40	)
Net gain on investments (realized and unrealized)		.50			.50
Total from investment operations		.24			.10
Less distributions from:
Net realized gains		(.27	)		(.27	)
Total distributions		(.27	)		(.27	)
Net asset value, end of period	$	24.97		$	24.83
Total Returnd		0.92	%		0.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	51,915		$	15,086
Ratios to average net assets:
Net investment loss		(1.35	%)		(2.12	%)
Total expenses		1.54	%		2.30	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	March 31,			March 31,
	2011a,b			2011a,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		(.26	)		(.21	)
Net gain on investments (realized and unrealized)		.50			.49
Total from investment operations		.24			.28
Less distributions from:
Net realized gains		(.27	)		(.27	)
Total distributions		(.27	)		(.27	)
Net asset value, end of period	$	24.97		$	25.01
Total Returnd		0.92	%		1.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	47,252		$	37,351
Ratios to average net assets:
Net investment loss		(1.36	%)		(1.13	%)
Total expenses		1.54	%		1.30	%
Portfolio turnover rate		—			—

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010.
c	Net investment loss per share 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.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: October 29, 2010

The Fund began October 29, 2010. For the five-month period ended March 31, 2011, Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index. Emerging Markets 2x Strategy Fund H-Class returned 7.76% while the BNY Mellon Emerging Markets 50 ADR Index returned 5.93% over the same period.

Emerging markets as a group have delivered strong returns for the past couple of years, and the International Monetary Fund said in December that emerging market economies survived the recent recession in better shape than advanced global economies. Still, emerging markets were troubled in early 2011 by geopolitical events and fears that too-fast growth could contribute to inflation and sharply rising interest rates. Many emerging market economies experienced higher food and energy prices, which economists said could abate later in 2011 as supply pressures ease. Growth of some larger economies, such as China and India, is also slowing to more sustainable levels as central banks conduct fiscal tightening to contain inflation.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

Emerging Markets            BNY Mellon Emerging
 2x Strategy Fund              Markets 50 ADR Index

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	October 29, 2010
C-Class	October 29, 2010
H-Class	October 29, 2010

Ten Largest Holdings
(% of Total Net Assets)
Petroleo Brasileiro S.A. — Class A ADR	3.9	%
Petroleo Brasileiro S.A. ADR	3.5	%
Vale S.A. — Class A ADR	3.1	%
Taiwan Semiconductor Manufacturing Company Ltd. ADR	3.1	%
America Movil SAB de CV ADR	2.9	%
Itau Unibanco Holding S.A. ADR	2.5	%
China Mobile Ltd. ADR	2.5	%
Vale S.A. — Class B ADR	2.3	%
Banco Bradesco S.A. ADR	2.1	%
CNOOC Ltd. ADR	2.0	%
Top Ten Total	27.9	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

50 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class						C-Class						H-Class
	(10/29/10)						(10/29/10)						(10/29/10)
	SINCE			SINCE			SINCE			SINCE			SINCE
	INCEPTION			INCEPTION*			INCEPTION			INCEPTION**			INCEPTION
EMERGING MARKETS 2X STRATEGY FUND		7.80	%		2.67	%		7.32	%		6.32	%		7.76	%
S&P 500 INDEX		13.01	%		13.01	%		13.01	%		13.01	%		13.01	%
BNY MELLON EMERGING MARKETS 50 ADR INDEX		5.93	%		5.93	%		5.93	%		5.93	%		5.93	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the BNY Mellon Emerging Markets 50 ADR Index are unmanaged stock indicies and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS	March 31, 2011
EMERGING MARKETS 2x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 55.7%
ENERGY - 14.0%
Petroleo Brasileiro S.A. — Class A ADR		5,970	$	212,174
Petroleo Brasileiro S.A. ADR		4,630		187,191
CNOOC Ltd. ADR		420		106,277
PetroChina Company Ltd. ADR		590		89,828
Sasol, Ltd. ADR		1,290		74,755
China Petroleum & Chemical Corp. ADR		470		47,273
Ecopetrol S.A. ADR		570		23,752
Yanzhou Coal Mining Company, Ltd. ADR		550		19,948
Total Energy				761,198
FINANCIALS - 10.6%
Itau Unibanco Holding S.A. ADR		5,750		138,287
Banco Bradesco S.A. ADR		5,370		111,428
China Life Insurance Company Ltd. ADR		1,390		77,909
ICICI Bank Ltd. ADR		1,190		59,298
KB Financial Group, Inc. ADR		1,080		56,344
Shinhan Financial Group Company, Ltd. ADR		620		56,153
HDFC Bank Ltd. ADR		320		54,381
Banco Santander Brasil S.A. ADR		1,570		19,248
Total Financials				573,048
MATERIALS - 10.4%
Vale S.A. — Class A ADR		5,700		168,264
Vale S.A. — Class B ADR		3,660		122,061
POSCO ADR		750		85,717
AngloGold Ashanti Ltd. ADR		1,060		50,827
Cia Siderurgica Nacional S.A. ADR		2,210		36,819
Gold Fields Ltd. ADR		1,830		31,952
Cemex SAB de CV ADR*		2,850		25,447
Gerdau S.A. ADR		1,840		23,000
Cia de Minas Buenaventura S.A. ADR		450		19,336
Total Materials				563,423
TELECOMMUNICATION SERVICES - 8.5%
America Movil SAB de CV ADR		2,700		156,870
China Mobile Ltd. ADR		2,930		135,483
Chunghwa Telecom Company, Ltd. ADR		1,070		33,341
Mobile Telesystems OJSC ADR		1,320		28,024
China Telecom Corporation, Ltd. ADR		390		23,790
Telekomunikasi Indonesia Tbk PT ADR		670		22,498
China Unicom Hong Kong Ltd. ADR		1,330		22,078
Vivo Participacoes S.A. ADR		470		18,979
SK Telecom Company Ltd. ADR		880		16,553
Total Telecommunication Services				457,616
INFORMATION TECHNOLOGY - 7.2%
Taiwan Semiconductor Manufacturing Company Ltd. ADR		13,660		166,379
Infosys Technologies Ltd. ADR		1,350		96,795
Baidu, Inc. ADR*		370		50,990
LG Display Company Ltd. ADR		1,250		19,662
United Microelectronics Corporation ADR		7,160		19,547
AU Optronics Corp. ADR		2,220		19,491
Wipro, Ltd. ADR		1,280		18,752
Total Information Technology				391,616
CONSUMER STAPLES - 2.5%
Cia de Bebidas das Americas ADR		2,200		62,282
Fomento Economico Mexicano SAB de CV ADR		610		35,807
BRF — Brasil Foods S.A. ADR		1,870		35,698
Total Consumer Staples				133,787
UTILITIES - 1.0%
Cia Energetica de Minas Gerais ADR		1,080		20,812
Korea Electric Power Corp. ADR		1,470		17,993
Empresa Nacional de Electricidad S.A. ADR		310		17,242
Total Utilities				56,047
CONSUMER DISCRETIONARY - 1.0%
Grupo Televisa S.A. ADR*		1,570		38,512
Ctrip.com International Ltd. ADR*		410		17,011
Total Consumer Discretionary				55,523
INDUSTRIALS - 0.5%
Tata Motors, Ltd. ADR		960		26,679
Total Common Stocks
(Cost $2,887,109)				3,018,937

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 43.0%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112	$	1,520,084	1,520,084
HSBC Group issued 03/31/11 at 0.07% due 04/01/11		566,216	566,216
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		209,981	209,981
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		37,748	37,748
Total Repurchase Agreements (Cost $2,334,029)			2,334,029

52 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS	March 31, 2011
EMERGING MARKETS 2x STRATEGY FUND

	Value
Total Investments - 98.7% (Cost $5,221,138)	$	5,352,966
Cash & Other Assets, Less Liabilities - 1.3%		70,494
Total Net Assets - 100.0%	$	5,423,460

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $58,425)		1	$	(36	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2011 Bank of New York Mellon Emerging Markets 50 ADR Index Swap, Terminating 04/27/113 (Notional Value $7,749,864)		2,553	$	230,489

Country Diversification

*	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	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
3	Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. ADR—American Depositary Receipt

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 53

EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments, at value	$	3,018,937
Repurchase agreements, at value		2,334,029
Total investments		5,352,966
Segregated cash with broker		157,500
Cash		35
Unrealized appreciation on swap agreements		230,489
Receivable for swap settlement		36,516
Receivables:
Fund shares sold		1,334,150
Dividends		819
From advisor		8,236
Total assets		7,120,711
Liabilities:
Payable for:
Variation margin		10,128
Fund shares redeemed		1,679,097
Management fees		3,268
Custodian fees		102
Transfer agent/maintenance fees		908
Distribution and service fees		1,303
Portfolio accounting fees		363
Licensing fees		366
Other		1,716
Total liabilities		1,697,251
Net assets	$	5,423,460
Net assets consist of:
Paid in capital	$	4,967,512
Undistributed net investment income		—
Accumulated net realized gain on investments		93,667
Net unrealized appreciation on investments		362,281
Net assets	$	5,423,460
A-Class:
Net assets	$	991,923
Capital shares outstanding		36,804
Net asset value per share	$	26.95
Maximum offering price per share*	$	28.29
C-Class:
Net assets	$	726,102
Capital shares outstanding		27,066
Net asset value per share	$	26.83
H-Class:
Net assets	$	3,705,435
Capital shares outstanding		137,553
Net asset value per share	$	26.94
Investments, at cost	$	2,887,109
Repurchase agreements, at cost		2,334,029
Total cost	$	5,221,138

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS
Period Ended March 31, 2011^†

Investment Income:
Dividends (net of foreign withholding tax of $510)	$	9,511
Interest		960
Total investment income		10,471
Expenses:
Management fees		14,185
Transfer agent and administrative fees		3,940
Distribution and service fees:
A-Class		83
C-Class		1,068
H-Class		3,591
Portfolio accounting fees		1,576
Trustees’ fees**		112
Licensing fees		2,401
Miscellaneous		3,003
Total expenses		29,959
Less expenses reimbursed by Advisor		(1,771	)
Net expenses		28,188
Net investment loss		(17,717	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(59,475	)
Swap agreements		249,198
Futures contracts		(80,916	)
Net realized gain		108,807
Net change in unrealized appreciation (depreciation) on:
Investments		131,828
Swap agreements		230,489
Futures contracts		(36	)
Net change in unrealized appreciation (depreciation)		362,281
Net realized and unrealized gain		471,088
Net increase in net assets resulting from operations	$	453,371

†	Since the commencement of operations: October 29, 2010.
**	Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act

54 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(17,717	)
Net realized gain on investments		108,807
Net change in unrealized appreciation (depreciation) on investments		362,281
Net increase in net assets resulting from operations		453,371
distributions to shareholders		—
Capital share transactions:
Proceeds from sale of shares
A-Class		941,826
C-Class		11,122,536
H-Class		43,838,990
Cost of shares redeemed
A-Class		(14,982	)
C-Class		(10,417,206	)
H-Class		(40,501,075	)
Net increase from capital share transactions		4,970,089
Net increase in net assets		5,423,460
Net assets:
Beginning of period		—
End of period	$	5,423,460
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		37,422
C-Class		437,312
H-Class		1,719,799
Shares redeemed
A-Class		(618	)
C-Class		(410,246	)
H-Class		(1,582,246	)
Net increase in shares		201,423

^† Since the commencement of operations: October 29, 2010.

See Notes to Financial Statements. THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 55

EMERGING MARKETS 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			Period Ended
	March 31,			March 31,
	2011a,b			2011a,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		(.13	)		(.31	)
Net gain on investments (realized and unrealized)		2.08			2.14
Total from investment operations		1.95			1.83
Net asset value, end of period	$	26.95		$	26.83
Total Returnd		7.80	%		7.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	992		$	726
Ratios to average net assets:
Net investment loss		(1.42	%)		(1.98	%)
Total expenses		1.85	%		2.60	%
Net expensese		1.73	%		2.49	%
Portfolio turnover rate		58	%		58	%

	Period Ended
	March 31,
	2011a,b
	H-Class
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment lossc		(.11	)
Net gain on investments (realized and unrealized)		2.05
Total from investment operations		1.94
Net asset value, end of period	$	26.94
Total Returnd		7.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,705
Ratios to average net assets:
Net investment loss		(1.05	%)
Total expenses		1.85	%
Net expensese		1.74	%
Portfolio turnover rate		58	%

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: October 29, 2010.
c	Net investment loss per share 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 expense waivers.

