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)
Donald C. Cacciapaglia, 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: September 30, 2012
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.
DOMESTIC EQUITY FUNDS
NOVA FUND
S&P 500 FUND
INVERSE S&P 500 STRATEGY FUND
NASDAQ-100® FUND
INVERSE NASDAQ-100® STRATEGY FUND
MID-CAP 1.5x STRATEGY FUND
INVERSE MID-CAP STRATEGY FUND
RUSSELL 2000® 1.5x STRATEGY FUND
RUSSELL 2000® FUND
INVERSE RUSSELL 2000® STRATEGY FUND
S&P 500 PURE GROWTH FUND
S&P 500 PURE VALUE FUND
S&P MIDCAP 400 PURE GROWTH FUND
S&P MIDCAP 400 PURE VALUE FUND
S&P SMALLCAP 600 PURE GROWTH FUND
S&P SMALLCAP 600 PURE VALUE FUND
INTERNATIONAL EQUITY FUNDS
EUROPE 1.25x STRATEGY FUND
JAPAN 2x STRATEGY FUND
SPECIALTY FUNDS
STRENGTHENING DOLLAR 2x STRATEGY FUND
WEAKENING DOLLAR 2x STRATEGY FUND
REAL ESTATE FUND
FIXED INCOME FUNDS
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
HIGH YIELD STRATEGY FUND
INVERSE HIGH YIELD STRATEGY FUND
MONEY MARKET FUND
U.S. GOVERNMENT MONEY MARKET FUND
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TABLE OF CONTENTS
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1
September 30, 2012
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for an extensive selection of our mutual funds (the “Funds”).
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
This report covers performance for the semiannual period ended September 30, 2012.
Rydex Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions; as of the date of this report we offer a wide range of domestic and global themes in our funds and a distinctive ETF line-up.
To learn more about economic and market conditions affecting the six months ending September 30, 2012, we encourage you to read the Economic and Market Overview section of the report. That and the six-month performance of each Fund follow this letter.
Sincerely,
Donald C. Cacciapaglia
President
October 31, 2012
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 guggenheiminvestments.com or call 800.820.0888.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT
| ECONOMIC AND MARKET OVERVIEW | September 30, 2012 |
Amidst the negative headlines concerning the potential fiscal cliff in the U.S., further turmoil in Europe and worsening economic data from China, the U.S. economy has shown surprising resilience, with signs of rising consumer sentiment and a recovery in housing. The U.S. housing market appears to have passed its bottom and real estate prices have begun to pick up. Our expectation is that a period of continued low interest rates will likely reinforce the rise in home prices and sales. Rising home prices will increase household net worth, which will translate into greater consumption via the wealth effect, and is supportive of overall economic growth. The recent rise in headline inflation, led by increases in energy and food prices, is likely to be transitory. Inflationary pressures should remain muted in the medium-term given the substantial slack in the economy.
The U.S. economy continues to press forward despite the current headwinds, and we believe the current macroeconomic environment remains constructive for risk assets, especially in the U.S. Stocks in the U.S. appear to be undervalued by most measures, and should benefit from continued capital inflow and the Federal Reserve’s accommodative monetary policy. We continue to see attractive value in credit products on a relative basis. This positive outlook for fixed income, however, is limited to spread (or non-government) sectors. Treasury prices, particularly in the ten-year segment, appear rich. As a result, Treasuries are not a significant holding in the portfolios.
On the international front, uncertainty continues to weigh on European markets. European policymakers appear to be coming closer to a consensus on the need for a fiscal union, albeit at a glacial pace. This would be a positive development in our view and is necessary for a resolution of the current crisis. In China, a recent batch of economic data suggests that the odds of a hard landing have increased materially. We expect an announcement of additional stimulus measures after the government transition next year, but not on the scale of the previous round of stimulus from 2009. Although a stimulus would be supportive of economic growth, we expect China’s headline growth to slow from its breakneck pace of the past decade.
For the period covered by this report, the broad U.S. stock and bond markets have been, much like the economy, slowly moving up. The Standard & Poor’s 500 Index (the “S&P 500”)*, which is generally regarded as an indicator of the broad U.S. stock market, closed at a four-year high during September, and for the period returned 3.43% (all returns cited are for the 6-month period ended September 30, 2012). Foreign equity markets were weaker. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index*, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned -0.70%. The MSCI Emerging Markets Index*, which measures stock market performance in global emerging markets, returned -1.84%.
The search for yield continued to attract investors to the U.S. bond market, helping performance, with lower-rated bonds outperforming higher-quality issues. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, returned 3.68%, while return of the Barclays U.S. Corporate High Yield Index* was 6.45%.
Reflecting the Federal Reserve’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06%.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
All indices described are unmanaged and reflect no expenses. It is not possible to invest directly in any index.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Standard & Poor’s 500 Index (the “S&P 500”) is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%– in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| | | Index | | | 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 FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2012 and ending September 30, 2012.
The following tables illustrate a Fund’s costs in two ways:
Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| Nova Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.24 | % | | | 4.40 | % | | $ | 1,000.00 | | | $ | 1,044.00 | | | $ | 6.34 | |
| Advisor Class | | | 1.74 | % | | | 4.19 | % | | | 1,000.00 | | | | 1,041.90 | | | | 8.88 | |
| A-Class | | | 1.49 | % | | | 4.26 | % | | | 1,000.00 | | | | 1,042.60 | | | | 7.61 | |
| C-Class | | | 2.24 | % | | | 3.87 | % | | | 1,000.00 | | | | 1,038.70 | | | | 11.42 | |
| S&P 500 Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 2.62 | % | | | 1,000.00 | | | | 1,026.20 | | | | 7.55 | |
| C-Class | | | 2.25 | % | | | 2.27 | % | | | 1,000.00 | | | | 1,022.70 | | | | 11.38 | |
| H-Class | | | 1.49 | % | | | 2.66 | % | | | 1,000.00 | | | | 1,026.60 | | | | 7.55 | |
| Inverse S&P 500 Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.39 | % | | | (4.67 | %) | | | 1,000.00 | | | | 953.30 | | | | 6.79 | |
| Advisor Class | | | 1.89 | % | | | (4.93 | %) | | | 1,000.00 | | | | 950.70 | | | | 9.22 | |
| A-Class | | | 1.64 | % | | | (4.81 | %) | | | 1,000.00 | | | | 951.90 | | | | 8.00 | |
| C-Class | | | 2.39 | % | | | (5.18 | %) | | | 1,000.00 | | | | 948.20 | | | | 11.64 | |
| NASDAQ-100® Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.24 | % | | | 1.79 | % | | | 1,000.00 | | | | 1,017.90 | | | | 6.26 | |
| Advisor Class | | | 1.75 | % | | | 1.50 | % | | | 1,000.00 | | | | 1,015.00 | | | | 8.82 | |
| A-Class | | | 1.49 | % | | | 1.64 | % | | | 1,000.00 | | | | 1,016.40 | | | | 7.51 | |
| C-Class | | | 2.24 | % | | | 1.31 | % | | | 1,000.00 | | | | 1,013.10 | | | | 11.27 | |
| Inverse NASDAQ-100® Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.42 | % | | | (4.05 | %) | | | 1,000.00 | | | | 959.50 | | | | 6.96 | |
| Advisor Class | | | 1.92 | % | | | (4.11 | %) | | | 1,000.00 | | | | 958.90 | | | | 9.40 | |
| A-Class | | | 1.67 | % | | | (4.04 | %) | | | 1,000.00 | | | | 959.60 | | | | 8.18 | |
| C-Class | | | 2.42 | % | | | (4.33 | %) | | | 1,000.00 | | | | 956.70 | | | | 11.84 | |
| Mid-Cap 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | (1.16 | %) | | | 1,000.00 | | | | 988.40 | | | | 8.15 | |
| C-Class | | | 2.39 | % | | | (1.54 | %) | | | 1,000.00 | | | | 984.60 | | | | 11.86 | |
| H-Class | | | 1.64 | % | | | (1.16 | %) | | | 1,000.00 | | | | 988.40 | | | | 8.15 | |
| Inverse Mid-Cap Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | (2.42 | %) | | | 1,000.00 | | | | 975.80 | | | | 8.10 | |
| C-Class | | | 2.39 | % | | | (2.81 | %) | | | 1,000.00 | | | | 971.90 | | | | 11.78 | |
| H-Class | | | 1.64 | % | | | (2.42 | %) | | | 1,000.00 | | | | 975.80 | | | | 8.10 | |
| Russell 2000® 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.71 | % | | | 1.18 | % | | | 1,000.00 | | | | 1,011.80 | | | | 8.60 | |
| C-Class | | | 2.46 | % | | | 0.81 | % | | | 1,000.00 | | | | 1,008.10 | | | | 12.35 | |
| H-Class | | | 1.70 | % | | | 1.21 | % | | | 1,000.00 | | | | 1,012.10 | | | | 8.55 | |
| Russell 2000® Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.50 | % | | | 0.85 | % | | | 1,000.00 | | | | 1,008.50 | | | | 7.53 | |
| C-Class | | | 2.28 | % | | | 0.41 | % | | | 1,000.00 | | | | 1,004.10 | | | | 11.42 | |
| H-Class | | | 1.48 | % | | | 0.92 | % | | | 1,000.00 | | | | 1,009.20 | | | | 7.43 | |
| Inverse Russell 2000® Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | (4.07 | %) | | | 1,000.00 | | | | 959.30 | | | | 8.42 | |
| C-Class | | | 2.48 | % | | | (4.39 | %) | | | 1,000.00 | | | | 956.10 | | | | 12.13 | |
| H-Class | | | 1.76 | % | | | (3.95 | %) | | | 1,000.00 | | | | 960.50 | | | | 8.63 | |
| S&P 500 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | (0.43 | %) | | | 1,000.00 | | | | 995.70 | | | | 7.43 | |
| C-Class | | | 2.24 | % | | | (0.77 | %) | | | 1,000.00 | | | | 992.30 | | | | 11.16 | |
| H-Class | | | 1.49 | % | | | (0.43 | %) | | | 1,000.00 | | | | 995.70 | | | | 7.43 | |
| S&P 500 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | (1.72 | %) | | | 1,000.00 | | | | 982.80 | | | | 7.39 | |
| C-Class | | | 2.24 | % | | | (2.08 | %) | | | 1,000.00 | | | | 979.20 | | | | 11.08 | |
| H-Class | | | 1.49 | % | | | (1.72 | %) | | | 1,000.00 | | | | 982.80 | | | | 7.39 | |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| S&P MidCap 400 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | (0.48 | %) | | $ | 1,000.00 | | | $ | 995.20 | | | $ | 7.38 | |
| C-Class | | | 2.23 | % | | | (0.85 | %) | | | 1,000.00 | | | | 991.50 | | | | 11.10 | |
| H-Class | | | 1.48 | % | | | (0.48 | %) | | | 1,000.00 | | | | 995.20 | | | | 7.38 | |
| S&P MidCap 400 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | (3.69 | %) | | | 1,000.00 | | | | 963.10 | | | | 7.26 | |
| C-Class | | | 2.24 | % | | | (4.07 | %) | | | 1,000.00 | | | | 959.30 | | | | 10.97 | |
| H-Class | | | 1.49 | % | | | (3.69 | %) | | | 1,000.00 | | | | 963.10 | | | | 7.31 | |
| S&P SmallCap 600 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 1.00 | % | | | 1,000.00 | | | | 1,010.00 | | | | 7.49 | |
| C-Class | | | 2.24 | % | | | 0.61 | % | | | 1,000.00 | | | | 1,006.10 | | | | 11.23 | |
| H-Class | | | 1.49 | % | | | 1.03 | % | | | 1,000.00 | | | | 1,010.30 | | | | 7.49 | |
| S&P SmallCap 600 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 0.29 | % | | | 1,000.00 | | | | 1,002.90 | | | | 7.46 | |
| C-Class | | | 2.24 | % | | | (0.06 | %) | | | 1,000.00 | | | | 999.40 | | | | 11.20 | |
| H-Class | | | 1.49 | % | | | 0.29 | % | | | 1,000.00 | | | | 1,002.90 | | | | 7.46 | |
| Europe 1.25x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.65 | % | | | 1.99 | % | | | 1,000.00 | | | | 1,019.90 | | | | 8.33 | |
| C-Class | | | 2.40 | % | | | 1.56 | % | | | 1,000.00 | | | | 1,015.60 | | | | 12.09 | |
| H-Class | | | 1.65 | % | | | 2.07 | % | | | 1,000.00 | | | | 1,020.70 | | | | 8.34 | |