56 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

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THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

INVERSE EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Inception: October 29, 2010

The Fund began October 29, 2010. For the five-month period ended March 31, 2011, Inverse Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index. Inverse Emerging Markets 2x Strategy Fund H-Class returned -15.40% while the BNY Mellon Emerging Markets 50 ADR Index returned 5.93% over the same period.

Emerging markets as a group have delivered strong returns for the past couple of years, and the International Monetary Fund said in December that emerging market economies survived the recent recession in better shape than advanced global economies. Still, emerging markets were troubled in early 2011 by geopolitical events and fears that too-fast growth could contribute to inflation and sharply rising interest rates. Many emerging market economies experienced higher food and energy prices, which economists said could abate later in 2011 as supply pressures ease. Growth of some larger economies, such as China and India, is also slowing to more sustainable levels as central banks conduct fiscal tightening to contain inflation.

Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.

Performance displayed represents past performance which is no guarantee of future results.

Inverse Emerging Markets       BNY Mellon Emerging

2x Strategy Fund            Markets 50 ADR Index

“Holdings Diversification (Market Exposure as % Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	October 29, 2010
C-Class	October 29, 2010
H-Class	October 29, 2010

The Fund invests principally in derivative investments such as equity index swap agreements and futures contracts.

58 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class				C-Class					H-Class
	(10/29/10)				(10/29/10)				��	(10/29/10)
	SINCE		SINCE		SINCE		SINCE			SINCE
	INCEPTION		INCEPTION*		INCEPTION		INCEPTION**			INCEPTION
INVERSE EMERGING MARKETS 2x STRATEGY FUND	-15.40	%	-19.43	%	-14.68	%	-15.53	%		-15.40	%
S&P 500 INDEX	13.01	%	13.01	%	13.01	%	13.01	%		13.01	%
BNY MELLON EMERGING MARKETS 50 ADR INDEX	5.93	%	5.93	%	5.93	%	5.93	%		5.93	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the BNY Mellon Emerging Markets 50 ADR Index are unmanaged stock indicies and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS March 31, 2011

INVERSE EMERGING MARKETS 2x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 92.6%
HSBC Group issued 03/31/11 at 0.07% due 04/01/11	$	1,314,135	$	1,314,135
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/112		835,072		835,072
Mizuho Financial Group, Inc. issued 03/31/11 at 0.06% due 04/01/11		487,347		487,347
Deutsche Bank issued 03/31/11 at 0.05% due 04/01/11		87,609		87,609
Total Repurchase Agreements (Cost $2,724,163)				2,724,163
Total Investments - 92.6% (Cost $2,724,163)			$	2,724,163
Cash & Other Assets, Less Liabilities - 7.4%				217,335
Total Net Assets - 100.0%			$	2,941,498

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS SOLD SHORT†
June 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $2,512,275)		43	$	(84,939	)

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International April 2011 Bank of New York Mellon Emerging Markets 50 ADR Index Swap, Terminating 04/27/113 (Notional Value $3,376,788)		1,112	$	(111,072	)

†	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	All or a portion of this security is pledged as equity index swap collateral at March 31, 2011.
3	Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate.

60 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Repurchase agreements, at value	$	2,724,163
Segregated cash with broker		322,500
Receivables:
Fund shares sold		45,985
From advisor		8,804
Total assets		3,101,452
Liabilities:
Unrealized depreciation on swap agreements		111,072
Payable for:
Swap settlement		18,101
Variation margin		19,158
Fund shares redeemed		5,516
Management fees		2,551
Custodian fees		79
Transfer agent/maintenance fees		709
Distribution and service fees		824
Portfolio accounting fees		283
Licensing fees		299
Other		1,362
Total liabilities		159,954
Net assets	$	2,941,498
Net assets consist of:
Paid in capital	$	3,452,673
Undistributed net investment income		—
Accumulated net realized loss on investments		(315,164	)
Net unrealized depreciation on investments		(196,011	)
Net assets	$	2,941,498
A-Class:
Net assets	$	34,431
Capital shares outstanding		1,628
Net asset value per share	$	21.15
Maximum offering price per share*	$	22.20
C-Class:
Net assets	$	14,810
Capital shares outstanding		694
Net asset value per share	$	21.33
H-Class:
Net assets	$	2,892,257
Capital shares outstanding		136,782
Net asset value per share	$	21.15
Repurchase agreements, at cost	$	2,724,163

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

STATEMENT OF OPERATIONS

Period Ended March 31, 2011^†

Investment Income:
Interest	$	1,286
Total investment income		1,286
Expenses:
Management fees		10,482
Transfer agent and administrative fees		2,912
Distribution and service fees:
A-Class		25
C-Class		938
H-Class		2,652
Portfolio accounting fees		1,164
Trustees’ fees**		81
Licensing fees		1,766
Miscellaneous		2,198
Total expenses		22,218
Less expenses waived by Advisor		(1,299	)
Net expenses		20,919
Net investment loss		(19,633	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(396,627	)
Futures contracts		81,463
Net realized loss		(315,164	)
Net change in unrealized appreciation (depreciation) on:
Swaps agreements		(111,072	)
Futures contracts		(84,939	)
Net change in unrealized appreciation (depreciation)		(196,011	)
Net realized and unrealized loss		(511,175	)
Net decrease in net assets resulting from operations	$	(530,808	)

†	Since the commencement of operations: October 29, 2010.
**	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 ANNUAL REPORT | 61

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF CHANGES IN NET ASSETS

	Period Ended
	March 31,
	2011†
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(19,633	)
Net realized loss on investments		(315,164	)
Net change in unrealized appreciation (depreciation) on investments		(196,011	)
Net decrease in net assets resulting from operations		(530,808	)
Distributions to shareholders		—
Capital share transactions:
Proceeds from sale of shares
A-Class		173,520
C-Class		9,915,158
H-Class		34,731,130
Cost of shares redeemed
A-Class		(125,927	)
C-Class		(9,852,057	)
H-Class		(31,369,518	)
Net increase from capital share transactions		3,472,306
Net increase in net assets		2,941,498
Net assets:
Beginning of period		—
End of period	$	2,941,498
Undistributed net investment income at end of period	$	—
Capital share activity:
Shares sold
A-Class		6,828
C-Class		427,743
H-Class		1,486,122
Shares redeemed
A-Class		(5,200	)
C-Class		(427,049	)
H-Class		(1,349,340	)
Net increase in shares		139,104

^† Since the commencement of operations: October 29, 2010.

62 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT See Notes to Financial Statements.

INVERSE EMERGING MARKETS 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			Period Ended
	March 31,			March 31,
	2011a,b			2011a,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		(.16	)		(.25	)
Net loss on investments (realized and unrealized)		(3.69	)		(3.42	)
Total from investment operations		(3.85	)		(3.67	)
Net asset value, end of period	$	21.15		$	21.33
Total Returnd		(15.40	%)		(14.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34		$	15
Ratios to average net assets:
Net investment loss		(1.61	%)		(2.37	%)
Total expenses		1.85	%		2.57	%
Net expensese		1.73	%		2.46	%
Portfolio turnover rate		—			—

	Period Ended
	March 31,
	2011a,b
	H-Class
Per Share Data
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment lossc		(.16	)
Net loss on investments (realized and unrealized)		(3.69	)
Total from investment operations		(3.85	)
Net asset value, end of period	$	21.15
Total Returnd		(15.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,892
Ratios to average net assets:
Net investment loss		(1.63	%)
Total expenses		1.85	%
Net expensese		1.74	%
Portfolio turnover rate		—

a	Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: October 29, 2010.
c	Net investment loss per share 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 expense waivers.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 63

NOTES TO FINANCIAL STATEMENTS

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 front-end sales charge at the net asset value per share, with the exception of A-Class shares. A-Class shares are sold at the net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% CDSC if shares are redeemed within 12 months of purchase.

At March 31, 2011, the Trust consisted of fifty-eight 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 principally in a diversified portfolio of affiliated and unaffiliated funds (the “underlying funds”) instead of individual securities.

As of March 31, 2011, only A-Class, C-Class, H-Class and Institutional Class Shares had been issued in the Funds. Prior to September 13, 2010, all classes were subject to a 1% redemption fee when shares were redeemed within 30 days of purchase. Effective September 13, 2010, the redemption fee was removed.

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.

Security Global Investors (“SGI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative, and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. SGI, RFS and RDL 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.

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 settlement prices. Futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of domestic equity index, corporate bond 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 agreement.

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.

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.

Investments, for which market quotations are not readily available, are fair valued as determined in good faith by SGI under the direction of the Board of Trustees using

64 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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 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 and underlying funds 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 a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A Fund maintains a segregated account of cash and/or securities as collateral for short sales. A 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, a 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. Certain funds entered into stock and bond index 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, these Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Funds agree 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 Funds as unrealized gains or losses. When the contract is closed, the Funds record 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. During the year ended March 31, 2011, the following Funds entered into futures contracts for the following purposes:

	Index
Fund	Exposure	Liquidity
U.S. Long Short Momentum Fund	x	x
Alternative Strategies Allocation Fund	x	x
Alternative Strategies Fund	x	x
Long Short Equity Strategy Fund	x	x
Long Short Interest Rate Strategy Fund	x	x
Emerging Markets 2x Strategy Fund	x	x
Inverse Emerging Markets 2x Strategy Fund	x	x

F. Certain Funds entered into domestic equity index and corporate bond 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 corporate bond 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 corporate bond index. Swap agreements are used to obtain exposure to a security 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.

Event Driven and Distressed Strategies Fund entered into credit default swap agreements where one party, the protection buyer, makes an upfront or periodic payment

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 65

NOTES TO FINANCIAL STATEMENTS (continued)

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.

During the year ended March 31, 2011, the following Funds entered into swap agreements for the following purposes:

	Index
Fund	Exposure	Liquidity
Event Driven and Distressed Strategies Fund	x	x
Emerging Markets 2x Strategy Fund	x	x
Inverse Emerging Markets 2x Strategy Fund	x	x

G. 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.

H. 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.

I. 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 Funds utilized short sales and a variety of derivative instruments including 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 a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, 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.

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 SGI 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, 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, futures contracts, and swap agreements, include i) adverse

66 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A 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 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.

Certain Funds 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 SGI, 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.

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 and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects

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NOTES TO FINANCIAL STATEMENTS (continued)

on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the year ended March 31, 2011, certain Funds sought to gain exposure to their respective benchmarks by investing in financial-linked derivative instruments including futures and swap agreements.

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 net assets on a daily basis
Fund	Long			Short
U.S. Long Short Momentum Fund		—			0	%*
Alternative Strategies Allocation Fund		5	%		5	%
Event Driven and Distressed Strategies Fund		85	%		—
Alternative Strategies Fund		35	%		5	%
Long Short Equity Strategy Fund		35	%		—
Long Short Interest Rate Strategy Fund		—			220	%
Emerging Markets 2x Strategy Fund		145	%		—
Inverse Emerging Markets 2x Strategy Fund		—			200	%

* Less than 1%

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2011:

	Location on the Statements of Assets and Liabilities
Derivative Investments Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate/Currency 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 table sets forth the fair value of derivative investments categorized by primary risk exposure at March 31, 2011:

	Asset Derivative Investments Value
	Futures			Futures			Futures			Swaps		Swaps
	Equity			Interest Rate			Currency			Equity Index		Corporate Bond		Total Value at
Fund	Contracts		*	Contracts		*	Contracts		*	Contracts		Contracts		March 31, 2011
U.S. Long Short Momentum Fund	$	—		$	—		$	—		$	—	$	—	$	—
Alternative Strategies Allocation Fund		9,011			—			—			—		—		9,011
Event Driven and Distressed Strategies Fund		—			—			—			157,640		12,028		169,668
Alternative Strategies Fund		58,495			—			3,870			—		—		62,365
Long Short Equity Strategy Fund		58,406			—			—			—		—		58,406
Long Short Interest Rate Strategy Fund		—			93,513			—			—		—		93,513
Emerging Markets 2x Strategy Fund		—			—			—			230,489		—		230,489
Inverse Emerging Markets 2x Strategy Fund		—			—			—			—		—		—

	Liability Derivative Investments Value
	Futures			Futures			Futures			Swaps		Swaps
	Equity			Interest Rate			Currency			Equity Index		Corporate Bond		Total Value at
Fund	Contracts		*	Contracts		*	Contracts		*	Contracts		Contracts		March 31, 2011
U.S. Long Short Momentum Fund	$	6,023		$	—		$	—		$	—	$	—	$	6,023
Alternative Strategies Allocation Fund		6,659			5,789			—			—		—		12,448
Event Driven and Distressed Strategies Fund		—			—			—			—		—		—
Alternative Strategies Fund		6,425			—			—			—		—		6,425
Long Short Equity Strategy Fund		—			—			—			—		—		—
Long Short Interest Rate Strategy Fund		—			437,771			—			—		—		437,771
Emerging Markets 2x Strategy Fund		36			—			—			—		—		36
Inverse Emerging Markets 2x Strategy Fund		84,939			—			—			111,072		—		196,011

* 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.

68 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for year ended March 31, 2011:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest Rate/Currency/Corporate Bond/	Net realized gain (loss) on swap agreements
Credit Default contracts	Net realized gain (loss) on futures contracts
	Net change in net unrealized appreciation (depreciation) on swap agreements
	Net 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 for the year ended March 31, 2011:

	Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations
	Futures			Futures			Futures			Swaps			Swaps		Swaps
	Equity			Interest Rate			Currency			Equity Index			Corporate Bond		Credit Default
Fund	Contracts			Contracts			Contracts			Contracts			Contracts		Contracts		Total
U.S. Long Short Momentum Fund	$	(2,380,442	)	$	—		$	—		$	—		$	—	$	—	$	(2,380,442	)
Alternative Strategies Allocation Fund		12,379			—			—			—			—		—		12,379
Event Driven and Distressed Strategies Fund		—			—			—			944,981			805,271		7,534		1,757,786
Alternative Strategies Fund		392,851			—			(81,921	)		—			—		—		310,930
Long Short Equity Strategy Fund		333,850			—			—			—			—		—		333,850
Long Short Interest Rate Strategy Fund		—			(2,608,946	)		—			—			—		—		(2,608,946	)
Emerging Markets 2x Strategy Fund		(80,916	)		—			—			249,198			—		—		168,282
Inverse Emerging Markets 2x Strategy Fund		81,463			—			—			(396,627	)		—		—		(315,164	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations

	Futures			Futures			Futures		Swaps			Swaps		Swaps
	Equity			Interest Rate			Currency		Equity Index			Corporate Bond		Credit Default
Fund	Contracts			Contracts			Contracts		Contracts			Contracts		Contracts		Total
U.S. Long Short Momentum Fund	$	(6,023	)	$	—		$	—	$	—		$	—	$	—	$	(6,023	)
Alternative Strategies Allocation Fund		2,352			(5,789	)		—		—			—		—		(3,437	)
Event Driven and Distressed Strategies Fund		—			—			—		157,640			12,028		—		169,668
Alternative Strategies Fund		52,070			—			3,870		—			—		—		55,940
Long Short Equity Strategy Fund		58,406			—			—		—			—		—		58,406
Long Short Interest Rate Strategy Fund		—			(344,258	)		—		—			—		—		(344,258	)
Emerging Markets 2x Strategy Fund		(36	)		—			—		230,489			—		—		230,453
Inverse Emerging Markets 2x Strategy Fund		(84,939	)		—			—		(111,072	)		—		—		(196,011	)

4. Fees And Other Transactions With Affiliates

Under the terms of an investment advisory contract, the Trust pays SGI 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, Emerging Markets 2x Strategy Fund and the Inverse Emerging Markets 2x Strategy Fund, and 0.75% of the average daily net assets of the Long Short Interest Rate Strategy Fund. The Alternative Strategies Allocation Fund does not pay SGI an investment advisory fee.

SGI 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 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

For the period ended March 31, 2011, SGI voluntarily agreed to reimburse a portion of the licensing fee charged to the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund.

RFS 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.

RFS 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.

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass through basis. Such expenses 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 RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL 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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the year ended March 31, 2011, RDL retained sales charges of $606,415 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

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 2008 — 2011), 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, the expiration of capital loss carryforward, 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2011, the following capital loss carryforward amount was used to offset current year net realized capital gains:

Fund	Amount
U.S. Long Short Momentum Fund	$	21,184,224

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
U.S. Long Short Momentum Fund	$	—	$	—	$	—
Alternative Strategies Allocation Fund		415,959		—		415,959
Event Driven and Distressed Strategies Fund		878,342		—		878,342
Alternative Strategies Fund		76,751		131,937		208,688
Long Short Equity Strategy Fund		94,717		129,798		224,515
Long Short Interest Rate Strategy Fund		147,983		355,153		503,136
Emerging Markets 2x Strategy Fund		—		—		—
Inverse Emerging Markets 2x Strategy Fund		—		—		—

The tax character of distributions paid during the year ended March 31, 2010 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
U.S. Long Short Momentum Fund	$	—	$	—	$	—
Alternative Strategies Allocation Fund		—		—		—

The tax character of distributable earnings/(accumulated losses) at March 31, 2011 was as follows:

	Undistributed		Undistributed		Net Unrealized
	Ordinary		Long-Term		Appreciation/			Capital Loss
Fund	Income		Capital Gain		(Depreciation)			Carryforward1
U.S. Long Short Momentum Fund	$	—	$	—	$	22,394,942		$	(83,868,412	)
Alternative Strategies Allocation Fund		—		—		876,275			(7,772,071	)
Event Driven and Distressed Strategies Fund		360,523		—		172,841			—
Alternative Strategies Fund		16,260		59,798		1,576			—
Long Short Equity Strategy Fund		68,171		77,820		28,517			—
Long Short Interest Rate Strategy Fund		—		—		20,315			—
Emerging Markets 2x Strategy Fund		194,346		—		310,173			—
Inverse Emerging Markets 2x Strategy Fund		—		—		(111,072	)		—

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹ A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

										Total
	Expires in			Expires in			Expires in			Capital Loss
Fund	2017			2018			2019			Carryforward
U.S. Long Short Momentum Fund	$	(64,490,485	)	$	(19,377,927	)	$	—		$	(83,868,412	)
Alternative Strategies Allocation Fund		—			(6,408,935	)		(1,363,136	)		(7,772,071	)
Event Driven and Distressed Strategies Fund		—			—			—			—
Alternative Strategies Fund		—			—			—			—
Long Short Equity Strategy Fund		—			—			—			—
Long Short Interest Rate Strategy Fund		—			—			—			—
Emerging Markets 2x Strategy Fund		—			—			—			—
Inverse Emerging Markets 2x Strategy Fund		—			—			—			—

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NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2011, 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
U.S. Long Short Momentum Fund	$	136,636,890	$	23,976,791	$	(1,581,849	)	$	22,394,942
Alternative Strategies Allocation Fund		19,936,011		900,891		(24,616	)		876,275
Event Driven and Distressed Strategies Fund		21,784,106		3,173		—			3,173
Alternative Strategies Fund		5,260,148		1,576		—			1,576
Long Short Equity Strategy Fund		5,345,956		83,325		—			83,325
Long Short Interest Rate Strategy Fund		147,556,669		22,192		(1,877	)		20,315
Emerging Markets 2x Strategy Fund		5,273,282		115,276		(35,592	)		79,684
Inverse Emerging Markets 2x Strategy Fund		2,724,163		—		—			—

Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2011, the following amounts of realized currency and capital losses reflected in the accompanying financial statements were not recognized for Federal income tax purposes until April 1, 2011:

Fund	Capital
Alternative Strategies Allocation Fund	$	(517,177	)
Long Short Interest Rate Strategy Fund		(3,545,126	)
Emerging Markets 2x Strategy Fund		(48,571	)
Inverse Emerging Markets 2x Strategy Fund		(400,103	)

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.

The repurchase agreements and collateral values executed by the joint account and outstanding at March 31, 2011, were as follows:

Counterparty and Terms
of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
HSBC Group					U.S. Treasury Bonds:
0.07%					4.25% - 6.13%
Due 04/01/11	$	750,000,000	$	750,001,458	11/15/27 - 08/15/39	$	725,409,800	$	765,000,029
Credit Suisse Group					U.S. Treasury Note:
0.05%					0.38%
Due 04/01/11		314,866,501		314,866,939	09/30/12		321,965,500		321,163,885
Mizuho Financial Group, Inc.					U.S. Treasury Bills:
0.06%					0.00%
Due 04/01/11		278,137,869		278,138,332	06/02/11 - 08/18/11		283,843,400		283,700,652
Deutsche Bank					U.S. Treasury Note:
0.05%					4.63%
Due 04/01/11		50,000,000		50,000,069	07/31/12		48,001,800		51,000,078

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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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 investments.
Level 2 —	other significant observable inputs (including quoted prices for similar investments, 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 investments are not necessarily an indication of the risk associated with investing in those investments.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2011:

	Level 1		Level 1			Level 2		Level 2			Level 3
	Investments		Other Financial			Investments		Other Financial			Investments
Fund	In Securities		Instruments		*	In Securities		Instruments		*	In Securities		Total
Assets
U.S Long Short Momentum Fund	$	159,014,582	$	—		$	—	$	—		$	17,250	$	159,031,832
Alternative Strategies Allocation Fund		20,498,253		9,011			314,033		—			—		20,821,297
Event Driven and Distressed Strategies Fund		—		—			21,787,279		169,668			—		21,956,947
Alternative Strategies Fund		—		62,365			5,261,724		—			—		5,324,089
Long Short Equity Strategy Fund		1,944,615		58,406			3,484,666		—			—		5,487,687
Long Short Interest Rate Strategy Fund		—		93,513			147,576,984		—			—		147,670,497
Emerging Markets 2x Strategy Fund		3,018,937		—			2,334,029		230,489			—		5,583,455
Inverse Emerging Markets 2x Strategy Fund		—		—			2,724,163		—			—		2,724,163
Liabilities
U.S Long Short Momentum Fund		—		6,023			—		—			—		6,023
Alternative Strategies Allocation Fund		—		12,448			—		—			—		12,448
Event Driven and Distressed Strategies Fund		—		—			—		—			—		—
Alternative Strategies Fund		—		6,425			—		—			—		6,425
Long Short Equity Strategy Fund		1,013,861		—			—		—			—		1,013,861
Long Short Interest Rate Strategy Fund		—		437,771			—		—			—		437,771
Emerging Markets 2x Strategy Fund		—		36			—		—			—		36
Inverse Emerging Markets 2x Strategy Fund		—		84,939			—		111,072			—		196,011

* 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 April 1, 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 for 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.

Transfers between investment Levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds recognized transfers between the Levels as of the beginning of the period. During the year ended March 31, 2011, U.S. Long Short Momentum Fund had a security transfer into Level 3 from Level 1 as a result of trading on the security being halted. There were no other securities that transferred between levels.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 73

NOTES TO FINANCIAL STATEMENTS (continued)

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended March 31, 2011:

LEVEL 3 - Fair value measurement using significant unobservable inputs
	Total
U.S. Long Short Momentum Fund
Assets:
Beginning Balance	$	—
Total realized gains or losses included in earnings		(9,130	)
Total unrealized gains or losses included in earnings		(339,612	)
Purchases, sales, issuances, and settlements (net)		—
Transfers in and/or out of Level 3		365,992
Ending Balance	$	17,250

The total unrealized gains or losses included in the Statement of Operations attributable to Level 3 investments still held at March 31, 2011 was $(339,612) for the U.S. Long Short Momentum Fund.

8. Securities Transactions

For the year ended March 31, 2011, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:

	U.S. Long Short		Alternative		Event Driven		Alternative
	Momentum		Strategies		and Distressed		Strategies
	Fund		Allocation Fund		Strategies Fund		Fund
Purchases	$	380,299,003	$	30,673,836	$	—	$	—
Sales	$	441,157,942	$	40,219,285	$	—	$	—
	Long Short		Long Short		Emerging Markets		Inverse Emerging
	Equity Strategy		Interest Rate		2x Strategy		Markets 2x
	Fund		Strategy Fund		Fund		Strategy Fund
Purchases	$	1,289,841	$	—	$	4,081,558	$	—
Sales	$	439,255	$	—	$	1,134,974	$	—

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. On March 31, 2011, the U.S. Long Short Momentum Fund borrowed $815,000 under this agreement. As of and for the year ended March 31, 2011, the remaining Funds did not have any other borrowings under this agreement.