| Japan 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | (15.28 | %) | | | 1,000.00 | | | | 847.20 | | | | 6.83 | |
| C-Class | | | 2.23 | % | | | (15.61 | %) | | | 1,000.00 | | | | 843.90 | | | | 10.28 | |
| H-Class | | | 1.48 | % | | | (15.30 | %) | | | 1,000.00 | | | | 847.00 | | | | 6.83 | |
| Strengthening Dollar 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.61 | % | | | (0.15 | %) | | | 1,000.00 | | | | 998.50 | | | | 8.04 | |
| C-Class | | | 2.36 | % | | | (0.47 | %) | | | 1,000.00 | | | | 995.30 | | | | 11.77 | |
| H-Class | | | 1.64 | % | | | (0.07 | %) | | | 1,000.00 | | | | 999.30 | | | | 8.20 | |
| Weakening Dollar 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.60 | % | | | (2.69 | %) | | | 1,000.00 | | | | 973.10 | | | | 7.89 | |
| C-Class | | | 2.33 | % | | | (3.04 | %) | | | 1,000.00 | | | | 969.60 | | | | 11.47 | |
| H-Class | | | 1.57 | % | | | (2.69 | %) | | | 1,000.00 | | | | 973.10 | | | | 7.74 | |
| Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.59 | % | | | 4.86 | % | | | 1,000.00 | | | | 1,048.60 | | | | 8.14 | |
| C-Class | | | 2.34 | % | | | 4.42 | % | | | 1,000.00 | | | | 1,044.20 | | | | 11.96 | |
| H-Class | | | 1.60 | % | | | 4.83 | % | | | 1,000.00 | | | | 1,048.30 | | | | 8.19 | |
| Government Long Bond 1.2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 0.93 | % | | | 16.34 | % | | | 1,000.00 | | | | 1,163.40 | | | | 5.03 | |
| Advisor Class | | | 1.43 | % | | | 16.04 | % | | | 1,000.00 | | | | 1,160.40 | | | | 7.72 | |
| A-Class | | | 1.17 | % | | | 16.25 | % | | | 1,000.00 | | | | 1,162.50 | | | | 6.33 | |
| C-Class | | | 1.93 | % | | | 15.73 | % | | | 1,000.00 | | | | 1,157.30 | | | | 10.41 | |
| Inverse Government Long Bond Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 3.08 | % | | | (12.93 | %) | | | 1,000.00 | | | | 870.70 | | | | 14.40 | |
| Advisor Class | | | 3.59 | % | | | (13.11 | %) | | | 1,000.00 | | | | 868.90 | | | | 16.77 | |
| A-Class | | | 3.47 | % | | | (13.03 | %) | | | 1,000.00 | | | | 869.70 | | | | 16.22 | |
| C-Class | | | 4.23 | % | | | (13.29 | %) | | | 1,000.00 | | | | 867.10 | | | | 19.74 | |
| High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 6.32 | % | | | 1,000.00 | | | | 1,063.20 | | | | 7.69 | |
| C-Class | | | 2.28 | % | | | 5.88 | % | | | 1,000.00 | | | | 1,058.80 | | | | 11.74 | |
| H-Class | | | 1.51 | % | | | 6.29 | % | | | 1,000.00 | | | | 1,062.90 | | | | 7.79 | |
| Inverse High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.47 | % | | | (7.99 | %) | | | 1,000.00 | | | | 920.10 | | | | 7.06 | |
| C-Class | | | 2.23 | % | | | (8.31 | %) | | | 1,000.00 | | | | 916.90 | | | | 10.69 | |
| H-Class | | | 1.48 | % | | | (7.97 | %) | | | 1,000.00 | | | | 920.30 | | | | 7.11 | |
| U.S. Government Money Market Fund | | | | | | | | | | | | | | | | | | | | |
| Money Market Class | | | 0.18 | % | | | 0.00 | % | | | 1,000.00 | | | | 1,000.00 | | | | 0.90 | |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | | | | | |
| Nova Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.24 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,018.80 | | | $ | 6.26 | |
| Advisor Class | | | 1.74 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.30 | | | | 8.77 | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| S&P 500 Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.25 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.75 | | | | 11.33 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| Inverse S&P 500 Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.05 | | | | 7.01 | |
| Advisor Class | | | 1.89 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.55 | | | | 9.52 | |
| A-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| C-Class | | | 2.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.05 | | | | 12.03 | |
| NASDAQ-100® Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.80 | | | | 6.26 | |
| Advisor Class | | | 1.75 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.25 | | | | 8.82 | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| Inverse NASDAQ-100® Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.42 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.90 | | | | 7.16 | |
| Advisor Class | | | 1.92 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.40 | | | | 9.67 | |
| A-Class | | | 1.67 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.65 | | | | 8.42 | |
| C-Class | | | 2.42 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.90 | | | | 12.18 | |
| Mid-Cap 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| C-Class | | | 2.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.05 | | | | 12.03 | |
| H-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| Inverse Mid-Cap Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| C-Class | | | 2.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.05 | | | | 12.03 | |
| H-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| Russell 2000® 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.71 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.45 | | | | 8.62 | |
| C-Class | | | 2.46 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.70 | | | | 12.38 | |
| H-Class | | | 1.70 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.50 | | | | 8.57 | |
| Russell 2000® Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.50 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.50 | | | | 7.57 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.60 | | | | 11.48 | |
| H-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| Inverse Russell 2000® Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.40 | | | | 8.67 | |
| C-Class | | | 2.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.60 | | | | 12.48 | |
| H-Class | | | 1.76 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.20 | | | | 8.87 | |
| S&P 500 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| S&P 500 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,017.55 | | | $ | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| S&P MidCap 400 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| C-Class | | | 2.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.85 | | | | 11.23 | |
| H-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| S&P MidCap 400 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| S&P SmallCap 600 Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| S&P SmallCap 600 Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.24 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.80 | | | | 11.28 | |
| H-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| Europe 1.25x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.65 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.75 | | | | 8.32 | |
| C-Class | | | 2.40 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.00 | | | | 12.08 | |
| H-Class | | | 1.65 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.75 | | | | 8.32 | |
| Japan 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| C-Class | | | 2.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.85 | | | | 11.23 | |
| H-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| Strengthening Dollar 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.61 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.95 | | | | 8.12 | |
| C-Class | | | 2.36 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.20 | | | | 11.88 | |
| H-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| Weakening Dollar 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.00 | | | | 8.07 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| H-Class | | | 1.57 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.15 | | | | 7.92 | |
| Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.59 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.05 | | | | 8.02 | |
| C-Class | | | 2.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.30 | | | | 11.78 | |
| H-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.00 | | | | 8.07 | |
| Government Long Bond 1.2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 0.93 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,020.35 | | | | 4.70 | |
| Advisor Class | | | 1.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.85 | | | | 7.21 | |
| A-Class | | | 1.17 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,019.15 | | | | 5.91 | |
| C-Class | | | 1.93 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.35 | | | | 9.72 | |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Inverse Government Long Bond Strategy Fund | | | | | | | | | | | | | |
| Investor Class | | | 3.08 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,009.60 | | | $ | 15.47 | |
| Advisor Class | | | 3.59 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,007.05 | | | | 18.01 | |
| A-Class | | | 3.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,007.65 | | | | 17.42 | |
| C-Class | | | 4.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,003.85 | | | | 21.19 | |
| High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.55 | | | | 7.52 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.60 | | | | 11.48 | |
| H-Class | | | 1.51 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.45 | | | | 7.62 | |
| Inverse High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.65 | | | | 7.41 | |
| C-Class | | | 2.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.85 | | | | 11.23 | |
| H-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| U.S. Government Money Market Fund | | | �� | | | | | | | | | | | | | | | | | |
| Money Market Class | | | 0.18 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,024.10 | | | | 0.91 | |
| 1 | This ratio represents annualized Net Expenses, which include interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.70%, 1.72%, 1.84% and 1.85% lower for the Investor Class, Advisor Class, A-Class and C-Class, respectively. |
| | | |
| 2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| | | |
| 3 | Actual cumulative return at net asset value for the period March 31, 2012 to September 30, 2012. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT
| FUND PROFILE (Unaudited) | September 30, 2012 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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) | | | | |
| Apple, Inc. | | | 2.7 | % |
| Exxon Mobil Corp. | | | 1.8 | % |
| General Electric Co. | | | 1.0 | % |
| Chevron Corp. | | | 1.0 | % |
| Microsoft Corp. | | | 1.0 | % |
| International Business Machines Corp. | | | 1.0 | % |
| AT&T, Inc. | | | 0.9 | % |
| Google, Inc. — Class A | | | 0.9 | % |
| Procter & Gamble Co. | | | 0.8 | % |
| Johnson & Johnson | | | 0.8 | % |
| Top Ten Total | | | 11.9 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| NOVA FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 55.3% | | | | | | | | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY - 11.2% | | | | | | | | |
| Apple, Inc. | | | 2,844 | | | $ | 1,897,686 | |
| Microsoft Corp. | | | 22,906 | | | | 682,140 | |
| International Business Machines Corp. | | | 3,261 | | | | 676,494 | |
| Google, Inc. — Class A* | | | 806 | | | | 608,126 | |
| Oracle Corp. | | | 11,561 | | | | 364,055 | |
| Intel Corp. | | | 15,188 | | | | 344,464 | |
| QUALCOMM, Inc. | | | 5,176 | | | | 323,448 | |
| Cisco Systems, Inc. | | | 16,063 | | | | 306,643 | |
| Visa, Inc. — Class A | | | 1,592 | | | | 213,774 | |
| EMC Corp.* | | | 6,372 | | | | 173,765 | |
| eBay, Inc.* | | | 3,521 | | | | 170,452 | |
| Mastercard, Inc. — Class A | | | 323 | | | | 145,828 | |
| Accenture plc — Class A | | | 1,927 | | | | 134,947 | |
| Hewlett-Packard Co. | | | 5,965 | | | | 101,763 | |
| Texas Instruments, Inc. | | | 3,453 | | | | 95,130 | |
| Automatic Data Processing, Inc. | | | 1,475 | | | | 86,524 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 906 | | | | 63,348 | |
| Corning, Inc. | | | 4,520 | | | | 59,438 | |