10. Name Changes

On May 28, 2010, the All-Cap Opportunity Fund changed its Fund name to the U.S. Long Short Momentum Fund. The name change did not have any impact on the Fund’s investment objectives, tickers, or CUSIPS.

11. 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 Advisor”), 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 Advisor (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 did not 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 agreement with the Investment Advisor and any investment sub-advisory agreements entered on behalf of a Fund (together, the “Previous Agreements”). New investment advisory and sub-advisory agreements

74 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

(“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. Investment Advisor Merger

Effective January 3, 2011, Rydex Advisors, LLC, the Funds’ investment advisor was merged with and into Security Investors, LLC, which operates under the name SGI.

The foregoing internal restructuring did not affect the investment advisory services rendered to the Funds, which continue to be managed on a day-to-day basis by the same teams of portfolio managers. The investment philosophies, strategies, and processes of the Funds also remained the same.

In order to implement the restructuring, technical amendments were made to the Funds’ investment advisory agreement with Rydex Advisors, LLC, in order to reflect the change of the identity of the investment advisor. No other changes were made to the investment advisory agreement of the Funds, and the fees and expenses of the Funds remained the same.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 75

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders
of Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the U.S. Long Short Momentum Fund, Alternative Strategies Allocation Fund, Event Driven and Distressed Strategies Fund, Alternative Strategies Fund, Long Short Equity Strategy Fund, Long Short Interest Rate Strategy Fund, Emerging Markets 2x Strategy Fund, and Inverse Emerging Markets 2x Strategy Fund (eight of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2011, and the related statements of operations, statements of changes in net assets, and financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2011, by correspondence with the custodian, transfer agent of underlying funds, and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2011, and the results of their operations, the changes in their net assets, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

 

McLean, Virginia
May 26, 2011

76 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2011, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Alternative Strategies Allocation Fund		0.12	%
Long Short Equity Strategy Fund		1.49	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
Alternative Strategies Allocation Fund		0.14	%
Long Short Equity Strategy Fund		1.67	%

With respect to the taxable year ended March 31, 2011, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

			Long Short		Long Short
	Alternative		Equity		Interest Rate
	Strategies		Strategy		Strategy
	Fund		Fund		Fund
From long-term capital gains, subject to the 15% rate gains category:	$	131,937	$	129,798	$	355,153
From long-term capital gains, using proceeds from shareholder redemptions:		28,387		27,736		—

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 year 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.

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.

Change of Address

Effective January 17, 2011, the RYDEX | SGI office was moved to Four Irvington Centre, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT | 77

OTHER INFORMATION (Unaudited) (concluded)

Office Locations
The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

78 | THE RYDEX | SGI SERIES FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust as well as other trusts of SGI, 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 Security Global Investors, 805 King Farm Boulevard, Suite 600, 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		148
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		148
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		148
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		148
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		148
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		148
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		148
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 ANNUAL REPORT | 79

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)
Nikolaos Bonos* Vice President and Treasurer (1963)	Senior Vice President, Security Investors, LLC and Vice President, Security Benefit Asset Management Holdings, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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 Haigney* Chief Compliance Officer and Secretary (1966)	Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President and Chief Compliance Officer, Security Investors, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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)

80 | THE RYDEX | SGI SERIES FUNDS 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
Keith A. 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)
Amy J. 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 M. Arruda* Assistant Treasurer (1966)	Vice President, Security Investors, LLC (2010 to present); Vice President, Security Global Investors, LLC (2010 to 2011); 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)

* 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 ANNUAL REPORT | 81

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSTF-ANN-0311x0312

GO GREEN!
ELIMINATE MAILBOX CLUTTER

Go paperless with Rydex|SGI eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.

With Rydex|SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

• Access prospectuses, annual reports and semiannual reports online.

It’s easy to enroll:

1/ Visit www.rydex-sgi.com and select “Individual Investors”

2/ Click on “eDelivery Sign-Up”   

3/ Follow the simple enrollment instructions

If you have questions about Rydex|SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
ALL-ASSET CONSERVATIVE STRATEGY FUND	6
ALL-ASSET MODERATE STRATEGY FUND	14
ALL-ASSET AGGRESSIVE STRATEGY FUND	22
NOTES TO FINANCIAL STATEMENTS	29
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	36
OTHER INFORMATION	37
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	38

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER:

The U.S. enjoyed economic recovery through the 12 months ended March 31, 2011, despite the poor housing picture and slow-growing labor market. U.S. stocks emerged from the 2008-09 downturn in early 2010, slowed only at mid-year by European debt problems and the worry that expiration of U.S. government stimulus programs might lead to a double-dip recession. Concern that the recovery was not self-sustaining led the U.S. Federal Reserve (the “Fed”) to undertake a second round of quantitative easing in the last part of 2010 to keep long-term rates low and spur economic growth.

Stocks responded to the infusion of liquidity by rising nearly 25% from the end of August through March 2011, then stumbling after rising prices for oil and many other commodities accompanied concerns that inflation might get out of hand. The market’s 2011 gains proceeded to be wiped out by political unrest in the Mid East, renewed worries about the sovereign debt of peripheral European countries and a devastating earthquake and tsunami in Japan. Investor belief that these situations were under control, however, sparked a rebound that helped broad U.S. market measures finish the first quarter moderately higher, and 15% or more above the levels seen 12 months earlier.

Investors searching for higher yields increasingly took on credit risk over the past 12 months, which was reflected in good performance across most fixed income sectors, particularly investment grade corporate bonds and high-yield bonds. The yield on the benchmark 10-year Treasury has been climbing since last fall, as safe-haven buying subsided except during market shocks like the Japanese earthquake.

The Fed said in March 2011 that the economy was on firmer footing and that the run-up in commodity prices would not lead to a sustained increase in inflation. It stuck with its planned purchase of up to $600 billion in government bonds, slated to end in June 2011, and—as it has since December 2008—left short-term rates unchanged.

Many U.S. investors are preparing for the shift away from the bond-buying strategy, which they anticipate could slow or halt the stock market rally and introduce a period of volatility. Investors in global markets, meanwhile, are increasingly concerned about the potential for soaring food and energy prices to derail global economic recovery.

The accumulation of shocks, ranging from higher oil prices to turmoil in the Mid East to the effects of the natural disaster in Japan, has led to a lowering of global growth forecasts for 2011. These overseas events pounded the U.S. economy in the form of higher fuel prices, supply-chain disruptions and financial market volatility, also leading to downgrades in estimates of U.S. GDP growth for the first quarter and entire year of 2011. Continuing weakness in the housing market is still plaguing economic growth. The March labor market report showed job growth was picking up, but flat growth in wages and higher fuel and food costs kept consumers on edge. Increases in energy and food prices seem not yet to have spilled into broader inflation measures. Consumer spending is growing, although slowly, while corporate profits continue to rise impressively.

Geopolitical events and improving economic conditions have generally pushed commodity prices higher over the past 12 months. In the first quarter of 2011, the price of a barrel of oil rose above $100 for the first time since 2008. The higher price of oil as a production cost caused the prices of many metals to slip in early 2011, aided by a pullback in demand due to the Japanese quake or China’s efforts to slow lending. Gold spent much of the first quarter of 2011 in negative territory, but has turned in a spectacular climb over the past 12 months, closing out the period at a record high of $1,438 an ounce.

The dollar gained on the euro in 2010, reflecting concern about Europe’s crisis in sovereign debt, but the rally did not carry over into the first quarter of 2011, even though the Mid East was in turmoil, a

2 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

nuclear crisis overtook Japan and Portugal was pointing toward default. In fact, the dollar in the first quarter of 2011 lost out to many currency counterparts around the world, gaining only slightly against the yen. Since the trade-weighted index for the U.S. dollar peaked last summer, it has fallen 15%, as investors seemed to fear the deleterious effects of continuous Fed easing.

U.S. economic growth, while not robust, has proven strong enough to overcome some major shocks in the first quarter of 2011. The government stimulus package and quantitative easing program have revived the economy, and optimism is growing that the recovery from the financial crisis and ensuing recession is becoming self-sustaining. The end of Fed easing could signal that the policymakers are comfortable with the strength of the expansion, and believe that house prices and joblessness may be poised to recover. For the rest of 2011, investors face interest rate risk arising from inflationary monetary policy and deteriorating credit quality in the industrialized world. Energy shortages that could put upward pressure on the prices of oil, natural gas and coal pose perhaps the largest risk to economic growth.

At Rydex|SGI, our products are designed to help investors navigate uncertain markets, including hedging or augmenting exposures to the equity or fixed-income markets, or introducing alternative assets and strategies to portfolios for overall diversification¹. Thank you for the trust you place in us.

Sincerely,

Michael Byrum
President & Chief Investment Officer

¹ Diversification neither assures a profit nor eliminates the risk of experiencing investment losses.

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

Rydex|SGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

THE RYDEX|SGI SERIES TRUST 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 September 30, 2010 and ending March 31, 2011.

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), Rydex 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 TRUST ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			September 30, 2010		March 31, 2011		Period2
Table 1. Based on actual Fund return3
All-Asset Conservative Strategy Fund
A-Class		0.00	%		5.87	%	$	1,000.00	$	1,058.69	$	—
C-Class		0.75	%		5.46	%		1,000.00		1,054.60		3.84
H-Class		0.00	%		5.86	%		1,000.00		1,058.63		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		8.73	%		1,000.00		1,087.27		—
C-Class		0.75	%		8.39	%		1,000.00		1,083.91		3.90
H-Class		0.00	%		8.73	%		1,000.00		1,087.27		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		12.07	%		1,000.00		1,120.72		—
C-Class		0.75	%		11.72	%		1,000.00		1,117.22		3.96
H-Class		0.00	%		12.19	%		1,000.00		1,121.92		—
Table 2. Based on hypothetical 5% return (before expenses)
All-Asset Conservative Strategy Fund
A-Class		0.00	%		5.00	%	$	1,000.00	$	1,024.93	$	—
C-Class		0.75	%		5.00	%		1,000.00		1,021.19		3.78
H-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.19		3.78
H-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,024.93		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.19		3.78
H-Class		0.00	%		5.00	%		1,000.00		1,024.93		—

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2010 to March 31, 2011.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 5

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ALL-ASSET CONSERVATIVE STRATEGY FUND

OBJECTIVE: Primarily seeks preservation of capital and, secondarily, seeks long-term growth of capital.

Inception: June 30, 2006

The Fed was the dominant force in the market for the past 12 months. The year 2010 began with the break out of the sovereign debt crisis in Europe, and equity markets fell off on the news. After a brief recovery during earnings season, the markets were reminded of the European crisis and fell off again. However, the Fed’s announcement of its second quantitative easing policy changed the market sentiment. Beginning in late August, sentiment moved to risk-on. In the meantime, macroeconomic numbers showed the economy was improving. Despite the emergence of the Ireland crisis later and the crisis in other European countries still lingering, the equity and commodities markets ignored these developments, and more than covered the losses from earlier in the year. Short-term bond yields late in the year touched record-low levels. Alternative investment strategies did not shine in this environment, and some momentum strategies that were designed to capture trends quicker actually lost money in the market swings. The economy continued its slow recovery in the first quarter of 2011, as equity markets benefited from extensive liquidity.

For the one-year period ended March 31, 2011, the All-Asset Conservative Strategy Fund H-Class returned 7.85%, compared with its benchmark (32% Russell 3000^® Index, 8% MSCI EAFE Index and 60% Barclays Capital U.S. Aggregate Bond Index), which ended the year at 9.32%. In the whole period, the Small Cap Growth Fund, Mid Cap Growth Fund and Small Cap Value Fund contributed the most to performance. The International Long Short Select Fund, Equity Market Neutral Fund and Managed Futures Strategy Fund contributed the least to performance.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
Security Income Fund — U.S. Intermediate Bond Fund1	20.2	%
RSF — U.S. Long Short Momentum Fund1	8.9	%
RSF — Multi-Hedge Strategies Fund1	8.5	%
Security Income Fund — High Yield Fund1	8.4	%
Security Equity Fund®— Large Cap Concentrated Growth Fund1	5.3	%
Security Large Cap Value Fund1	5.3	%
RSF — Long Short Interest Rate Strategy Fund1	4.5	%
RSF — Event Driven and Distressed Strategies Fund1	3.4	%
Security Equity Fund® — Global Fund1	2.5	%
RSF — Alternative Strategies Fund1	2.2	%
Top Ten Total	69.2	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments RSF — Rydex Series Funds

¹ A-Class shares

6 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class									H-Class
	(06/30/06)												(06/30/06)									(06/30/06)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
ALL-ASSET CONSERVATIVE STRATEGY FUND		7.86	%		2.78	%		3.77	%		2.71	%		7.07	%		6.07	%		3.00	%		7.85	%		3.78	%
S&P 500 INDEX		15.65	%		15.65	%		3.08	%		3.08	%		15.65	%		15.65	%		3.08	%		15.65	%		3.08	%
SYNTHETIC ALL-ASSET CONSERVATIVE STRATEGY BENCHMARKt		9.32	%		9.32	%		5.51	%		5.51	%		9.32	%		9.32	%		5.51	%		9.32	%		5.51	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a contingent deferred sales charge (“CDSC”) of 1% if redeemed within 12 months of purchase.
t	Benchmark reflects 32% Russell 3000® Index, 8% MSCI EAFE Index®, and 60% Barclays Capital U.S. Aggregate Bond Index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS March 31, 2011

ALL-ASSET CONSERVATIVE STRATEGY FUND

	Shares		Value
MUTUAL FUNDS†,1 — 77.1%
Security Income Fund — U.S. Intermediate Bond Fund		681,059	$	2,860,448
RSF — U.S. Long Short Momentum Fund*		88,399		1,262,331
RSF — Multi-Hedge Strategies Fund*		55,229		1,208,400
Security Income Fund — High Yield Fund		90,642		1,189,229
Security Equity Fund® — Large Cap Concentrated Growth Fund		82,740		754,585
Security Large Cap Value Fund		96,474		749,602
RSF — Long Short Interest Rate Strategy Fund*		25,514		637,088
RSF — Event Driven and Distressed Strategies Fund*		17,751		476,789
Security Equity Fund® — Global Fund		29,584		353,239
RSF — Alternative Strategies Fund*		12,429		316,570
RSF — Long Short Equity Strategy Fund*		9,156		243,104
Security Equity Fund® — Mid Cap Value Fund		6,468		228,504
Security Mid Cap Growth Fund*		26,086		227,473
RSF — Long/Short Commodities Strategy Fund		4,661		127,515
RSF — Real Estate Fund		3,058		88,864
Security Equity Fund® — Small Cap Growth Fund*		4,480		68,548
Security Equity Fund® — Small Cap Value Fund*		4,357		68,052
RSF — Commodities Strategy Fund*		3,195		61,731
Total Mutual Funds (Cost $9,343,717)				10,922,072

	Face
	Amount		Value
REPURCHASE AGREEMENT††,2 — 21.7%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	3,069,245	$	3,069,245
Total Repurchase Agreement (Cost $3,069,245)				3,069,245
Total Investments — 98.8% (Cost $12,412,962)			$	13,991,317
Cash & Other Assets, Less Liabilities — 1.2%				175,486
Total Net Assets — 100.0%			$	14,166,803

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts
(Aggregate Value of Contracts $594,563)		9	$	9,011
June 2011 MSCI EAFE Index Mini Futures Contracts
(Aggregate Value of Contracts $337,260)		4		3,797
June 2011 U.S. Treasury 5 Year Note Futures Contracts
(Aggregate Value of Contracts $1,282,960)		11		(3,367	)
(Total Aggregate Value of Contracts $2,214,783)			$	9,441

*	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	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 6.
RSF — Rydex Series Funds

8 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments in affiliated issuers, at value	$	10,922,072
Repurchase agreements, at value		3,069,245
Total investments		13,991,317
Segregated cash with broker		84,600
Receivables:
Fund shares sold		114,433
Interest		4
Total assets		14,190,354
Liabilities:
Payable for:
Variation margin		5,267
Fund shares redeemed		12,822
Distribution and service fees		5,462
Total liabilities		23,551
Net assets	$	14,166,803
Net assets consist of:
Paid in capital	$	14,160,708
Undistributed net investment income		181,984
Accumulated net realized loss on investments		(1,763,685	)
Net unrealized appreciation on investments		1,587,796
Net assets	$	14,166,803
A-Class:
Net assets	$	2,915,424
Capital shares outstanding		269,681
Net asset value per share	$	10.81
Maximum offering price per share*	$	11.35
C-Class:
Net assets	$	8,683,297
Capital shares outstanding		833,584
Net asset value per share	$	10.42
H-Class:
Net assets	$	2,568,082
Capital shares outstanding		237,313
Net asset value per share	$	10.82
Investments at affiliated issuers, at cost	$	9,343,717
Repurchase agreements, at cost		3,069,245
Total cost	$	12,412,962

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends from affiliated issuers	$	211,301
Interest		3,447
Total investment income		214,748
Expenses:
Distribution and service fees:
C-Class		70,417
Total expenses		70,417
Net investment income		144,331
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		706,330
Futures contracts		(20,017	)
Realized gain distributions from affiliated issuers		57,212
Net realized gain		743,525
Net change in unrealized appreciation (depreciation) on:
Investments in affiliated issuers		169,631
Futures contracts		9,441
Net change in unrealized appreciation (depreciation)		179,072
Net realized and unrealized gain		922,597
Net increase in net assets resulting from operations	$	1,066,928

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 9

ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (decrease) in net assets from operations:
Net investment income	$	144,331		$	124,197
Net realized gain on investments		743,525			639,724
Net change in unrealized appreciation (depreciation) on investments		179,072			1,448,397
Net increase in net assets resulting from operations		1,066,928			2,212,318
Distributions to shareholders from:
Net investment income
A-Class		(17,209	)a		(46,919	)a
C-Class		(62,122	)a		(154,231	)a
H-Class		(18,378	)a		(57,560	)a
Net realized gains
A-Class		(6,632	)a		(2,025	)a
C-Class		(23,940	)a		(6,656	)a
H-Class		(7,082	)a		(2,484	)a
Total distributions to shareholders		(135,363	)		(269,875	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,312,584			2,771,441
C-Class		3,358,472			6,862,753
H-Class		1,148,814			2,804,609
Redemption fees collected
A-Class		297			691
C-Class		1,002			1,905
H-Class		420			881
Distributions reinvested
A-Class		21,774			44,175
C-Class		80,877			148,390
H-Class		23,579			55,860
Cost of shares redeemed
A-Class		(1,409,993	)		(2,700,284	)
C-Class		(4,789,006	)		(3,641,473	)
H-Class		(3,460,152	)		(1,748,551	)
Net increase (decrease) from capital share transactions		(3,711,332	)		4,600,397
Net increase (decrease) in net assets		(2,779,767	)		6,542,840
Net assets:
Beginning of year		16,946,570			10,403,730
End of year	$	14,166,803		$	16,946,570
Undistributed net investment income at end of year	$	181,984		$	135,362
Capital share activity:
Shares sold
A-Class		126,661			297,040
C-Class		340,674			730,691
H-Class		110,639			285,678
Shares issued from reinvestment of distributions
A-Class		2,066			4,444
C-Class		7,952			15,345
H-Class		2,235			5,620
Shares redeemed
A-Class		(136,437	)		(287,337	)
C-Class		(479,619	)		(385,038	)
H-Class		(336,679	)		(179,433	)
Net increase (decrease) in shares		(362,508	)		487,010

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

10 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
A-Class	2011			2010			2009			2008			2007a,b
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		.14			.12			.28			.26			.20
Net gain (loss) on investments (realized and unrealized)		.65			1.52			(2.08	)		.12			.56
Total from investment operations		.79			1.64			(1.80	)		.38			.76
Less distributions from:
Net investment income		(.07	)d		(.16	)d		(.14	)d		(.22	)d		(.09	)
Net realized gains		(.02	)d		(.01	)d		(.16	)d		(.14	)d		—
Total distributions		(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—	e		—	e		—	e		.02			.03
Net asset value, end of period	$	10.81		$	10.11		$	8.64		$	10.74		$	10.70
Total Returnf		7.86	%		19.02	%		(17.05	%)		3.70	%		7.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,915		$	2,805		$	2,274		$	4,431		$	782
Ratios to average net assets:
Net investment income		1.39	%		1.27	%		2.84	%		2.39	%		2.47	%
Total expensesg		—			—			—			0.01	%		0.01	%
Portfolio turnover rate		112	%		174	%		230	%		119	%		105	%

													Period
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
C-Class	2011			2010			2009			2008			2007a,b
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		.07			.05			.28			.17			.08
Net gain (loss) on investments (realized and unrealized)		.62			1.48			(2.12	)		.12			.63
Total from investment operations		.69			1.53			(1.84	)		.29			.71
Less distributions from:
Net investment income		(.07	)d		(.16	)d		(.14	)d		(.22	)d		(.09	)
Net realized gains		(.02	)d		(.01	)d		(.16	)d		(.14	)d		—
Total distributions		(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—	e		—	e		—	e		.02			.03
Net asset value, end of period	$	10.42		$	9.82		$	8.46		$	10.60		$	10.65
Total Returnf		7.07	%		18.12	%		(17.65	%)		2.86	%		7.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,683		$	9,474		$	5,107		$	5,074		$	2,804
Ratios to average net assets:
Net investment income		0.66	%		0.58	%		2.87	%		1.53	%		1.05	%
Total expensesg		0.75	%		0.75	%		0.75	%		0.75	%		0.76	%
Portfolio turnover rate		112	%		174	%		230	%		119	%		105	%

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 11

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
H-Class	2011			2010			2009			2008			2007a,b
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		.14			.12			.31			.25			.15
Net gain (loss) on investments (realized and unrealized)		.65			1.52			(2.11	)		.13			.62
Total from investment operations		.79			1.64			(1.80	)		.38			.77
Less distributions from:
Net investment income		(.07	)d		(.16	)d		(.14	)d		(.22	)d		(.09	)
Net realized gains		(.02	)d		(.01	)d		(.16	)d		(.14	)d		—
Total distributions		(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—	e		—	e		—	e		.02			.03
Net asset value, end of period	$	10.82		$	10.12		$	8.65		$	10.75		$	10.71
Total Returnf		7.85	%		19.00	%		(17.03	%)		3.69	%		8.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,568		$	4,667		$	3,022		$	7,014		$	3,634
Ratios to average net assets:
Net investment income		1.33	%		1.28	%		3.14	%		2.28	%		1.93	%
Total expensesg		—			—			—			0.01	%		0.01	%
Portfolio turnover rate		112	%		174	%		230	%		119	%		105	%

a	For the period ended March 31, 2007, 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 per share was computed using average shares outstanding throughout the period.
d	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
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	Does not include expenses of the underlying funds in which the Fund invests.

12 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ALL-ASSET MODERATE STRATEGY FUND

OBJECTIVE: Primarily seeks growth of capital and, secondarily, seeks preservation of capital.

Inception: June 30, 2006

The Fed was the dominant force in the market for the past 12 months. The year 2010 began with the break out of the sovereign debt crisis in Europe, and equity markets fell off on the news. After a brief recovery during earnings season, the markets were reminded of the European crisis and fell off again. However, the Fed’s announcement of its second quantitative easing policy changed the market sentiment. Beginning in late August, sentiment moved to risk-on. In the meantime, macroeconomic numbers showed the economy was improving. Despite the emergence of the Ireland crisis later and the crisis in other European countries still lingering, the equity and commodities markets ignored these developments, and more than covered the losses from earlier in the year. Short-term bond yields late in the year touched record-low levels. Alternative investment strategies did not shine in this environment, and some momentum strategies that were designed to capture trends quicker actually lost money in the market swings. The economy continued its slow recovery in the first quarter of 2011, as equity markets benefited from extensive liquidity.