| Salesforce.com, Inc.* | | | 388 | | | | 59,244 | |
| Broadcom Corp. — Class A | | | 1,557 | | | | 53,841 | |
| Yahoo!, Inc.* | | | 3,165 | | | | 50,561 | |
| Intuit, Inc. | | | 838 | | | | 49,341 | |
| Adobe Systems, Inc.* | | | 1,496 | | | | 48,560 | |
| TE Connectivity Ltd. | | | 1,303 | | | | 44,315 | |
| Motorola Solutions, Inc. | | | 869 | | | | 43,928 | |
| Dell, Inc. | | | 4,423 | | | | 43,611 | |
| Citrix Systems, Inc.* | | | 567 | | | | 43,415 | |
| Applied Materials, Inc. | | | 3,757 | | | | 41,947 | |
| Teradata Corp.* | | | 516 | | | | 38,912 | |
| Symantec Corp.* | | | 2,134 | | | | 38,412 | |
| NetApp, Inc.* | | | 1,104 | | | | 36,300 | |
| Analog Devices, Inc. | | | 912 | | | | 35,741 | |
| Red Hat, Inc.* | | | 588 | | | | 33,481 | |
| Western Union Co. | | | 1,829 | | | | 33,324 | |
| Seagate Technology plc | | | 1,073 | | | | 33,263 | |
| Altera Corp. | | | 971 | | | | 32,999 | |
| Paychex, Inc. | | | 978 | | | | 32,558 | |
| SanDisk Corp.* | | | 730 | | | | 31,704 | |
| Fiserv, Inc.* | | | 410 | | | | 30,352 | |
| Xerox Corp. | | | 3,968 | | | | 29,125 | |
| Amphenol Corp. — Class A | | | 486 | | | | 28,616 | |
| Juniper Networks, Inc.* | | | 1,603 | | | | 27,427 | |
| CA, Inc. | | | 1,039 | | | | 26,770 | |
| Xilinx, Inc. | | | 798 | | | | 26,661 | |
| Western Digital Corp. | | | 676 | | | | 26,181 | |
| NVIDIA Corp.* | | | 1,881 | | | | 25,093 | |
| F5 Networks, Inc.* | | | 238 | | | | 24,919 | |
| KLA-Tencor Corp. | | | 504 | | | | 24,043 | |
| Fidelity National Information | | | | | | | | |
| Services, Inc. | | | 758 | | | | 23,665 | |
| Autodesk, Inc.* | | | 694 | | | | 23,159 | |
| VeriSign, Inc.* | | | 475 | | | | 23,128 | |
| Linear Technology Corp. | | | 704 | | | | 22,422 | |
| Akamai Technologies, Inc.* | | | 537 | | | | 20,546 | |
| Microchip Technology, Inc. | | | 590 | | | | 19,317 | |
| Micron Technology, Inc.* | | | 3,091 | | | | 18,500 | |
| BMC Software, Inc.* | | | 445 | | | | 18,463 | |
| Harris Corp. | | | 344 | | | | 17,620 | |
| Lam Research Corp.* | | | 553 | | | | 17,577 | |
| Computer Sciences Corp. | | | 472 | | | | 15,203 | |
| Electronic Arts, Inc.* | | | 969 | | | | 12,297 | |
| LSI Corp.* | | | 1,693 | | | | 11,699 | |
| Total System Services, Inc. | | | 493 | | | | 11,684 | |
| Molex, Inc. | | | 414 | | | | 10,880 | |
| Jabil Circuit, Inc. | | | 567 | | | | 10,614 | |
| SAIC, Inc. | | | 866 | | | | 10,427 | |
| FLIR Systems, Inc. | | | 459 | | | | 9,169 | |
| JDS Uniphase Corp.* | | | 702 | | | | 8,694 | |
| Teradyne, Inc.* | | | 566 | | | | 8,049 | |
| Advanced Micro Devices, Inc.* | | | 1,824 | | | | 6,147 | |
| Lexmark International, Inc. — Class A | | | 213 | | | | 4,739 | |
| First Solar, Inc.* | | | 185 | | | | 4,097 | |
| Total Information Technology | | | | | | | 7,870,765 | |
| FINANCIALS - 8.1% | | | | | | | | |
| Wells Fargo & Co. | | | 14,913 | | | | 514,946 | |
| Berkshire Hathaway, Inc. — Class B* | | | 5,564 | | | | 490,744 | |
| JPMorgan Chase & Co. | | | 11,537 | | | | 467,017 | |
| Citigroup, Inc. | | | 8,902 | | | | 291,273 | |
| Bank of America Corp. | | | 32,721 | | | | 288,926 | |
| U.S. Bancorp | | | 5,757 | | | | 197,465 | |
| American Express Co. | | | 2,994 | | | | 170,238 | |
| Goldman Sachs Group, Inc. | | | 1,368 | | | | 155,514 | |
| Simon Property Group, Inc. | | | 922 | | | | 139,969 | |
| American International Group, Inc.* | | | 3,541 | | | | 116,109 | |
| MetLife, Inc. | | | 3,224 | | | | 111,099 | |
| PNC Financial Services Group, Inc. | | | 1,610 | | | | 101,592 | |
| Capital One Financial Corp. | | | 1,764 | | | | 100,566 | |
| American Tower Corp. — Class A | | | 1,202 | | | | 85,811 | |
| Bank of New York Mellon Corp. | | | 3,590 | | | | 81,205 | |
| Travelers Companies, Inc. | | | 1,168 | | | | 79,728 | |
| ACE Ltd. | | | 1,032 | | | | 78,019 | |
| Prudential Financial, Inc. | | | 1,417 | | | | 77,241 | |
| BB&T Corp. | | | 2,127 | | | | 70,532 | |
| Morgan Stanley | | | 4,198 | | | | 70,275 | |
| BlackRock, Inc. — Class A | | | 390 | | | | 69,536 | |
| Aflac, Inc. | | | 1,423 | | | | 68,133 | |
| Discover Financial Services | | | 1,563 | | | | 62,098 | |
| Chubb Corp. | | | 807 | | | | 61,558 | |
| State Street Corp. | | | 1,454 | | | | 61,010 | |
| Public Storage | | | 434 | | | | 60,401 | |
| Allstate Corp. | | | 1,472 | | | | 58,306 | |
| HCP, Inc. | | | 1,307 | | | | 58,135 | |
| Marsh & McLennan Companies, Inc. | | | 1,654 | | | | 56,120 | |
| Ventas, Inc. | | | 893 | | | | 55,589 | |
| CME Group, Inc. — Class A | | | 929 | | | | 53,232 | |
| Franklin Resources, Inc. | | | 420 | | | | 52,529 | |
| Equity Residential | | | 910 | | | | 52,352 | |
| Aon plc | | | 978 | | | | 51,140 | |
| Boston Properties, Inc. | | | 457 | | | | 50,549 | |
| T. Rowe Price Group, Inc. | | | 772 | | | | 48,868 | |
| 12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| NOVA FUND | |
| | | Shares | | | Value | |
| Prologis, Inc. | | | 1,394 | | | $ | 48,832 | |
| SunTrust Banks, Inc. | | | 1,640 | | | | 46,363 | |
| Fifth Third Bancorp | | | 2,788 | | | | 43,242 | |
| Weyerhaeuser Co. | | | 1,630 | | | | 42,608 | |
| Charles Schwab Corp. | | | 3,324 | | | | 42,514 | |
| Vornado Realty Trust | | | 513 | | | | 41,579 | |
| AvalonBay Communities, Inc. | | | 294 | | | | 39,981 | |
| Health Care REIT, Inc. | | | 691 | | | | 39,905 | |
| Loews Corp. | | | 945 | | | | 38,991 | |
| Ameriprise Financial, Inc. | | | 640 | | | | 36,282 | |
| Progressive Corp. | | | 1,701 | | | | 35,279 | |
| Host Hotels & Resorts, Inc. | | | 2,198 | | | | 35,278 | |
| M&T Bank Corp. | | | 365 | | | | 34,733 | |
| Invesco Ltd. | | | 1,348 | | | | 33,687 | |
| Regions Financial Corp. | | | 4,291 | | | | 30,938 | |
| Northern Trust Corp. | | | 664 | | | | 30,820 | |
| IntercontinentalExchange, Inc.* | | | 218 | | | | 29,083 | |
| Moody’s Corp. | | | 587 | | | | 25,928 | |
| Hartford Financial Services Group, Inc. | | | 1,321 | | | | 25,680 | |
| Kimco Realty Corp. | | | 1,236 | | | | 25,054 | |
| KeyCorp | | | 2,860 | | | | 24,996 | |
| Principal Financial Group, Inc. | | | 842 | | | | 22,683 | |
| SLM Corp. | | | 1,425 | | | | 22,401 | |
| XL Group plc — Class A | | | 928 | | | | 22,300 | |
| Plum Creek Timber Company, Inc. | | | 494 | | | | 21,657 | |
| Lincoln National Corp. | | | 847 | | | | 20,489 | |
| NYSE Euronext | | | 747 | | | | 18,414 | |
| Comerica, Inc. | | | 587 | | | | 18,226 | |
| Huntington Bancshares, Inc. | | | 2,610 | | | | 18,009 | |
| CBRE Group, Inc. — Class A* | | | 917 | | | | 16,882 | |
| Cincinnati Financial Corp. | | | 444 | | | | 16,823 | |
| Unum Group | | | 850 | | | | 16,337 | |
| Torchmark Corp. | | | 290 | | | | 14,892 | |
| Leucadia National Corp. | | | 603 | | | | 13,718 | |
| People’s United Financial, Inc. | | | 1,066 | | | | 12,942 | |
| Zions Bancorporation | | | 564 | | | | 11,649 | |
| Hudson City Bancorp, Inc. | | | 1,443 | | | | 11,486 | |
| Apartment Investment & Management | | | | | | | | |
| Co. — Class A | | | 440 | | | | 11,436 | |
| Assurant, Inc. | | | 246 | | | | 9,176 | |
| Legg Mason, Inc. | | | 365 | | | | 9,008 | |
| NASDAQ OMX Group, Inc. | | | 360 | | | | 8,386 | |
| Genworth Financial, Inc. — Class A* | | | 1,490 | | | | 7,793 | |
| First Horizon National Corp. | | | 753 | | | | 7,251 | |
| E*TRADE Financial Corp.* | | | 784 | | | | 6,907 | |
| Federated Investors, Inc. — Class B | | | 284 | | | | 5,876 | |
| Total Financials | | | | | | | 5,704,339 | |
| HEALTH CARE - 6.6% | | | | | | | | |
| Johnson & Johnson | | | 8,372 | | | | 576,914 | |
| Pfizer, Inc. | | | 22,674 | | | | 563,449 | |
| Merck & Company, Inc. | | | 9,248 | | | | 417,085 | |
| Abbott Laboratories | | | 4,767 | | | | 326,826 | |
| Amgen, Inc. | | | 2,342 | | | | 197,477 | |
| UnitedHealth Group, Inc. | | | 3,140 | | | | 173,987 | |
| Bristol-Myers Squibb Co. | | | 5,099 | | | | 172,091 | |
| Express Scripts Holding Co.* | | | 2,463 | | | | 154,356 | |
| Gilead Sciences, Inc.* | | | 2,302 | | | | 152,692 | |
| Eli Lilly & Co. | | | 3,100 | | | | 146,971 | |
| Medtronic, Inc. | | | 3,097 | | | | 133,543 | |
| Biogen Idec, Inc.* | | | 717 | | | | 106,998 | |
| Celgene Corp.* | | | 1,310 | | | | 100,084 | |
| Baxter International, Inc. | | | 1,659 | | | | 99,971 | |
| Covidien plc | | | 1,458 | | | | 86,634 | |
| Allergan, Inc. | | | 930 | | | | 85,169 | |
| Alexion Pharmaceuticals, Inc.* | | | 585 | | | | 66,924 | |
| Thermo Fisher Scientific, Inc. | | | 1,107 | | | | 65,125 | |
| McKesson Corp. | | | 718 | | | | 61,769 | |
| Intuitive Surgical, Inc.* | | | 120 | | | | 59,476 | |
| WellPoint, Inc. | | | 987 | | | | 57,256 | |
| Stryker Corp. | | | 878 | | | | 48,869 | |
| Becton Dickinson and Co. | | | 606 | | | | 47,607 | |
| Cigna Corp. | | | 880 | | | | 41,510 | |
| Agilent Technologies, Inc. | | | 1,062 | | | | 40,834 | |
| Cardinal Health, Inc. | | | 1,035 | | | | 40,334 | |
| Aetna, Inc. | | | 1,015 | | | | 40,194 | |
| St. Jude Medical, Inc. | | | 950 | | | | 40,024 | |
| Edwards Lifesciences Corp.* | | | 352 | | | | 37,794 | |
| Zimmer Holdings, Inc. | | | 528 | | | | 35,703 | |
| Humana, Inc. | | | 494 | | | | 34,654 | |
| Cerner Corp.* | | | 442 | | | | 34,215 | |
| Watson Pharmaceuticals, Inc.* | | | 385 | | | | 32,787 | |
| Perrigo Co. | | | 267 | | | | 31,017 | |
| Quest Diagnostics, Inc. | | | 481 | | | | 30,510 | |
| Mylan, Inc.* | | | 1,232 | | | | 30,061 | |
| AmerisourceBergen Corp. — Class A | | | 767 | | | | 29,691 | |
| Laboratory Corporation of | | | | | | | | |
| America Holdings* | | | 291 | | | | 26,909 | |
| DaVita, Inc.* | | | 258 | | | | 26,731 | |
| Life Technologies Corp.* | | | 532 | | | | 26,004 | |
| Forest Laboratories, Inc.* | | | 710 | | | | 25,283 | |
| CR Bard, Inc. | | | 237 | | | | 24,802 | |
| Boston Scientific Corp.* | | | 4,308 | | | | 24,728 | |
| Waters Corp.* | | | 266 | | | | 22,166 | |
| Varian Medical Systems, Inc.* | | | 336 | | | | 20,268 | |
| CareFusion Corp.* | | | 672 | | | | 19,078 | |
| Coventry Health Care, Inc. | | | 406 | | | | 16,926 | |
| DENTSPLY International, Inc. | | | 435 | | | | 16,591 | |
| Hospira, Inc.* | | | 497 | | | | 16,312 | |
| PerkinElmer, Inc. | | | 343 | | | | 10,108 | |
| Patterson Companies, Inc. | | | 258 | | | | 8,834 | |
| Tenet Healthcare Corp.* | | | 1,262 | | | | 7,913 | |
| Total Health Care | | | | | | | 4,693,254 | |
| ENERGY - 6.3% | | | | | | | | |
| Exxon Mobil Corp. | | | 14,013 | | | | 1,281,488 | |
| Chevron Corp. | | | 5,960 | | | | 694,698 | |
| Schlumberger Ltd. | | | 4,028 | | | | 291,345 | |
| Occidental Petroleum Corp. | | | 2,458 | | | | 211,535 | |
| ConocoPhillips | | | 3,687 | | | | 210,823 | |
| Anadarko Petroleum Corp. | | | 1,515 | | | | 105,930 | |
| National Oilwell Varco, Inc. | | | 1,297 | | | | 103,903 | |
| Apache Corp. | | | 1,192 | | | | 103,072 | |
| Halliburton Co. | | | 2,815 | | | | 94,837 | |
| EOG Resources, Inc. | | | 825 | | | | 92,441 | |
| Phillips 66 | | | 1,904 | | | | 88,288 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| NOVA FUND | |
| | | Shares | | | Value | |
| Devon Energy Corp. | | | 1,142 | | | $ | 69,091 | |
| Williams Companies, Inc. | | | 1,903 | | | | 66,548 | |
| Marathon Oil Corp. | | | 2,136 | | | | 63,162 | |
| Kinder Morgan, Inc. | | | 1,735 | | | | 61,627 | |
| Baker Hughes, Inc. | | | 1,335 | | | | 60,382 | |
| Spectra Energy Corp. | | | 1,983 | | | | 58,221 | |
| Marathon Petroleum Corp. | | | 1,023 | | | | 55,846 | |
| Valero Energy Corp. | | | 1,679 | | | | 53,191 | |
| Noble Energy, Inc. | | | 540 | | | | 50,063 | |
| Hess Corp. | | | 902 | | | | 48,455 | |
| Cameron International Corp.* | | | 750 | | | | 42,053 | |
| Pioneer Natural Resources Co. | | | 372 | | | | 38,837 | |
| Ensco plc — Class A | | | 704 | | | | 38,411 | |
| Southwestern Energy Co.* | | | 1,053 | | | | 36,623 | |
| Range Resources Corp. | | | 498 | | | | 34,795 | |
| FMC Technologies, Inc.* | | | 728 | | | | 33,706 | |
| Murphy Oil Corp. | | | 560 | | | | 30,066 | |