For the one-year period ended March 31, 2011, the All-Asset Moderate Strategy Fund H-Class returned 9.39%, compared with its benchmark (48% Russell 3000^® Index, 12% MSCI EAFE Index and 40% Barclays Capital U.S. Aggregate Bond Index), which ended the year at 11.61%. In the whole period, the Small Cap Growth Fund, Mid Cap Growth Fund and Small Cap Value Fund contributed the most to performance. The International Long Short Select Fund, Equity Market Neutral Fund and Managed Futures Strategy Fund contributed the least to performance.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
Security Income Fund — U.S. Intermediate Bond Fund1	18.1	%
RSF — U.S. Long Short Momentum Fund1	11.5	%
Security Equity Fund®— Large Cap Concentrated Growth Fund1	7.8	%
Security Large Cap Value Fund	7.7	%
Security Equity Fund® — Global Fund1	7.2	%
RSF — Multi-Hedge Strategies Fund1	5.8	%
RSF — Long Short Interest Rate Strategy Fund1	4.4	%
RSF — Event Driven and Distressed Strategies Fund1	2.9	%
Security Mid Cap Growth Fund1	2.4	%
Security Equity Fund® — Mid Cap Value Fund1	2.4	%
Top Ten Total	70.2	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments RSF — Rydex Series Funds

¹ A-Class shares

14 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class									H-Class
	(06/30/06)												(06/30/06)									(06/30/06)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
ALL-ASSET MODERATE STRATEGY FUND		9.39	%		4.20	%		3.79	%		2.73	%		8.62	%		7.62	%		3.03	%		9.39	%		3.79	%
S&P 500 INDEX		15.65	%		15.65	%		3.08	%		3.08	%		15.65	%		15.65	%		3.08	%		15.65	%		3.08	%
SYNTHETIC ALL-ASSET MODERATE STRATEGY BENCHMARK t		11.61	%		11.61	%		4.81	%		4.81	%		11.61	%		11.61	%		4.81	%		11.61	%		4.81	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
t	Benchmark reflects 48% Russell 3000® Index, 12% MSCI EAFE Index®, and 40% Barclays Capital U.S. Aggregate Bond Index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS March 31, 2011

ALL-ASSET MODERATE STRATEGY FUND

	Shares		Value
MUTUAL FUNDS†,1 — 79.7%
Security Income Fund — U.S. Intermediate Bond Fund		1,328,000	$	5,577,598
RSF — U.S. Long Short Momentum Fund*		247,187		3,529,835
Security Equity Fund® — Large Cap Concentrated Growth Fund		262,480		2,393,814
Security Large Cap Value Fund		305,745		2,375,637
Security Equity Fund® — Global Fund		186,376		2,225,332
RSF — Multi-Hedge Strategies Fund*		81,407		1,781,176
RSF — Long Short Interest Rate Strategy Fund*		54,453		1,359,685
RSF — Event Driven and Distressed Strategies Fund*		32,911		883,993
Security Mid Cap Growth Fund*		85,056		741,689
Security Equity Fund® — Mid Cap Value Fund		20,882		737,744
RSF — Long Short Equity Strategy Fund*		19,009		504,687
RSF — Alternative Strategies Fund*		19,666		500,881
Security Income Fund — High Yield Fund		35,493		465,673
RSF — Long/Short Commodities Strategy Fund		15,726		430,250
Security Equity Fund® — Small Cap Growth Fund*		20,126		307,922
Security Equity Fund® — Small Cap Value Fund*		19,448		303,779
RSF — Commodities Strategy Fund*		13,096		253,022
RSF — Real Estate Fund		5,010		145,601
Total Mutual Funds (Cost $20,232,835)				24,518,318

	Face
	Amount		Value
REPURCHASE AGREEMENT††,2 — 19.7%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	6,070,826	$	6,070,826
Total Repurchase Agreement (Cost $6,070,826)				6,070,826
Total Investments — 99.4% (Cost $26,303,661)			$	30,589,144
Cash & Other Assets, Less Liabilities — 0.6%				188,324
Total Net Assets — 100.0%			$	30,777,468

			Unrealized
	Contracts		Gain (Loss)
FUTURE CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $3,104,937)		47	$	47,056
June 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $674,520)		8		7,595
June 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,516,227)		13		(3,232	)
(Total Aggregate Value of Contracts $5,295,684)			$	51,419

*	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	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 6.
RSF — Rydex Series Funds

16 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

ALL-ASSET MODERATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments in affiliated issuers, at value	$	24,518,318
Repurchase agreements, at value		6,070,826
Total investments		30,589,144
Segregated cash with broker		289,800
Receivables:
Fund shares sold		3,075
Interest		8
Total assets		30,882,027
Liabilities:
Payable for:
Variation margin		12,548
Fund shares redeemed		80,764
Distribution and service fees		11,247
Total liabilities		104,559
Net assets	$	30,777,468
Net assets consist of:
Paid in capital	$	34,012,341
Undistributed net investment income		245,665
Accumulated net realized loss on investments		(7,817,440	)
Net unrealized appreciation on investments		4,336,902
Net assets	$	30,777,468
A-Class:
Net assets	$	8,484,813
Capital shares outstanding		793,654
Net asset value per share	$	10.69
Maximum offering price per share*	$	11.22
C-Class:
Net assets	$	17,814,851
Capital shares outstanding		1,728,493
Net asset value per share	$	10.31
H-Class:
Net assets	$	4,477,804
Capital shares outstanding		418,773
Net asset value per share	$	10.69
Investments in affiliated issuers, at cost	$	20,232,835
Repurchase agreements, at cost		6,070,826
Total cost	$	26,303,661

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends in affiliated issuers	$	300,105
Interest		3,961
Total investment income		304,066
Expenses:
Distribution and service fees:
C-Class		135,183
Total expenses		135,183
Net investment income		168,883
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		1,834,848
Futures contracts		98,807
Realized gain distributions received from affiliated issuers		123,078
Net realized gain		2,056,733
Net change in unrealized appreciation (depreciation) on:
Investments in affiliated issuers		177,902
Futures contracts		51,419
Net change in unrealized appreciation (depreciation)		229,321
Net realized and unrealized gain		2,286,054
Net increase in net assets resulting from operations	$	2,454,937

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 17

ALL-ASSET MODERATE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (decrease) in net assets from operations:
Net investment income	$	168,883		$	187,448
Net realized gain on investments		2,056,733			1,774,617
Net change in unrealized appreciation (depreciation) on investments		229,321			5,927,044
Net increase in net assets resulting from operations		2,454,937			7,889,109
Distributions to shareholders from:
Net investment income
A-Class		(36,863	)a		(181,973	)a
C-Class		(80,363	)a		(353,869	)a
H-Class		(21,060	)a		(114,562	)a
Net realized gains
A-Class		(20,468	)a		(7,728	)a
C-Class		(44,621	)a		(15,027	)a
H-Class		(11,693	)a		(4,865	)a
Total distributions to shareholders		(215,068	)		(678,024	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,264,995			6,093,317
C-Class		4,762,262			6,542,120
H-Class		1,666,855			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		53,429			163,536
C-Class		117,251			349,382
H-Class		32,009			112,274
Cost of shares redeemed
A-Class		(4,409,898	)		(6,164,594	)
C-Class		(7,882,677	)		(9,138,829	)
H-Class		(5,242,983	)		(5,569,956	)
Net decrease from capital share transactions		(8,636,675	)		(2,107,091	)
Net increase (decrease) in net assets		(6,396,806	)		5,103,994
Net assets:
Beginning of year		37,174,274			32,070,280
End of year	$	30,777,468		$	37,174,274
Undistributed net investment income at end of year	$	245,665		$	215,068
Capital share activity:
Shares sold
A-Class		222,647			668,414
C-Class		487,674			739,428
H-Class		163,150			574,958
Shares issued from reinvestment of distributions
A-Class		5,167			16,964
C-Class		11,737			37,241
H-Class		3,096			11,622
Shares redeemed
A-Class		(441,339	)		(674,704	)
C-Class		(822,570	)		(1,026,637	)
H-Class		(525,938	)		(599,341	)
Net decrease in shares		(896,376	)		(252,055	)

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

18 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
A-Class	2011			2010			2009			2008			2007a,b
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		.10			.09			.20			.17			.18
Net gain (loss) on investments (realized and unrealized)		.82			1.99			(2.31	)		(.24	)		.79
Total from investment operations		.92			2.08			(2.11	)		(.07	)		.97
Less distributions from:
Net investment income		(.05	)d		(.17	)d		(.02	)d		(.12	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.12	)d		(.19	)d		(.32	)d
Total distributions		(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—	e		.01			—	e		—	e		.01
Net asset value, end of period	$	10.69		$	9.84		$	7.93		$	10.18		$	10.56
Total Returnf		9.39	%		26.34	%		(20.85	%)		(0.75	%)		9.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,485		$	9,907		$	7,907		$	10,214		$	9,719
Ratios to average net assets:
Net investment income		0.95	%		0.94	%		2.14	%		1.58	%		2.26	%
Total expensesg		—			—			—			0.01	%		—
Portfolio turnover rate		93	%		170	%		220	%		125	%		66	%

													Period
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
C-Class	2011			2010			2009			2008			2007a,b
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 incomec		.02			.02			.11			.10			.11
Net gain (loss) on investments (realized and unrealized)		.80			1.94			(2.25	)		(.24	)		.80
Total from investment operations		.82			1.96			(2.14	)		(.14	)		.91
Less distributions from:
Net investment income		(.05	)d		(.17	)d		(.02	)d		(.12	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.12	)d		(.19	)d		(.32	)d
Total distributions		(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—	e		.01			—	e		—	e		.01
Net asset value, end of period	$	10.31		$	9.56		$	7.77		$	10.05		$	10.50
Total Returnf		8.62	%		25.33	%		(21.42	%)		(1.43	%)		9.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,815		$	19,607		$	17,885		$	30,282		$	18,551
Ratios to average net assets:
Net investment income		0.21	%		0.17	%		1.22	%		0.90	%		1.34	%
Total expensesg		0.75	%		0.75	%		0.75	%		0.76	%		0.75	%
Portfolio turnover rate		93	%		170	%		220	%		125	%		66	%

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 19

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31
H-Class	2011			2010			2009			2008			2007a,b
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		.09			.08			.16			.13			.18
Net gain (loss) on investments (realized and unrealized)		.83			1.99			(2.26	)		(.20	)		.79
Total from investment operations		.92			2.07			(2.10	)		(.07	)		.97
Less distributions from:
Net investment income		(.05	)d		(.17	)d		(.02	)d		(.12	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.12	)d		(.19	)d		(.32	)d
Total distributions		(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—	e		.01			—	e		—	e		.01
Net asset value, end of period	$	10.69		$	9.84		$	7.94		$	10.18		$	10.56
Total Returnf		9.39	%		26.18	%		(20.75	%)		(0.75	%)		9.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,478		$	7,660		$	6,279		$	11,359		$	8,623
Ratios to average net assets:
Net investment income		0.92	%		0.92	%		1.73	%		1.22	%		2.32	%
Total expensesg		—			—			—			0.01	%		—
Portfolio turnover rate		93	%		170	%		220	%		125	%		66	%

a	For the period ended March 31, 2007, 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 per share was computed using average shares outstanding throughout the period.
d	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
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	Does not include expenses of the underlying funds in which the Fund invests.

20 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

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THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2011

ALL-ASSET AGGRESSIVE STRATEGY FUND

OBJECTIVE: Seeks growth of capital.

Inception: June 30, 2006

The Fed was the dominant force in the market for the past 12 months. The year 2010 began with the break out of the sovereign debt crisis in Europe, and equity markets fell off on the news. After a brief recovery during earnings season, the markets were reminded of the European crisis and fell off again. However, the Fed’s announcement of its second quantitative easing policy changed the market sentiment. Beginning in late August, sentiment moved to risk-on. In the meantime, macroeconomic numbers showed the economy was improving. Despite the emergence of the Ireland crisis later and the crisis in other European countries still lingering, the equity and commodities markets ignored these developments, and more than covered the losses from earlier in the year. Short-term bond yields late in the year touched record-low levels. Alternative investment strategies did not shine in this environment, and some momentum strategies that were designed to capture trends quicker actually lost money in the market swings. The economy continued its slow recovery in the first quarter of 2011, as equity markets benefited from extensive liquidity.