| Chesapeake Energy Corp. | | | 1,576 | | | | 29,739 | |
| Cabot Oil & Gas Corp. | | | 640 | | | | 28,736 | |
| Noble Corp. | | | 772 | | | | 27,622 | |
| Equities Corp. | | | 455 | | | | 26,845 | |
| CONSOL Energy, Inc. | | | 696 | | | | 20,915 | |
| Denbury Resources, Inc.* | | | 1,191 | | | | 19,247 | |
| Peabody Energy Corp. | | | 815 | | | | 18,166 | |
| Tesoro Corp. | | | 423 | | | | 17,724 | |
| QEP Resources, Inc. | | | 544 | | | | 17,223 | |
| Helmerich & Payne, Inc. | | | 319 | | | | 15,188 | |
| Sunoco, Inc. | | | 318 | | | | 14,892 | |
| Diamond Offshore Drilling, Inc. | | | 209 | | | | 13,754 | |
| Newfield Exploration Co.* | | | 414 | | | | 12,966 | |
| Rowan Companies plc — Class A* | | | 378 | | | | 12,765 | |
| Nabors Industries Ltd.* | | | 878 | | | | 12,318 | |
| WPX Energy, Inc.* | | | 601 | | | | 9,971 | |
| Alpha Natural Resources, Inc.* | | | 665 | | | | 4,369 | |
| Total Energy | | | | | | | 4,421,877 | |
| CONSUMER DISCRETIONARY - 6.1% | | | | | | | | |
| Comcast Corp. — Class A | | | 8,121 | | | | 290,488 | |
| Walt Disney Co. | | | 5,447 | | | | 284,769 | |
| McDonald’s Corp. | | | 3,064 | | | | 281,121 | |
| Amazon.com, Inc.* | | | 1,101 | | | | 280,005 | |
| Home Depot, Inc. | | | 4,576 | | | | 276,253 | |
| News Corp. — Class A | | | 6,180 | | | | 151,595 | |
| Time Warner, Inc. | | | 2,884 | | | | 130,732 | |
| Target Corp. | | | 1,986 | | | | 126,052 | |
| Starbucks Corp. | | | 2,304 | | | | 116,928 | |
| Ford Motor Co. | | | 11,582 | | | | 114,199 | |
| NIKE, Inc. — Class B | | | 1,120 | | | | 106,299 | |
| Lowe’s Companies, Inc. | | | 3,462 | | | | 104,691 | |
| TJX Companies, Inc. | | | 2,237 | | | | 100,195 | |
| DIRECTV* | | | 1,906 | | | | 99,989 | |
| Priceline.com, Inc.* | | | 151 | | | | 93,428 | |
| Yum! Brands, Inc. | | | 1,384 | | | | 91,815 | |
| Time Warner Cable, Inc. | | | 930 | | | | 88,406 | |
| Viacom, Inc. — Class B | | | 1,437 | | | | 77,009 | |
| CBS Corp. — Class B | | | 1,807 | | | | 65,648 | |
| Johnson Controls, Inc. | | | 2,080 | | | | 56,992 | |
| Carnival Corp. | | | 1,357 | | | | 49,450 | |
| Coach, Inc. | | | 862 | | | | 48,289 | |
| McGraw-Hill Companies, Inc. | | | 850 | | | | 46,402 | |
| Macy’s, Inc. | | | 1,222 | | | | 45,972 | |
| Bed Bath & Beyond, Inc.* | | | 710 | | | | 44,730 | |
| Discovery Communications, | | | | | | | | |
| Inc. — Class A* | | | 750 | | | | 44,723 | |
| Ross Stores, Inc. | | | 684 | | | | 44,186 | |
| VF Corp. | | | 272 | | | | 43,346 | |
| AutoZone, Inc.* | | | 114 | | | | 42,143 | |
| Omnicom Group, Inc. | | | 806 | | | | 41,558 | |
| Mattel, Inc. | | | 1,040 | | | | 36,899 | |
| Limited Brands, Inc. | | | 720 | | | | 35,467 | |
| Starwood Hotels & Resorts | | | | | | | | |
| Worldwide, Inc. | | | 593 | | | | 34,370 | |
| Dollar Tree, Inc.* | | | 699 | | | | 33,744 | |
| Kohl’s Corp. | | | 655 | | | | 33,549 | |
| The Gap, Inc. | | | 905 | | | | 32,381 | |
| O’Reilly Automotive, Inc.* | | | 361 | | | | 30,187 | |
| Marriott International, Inc. — Class A | | | 764 | | | | 29,872 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 94 | | | | 29,849 | |
| Harley-Davidson, Inc. | | | 692 | | | | 29,320 | |
| Genuine Parts Co. | | | 471 | | | | 28,745 | |
| Wynn Resorts Ltd. | | | 244 | | | | 28,167 | |
| Ralph Lauren Corp. — Class A | | | 185 | | | | 27,978 | |
| Nordstrom, Inc. | | | 464 | | | | 25,604 | |
| Staples, Inc. | | | 2,074 | | | | 23,892 | |
| BorgWarner, Inc.* | | | 343 | | | | 23,705 | |
| Wyndham Worldwide Corp. | | | 432 | | | | 22,671 | |
| Tiffany & Co. | | | 361 | | | | 22,339 | |
| Darden Restaurants, Inc. | | | 393 | | | | 21,910 | |
| CarMax, Inc.* | | | 698 | | | | 19,753 | |
| Whirlpool Corp. | | | 238 | | | | 19,733 | |
| Family Dollar Stores, Inc. | | | 294 | | | | 19,492 | |
| DR Horton, Inc. | | | 842 | | | | 17,379 | |
| Lennar Corp. — Class A | | | 494 | | | | 17,176 | |
| Newell Rubbermaid, Inc. | | | 882 | | | | 16,837 | |
| Expedia, Inc. | | | 284 | | | | 16,427 | |
| Scripps Networks Interactive, | | | | | | | | |
| Inc. — Class A | | | 262 | | | | 16,042 | |
| PulteGroup, Inc.* | | | 1,021 | | | | 15,826 | |
| Interpublic Group of Companies, Inc. | | | 1,327 | | | | 14,756 | |
| H&R Block, Inc. | | | 823 | | | | 14,263 | |
| Fossil, Inc.* | | | 167 | | | | 14,145 | |
| Best Buy Company, Inc. | | | 807 | | | | 13,872 | |
| Hasbro, Inc. | | | 352 | | | | 13,436 | |
| Gannett Company, Inc. | | | 703 | | | | 12,478 | |
| Urban Outfitters, Inc.* | | | 330 | | | | 12,395 | |
| TripAdvisor, Inc.* | | | 333 | | | | 10,966 | |
| Leggett & Platt, Inc. | | | 427 | | | | 10,696 | |
| International Game Technology | | | 811 | | | | 10,616 | |
| JC Penney Company, Inc. | | | 432 | | | | 10,493 | |
| Cablevision Systems Corp. — Class A | | | 652 | | | | 10,334 | |
| Netflix, Inc.* | | | 174 | | | | 9,473 | |
| Harman International Industries, Inc. | | | 204 | | | | 9,417 | |
| Goodyear Tire & Rubber Co.* | | | 747 | | | | 9,106 | |
| Apollo Group, Inc. — Class A* | | | 307 | | | | 8,918 | |
| Abercrombie & Fitch Co. — Class A | | | 251 | | | | 8,514 | |
| 14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| NOVA FUND | |
| | | Shares | | | Value | |
| GameStop Corp. — Class A | | | 375 | | | $ | 7,875 | |
| Big Lots, Inc.* | | | 181 | | | | 5,354 | |
| AutoNation, Inc.* | | | 117 | | | | 5,109 | |
| Washington Post Co. — Class B | | | 14 | | | | 5,082 | |
| DeVry, Inc. | | | 172 | | | | 3,915 | |
| Total Consumer Discretionary | | | | | | | 4,317,940 | |
| CONSUMER STAPLES - 6.0% | | | | | | | | |
| Procter & Gamble Co. | | | 8,361 | | | | 579,919 | |
| Philip Morris International, Inc. | | | 5,115 | | | | 460,042 | |
| Coca-Cola Co. | | | 11,753 | | | | 445,792 | |
| Wal-Mart Stores, Inc. | | | 5,102 | | | | 376,527 | |
| PepsiCo, Inc. | | | 4,725 | | | | 334,389 | |
| Mondelez International, Inc. — Class A* | | | 5,384 | | | | 222,627 | |
| Altria Group, Inc. | | | 6,169 | | | | 205,983 | |
| CVS Caremark Corp. | | | 3,864 | | | | 187,094 | |
| Colgate-Palmolive Co. | | | 1,353 | | | | 145,069 | |
| Costco Wholesale Corp. | | | 1,308 | | | | 130,964 | |
| Kimberly-Clark Corp. | | | 1,202 | | | | 103,108 | |
| Walgreen Co. | | | 2,599 | | | | 94,708 | |
| General Mills, Inc. | | | 1,969 | | | | 78,465 | |
| Sysco Corp. | | | 1,786 | | | | 55,848 | |
| HJ Heinz Co. | | | 974 | | | | 54,495 | |
| Archer-Daniels-Midland Co. | | | 1,996 | | | | 54,251 | |
| Whole Foods Market, Inc. | | | 525 | | | | 51,135 | |
| Lorillard, Inc. | | | 393 | | | | 45,765 | |
| Mead Johnson Nutrition Co. — Class A | | | 619 | | | | 45,360 | |
| Estee Lauder Companies, Inc. — Class A | | | 728 | | | | 44,822 | |
| Reynolds American, Inc. | | | 993 | | | | 43,037 | |
| Kroger Co. | | | 1,654 | | | | 38,935 | |
| Kellogg Co. | | | 750 | | | | 38,745 | |
| ConAgra Foods, Inc. | | | 1,233 | | | | 34,018 | |
| Hershey Co. | | | 459 | | | | 32,539 | |
| Brown-Forman Corp. — Class B | | | 456 | | | | 29,754 | |
| JM Smucker Co. | | | 332 | | | | 28,662 | |
| Dr Pepper Snapple Group, Inc. | | | 638 | | | | 28,410 | |
| Clorox Co. | | | 392 | | | | 28,244 | |
| Beam, Inc. | | | 482 | | | | 27,734 | |
| Coca-Cola Enterprises, Inc. | | | 840 | | | | 26,267 | |
| Monster Beverage Corp.* | | | 463 | | | | 25,076 | |
| McCormick & Company, Inc. | | | 401 | | | | 24,878 | |
| Molson Coors Brewing Co. — Class B | | | 472 | | | | 21,264 | |
| Avon Products, Inc. | | | 1,310 | | | | 20,895 | |
| Campbell Soup Co. | | | 552 | | | | 19,221 | |
| Constellation Brands, Inc. — Class A* | | | 447 | | | | 14,460 | |
| Tyson Foods, Inc. — Class A | | | 877 | | | | 14,050 | |
| Hormel Foods Corp. | | | 407 | | | | 11,901 | |
| Safeway, Inc. | | | 723 | | | | 11,633 | |
| Dean Foods Co.* | | | 561 | | | | 9,172 | |
| Total Consumer Staples | | | | | | | 4,245,258 | |
| INDUSTRIALS - 5.4% | | | | | | | | |
| General Electric Co. | | | 32,050 | | | | 727,856 | |
| United Technologies Corp. | | | 2,547 | | | | 199,404 | |
| 3M Co. | | | 1,931 | | | | 178,463 | |
| Union Pacific Corp. | | | 1,441 | | | | 171,047 | |
| Caterpillar, Inc. | | | 1,985 | | | | 170,789 | |
| United Parcel Service, Inc. — Class B | | | 2,182 | | | | 156,166 | |
| Boeing Co. | | | 2,054 | | | | 142,999 | |
| Honeywell International, Inc. | | | 2,374 | | | | 141,847 | |
| Emerson Electric Co. | | | 2,207 | | | | 106,531 | |
| Deere & Co. | | | 1,189 | | | | 98,081 | |
| Danaher Corp. | | | 1,774 | | | | 97,837 | |
| Tyco International Ltd. | | | 1,395 | | | | 78,483 | |
| Illinois Tool Works, Inc. | | | 1,309 | | | | 77,847 | |
| Lockheed Martin Corp. | | | 821 | | | | 76,665 | |
| FedEx Corp. | | | 886 | | | | 74,973 | |
| Precision Castparts Corp. | | | 441 | | | | 72,033 | |
| General Dynamics Corp. | | | 1,007 | | | | 66,583 | |
| CSX Corp. | | | 3,157 | | | | 65,508 | |
| Norfolk Southern Corp. | | | 970 | | | | 61,721 | |
| Raytheon Co. | | | 1,006 | | | | 57,503 | |
| Northrop Grumman Corp. | | | 750 | | | | 49,823 | |
| Cummins, Inc. | | | 538 | | | | 49,609 | |
| Eaton Corp. | | | 1,027 | | | | 48,536 | |
| PACCAR, Inc. | | | 1,072 | | | | 42,907 | |
| Waste Management, Inc. | | | 1,323 | | | | 42,441 | |
| Ingersoll-Rand plc | | | 870 | | | | 38,993 | |
| Stanley Black & Decker, Inc. | | | 509 | | | | 38,811 | |
| Parker Hannifin Corp. | | | 454 | | | | 37,945 | |
| WW Grainger, Inc. | | | 179 | | | | 37,298 | |
| Cooper Industries plc | | | 487 | | | | 36,554 | |
| Fastenal Co. | | | 818 | | | | 35,166 | |
| Dover Corp. | | | 559 | | | | 33,255 | |
| Roper Industries, Inc. | | | 295 | | | | 32,418 | |
| Rockwell Automation, Inc. | | | 425 | | | | 29,559 | |
| CH Robinson Worldwide, Inc. | | | 490 | | | | 28,690 | |
| Fluor Corp. | | | 504 | | | | 28,365 | |
| Republic Services, Inc. — Class A | | | 909 | | | | 25,007 | |
| Stericycle, Inc.* | | | 257 | | | | 23,264 | |
| Rockwell Collins, Inc. | | | 432 | | | | 23,172 | |
| Expeditors International of | | | | | | | | |
| Washington, Inc. | | | 637 | | | | 23,161 | |
| Pall Corp. | | | 358 | | | | 22,729 | |
| Textron, Inc. | | | 853 | | | | 22,323 | |
| L-3 Communications Holdings, Inc. | | | 293 | | | | 21,011 | |
| Flowserve Corp. | | | 155 | | | | 19,800 | |
| Southwest Airlines Co. | | | 2,256 | | | | 19,785 | |
| Joy Global, Inc. | | | 317 | | | | 17,771 | |
| Equifax, Inc. | | | 368 | | | | 17,142 | |
| Masco Corp. | | | 1,088 | | | | 16,374 | |
| Jacobs Engineering Group, Inc.* | | | 395 | | | | 15,970 | |
| Quanta Services, Inc.* | | | 643 | | | | 15,882 | |
| Iron Mountain, Inc. | | | 459 | | | | 15,656 | |
| Xylem, Inc. | | | 560 | | | | 14,084 | |
| Cintas Corp. | | | 326 | | | | 13,513 | |
| Snap-on, Inc. | | | 182 | | | | 13,080 | |
| Robert Half International, Inc. | | | 426 | | | | 11,344 | |
| Dun & Bradstreet Corp. | | | 136 | | | | 10,828 | |
| Avery Dennison Corp. | | | 308 | | | | 9,801 | |
| Pitney Bowes, Inc. | | | 614 | | | | 8,485 | |
| Ryder System, Inc. | | | 155 | | | | 6,054 | |
| RR Donnelley & Sons Co. | | | 545 | | | | 5,777 | |
| Total Industrials | | | | | | | 3,824,719 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| NOVA FUND | |
| | | Shares | | | Value | |
| UTILITIES - 1.9% | | | | | | | | |
| Duke Energy Corp. | | | 2,139 | | | $ | 138,606 | |
| Southern Co. | | | 2,652 | | | | 122,231 | |
| Exelon Corp. | | | 2,587 | | | | 92,045 | |
| Dominion Resources, Inc. | | | 1,737 | | | | 91,958 | |
| NextEra Energy, Inc. | | | 1,286 | | | | 90,444 | |
| American Electric Power Company, Inc. | | | 1,471 | | | | 64,636 | |
| FirstEnergy Corp. | | | 1,267 | | | | 55,875 | |
| PG&E Corp. | | | 1,296 | | | | 55,300 | |
| Consolidated Edison, Inc. | | | 894 | | | | 53,542 | |
| PPL Corp. | | | 1,766 | | | | 51,302 | |
| Public Service Enterprise Group, Inc. | | | 1,541 | | | | 49,589 | |
| Edison International | | | 985 | | | | 45,005 | |
| Sempra Energy | | | 682 | | | | 43,982 | |
| Xcel Energy, Inc. | | | 1,482 | | | | 41,066 | |
| Entergy Corp. | | | 534 | | | | 37,006 | |
| Northeast Utilities | | | 949 | | | | 36,280 | |
| DTE Energy Co. | | | 522 | | | | 31,289 | |
| ONEOK, Inc. | | | 622 | | | | 30,048 | |
| CenterPoint Energy, Inc. | | | 1,300 | | | | 27,690 | |
| Wisconsin Energy Corp. | | | 703 | | | | 26,482 | |
| Ameren Corp. | | | 738 | | | | 24,110 | |
| NiSource, Inc. | | | 864 | | | | 22,015 | |
| AES Corp.* | | | 1,885 | | | | 20,679 | |
| SCANA Corp. | | | 399 | | | | 19,260 | |
| CMS Energy Corp. | | | 803 | | | | 18,911 | |
| Pinnacle West Capital Corp. | | | 337 | | | | 17,794 | |
| NRG Energy, Inc. | | | 695 | | | | 14,866 | |
| AGL Resources, Inc. | | | 361 | | | | 14,769 | |
| Pepco Holdings, Inc. | | | 693 | | | | 13,098 | |
| Integrys Energy Group, Inc. | | | 237 | | | | 12,371 | |
| TECO Energy, Inc. | | | 618 | | | | 10,963 | |
| Total Utilities | | | | | | | 1,373,212 | |
| MATERIALS - 1.9% | | | | | | | | |
| Monsanto Co. | | | 1,623 | | | | 147,725 | |
| EI du Pont de Nemours & Co. | | | 2,825 | | | | 142,013 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 2,883 | | | | 114,109 | |
| Dow Chemical Co. | | | 3,640 | | | | 105,414 | |
| Praxair, Inc. | | | 907 | | | | 94,219 | |
| Newmont Mining Corp. | | | 1,509 | | | | 84,519 | |
| Air Products & Chemicals, Inc. | | | 643 | | | | 53,176 | |
| LyondellBasell Industries N.V. — Class A | | | 1,027 | | | | 53,056 | |
| PPG Industries, Inc. | | | 460 | | | | 52,826 | |
| Ecolab, Inc. | | | 799 | | | | 51,783 | |
| Mosaic Co. | | | 840 | | | | 48,392 | |
| International Paper Co. | | | 1,330 | | | | 48,306 | |
| CF Industries Holdings, Inc. | | | 190 | | | | 42,226 | |
| Sherwin-Williams Co. | | | 255 | | | | 37,972 | |
| Nucor Corp. | | | 964 | | | | 36,882 | |
| Alcoa, Inc. | | | 3,241 | | | | 28,683 | |
| Eastman Chemical Co. | | | 467 | | | | 26,624 | |
| Sigma-Aldrich Corp. | | | 363 | | | | 26,125 | |
| FMC Corp. | | | 420 | | | | 23,260 | |
| Ball Corp. | | | 468 | | | | 19,801 | |
| Vulcan Materials Co. | | | 398 | | | | 18,825 | |
| Airgas, Inc. | | | 213 | | | | 17,530 | |
| Cliffs Natural Resources, Inc. | | | 436 | | | | 17,061 | |
| MeadWestvaco Corp. | | | 524 | | | | 16,034 | |
| International Flavors & Fragrances, Inc. | | | 249 | | | | 14,835 | |
| Allegheny Technologies, Inc. | | | 322 | | | | 10,272 | |
| Bemis Company, Inc. | | | 319 | | | | 10,039 | |
| Owens-Illinois, Inc.* | | | 500 | | | | 9,380 | |
| United States Steel Corp. | | | 442 | | | | 8,429 | |
| Sealed Air Corp. | | | 530 | | | | 8,194 | |
| Titanium Metals Corp. | | | 223 | | | | 2,861 | |
| Total Materials | | | | | | | 1,370,571 | |
| TELECOMMUNICATION SERVICES - 1.8% | | | | | | | | |
| AT&T, Inc. | | | 17,513 | | | | 660,240 | |
| Verizon Communications, Inc. | | | 8,649 | | | | 394,135 | |
| CenturyLink, Inc. | | | 1,887 | | | | 76,235 | |
| Crown Castle International Corp.* | | | 889 | | | | 56,985 | |
| Sprint Nextel Corp.* | | | 9,112 | | | | 50,298 | |
| Windstream Corp. | | | 1,789 | | | | 18,087 | |
| Frontier Communications Corp.1 | | | 3,032 | | | | 14,857 | |
| MetroPCS Communications, Inc.* | | | 962 | | | | 11,265 | |
| Total Telecommunication Services | | | | | | | 1,282,102 | |
| Total Common Stocks | | | | | | | | |
| (Cost $27,730,012) | | | | | | | 39,104,037 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 40.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 12,497,222 | | | | 12,497,222 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 7,190,403 | | | | 7,190,403 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 4,825,081 | | | | 4,825,081 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 4,101,933 | | | | 4,101,933 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $28,614,639) | | | | | | | 28,614,639 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.0% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 3,969 | | | | 3,969 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 3,906 | | | | 3,906 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $7,875) | | | | | | | 7,875 | |
| Total Investments - 95.8% | | | | | | | | |
| (Cost $56,352,526) | | | | | | $ | 67,726,551 | |
| Other Assets & Liabilities, net - 4.2% | | | | | | | 2,957,106 | |
| Total Net Assets - 100.0% | | | | | | $ | 70,683,657 | |
| 16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| NOVA FUND |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $6,308,500) | | | 88 | | | $ | (58,763 | ) |
| | | | | | | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/29/125 | | | | | | | | |
| (Notional Value $8,570,219) | | | 5,949 | | | $ | 44,182 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $24,139,317) | | | 16,756 | | | | (107,822 | ) |
| Barclays Bank plc | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $27,993,954) | | | 19,431 | | | | (126,461 | ) |
| (Total Notional Value | | | | | | | | |
| $60,703,490) | | | | | | $ | (190,101 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | 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 FUNDS SEMI-ANNUAL REPORT | 17 |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $7,350 of | | | | |
| securities loaned | | | | |
| (cost $27,737,888) | | $ | 39,111,912 | |
| Repurchase agreements, at value | | | | |
| (cost $28,614,639) | | | 28,614,639 | |
| Total investments | | | | |
| (cost $56,352,527) | | | 67,726,551 | |
| Segregated cash with broker | | | 3,128,000 | |
| Unrealized appreciation on swap agreements | | | 44,182 | |
| Cash | | | 143 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,048,909 | |
| Dividends | | | 49,149 | |
| Interest | | | 371 | |
| Total assets | | | 71,997,305 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 234,283 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 942,568 | |
| Management fees | | | 39,537 | |
| Variation margin | | | 32,340 | |
| Transfer agent and administrative fees | | | 13,179 | |
| Distribution and service fees | | | 10,289 | |
| Payable upon return of securities loaned | | | 7,875 | |
| Portfolio accounting fees | | | 5,271 | |
| Miscellaneous | | | 28,306 | |
| Total Liabilities | | | 1,313,648 | |
| Net assets | | $ | 70,683,657 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 98,938,892 | |
| Undistributed net investment income | | | 30,998 | |
| Accumulated net realized loss on investments | | | (39,411,394 | ) |
| Net unrealized appreciation on investments | | | 11,125,161 | |
| Net assets | | $ | 70,683,657 | |
| Investor Class: | | | | |
| Net assets | | $ | 53,585,670 | |
| Capital shares outstanding | | | 1,913,891 | |
| Net asset value per share | | $ | 28.00 | |
| Advisor Class: | | | | |
| Net assets | | $ | 7,079,753 | |
| Capital shares outstanding | | | 273,556 | |
| Net asset value per share | | $ | 25.88 | |
| A-Class: | | | | |
| Net assets | | $ | 1,151,695 | |
| Capital shares outstanding | | | 43,548 | |
| Net asset value per share | | $ | 26.45 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 27.77 | |
| C-Class: | | | | |
| Net assets | | $ | 8,866,539 | |
| Capital shares outstanding | | | 359,163 | |
| Net asset value per share | | $ | 24.69 | |
STATEMENT OF
OPERATIONS (Unaudited)
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 426,495 | |
| Interest | | | 14,954 | |
| Income from securities lending, net | | | 3 | |
| Total investment income | | | 441,452 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 247,440 | |
| Transfer agent and administrative fees | | | 82,480 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 31,065 | |
| A-Class | | | 1,616 | |
| C-Class | | | 41,826 | |
| Portfolio accounting fees | | | 32,992 | |
| Custodian fees | | | 5,838 | |
| Trustees’ fees* | | | 4,166 | |
| Miscellaneous | | | 35,437 | |
| Total expenses | | | 482,860 | |
| Net investment loss | | | (41,408 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 9,833,584 | |
| Swap agreements | | | 977,912 | |
| Futures contracts | | | (1,017,004 | ) |
| Net realized gain | | | 9,794,492 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (7,751,743 | ) |
| Swap agreements | | | (185,972 | ) |
| Futures contracts | | | (112,061 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (8,049,776 | ) |
| Net realized and unrealized gain | | | 1,744,716 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 1,703,308 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (41,408 | ) | | $ | 72,406 | |
| Net realized gain on investments | | | 9,794,492 | | | | 6,937,460 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (8,049,776 | ) | | | (1,576,607 | ) |
| Net increase in net assets resulting from operations | | | 1,703,308 | | | | 5,433,259 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 167,204,079 | | | | 237,071,389 | |
| Advisor Class | | | 191,116,293 | | | | 121,207,207 | |
| A-Class | | | 335,222 | | | | 3,329,240 | |
| C-Class | | | 2,291,780 | | | | 5,615,480 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (168,935,411 | ) | | | (250,073,204 | ) |
| Advisor Class | | | (195,780,486 | ) | | | (118,799,399 | ) |
| A-Class | | | (691,455 | ) | | | (7,696,519 | ) |
| C-Class | | | (2,570,888 | ) | | | (7,800,732 | ) |
| Net decrease from capital share transactions | | | (7,030,866 | ) | | | (17,146,538 | ) |
| Net decrease in net assets | | | (5,327,558 | ) | | | (11,713,279 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 76,011,215 | | | | 87,724,494 | |
| End of period | | $ | 70,683,657 | | | $ | 76,011,215 | |
| Undistributed net investment income at end of period | | $ | 30,998 | | | $ | 72,406 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 6,414,082 | | | | 10,119,764 | |
| Advisor Class | | | 7,989,962 | | | | 5,689,047 | |
| A-Class | | | 14,132 | | | | 144,349 | |
| C-Class | | | 99,848 | | | | 268,080 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,535,761 | ) | | | (10,732,141 | ) |
| Advisor Class | | | (8,163,538 | ) | | | (5,518,034 | ) |
| A-Class | | | (28,609 | ) | | | (336,896 | ) |
| C-Class | | | (112,162 | ) | | | (371,985 | ) |
| Net decrease in shares | | | (322,046 | ) | | | (737,816 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.82 | | | $ | 24.59 | | | $ | 20.28 | | | $ | 11.40 | | | $ | 26.13 | | | $ | 30.92 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .01 | | | | .08 | | | | .02 | | | | .06 | | | | .19 | | | | .40 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.17 | | | | 2.15 | | | | 4.31 | | | | 8.97 | | | | (14.83 | ) | | | (4.51 | ) |
| Total from investment operations | | | 1.18 | | | | 2.23 | | | | 4.33 | | | | 9.03 | | | | (14.64 | ) | | | (4.11 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Net asset value, end of period | | $ | 28.00 | | | $ | 26.82 | | | $ | 24.59 | | | $ | 20.28 | | | $ | 11.40 | | | $ | 26.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.40 | % | | | 9.07 | % | | | 21.38 | % | | | 79.36 | % | | | (56.06 | %) | | | (13.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 53,586 | | | $ | 54,598 | | | $ | 65,102 | | | $ | 77,268 | | | $ | 32,603 | | | $ | 74,674 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.11 | % | | | 0.36 | % | | | 0.11 | % | | | 0.33 | % | | | 0.93 | % | | | 1.26 | % |
| Total expenses | | | 1.24 | % | | | 1.26 | % | | | 1.29 | % | | | 1.28 | % | | | 1.29 | % | | | 1.27 | % |
| Portfolio turnover rate | | | 131 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % | | | 115 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.85 | | | $ | 22.88 | | | $ | 18.97 | | | $ | 10.73 | | | $ | 24.72 | | | $ | 29.44 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.05 | ) | | | (.04 | ) | | | (.07 | ) | | | (.01 | ) | | | .08 | | | | .23 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.08 | | | | 2.01 | | | | 4.00 | | | | 8.40 | | | | (13.98 | ) | | | (4.27 | ) |