For the one-year period ended March 31, 2011, the All-Asset Aggressive Strategy Fund H-Class returned 12.31%, compared with its benchmark (64% Russell 3000^® Index, 16% MSCI EAFE Index and 20% Barclays Capital U.S. Aggregate Bond Index), which ended the year at 14.15%. In the whole period, the Small Cap Growth Fund, Mid Cap Growth Fund and Small Cap Value Fund contributed the most to performance. The International Long Short Select Fund, Equity Market Neutral Fund and Managed Futures Strategy Fund contributed the least to performance.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance displayed represents past performance which is no guarantee of future results.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
RSF — U.S. Long Short Momentum Fund1	13.8	%
Security Equity Fund® — Global Fund1	10.8	%
Security Equity Fund® — Large Cap Concentrated Growth Fund1	10.0	%
Security Large Cap Value Fund1	9.9	%
Security Income Fund — U.S. Intermediate Bond Fund1	9.5	%
RSF — Long Short Interest Rate Strategy Fund1	4.8	%
RSF — Multi-Hedge Strategies Fund1	4.0	%
Security Mid Cap Growth Fund1	3.0	%
Security Equity Fund® — Mid Cap Value Fund1	3.0	%
RSF — Event Driven and Distressed Strategies Fund1	2.5	%
Top Ten Total	71.3	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

RSF — Rydex Series Funds

¹ A-Class shares

22 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance

^† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/11

	A-Class												C-Class									H-Class
	(06/30/06)												(06/30/06)									(06/30/06)
	ONE			ONE			SINCE			SINCE			ONE			ONE			SINCE			ONE			SINCE
	YEAR			YEAR*			INCEPTION			INCEPTION*			YEAR			YEAR**			INCEPTION			YEAR			INCEPTION
ALL-ASSET AGGRESSIVE STRATEGY FUND		12.31	%		7.01	%		3.76	%		2.70	%		11.47	%		10.47	%		2.96	%		12.31	%		3.76	%
S&P 500 INDEX		15.65	%		15.65	%		3.08	%		3.08	%		15.65	%		15.65	%		3.08	%		15.65	%		3.08	%
SYNTHETIC ALL-ASSET AGGRESSIVE STRATEGY BENCHMARK t		14.15	%		14.15	%		4.09	%		4.09	%		14.15	%		14.15	%		4.09	%		14.15	%		4.09	%

*	Fund returns are calculated using the maximum sales charge of 4.75%.
**	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
t	Benchmark reflects 64% Russell 3000® Index, 16% MSCI EAFE Index®, and 20% Barclays Capital U.S. Aggregate Bond Index.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 23

SCHEDULE OF INVESTMENTS March 31, 2011

ALL-ASSET AGGRESSIVE STRATEGY FUND

	Shares		Value
MUTUAL FUNDS†,1 — 80.9%
RSF — U.S. Long Short Momentum Fund*		166,889	$	2,383,168
Security Equity Fund® — Global Fund		155,029		1,851,048
Security Equity Fund® — Large Cap Concentrated Growth Fund		187,782		1,712,576
Security Large Cap Value Fund		218,393		1,696,916
Security Income Fund — U.S. Intermediate Bond Fund		388,311		1,630,906
RSF — Long Short Interest Rate Strategy Fund*		33,310		831,745
RSF — Multi-Hedge Strategies Fund*		31,602		691,462
Security Mid Cap Growth Fund*		59,422		518,157
Security Equity Fund® — Mid Cap Value Fund		14,639		517,187
RSF — Event Driven and Distressed Strategies Fund*		16,283		437,356
RSF — Long Short Equity Strategy Fund*		10,172		270,066
RSF — Alternative Strategies Fund*		10,503		267,509
Security Equity Fund® — Small Cap Growth Fund*		17,037		260,670
Security Equity Fund® — Small Cap Value Fund*		16,549		258,501
RSF — Long/Short Commodities Strategy Fund		8,266		226,171
RSF — Commodities Strategy Fund*		9,002		173,910
Security Income Fund — High Yield Fund		11,682		153,273
RSF — Real Estate Fund		1,830		53,187
Total Mutual Funds (Cost $11,183,455)				13,933,808

	Face
	Amount		Value
REPURCHASE AGREEMENT††,2 — 18.4%
Credit Suisse Group issued 03/31/11 at 0.05% due 04/01/11	$	3,164,433	$	3,164,433
Total Repurchase Agreement (Cost $3,164,433)				3,164,433
Total Investments — 99.3% (Cost $14,347,888)			$	17,098,241
Cash & Other Assets, Less Liabilities — 0.7%				113,144
Total Net Assets — 100.0%			$	17,211,385

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
June 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $2,444,312)		37	$	37,045
June 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $337,260)		4		3,797
June 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $116,633)		1		(1,443	)
(Total Aggregate Value of Contracts $2,898,205)			$	39,399

*	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	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 6. RSF — Rydex Series Funds

24 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2011

Assets:
Investments in affiliated issuers, at value	$	13,933,808
Repurchase agreements, at value		3,164,433
Total investments		17,098,241
Segregated cash with broker		199,600
Receivables:
Fund shares sold		6,179
Interest		5
Total assets		17,304,025
Liabilities:
Payable for:
Variation margin		6,946
Fund shares redeemed		81,186
Distribution and service fees		4,508
Total liabilities		92,640
Net assets	$	17,211,385
Net assets consist of:
Paid in capital	$	18,058,634
Undistributed net investment income		106,401
Accumulated net realized loss on investments		(3,743,402	)
Net unrealized appreciation on investments		2,789,752
Net assets	$	17,211,385
A-Class:
Net assets	$	7,133,659
Capital shares outstanding		685,865
Net asset value per share	$	10.40
Maximum offering price per share*	$	10.92
C-Class:
Net assets	$	7,134,859
Capital shares outstanding		712,988
Net asset value per share	$	10.01
H-Class:
Net assets	$	2,942,867
Capital shares outstanding		283,055
Net asset value per share	$	10.40	*
Investments in affiliated issuers, at cost	$	11,183,455
Repurchase agreements, at cost		3,164,433
Total cost	$	14,347,888

STATEMENT OF OPERATIONS

Year Ended March 31, 2011

Investment Income:
Dividends from affiliated issuers	$	108,515
Interest		1,784
Total investment income		110,299
Expenses:
Distribution and service fees:
C-Class		49,896
Total expenses		49,896
Net investment income		60,403
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		542,878
Futures contracts		204,452
Realized gain distributions received from affiliated issuers		77,636
Net realized gain		824,966
Net change in unrealized appreciation (depreciation) on:
Investments in affiliated issuers		875,901
Futures contracts		39,399
Net change in unrealized appreciation (depreciation)		915,300
Net realized and unrealized gain		1,740,266
Net increase in net assets resulting from operations	$	1,800,669

* Net asset value adjusted for the maximum sales charge of 4.75% of offering price, calculated NAV/(1-4.75%).

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 25

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2011			2010
Increase (decrease) in net assets from operations:
Net investment income	$	60,403		$	39,936
Net realized gain on investments		824,966			1,891,926
Net change in unrealized appreciation (depreciation) on investments		915,300			2,476,505
Net increase in net assets resulting from operations		1,800,669			4,408,367
Distributions to shareholders from:
Net investment income
A-Class		(4,100	)a		(70,250	)a
C-Class		(4,071	)a		(70,882	)a
H-Class		(1,726	)a		(37,616	)a
Net realized gains
A-Class		(19,053	)a		(6,272	)a
C-Class		(18,922	)a		(6,329	)a
H-Class		(8,023	)a		(3,358	)a
Total distributions to shareholders		(55,895	)		(194,707	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,068,087			2,124,848
C-Class		1,443,010			2,646,769
H-Class		1,350,482			1,506,274
Redemption fees collected
A-Class		121			796
C-Class		128			776
H-Class		62			436
Distributions reinvested
A-Class		14,520			45,349
C-Class		21,423			73,772
H-Class		9,658			40,849
Cost of shares redeemed
A-Class		(2,185,888	)		(2,799,013	)
C-Class		(2,074,277	)		(1,875,260	)
H-Class		(2,331,122	)		(2,124,552	)
Net decrease from capital share transactions		(1,683,796	)		(358,956	)
Net increase in net assets		60,978			3,854,704
Net assets:
Beginning of year		17,150,407			13,295,703
End of year	$	17,211,385		$	17,150,407
Undistributed net investment income at end of year	$	106,401		$	55,895
Capital share activity:
Shares sold
A-Class		215,657			243,697
C-Class		155,387			316,405
H-Class		140,593			176,531
Shares issued from reinvestment of distributions
A-Class		1,455			5,005
C-Class		2,227			8,383
H-Class		968			4,509
Shares redeemed
A-Class		(226,325	)		(325,847	)
C-Class		(228,788	)		(225,023	)
H-Class		(249,441	)		(254,656	)
Net decrease in shares		(188,267	)		(50,996	)

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

26 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011			2010			2009			2008			2007a,b
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		.07			.05			.12			.11			.24
Net gain (loss) on investments (realized and unrealized)		1.07			2.37			(2.60	)		(.48	)		.77
Total from investment operations		1.14			2.42			(2.48	)		(.37	)		1.01
Less distributions from:
Net investment income		(.01	)d		(.10	)d		(.22	)d		(.06	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.01	)d		(.16	)d		(.64	)d
Total distributions		(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—	e		—	e		—	e		—	e		.01
Net asset value, end of period	$	10.40		$	9.29		$	6.98		$	9.69		$	10.28
Total Returnf		12.31	%		34.67	%		(25.81	%)		(3.77	%)		10.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,134		$	6,457		$	5,389		$	8,596		$	13,854
Ratios to average net assets:
Net investment income		0.70	%		0.55	%		1.40	%		1.01	%		3.11	%
Total expensesg		—			—			0.02	%		0.01	%		—
Portfolio turnover rate		97	%		185	%		278	%		120	%		92	%

													Period
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011			2010			2009			2008			2007a,b
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		(.01	)		(.02	)		.05			.06			(.03	)
Net gain (loss) on investments (realized and unrealized)		1.04			2.32			(2.56	)		(.50	)		.98
Total from investment operations		1.03			2.30			(2.51	)		(.44	)		.95
Less distributions from:
Net investment income		(.01	)d		(.10	)d		(.22	)d		(.06	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.01	)d		(.16	)d		(.64	)d
Total distributions		(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—	e		—	e		—	e		—	e		.01
Net asset value, end of period	$	10.01		$	9.01		$	6.82		$	9.56		$	10.22
Total Returnf		11.47	%		33.72	%		(26.48	%)		(4.48	%)		9.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,135		$	7,063		$	4,667		$	6,178		$	6,537
Ratios to average net assets:
Net investment income (loss)		(0.09	%)		(0.21	%)		0.59	%		0.60	%		(0.34	%)
Total expensesg		0.75	%		0.75	%		0.77	%		0.76	%		0.75	%
Portfolio turnover rate		97	%		185	%		278	%		120	%		92	%

See Notes to Financial Statements. THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 27

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
	Year Ended			Year Ended			Year Ended			Year Ended			Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011			2010			2009			2008			2007a,b
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		.06			.04			.11			.08			.15
Net gain (loss) on investments (realized and unrealized)		1.08			2.39			(2.60	)		(.46	)		.87
Total from investment operations		1.14			2.43			(2.49	)		(.38	)		1.02
Less distributions from:
Net investment income		(.01	)d		(.10	)d		(.22	)d		(.06	)d		(.10	)d
Net realized gains		(.02	)d		(.01	)d		(.01	)d		(.16	)d		(.64	)d
Total distributions		(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—	e		—	e		—	e		—	e		.01
Net asset value, end of period	$	10.40		$	9.29		$	6.97		$	9.69		$	10.29
Total Returnf		12.31	%		34.86	%		(25.92	%)		(3.87	%)		10.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,943		$	3,630		$	3,240		$	4,447		$	6,486
Ratios to average net assets:
Net investment income		0.66	%		0.53	%		1.22	%		0.80	%		1.94	%
Total expensesg		—			—			0.02	%		0.01	%		—
Portfolio turnover rate		97	%		185	%		278	%		120	%		92	%

a	For the period ended March 31, 2007, 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 (loss) per share was computed using average shares outstanding throughout the period.
d	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
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	Does not include expenses of the underlying funds in which the Fund invests.

28 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT See Notes to Financial Statements.

NOTES TO FINANCIAL STATEMENTS

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 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. 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 12 months of purchase.

At March 31, 2011, 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 each Fund seeks to achieve its investment objective by investing primarily in a combination of mutual funds (the underlying funds), within the same group of affiliated investment companies and exchange-traded funds (“ETFs”) instead of in individual securities. The underlying funds are advised by Security Investors, LLC (doing business as “Security Global Investors” (“SGI”)). SGI is an indirect, wholly-owned subsidiary of Security Benefit Corporation.