| Total from investment operations | | | 1.03 | | | | 1.97 | | | | 3.93 | | | | 8.39 | | | | (13.90 | ) | | | (4.04 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Net asset value, end of period | | $ | 25.88 | | | $ | 24.85 | | | $ | 22.88 | | | $ | 18.97 | | | $ | 10.73 | | | $ | 24.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.19 | % | | | 8.57 | % | | | 20.75 | % | | | 78.35 | % | | | (56.26 | %) | | | (14.16 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,080 | | | $ | 11,112 | | | $ | 6,318 | | | $ | 11,746 | | | $ | 10,853 | | | $ | 19,218 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.45 | %) | | | (0.18 | %) | | | (0.37 | %) | | | (0.03 | %) | | | 0.45 | % | | | 0.78 | % |
| Total expenses | | | 1.74 | % | | | 1.75 | % | | | 1.79 | % | | | 1.78 | % | | | 1.79 | % | | | 1.77 | % |
| Portfolio turnover rate | | | 131 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % | | | 115 | % |
| 20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.38 | | | $ | 23.32 | | | $ | 19.28 | | | $ | 10.88 | | | $ | 24.99 | | | $ | 29.67 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.01 | ) | | | .01 | | | | (.02 | ) | | | .03 | | | | .13 | | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.08 | | | | 2.05 | | | | 4.08 | | | | 8.52 | | | | (14.15 | ) | | | (4.29 | ) |
| Total from investment operations | | | 1.07 | | | | 2.06 | | | | 4.06 | | | | 8.55 | | | | (14.02 | ) | | | (4.00 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Net asset value, end of period | | $ | 26.45 | | | $ | 25.38 | | | $ | 23.32 | | | $ | 19.28 | | | $ | 10.88 | | | $ | 24.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.26 | % | | | 8.79 | % | | | 21.09 | % | | | 78.74 | % | | | (56.13 | %) | | | (13.92 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,152 | | | $ | 1,472 | | | $ | 5,843 | | | $ | 1,876 | | | $ | 3,612 | | | $ | 11,791 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.11 | %) | | | 0.06 | % | | | (0.11 | %) | | | 0.18 | % | | | 0.70 | % | | | 0.97 | % |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.54 | % | | | 1.54 | % | | | 1.54 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 131 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % | | | 115 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.77 | | | $ | 22.01 | | | $ | 18.33 | | | $ | 10.42 | | | $ | 24.14 | | | $ | 28.91 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.10 | ) | | | (.13 | ) | | | (.16 | ) | | | (.09 | ) | | | (.01 | ) | | | .07 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.02 | | | | 1.89 | | | | 3.86 | | | | 8.15 | | | | (13.62 | ) | | | (4.16 | ) |
| Total from investment operations | | | .92 | | | | 1.76 | | | | 3.70 | | | | 8.06 | | | | (13.63 | ) | | | (4.09 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) | | | (.68 | ) |
| Net asset value, end of period | | $ | 24.69 | | | $ | 23.77 | | | $ | 22.01 | | | $ | 18.33 | | | $ | 10.42 | | | $ | 24.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 3.87 | % | | | 8.00 | % | | | 20.22 | % | | | 77.51 | % | | | (56.49 | %) | | | (14.60 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,867 | | | $ | 8,829 | | | $ | 10,461 | | | $ | 10,661 | | | $ | 9,314 | | | $ | 29,715 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.86 | %) | | | (0.62 | %) | | | (0.85 | %) | | | (0.61 | %) | | | (0.05 | %) | | | 0.24 | % |
| Total expenses | | | 2.24 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 131 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % | | | 115 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P 500 FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| A-Class | | May 31, 2006 |
| C-Class | | May 31, 2006 |
| H-Class | | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | | | 3.0 | % |
| Exxon Mobil Corp. | | | 2.0 | % |
| General Electric Co. | | | 1.1 | % |
| Chevron Corp. | | | 1.1 | % |
| Microsoft Corp. | | | 1.1 | % |
| International Business Machines Corp. | | | 1.1 | % |
| AT&T, Inc. | | | 1.0 | % |
| Google, Inc. — Class A | | | 0.9 | % |
| Procter & Gamble Co. | | | 0.9 | % |
| Johnson & Johnson | | | 0.9 | % |
| Top Ten Total | | | 13.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P 500 FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 60.9% | | | | | | | | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY - 12.3% | | | | | | | | |
| Apple, Inc. | | | 16,576 | | | $ | 11,060,503 | |
| Microsoft Corp. | | | 133,449 | | | | 3,974,111 | |
| International Business Machines Corp. | | | 18,999 | | | | 3,941,343 | |
| Google, Inc. — Class A* | | | 4,683 | | | | 3,533,323 | |
| Oracle Corp. | | | 67,356 | | | | 2,121,040 | |
| Intel Corp. | | | 88,483 | | | | 2,006,795 | |
| QUALCOMM, Inc. | | | 30,128 | | | | 1,882,699 | |
| Cisco Systems, Inc. | | | 93,561 | | | | 1,786,079 | |
| Visa, Inc. — Class A | | | 9,248 | | | | 1,241,821 | |
| EMC Corp.* | | | 37,119 | | | | 1,012,235 | |
| eBay, Inc.* | | | 20,516 | | | | 993,180 | |
| Mastercard, Inc. — Class A | | | 1,895 | | | | 855,555 | |
| Accenture plc — Class A | | | 11,227 | | | | 786,226 | |
| Hewlett-Packard Co. | | | 34,772 | | | | 593,210 | |
| Texas Instruments, Inc. | | | 20,125 | | | | 554,444 | |
| Automatic Data Processing, Inc. | | | 8,569 | | | | 502,658 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 5,280 | | | | 369,178 | |
| Corning, Inc. | | | 26,335 | | | | 346,305 | |
| Salesforce.com, Inc.* | | | 2,262 | | | | 345,385 | |
| Broadcom Corp. — Class A | | | 9,100 | | | | 314,678 | |
| Yahoo!, Inc.* | | | 18,437 | | | | 294,531 | |
| Intuit, Inc. | | | 4,882 | | | | 287,452 | |
| Adobe Systems, Inc.* | | | 8,694 | | | | 282,207 | |
| TE Connectivity Ltd. | | | 7,568 | | | | 257,387 | |
| Motorola Solutions, Inc. | | | 5,064 | | | | 255,985 | |
| Dell, Inc. | | | 25,770 | | | | 254,092 | |
| Citrix Systems, Inc.* | | | 3,308 | | | | 253,294 | |
| Applied Materials, Inc. | | | 21,887 | | | | 244,368 | |
| Teradata Corp.* | | | 2,986 | | | | 225,174 | |
| Symantec Corp.* | | | 12,433 | | | | 223,794 | |
| NetApp, Inc.* | | | 6,427 | | | | 211,320 | |
| Analog Devices, Inc. | | | 5,286 | | | | 207,158 | |
| Red Hat, Inc.* | | | 3,419 | | | | 194,678 | |
| Western Union Co. | | | 10,654 | | | | 194,116 | |
| Seagate Technology plc | | | 6,253 | | | | 193,843 | |
| Altera Corp. | | | 5,657 | | | | 192,253 | |
| Paychex, Inc. | | | 5,708 | | | | 190,019 | |
| SanDisk Corp.* | | | 4,275 | | | | 185,663 | |
| Fiserv, Inc.* | | | 2,400 | | | | 177,672 | |
| Xerox Corp. | | | 23,120 | | | | 169,701 | |
| Amphenol Corp. — Class A | | | 2,848 | | | | 167,690 | |
| Juniper Networks, Inc.* | | | 9,314 | | | | 159,363 | |
| CA, Inc. | | | 6,056 | | | | 156,033 | |
| Xilinx, Inc. | | | 4,637 | | | | 154,922 | |
| Western Digital Corp. | | | 3,936 | | | | 152,441 | |
| F5 Networks, Inc.* | | | 1,396 | | | | 146,161 | |
| NVIDIA Corp.* | | | 10,955 | | | | 146,140 | |
| KLA-Tencor Corp. | | | 2,947 | | | | 140,587 | |
| Fidelity National Information | | | | | | | | |
| Services, Inc. | | | 4,434 | | | | 138,429 | |
| VeriSign, Inc.* | | | 2,765 | | | | 134,628 | |
| Autodesk, Inc.* | | | 4,013 | | | | 133,914 | |
| Linear Technology Corp. | | | 4,071 | | | | 129,661 | |
| Akamai Technologies, Inc.* | | | 3,134 | | | | 119,907 | |
| Microchip Technology, Inc. | | | 3,422 | | | | 112,036 | |
| Micron Technology, Inc.* | | | 17,994 | | | | 107,694 | |
| BMC Software, Inc.* | | | 2,595 | | | | 107,667 | |
| Harris Corp. | | | 2,008 | | | | 102,850 | |
| Lam Research Corp.* | | | 3,224 | | | | 102,475 | |
| Computer Sciences Corp. | | | 2,751 | | | | 88,610 | |
| Electronic Arts, Inc.* | | | 5,629 | | | | 71,432 | |
| LSI Corp.* | | | 9,864 | | | | 68,160 | |
| Total System Services, Inc. | | | 2,866 | | | | 67,924 | |
| Molex, Inc. | | | 2,435 | | | | 63,992 | |
| Jabil Circuit, Inc. | | | 3,308 | | | | 61,926 | |
| SAIC, Inc. | | | 5,019 | | | | 60,429 | |
| FLIR Systems, Inc. | | | 2,672 | | | | 53,373 | |
| JDS Uniphase Corp.* | | | 4,104 | | | | 50,828 | |
| Teradyne, Inc.* | | | 3,322 | | | | 47,239 | |
| Advanced Micro Devices, Inc.* | | | 10,635 | | | | 35,840 | |
| Lexmark International, Inc. — Class A | | | 1,244 | | | | 27,679 | |
| First Solar, Inc.* | | | 1,057 | | | | 23,407 | |
| Total Information Technology | | | | | | | 45,848,912 | |
| FINANCIALS - 8.9% | | | | | | | | |
| Wells Fargo & Co. | | | 86,883 | | | | 3,000,070 | |
| Berkshire Hathaway, Inc. — Class B* | | | 32,437 | | | | 2,860,942 | |
| JPMorgan Chase & Co. | | | 67,183 | | | | 2,719,567 | |
| Citigroup, Inc. | | | 51,862 | | | | 1,696,924 | |
| Bank of America Corp. | | | 190,601 | | | | 1,683,007 | |
| U.S. Bancorp | | | 33,522 | | | | 1,149,805 | |
| American Express Co. | | | 17,443 | | | | 991,809 | |
| Goldman Sachs Group, Inc. | | | 7,970 | | | | 906,030 | |
| Simon Property Group, Inc. | | | 5,364 | | | | 814,309 | |
| American International Group, Inc.* | | | 20,624 | | | | 676,260 | |
| MetLife, Inc. | | | 18,786 | | | | 647,366 | |
| PNC Financial Services Group, Inc. | | | 9,359 | | | | 590,552 | |
| Capital One Financial Corp. | | | 10,275 | | | | 585,778 | |
| American Tower Corp. — Class A | | | 6,994 | | | | 499,302 | |
| Bank of New York Mellon Corp. | | | 20,892 | | | | 472,577 | |
| Travelers Companies, Inc. | | | 6,814 | | | | 465,124 | |
| ACE Ltd. | | | 5,999 | | | | 453,524 | |
| Prudential Financial, Inc. | | | 8,247 | | | | 449,544 | |
| BB&T Corp. | | | 12,369 | | | | 410,155 | |
| Morgan Stanley | | | 24,458 | | | | 409,427 | |
| BlackRock, Inc. — Class A | | | 2,263 | | | | 403,493 | |
| Aflac, Inc. | | | 8,285 | | | | 396,686 | |
| Discover Financial Services | | | 9,107 | | | | 361,821 | |
| Chubb Corp. | | | 4,702 | | | | 358,669 | |
| State Street Corp. | | | 8,474 | | | | 355,569 | |
| Public Storage | | | 2,552 | | | | 355,161 | |
| Allstate Corp. | | | 8,577 | | | | 339,735 | |
| HCP, Inc. | | | 7,602 | | | | 338,137 | |
| Marsh & McLennan Companies, Inc. | | | 9,628 | | | | 326,678 | |
| Ventas, Inc. | | | 5,226 | | | | 325,319 | |
| CME Group, Inc. — Class A | | | 5,410 | | | | 309,993 | |
| Equity Residential | | | 5,320 | | | | 306,060 | |
| Franklin Resources, Inc. | | | 2,444 | | | | 305,671 | |
| Aon plc | | | 5,702 | | | | 298,158 | |
| Boston Properties, Inc. | | | 2,664 | | | | 294,665 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| S&P 500 fund | |
| | | Shares | | | Value | |
| Prologis, Inc. | | | 8,145 | | | $ | 285,319 | |
| T. Rowe Price Group, Inc. | | | 4,485 | | | | 283,901 | |
| SunTrust Banks, Inc. | | | 9,528 | | | | 269,357 | |
| Fifth Third Bancorp | | | 16,252 | | | | 252,069 | |
| Weyerhaeuser Co. | | | 9,512 | | | | 248,644 | |
| Charles Schwab Corp. | | | 19,384 | | | | 247,921 | |
| Vornado Realty Trust | | | 2,991 | | | | 242,421 | |
| Health Care REIT, Inc. | | | 4,045 | | | | 233,599 | |
| AvalonBay Communities, Inc. | | | 1,710 | | | | 232,543 | |
| Loews Corp. | | | 5,530 | | | | 228,168 | |
| Ameriprise Financial, Inc. | | | 3,727 | | | | 211,284 | |
| Progressive Corp. | | | 9,912 | | | | 205,575 | |
| Host Hotels & Resorts, Inc. | | | 12,781 | | | | 205,135 | |
| M&T Bank Corp. | | | 2,129 | | | | 202,596 | |
| Invesco Ltd. | | | 7,873 | | | | 196,746 | |
| Regions Financial Corp. | | | 25,001 | | | | 180,257 | |
| Northern Trust Corp. | | | 3,871 | | | | 179,672 | |
| IntercontinentalExchange, Inc.* | | | 1,285 | | | | 171,432 | |
| Moody’s Corp. | | | 3,421 | | | | 151,106 | |
| Hartford Financial Services Group, Inc. | | | 7,711 | | | | 149,902 | |
| Kimco Realty Corp. | | | 7,200 | | | | 145,944 | |
| KeyCorp | | | 16,689 | | | | 145,862 | |
| Principal Financial Group, Inc. | | | 4,906 | | | | 132,168 | |
| SLM Corp. | | | 8,302 | | | | 130,507 | |
| XL Group plc — Class A | | | 5,407 | | | | 129,930 | |
| Plum Creek Timber Company, Inc. | | | 2,857 | | | | 125,251 | |
| Lincoln National Corp. | | | 4,938 | | | | 119,450 | |
| NYSE Euronext | | | 4,351 | | | | 107,252 | |
| Comerica, Inc. | | | 3,422 | | | | 106,253 | |
| Huntington Bancshares, Inc. | | | 15,179 | | | | 104,735 | |
| CBRE Group, Inc. — Class A* | | | 5,341 | | | | 98,328 | |
| Cincinnati Financial Corp. | | | 2,587 | | | | 98,021 | |
| Unum Group | | | 4,955 | | | | 95,235 | |
| Torchmark Corp. | | | 1,687 | | | | 86,627 | |
| Leucadia National Corp. | | | 3,503 | | | | 79,693 | |
| People’s United Financial, Inc. | | | 6,210 | | | | 75,389 | |
| Zions Bancorporation | | | 3,259 | | | | 67,315 | |
| Hudson City Bancorp, Inc. | | | 8,407 | | | | 66,920 | |
| Apartment Investment & Management | | | | | | | | |
| Co. — Class A | | | 2,572 | | | | 66,846 | |
| Assurant, Inc. | | | 1,439 | | | | 53,675 | |
| Legg Mason, Inc. | | | 2,126 | | | | 52,470 | |
| NASDAQ OMX Group, Inc. | | | 2,096 | | | | 48,826 | |
| Genworth Financial, Inc. — Class A* | | | 8,699 | | | | 45,496 | |
| First Horizon National Corp. | | | 4,401 | | | | 42,382 | |
| E*TRADE Financial Corp.* | | | 4,539 | | | | 39,989 | |
| Federated Investors, Inc. — Class B | | | 1,658 | | | | 34,304 | |
| Total Financials | | | | | | | 33,234,402 | |
| Health Care - 7.3% | | | | | | | | |
| Johnson & Johnson | | | 48,766 | | | | 3,360,466 | |
| Pfizer, Inc. | | | 132,104 | | | | 3,282,784 | |
| Merck & Company, Inc. | | | 53,868 | | | | 2,429,447 | |
| Abbott Laboratories | | | 27,754 | | | | 1,902,814 | |
| Amgen, Inc. | | | 13,635 | | | | 1,149,704 | |
| UnitedHealth Group, Inc. | | | 18,266 | | | | 1,012,118 | |
| Bristol-Myers Squibb Co. | | | 29,699 | | | | 1,002,341 | |
| Express Scripts Holding Co.* | | | 14,344 | | | | 898,938 | |
| Gilead Sciences, Inc.* | | | 13,386 | | | | 887,893 | |
| Eli Lilly & Co. | | | 18,057 | | | | 856,082 | |
| Medtronic, Inc. | | | 18,042 | | | | 777,971 | |
| Biogen Idec, Inc.* | | | 4,180 | | | | 623,781 | |
| Baxter International, Inc. | | | 9,675 | | | | 583,016 | |
| Celgene Corp.* | | | 7,630 | | | | 582,932 | |
| Covidien plc | | | 8,494 | | | | 504,713 | |
| Allergan, Inc. | | | 5,440 | | | | 498,195 | |
| Alexion Pharmaceuticals, Inc.* | | | 3,419 | | | | 391,134 | |
| Thermo Fisher Scientific, Inc. | | | 6,469 | | | | 380,571 | |
| McKesson Corp. | | | 4,174 | | | | 359,089 | |
| Intuitive Surgical, Inc.* | | | 709 | | | | 351,402 | |
| WellPoint, Inc. | | | 5,751 | | | | 333,616 | |
| Stryker Corp. | | | 5,114 | | | | 284,645 | |
| Becton Dickinson and Co. | | | 3,529 | | | | 277,238 | |
| Cigna Corp. | | | 5,099 | | | | 240,520 | |
| Agilent Technologies, Inc. | | | 6,166 | | | | 237,083 | |
| Cardinal Health, Inc. | | | 6,033 | | | | 235,106 | |
| Aetna, Inc. | | | 5,911 | | | | 234,076 | |
| St. Jude Medical, Inc. | | | 5,553 | | | | 233,948 | |
| Edwards Lifesciences Corp.* | | | 2,044 | | | | 219,464 | |
| Zimmer Holdings, Inc. | | | 3,086 | | | | 208,675 | |
| Humana, Inc. | | | 2,865 | | | | 200,980 | |
| Cerner Corp.* | | | 2,577 | | | | 199,486 | |
| Watson Pharmaceuticals, Inc.* | | | 2,257 | | | | 192,206 | |
| Perrigo Co. | | | 1,555 | | | | 180,644 | |
| Quest Diagnostics, Inc. | | | 2,804 | | | | 177,858 | |
| Mylan, Inc.* | | | 7,177 | | | | 175,119 | |
| AmerisourceBergen Corp. — Class A | | | 4,453 | | | | 172,376 | |
| Laboratory Corporation of | | | | | | | | |
| America Holdings* | | | 1,700 | | | | 157,199 | |
| DaVita, Inc.* | | | 1,506 | | | | 156,037 | |
| Life Technologies Corp.* | | | 3,100 | | | | 151,528 | |
| Forest Laboratories, Inc.* | | | 4,135 | | | | 147,247 | |
| CR Bard, Inc. | | | 1,379 | | | | 144,312 | |
| Boston Scientific Corp.* | | | 25,096 | | | | 144,051 | |
| Waters Corp.* | | | 1,551 | | | | 129,245 | |
| Varian Medical Systems, Inc.* | | | 1,959 | | | | 118,167 | |
| CareFusion Corp.* | | | 3,924 | | | | 111,402 | |
| Coventry Health Care, Inc. | | | 2,371 | | | | 98,847 | |
| DENTSPLY International, Inc. | | | 2,512 | | | | 95,808 | |
| Hospira, Inc.* | | | 2,918 | | | | 95,769 | |
| PerkinElmer, Inc. | | | 2,016 | | | | 59,412 | |
| Patterson Companies, Inc. | | | 1,503 | | | | 51,463 | |
| Tenet Healthcare Corp.* | | | 7,368 | | | | 46,197 | |
| Total Health Care | | | | | | | 27,345,115 | |
| Energy - 6.9% | | | | | | | | |
| Exxon Mobil Corp. | | | 81,638 | | | | 7,465,794 | |
| Chevron Corp. | | | 34,707 | | | | 4,045,448 | |
| Schlumberger Ltd. | | | 23,469 | | | | 1,697,513 | |
| Occidental Petroleum Corp. | | | 14,330 | | | | 1,233,240 | |
| ConocoPhillips | | | 21,481 | | | | 1,228,284 | |
| Anadarko Petroleum Corp. | | | 8,840 | | | | 618,092 | |
| National Oilwell Varco, Inc. | | | 7,544 | | | | 604,350 | |
| Apache Corp. | | | 6,919 | | | | 598,285 | |
| Halliburton Co. | | | 16,406 | | | | 552,718 | |
| EOG Resources, Inc. | | | 4,779 | | | | 535,487 | |
| 24 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| S&P 500 fund | |
| | | Shares | | | Value | |
| Phillips 66 | | | 11,084 | | | $ | 513,965 | |
| Devon Energy Corp. | | | 6,653 | | | | 402,507 | |
| Williams Companies, Inc. | | | 11,078 | | | | 387,398 | |
| Marathon Oil Corp. | | | 12,472 | | | | 368,797 | |
| Kinder Morgan, Inc. | | | 10,087 | | | | 358,290 | |
| Baker Hughes, Inc. | | | 7,776 | | | | 351,708 | |
| Spectra Energy Corp. | | | 11,552 | | | | 339,167 | |
| Marathon Petroleum Corp. | | | 5,986 | | | | 326,776 | |
| Valero Energy Corp. | | | 9,760 | | | | 309,197 | |
| Noble Energy, Inc. | | | 3,150 | | | | 292,037 | |
| Hess Corp. | | | 5,255 | | | | 282,299 | |
| Cameron International Corp.* | | | 4,358 | | | | 244,353 | |
| Pioneer Natural Resources Co. | | | 2,173 | | | | 226,861 | |
| Ensco plc — Class A | | | 4,100 | | | | 223,696 | |
| Southwestern Energy Co.* | | | 6,161 | | | | 214,280 | |
| Range Resources Corp. | | | 2,873 | | | | 200,737 | |
| FMC Technologies, Inc.* | | | 4,216 | | | | 195,201 | |
| Murphy Oil Corp. | | | 3,264 | | | | 175,244 | |
| Chesapeake Energy Corp. | | | 9,179 | | | | 173,208 | |
| Cabot Oil & Gas Corp. | | | 3,713 | | | | 166,714 | |
| Noble Corp. | | | 4,464 | | | | 159,722 | |
| Equities Corp. | | | 2,648 | | | | 156,232 | |
| CONSOL Energy, Inc. | | | 4,029 | | | | 121,072 | |
| Denbury Resources, Inc.* | | | 6,919 | | | | 111,811 | |
| Peabody Energy Corp. | | | 4,746 | | | | 105,788 | |
| Tesoro Corp. | | | 2,468 | | | | 103,409 | |
| QEP Resources, Inc. | | | 3,149 | | | | 99,697 | |
| Helmerich & Payne, Inc. | | | 1,869 | | | | 88,983 | |
| Sunoco, Inc. | | | 1,852 | | | | 86,729 | |
| Diamond Offshore Drilling, Inc. | | | 1,232 | | | | 81,078 | |
| Newfield Exploration Co.* | | | 2,392 | | | | 74,917 | |
| Rowan Companies plc — Class A* | | | 2,197 | | | | 74,193 | |
| Nabors Industries Ltd.* | | | 5,133 | | | | 72,016 | |
| WPX Energy, Inc.* | | | 3,522 | | | | 58,430 | |
| Alpha Natural Resources, Inc.* | | | 3,893 | | | | 25,577 | |
| Total Energy | | | | | | | 25,751,300 | |
| Consumer Discretionary - 6.7% | | | | | | | | |
| Comcast Corp. — Class A | | | 47,329 | | | | 1,692,958 | |
| Walt Disney Co. | | | 31,731 | | | | 1,658,896 | |
| McDonald’s Corp. | | | 17,834 | | | | 1,636,269 | |
| Amazon.com, Inc.* | | | 6,394 | | | | 1,626,123 | |
| Home Depot, Inc. | | | 26,661 | | | | 1,609,525 | |
| News Corp. — Class A | | | 36,008 | | | | 883,276 | |
| Time Warner, Inc. | | | 16,780 | | | | 760,637 | |
| Target Corp. | | | 11,585 | | | | 735,299 | |
| Starbucks Corp. | | | 13,439 | | | | 682,029 | |
| Ford Motor Co. | | | 67,457 | | | | 665,126 | |
| NIKE, Inc. — Class B | | | 6,501 | | | | 617,010 | |
| Lowe’s Companies, Inc. | | | 20,172 | | | | 610,001 | |
| TJX Companies, Inc. | | | 13,016 | | | | 582,986 | |
| DIRECTV* | | | 11,104 | | | | 582,516 | |
| Priceline.com, Inc.* | | | 877 | | | | 542,626 | |
| Yum! Brands, Inc. | | | 8,062 | | | | 534,833 | |
| Time Warner Cable, Inc. | | | 5,418 | | | | 515,035 | |
| Viacom, Inc. — Class B | | | 8,373 | | | | 448,709 | |
| CBS Corp. — Class B | | | 10,527 | | | | 382,446 | |
| Johnson Controls, Inc. | | | 12,094 | | | | 331,376 | |
| Carnival Corp. | | | 7,909 | | | | 288,205 | |
| Coach, Inc. | | | 5,049 | | | | 282,846 | |
| McGraw-Hill Companies, Inc. | | | 4,956 | | | | 270,548 | |
| Macy’s, Inc. | | | 7,119 | | | | 267,816 | |
| Discovery Communications, | | | | | | | | |
| Inc. — Class A* | | | 4,371 | | | | 260,643 | |
| Bed Bath & Beyond, Inc.* | | | 4,103 | | | | 258,489 | |
| Ross Stores, Inc. | | | 3,956 | | | | 255,558 | |
| VF Corp. | | | 1,556 | | | | 247,964 | |
| AutoZone, Inc.* | | | 661 | | | | 244,352 | |
| Omnicom Group, Inc. | | | 4,698 | | | | 242,229 | |
| Mattel, Inc. | | | 6,028 | | | | 213,873 | |
| Limited Brands, Inc. | | | 4,219 | | | | 207,828 | |
| Starwood Hotels & Resorts | | | | | | | | |
| Worldwide, Inc. | | | 3,472 | | | | 201,237 | |
| Dollar Tree, Inc.* | | | 4,072 | | | | 196,576 | |
| Kohl’s Corp. | | | 3,816 | | | | 195,456 | |
| The Gap, Inc. | | | 5,274 | | | | 188,704 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 564 | | | | 179,093 | |
| O’Reilly Automotive, Inc.* | | | 2,103 | | | | 175,853 | |
| Marriott International, Inc. — Class A | | | 4,453 | | | | 174,112 | |
| Harley-Davidson, Inc. | | | 4,031 | | | | 170,793 | |
| Genuine Parts Co. | | | 2,741 | | | | 167,283 | |
| Ralph Lauren Corp. — Class A | | | 1,080 | | | | 163,328 | |
| Wynn Resorts Ltd. | | | 1,401 | | | | 161,732 | |
| Nordstrom, Inc. | | | 2,702 | | | | 149,096 | |
| BorgWarner, Inc.* | | | 2,027 | | | | 140,086 | |
| Staples, Inc. | | | 12,069 | | | | 139,035 | |
| Wyndham Worldwide Corp. | | | 2,515 | | | | 131,987 | |
| Tiffany & Co. | | | 2,105 | | | | 130,257 | |
| Darden Restaurants, Inc. | | | 2,271 | | | | 126,608 | |
| CarMax, Inc.* | | | 4,041 | | | | 114,360 | |
| Family Dollar Stores, Inc. | | | 1,715 | | | | 113,705 | |
| Whirlpool Corp. | | | 1,371 | | | | 113,670 | |
| DR Horton, Inc. | | | 4,915 | | | | 101,446 | |
| Lennar Corp. — Class A | | | 2,885 | | | | 100,311 | |
| Newell Rubbermaid, Inc. | | | 5,109 | | | | 97,531 | |
| Expedia, Inc. | | | 1,662 | | | | 96,130 | |
| Scripps Networks Interactive, | | | | | | | | |
| Inc. — Class A | | | 1,528 | | | | 93,559 | |
| PulteGroup, Inc.* | | | 5,977 | | | | 92,644 | |
| Interpublic Group of Companies, Inc. | | | 7,731 | | | | 85,969 | |
| H&R Block, Inc. | | | 4,797 | | | | 83,132 | |
| Fossil, Inc.* | | | 970 | | | | 82,159 | |
| Best Buy Company, Inc. | | | 4,704 | | | | 80,862 | |
| Hasbro, Inc. | | | 2,046 | | | | 78,096 | |
| Gannett Company, Inc. | | | 4,093 | | | | 72,651 | |
| Urban Outfitters, Inc.* | | | 1,930 | | | | 72,491 | |
| TripAdvisor, Inc.* | | | 1,938 | | | | 63,818 | |
| Leggett & Platt, Inc. | | | 2,487 | | | | 62,299 | |
| International Game Technology | | | 4,724 | | | | 61,837 | |
| JC Penney Company, Inc. | | | 2,519 | | | | 61,187 | |
| Cablevision Systems Corp. — Class A | | | 3,814 | | | | 60,452 | |
| Harman International Industries, Inc. | | | 1,188 | | | | 54,838 | |
| Netflix, Inc.* | | | 985 | | | | 53,623 | |
| Goodyear Tire & Rubber Co.* | | | 4,330 | | | | 52,783 | |
| Apollo Group, Inc. — Class A* | | | 1,790 | | | | 51,999 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| S&P 500 fund | |
| | | Shares | | | Value | |
| Abercrombie & Fitch Co. — Class A | | | 1,461 | | | $ | 49,557 | |
| GameStop Corp. — Class A1 | | | 2,183 | | | | 45,843 | |
| Big Lots, Inc.* | | | 1,053 | | | | 31,148 | |
| AutoNation, Inc.* | | | 683 | | | | 29,827 | |
| Washington Post Co. — Class B | | | 80 | | | | 29,042 | |
| DeVry, Inc. | | | 1,021 | | | | 23,238 | |
| Total Consumer Discretionary | | | | | | | 25,139,470 | |
| Consumer Staples - 6.6% | | | | | | | | |
| Procter & Gamble Co. | | | 48,710 | | | | 3,378,526 | |
| Philip Morris International, Inc. | | | 29,814 | | | | 2,681,471 | |
| Coca-Cola Co. | | | 68,475 | | | | 2,597,257 | |
| Wal-Mart Stores, Inc. | | | 29,726 | | | | 2,193,778 | |
| PepsiCo, Inc. | | | 27,529 | | | | 1,948,227 | |
| Mondelez International, Inc. — Class A* | | | 31,388 | | | | 1,297,895 | |