At March 31, 2011, only A-Class, C-Class and H-Class shares have been issued by the Funds. Prior to September 13, 2010, all classes were subject to a 1% redemption fee when shares were redeemed within 30 days of purchase. Effective September 13, 2010, the redemption fee was removed.

SGI provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. SGI, RFS and RDL 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. The underlying funds 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. Short-term securities with a maturity of 60 days or less are valued at amortized cost, which approximates market value.

B. 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 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 pm, 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.

C. 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. Distributions received from investments in the underlying funds are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

D. 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.

E. The Funds invested in equity and interest rate futures contracts for liquidity and index exposure. 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

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 29

NOTES TO FINANCIAL STATEMENTS (continued)

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.

F. 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.

G. 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.

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.

The Funds are subject to a fund of funds risk. By investing in the underlying funds indirectly through the Fund, an investor will incur not only a proportionate share of the expenses of the underlying funds held by the Fund (including operating costs and management fees), but also expenses of the Fund. Consequently, an investment in the Fund entails more direct and indirect expenses than a direct investment in the underlying funds.

In conjunction with the use of futures contracts, 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 futures contracts 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 counter-party 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. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles require 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.

During the year ended March 31, 2011, the Funds sought to gain exposure to their respective benchmarks by investing in equity and interest rate derivative instruments. 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:

30 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

	Approximate percentage of Fund’s
Fund	net assets on a daily basis
All-Asset Conservative Strategy Fund		15	%
All-Asset Moderate Strategy Fund		15	%
All-Asset Aggressive Strategy Fund		15	%

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2011:

	Location on the Statements of Assets and Liabilities
Derivative Investments Type	Asset Derivatives	Liability Derivatives
Equity/Interest rate contracts	Variation margin	Variation margin

The following table sets forth the fair value of the Funds’ derivative contracts by primary risk exposure at March 31, 2011:

	Asset Derivative Investments Value
	Futures		Futures
	Equity		Interest Rate		Total Value at
Fund	Contracts*		Contracts*		March 31, 2011
All-Asset Conservative Strategy Fund	$	12,808	$	—	$	12,808
All-Asset Moderate Strategy Fund		54,651		—		54,651
All-Asset Aggressive Strategy Fund		40,842		—		40,842

	Liability Derivative Investments Value
	Futures		Futures
	Equity		Interest Rate		Total Value at
Fund	Contracts*		Contracts*		March 31, 2011
All-Asset Conservative Strategy Fund	$	—	$	3,367	$	3,367
All-Asset Moderate Strategy Fund		—		3,232		3,232
All-Asset Aggressive Strategy Fund		—		1,443		1,443

*	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.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2011:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest rate contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts

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 for the year ended March 31, 2011:

Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations
	Futures		Futures
	Equity		Interest Rate
Fund	Contracts		Contracts			Total
All-Asset Conservative Strategy Fund	$	76,707	$	(96,724	)	$	(20,017	)
All-Asset Moderate Strategy Fund		216,070		(117,263	)		98,807
All-Asset Aggressive Strategy Fund		227,170		(22,718	)		204,452

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 31

NOTES TO FINANCIAL STATEMENTS (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations
	Futures		Futures
	Equity		Interest Rate
Fund	Contracts		Contracts			Total
All-Asset Conservative Strategy Fund	$	12,808	$	(3,367	)	$	9,441
All-Asset Moderate Strategy Fund		54,651		(3,232	)		51,419
All-Asset Aggressive Strategy Fund		40,842		(1,443	)		39,399

4. Fees and Other Transactions with Affiliates

SGI 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 SGI a management fee. As part of its agreement with the Trust, SGI 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.

RFS provides transfer agent, accounting and administrative services to the Funds. However, the related fees are paid by SGI, 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 RDL and other firms that provide distribution services (“Service Providers”). The underlying funds will pay distribution fees to RDL 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, RDL 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.

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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the year ended March 31, 2011, RDL retained sales charges of $606,415 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

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 2008-2011), 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.

32 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2011, the following Funds offset net realized capital gains with capital losses from previous years:

Fund	Amount
All-Asset Conservative Strategy Fund	$	519,123
All-Asset Moderate Strategy Fund		451,455
All-Asset Aggressive Strategy Fund		309,551

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
All-Asset Conservative Strategy Fund	$	135,363	$	—	$	135,363
All-Asset Moderate Strategy Fund		215,068		—		215,068
All-Asset Aggressive Strategy Fund		55,895		—		55,895

The tax character of distributions paid during the year ended March 31, 2010 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
All-Asset Conservative Strategy Fund	$	269,875	$	—	$	269,875
All-Asset Moderate Strategy Fund		678,024		—		678,024
All-Asset Aggressive Strategy Fund		194,707		—		194,707

The tax character of distributable earnings/(accumulated losses) at March 31, 2011 was as follows:

	Undistributed		Undistributed
	Ordinary		Long-Term		Net Unrealized		Capital Loss
Fund	Income		Capital Gain		Appreciation		Carryforward		1
All-Asset Conservative Strategy Fund	$	181,984	$	—	$	1,554,955	$	(1,730,844	)
All-Asset Moderate Strategy Fund		245,665		—		3,891,739		(7,372,277	)
All-Asset Aggressive Strategy Fund		106,401		—		2,342,060		(3,295,710	)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹ A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

										Total
	Expires in			Expires in			Expires in			Capital Loss
Fund	2016			2017			2018			Carryforward
All-Asset Conservative Strategy Fund	$	—		$	(566,247	)	$	(1,164,597	)	$	(1,730,844	)
All-Asset Moderate Strategy Fund		—			(3,987,917	)		(3,384,360	)		(7,372,277	)
All-Asset Aggressive Strategy Fund		(34,076	)		(1,832,491	)		(1,429,143	)		(3,295,710	)
At March 31, 2011, 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
All-Asset Conservative Strategy Fund	$	12,436,362		$	1,564,074		$	(9,119	)	$	1,554,955
All-Asset Moderate Strategy Fund		26,697,405			3,922,218			(30,479	)		3,891,739
All-Asset Aggressive Strategy Fund		14,756,181			2,352,916			(10,856	)		2,342,060

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.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 33

NOTES TO FINANCIAL STATEMENTS (continued)

The repurchase agreements executed by the joint account and outstanding at March 31, 2011, were as follows:

Counterparty	Terms of Agreement	Face Value		Market Value		Repurchase Price
Credit Suisse Group	0.05% due 04/01/11	$	83,257,483	$	83,257,483	$	83,257,599

At March 31, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Security Type	Maturity Date		Rate			Par Value		Market Value
U.S. Treasury Note		09/30/2012		0.38	%	$	85,134,600	$	84,922,636

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 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 March 31, 2011:

	Level 1		Level 1		Level 2
	Investments		Other Financial		Investments
Fund	In Securities		Instruments*		In Securities		Total
Assets
All-Asset Conservative Strategy Fund	$	10,922,072	$	12,808	$	3,069,245	$	14,004,125
All-Asset Moderate Strategy Fund		24,518,318		54,651		6,070,826		30,643,795
All-Asset Aggressive Strategy Fund		13,933,808		40,842		3,164,433		17,139,083
Liabilities
All-Asset Conservative Strategy Fund		—		3,367		—		3,367
All-Asset Moderate Strategy Fund		—		3,232		—		3,232
All-Asset Aggressive Strategy Fund		—		1,443		—		1,443

* Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end.

The Funds adopted updated provisions surrounding fair value measurements and disclosures effective April 1, 2010. This update applies to the Funds’ disclosures about transfers in and out of all levels of the fair value hierarchy and the reasons for the transfers as well as disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 of the fair value hierarchy. Effective for interim and annual periods

34 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

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.

For the year ended March 31, 2011, there were no significant transfers between Levels.

8. Securities Transactions

During the year ended March 31, 2011, 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		$  14,506,949		$  26,904,239		$  14,375,578
Sales		$  19,767,362		$  40,724,337		$  18,525,270

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, 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. As of and for the year ended March 31, 2011, the Funds did not have any borrowings under this agreement.

10. 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 did not 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 agreement with the Investment Adviser (the “Previous Agreement”). The new investment advisory agreement (“New Agreement”) was approved by Fund shareholders in a series of special meetings of shareholders. The terms of the New Agreement are substantially identical to the corresponding Previous Agreement, except with respect to the date of execution.

11. 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.

12. Investment Advisor Merger

Effective January 3, 2011, Rydex Advisors, LLC, the Funds’ investment advisor merged with and into Security Investors, LLC, which operates under the name SGI.

The foregoing internal restructuring did not affect the investment advisory services rendered to the Funds, which continue to be managed on a day-to-day basis by the same teams of portfolio managers. The investment philosophies, strategies, and processes of the Funds also remained the same.

In order to implement the restructuring, technical amendments were made to the Funds’ investment advisory agreements with Rydex Advisors, LLC, in order to reflect the change of the identity of the investment adviser. No other changes were made to the investment advisory agreements of the Funds, and the fees and expenses of the Funds remained the same.

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 35

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders
of Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the All-Asset Conservative Strategy Fund, All-Asset Moderate Strategy Fund, and All-Asset Aggressive Strategy Fund (three of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended and the period June 30, 2006 (commencement of operations) through March 31, 2007. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2011, by correspondence with the transfer agent of the underlying funds and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the four years in the period then ended and the period June 30, 2006 (commencement of operations) through March 31, 2007, in conformity with U.S. generally accepted accounting principles.

McLean, Virginia
May 26, 2011

36 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2011, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
All-Asset Conservative Strategy Fund		5.75	%
All-Asset Moderate Strategy Fund		12.58	%
All-Asset Aggressive Strategy Fund		35.63	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
All-Asset Conservative Strategy Fund		5.99	%
All-Asset Moderate Strategy Fund		12.80	%
All-Asset Aggressive Strategy Fund		35.77	%

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.

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.

Change of Address

Effective on January 17, 2011, the RYDEX | SGI office moved to Four Irvington Centre, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

Office Locations

The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 37

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, 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 Security Global Investors, 805 King Farm Boulevard, Suite 600, 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	148
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	148
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	148
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	148
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	148
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	148
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	148
Trustee (1944)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003
Principal Occupations During Past Five Years: Owner, Arrow Limousine

38 | THE RYDEX|SGI SERIES TRUST 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)
Nikolaos Bonos* Vice President and Treasurer (1963)	Senior Vice President, Security Investors, LLC and Vice President, Security Benefit Asset Management Holdings, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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 Haigney* Chief Compliance Officer and Secretary (1966)	Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President and Chief Compliance Officer, Security Investors, LLC (2010 to present); Senior Vice President, Security Global Investors, LLC (2010 to 2011); 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)

THE RYDEX|SGI SERIES TRUST ANNUAL REPORT | 39

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS — concluded

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Keith A. 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)
Amy J. 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 M. Arruda* Assistant Treasurer (1966)	Vice President, Security Investors, LLC (2010 to present); Vice President, Security Global Investors, LLC (2010 to 2011); 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)

* 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.

40 | THE RYDEX|SGI SERIES TRUST ANNUAL REPORT

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSEP-ANN-0311x0312

Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that Werner Keller, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.

(a)-(d) The aggregate Audit Fees billed by the Trust’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended March 31, 2011 and March 31, 2010 were $960,156 and $935,845, respectively. The aggregate Audit Related Fees by the Trust’s principal accountant billed for the fiscal years ended March 31, 2011 and March 31, 2010 were $20,889 and $31,875, respectively. The aggregate Tax Fees billed by the Trust’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended March 31, 2011 and March 31, 2010 were $0 and $0, respectively.

(e) The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $47,000 and $75,000, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. As such, the audit committee has considered these services in maintaining the principal accountant’s independence.

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 June 7, 2011, 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 Security Investors, LLC, d/b/a Security Global Investors (“SGI” 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 SGI 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 SGI, 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 SGI’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)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.

(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the 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. GoldmanRichard M. Goldman, President
Date June 7, 2011

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. GoldmanRichard M. Goldman, President
Date June 7, 2011
By (Signature and Title)*	/s/ Nikolaos BonosNikolaos Bonos, Vice President and Treasurer
Date June 7, 2011

^* Print the name and title of each signing officer under his or her signature.