| Altria Group, Inc. | | | 35,958 | | | | 1,200,638 | |
| CVS Caremark Corp. | | | 22,502 | | | | 1,089,547 | |
| Colgate-Palmolive Co. | | | 7,883 | | | | 845,215 | |
| Costco Wholesale Corp. | | | 7,644 | | | | 765,356 | |
| Kimberly-Clark Corp. | | | 6,984 | | | | 599,088 | |
| Walgreen Co. | | | 15,157 | | | | 552,321 | |
| General Mills, Inc. | | | 11,465 | | | | 456,880 | |
| Sysco Corp. | | | 10,380 | | | | 324,583 | |
| HJ Heinz Co. | | | 5,661 | | | | 316,733 | |
| Archer-Daniels-Midland Co. | | | 11,648 | | | | 316,593 | |
| Whole Foods Market, Inc. | | | 3,038 | | | | 295,901 | |
| Lorillard, Inc. | | | 2,310 | | | | 269,000 | |
| Mead Johnson Nutrition Co. — Class A | | | 3,608 | | | | 264,394 | |
| Estee Lauder Companies, Inc. — Class A | | | 4,244 | | | | 261,303 | |
| Reynolds American, Inc. | | | 5,801 | | | | 251,415 | |
| Kroger Co. | | | 9,633 | | | | 226,761 | |
| Kellogg Co. | | | 4,365 | | | | 225,496 | |
| ConAgra Foods, Inc. | | | 7,182 | | | | 198,151 | |
| Hershey Co. | | | 2,687 | | | | 190,481 | |
| Brown-Forman Corp. — Class B | | | 2,680 | | | | 174,870 | |
| JM Smucker Co. | | | 1,936 | | | | 167,135 | |
| Dr Pepper Snapple Group, Inc. | | | 3,725 | | | | 165,874 | |
| Clorox Co. | | | 2,288 | | | | 164,850 | |
| Beam, Inc. | | | 2,806 | | | | 161,457 | |
| Coca-Cola Enterprises, Inc. | | | 4,896 | | | | 153,098 | |
| Monster Beverage Corp.* | | | 2,720 | | | | 147,315 | |
| McCormick & Company, Inc. | | | 2,350 | | | | 145,794 | |
| Molson Coors Brewing Co. — Class B | | | 2,749 | | | | 123,842 | |
| Avon Products, Inc. | | | 7,646 | | | | 121,954 | |
| Campbell Soup Co.1 | | | 3,190 | | | | 111,076 | |
| Constellation Brands, Inc. — Class A* | | | 2,603 | | | | 84,207 | |
| Tyson Foods, Inc. — Class A | | | 5,124 | | | | 82,086 | |
| Hormel Foods Corp. | | | 2,371 | | | | 69,328 | |
| Safeway, Inc.1 | | | 4,240 | | | | 68,222 | |
| Dean Foods Co.* | | | 3,272 | | | | 53,497 | |
| Total Consumer Staples | | | | | | | 24,741,615 | |
| Industrials - 6.0% | | | | | | | | |
| General Electric Co. | | | 186,749 | | | | 4,241,069 | |
| United Technologies Corp. | | | 14,836 | | | | 1,161,510 | |
| 3M Co. | | | 11,249 | | | | 1,039,633 | |
| Caterpillar, Inc. | | | 11,557 | | | | 994,365 | |
| Union Pacific Corp. | | | 8,377 | | | | 994,350 | |
| United Parcel Service, Inc. — Class B | | | 12,713 | | | | 909,870 | |
| Boeing Co. | | | 11,967 | | | | 833,143 | |
| Honeywell International, Inc. | | | 13,809 | | | | 825,088 | |
| Emerson Electric Co. | | | 12,863 | | | | 620,897 | |
| Deere & Co. | | | 6,927 | | | | 571,408 | |
| Danaher Corp. | | | 10,331 | | | | 569,755 | |
| Tyco International Ltd. | | | 8,138 | | | | 457,844 | |
| Illinois Tool Works, Inc. | | | 7,628 | | | | 453,637 | |
| Lockheed Martin Corp. | | | 4,762 | | | | 444,676 | |
| FedEx Corp. | | | 5,165 | | | | 437,062 | |
| Precision Castparts Corp. | | | 2,569 | | | | 419,620 | |
| General Dynamics Corp. | | | 5,865 | | | | 387,794 | |
| CSX Corp. | | | 18,396 | | | | 381,717 | |
| Norfolk Southern Corp. | | | 5,651 | | | | 359,573 | |
| Raytheon Co. | | | 5,870 | | | | 335,529 | |
| Northrop Grumman Corp. | | | 4,372 | | | | 290,432 | |
| Cummins, Inc. | | | 3,132 | | | | 288,802 | |
| Eaton Corp. | | | 5,972 | | | | 282,237 | |
| PACCAR, Inc. | | | 6,250 | | | | 250,156 | |
| Waste Management, Inc. | | | 7,707 | | | | 247,240 | |
| Ingersoll-Rand plc | | | 5,070 | | | | 227,237 | |
| Stanley Black & Decker, Inc. | | | 2,974 | | | | 226,768 | |
| Parker Hannifin Corp. | | | 2,646 | | | | 221,153 | |
| WW Grainger, Inc. | | | 1,060 | | | | 220,873 | |
| Cooper Industries plc | | | 2,832 | | | | 212,570 | |
| Fastenal Co. | | | 4,766 | | | | 204,890 | |
| Dover Corp. | | | 3,235 | | | | 192,450 | |
| Roper Industries, Inc. | | | 1,733 | | | | 190,439 | |
| Rockwell Automation, Inc. | | | 2,496 | | | | 173,597 | |
| CH Robinson Worldwide, Inc. | | | 2,859 | | | | 167,394 | |
| Fluor Corp. | | | 2,953 | | | | 166,195 | |
| Republic Services, Inc. — Class A | | | 5,298 | | | | 145,748 | |
| Stericycle, Inc.* | | | 1,515 | | | | 137,138 | |
| Expeditors International of | | | | | | | | |
| Washington, Inc. | | | 3,723 | | | | 135,368 | |
| Rockwell Collins, Inc. | | | 2,514 | | | | 134,851 | |
| Pall Corp. | | | 2,055 | | | | 130,472 | |
| Textron, Inc. | | | 4,967 | | | | 129,986 | |
| L-3 Communications Holdings, Inc. | | | 1,704 | | | | 122,194 | |
| Flowserve Corp. | | | 904 | | | | 115,477 | |
| Southwest Airlines Co. | | | 13,142 | | | | 115,255 | |
| Joy Global, Inc. | | | 1,872 | | | | 104,944 | |
| Equifax, Inc. | | | 2,117 | | | | 98,610 | |
| Masco Corp. | | | 6,318 | | | | 95,086 | |
| Quanta Services, Inc.* | | | 3,771 | | | | 93,144 | |
| Jacobs Engineering Group, Inc.* | | | 2,291 | | | | 92,625 | |
| Iron Mountain, Inc. | | | 2,671 | | | | 91,108 | |
| Xylem, Inc. | | | 3,282 | | | | 82,542 | |
| Cintas Corp. | | | 1,902 | | | | 78,838 | |
| Snap-on, Inc. | | | 1,028 | | | | 73,882 | |
| Robert Half International, Inc. | | | 2,507 | | | | 66,761 | |
| Dun & Bradstreet Corp. | | | 794 | | | | 63,218 | |
| Avery Dennison Corp. | | | 1,795 | | | | 57,117 | |
| Pitney Bowes, Inc.1 | | | 3,552 | | | | 49,089 | |
| Ryder System, Inc. | | | 901 | | | | 35,193 | |
| RR Donnelley & Sons Co.1 | | | 3,186 | | | | 33,772 | |
| Total Industrials | | | | | | | 22,283,391 | |
| 26 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| S&P 500 fund | |
| | | Shares | | | Value | |
| Utilities - 2.1% | | | | | | | | |
| Duke Energy Corp. | | | 12,455 | | | $ | 807,083 | |
| Southern Co. | | | 15,475 | | | | 713,242 | |
| Exelon Corp. | | | 15,094 | | | | 537,045 | |
| Dominion Resources, Inc. | | | 10,138 | | | | 536,706 | |
| NextEra Energy, Inc. | | | 7,476 | | | | 525,787 | |
| American Electric Power Company, Inc. | | | 8,577 | | | | 376,873 | |
| FirstEnergy Corp. | | | 7,397 | | | | 326,208 | |
| PG&E Corp. | | | 7,540 | | | | 321,732 | |
| Consolidated Edison, Inc. | | | 5,184 | | | | 310,470 | |
| PPL Corp. | | | 10,276 | | | | 298,518 | |
| Public Service Enterprise Group, Inc. | | | 8,950 | | | | 288,011 | |
| Edison International | | | 5,765 | | | | 263,403 | |
| Sempra Energy | | | 3,976 | | | | 256,412 | |
| Xcel Energy, Inc. | | | 8,628 | | | | 239,082 | |
| Entergy Corp. | | | 3,136 | | | | 217,325 | |
| Northeast Utilities | | | 5,548 | | | | 212,100 | |
| DTE Energy Co. | | | 3,043 | | | | 182,397 | |
| ONEOK, Inc. | | | 3,627 | | | | 175,221 | |
| CenterPoint Energy, Inc. | | | 7,562 | | | | 161,071 | |
| Wisconsin Energy Corp. | | | 4,079 | | | | 153,656 | |
| Ameren Corp. | | | 4,290 | | | | 140,154 | |
| NiSource, Inc. | | | 5,042 | | | | 128,470 | |
| AES Corp.* | | | 10,980 | | | | 120,451 | |
| SCANA Corp. | | | 2,320 | | | | 111,986 | |
| CMS Energy Corp. | | | 4,692 | | | | 110,497 | |
| Pinnacle West Capital Corp. | | | 1,939 | | | | 102,379 | |
| NRG Energy, Inc. | | | 4,026 | | | | 86,116 | |
| AGL Resources, Inc. | | | 2,076 | | | | 84,929 | |
| Pepco Holdings, Inc. | | | 4,050 | | | | 76,545 | |
| Integrys Energy Group, Inc. | | | 1,382 | | | | 72,140 | |
| TECO Energy, Inc. | | | 3,601 | | | | 63,882 | |
| Total Utilities | | | | | | | 7,999,891 | |
| Materials - 2.1% | | | | | | | | |
| Monsanto Co. | | | 9,430 | | | | 858,318 | |
| EI du Pont de Nemours & Co. | | | 16,456 | | | | 827,244 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 16,788 | | | | 664,469 | |
| Dow Chemical Co. | | | 21,192 | | | | 613,720 | |
| Praxair, Inc. | | | 5,273 | | | | 547,759 | |
| Newmont Mining Corp. | | | 8,772 | | | | 491,320 | |
| Air Products & Chemicals, Inc. | | | 3,747 | | | | 309,877 | |
| PPG Industries, Inc. | | | 2,698 | | | | 309,838 | |
| LyondellBasell Industries N.V. — Class A | | | 5,997 | | | | 309,805 | |
| Ecolab, Inc. | | | 4,656 | | | | 301,755 | |
| Mosaic Co. | | | 4,891 | | | | 281,771 | |
| International Paper Co. | | | 7,735 | | | | 280,935 | |
| CF Industries Holdings, Inc. | | | 1,109 | | | | 246,464 | |
| Sherwin-Williams Co. | | | 1,508 | | | | 224,556 | |
| Nucor Corp. | | | 5,615 | | | | 214,830 | |
| Alcoa, Inc. | | | 18,873 | | | | 167,026 | |
| Eastman Chemical Co. | | | 2,708 | | | | 154,383 | |
| Sigma-Aldrich Corp. | | | 2,139 | | | | 153,944 | |
| FMC Corp. | | | 2,430 | | | | 134,573 | |
| Ball Corp. | | | 2,737 | | | | 115,802 | |
| Vulcan Materials Co. | | | 2,285 | | | | 108,081 | |
| Airgas, Inc. | | | 1,230 | | | | 101,229 | |
| Cliffs Natural Resources, Inc. | | | 2,525 | | | | 98,803 | |
| MeadWestvaco Corp. | | | 3,070 | | | | 93,942 | |
| International Flavors & Fragrances, Inc. | | | 1,438 | | | | 85,676 | |
| Allegheny Technologies, Inc. | | | 1,895 | | | | 60,451 | |
| Bemis Company, Inc. | | | 1,825 | | | | 57,433 | |
| Owens-Illinois, Inc.* | | | 2,921 | | | | 54,798 | |
| United States Steel Corp.1 | | | 2,555 | | | | 48,724 | |
| Sealed Air Corp. | | | 3,091 | | | | 47,787 | |
| Titanium Metals Corp. | | | 1,300 | | | | 16,679 | |
| Total Materials | | | | | | | 7,981,992 | |
| Telecommunication Services - 2.0% | | | | | | | | |
| AT&T, Inc. | | | 102,032 | | | | 3,846,606 | |
| Verizon Communications, Inc. | | | 50,389 | | | | 2,296,227 | |
| CenturyLink, Inc. | | | 11,013 | | | | 444,925 | |
| Crown Castle International Corp.* | | | 5,181 | | | | 332,103 | |
| Sprint Nextel Corp.* | | | 53,066 | | | | 292,924 | |
| Windstream Corp.1 | | | 10,399 | | | | 105,134 | |
| Frontier Communications Corp.1 | | | 17,658 | | | | 86,524 | |
| MetroPCS Communications, Inc.* | | | 5,589 | | | | 65,447 | |
| Total Telecommunication Services | | | | | | | 7,469,890 | |
| Total Common Stocks | | | | | | | | |
| (Cost $178,886,427) | | | | | | | 227,795,978 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 31.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 57,709,323 | | | | 57,709,323 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 33,203,645 | | | | 33,203,645 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 18,941,791 | | | | 18,941,791 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 9,282,341 | | | | 9,282,341 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $119,137,100) | | | | | | | 119,137,100 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.1% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 136,987 | | | | 136,987 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 134,813 | | | | 134,813 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $271,800) | | | | | | | 271,800 | |
| Total Investments - 92.9% | | | | | | | | |
| (Cost $298,295,327) | | | | | | $ | 347,204,878 | |
| Other Assets & Liabilities, net - 7.1% | | | | | | | 26,719,108 | |
| Total Net Assets - 100.0% | | | | | | $ | 373,923,986 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P 500 fund | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $53,335,500) | | | 744 | | | $ | (364,615 | ) |
| | | | | | | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/29/125 | | | | | | | | |
| (Notional Value $35,264,410) | | | 24,478 | | | $ | 177,618 | |
| Barclays Bank plc | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $16,963,915) | | | 11,775 | | | | (76,634 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $41,478,198) | | | 28,791 | | | | (126,255 | ) |
| (Total Notional Value | | | | | | | | |
| $93,706,523) | | | | | | $ | (25,271 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| REIT | — Real Estate Investment Trust |
| 28 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
|
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value - including $259,047 of | | | | |
| securities loaned | | | | |
| (cost $179,158,227) | | $ | 228,067,778 | |
| Repurchase agreements, at value | | | | |
| (cost $119,137,100) | | | 119,137,100 | |
| Total investments | | | | |
| (cost $298,295,327) | | | 347,204,878 | |
| Segregated cash with broker | | | 3,736,500 | |
| Unrealized appreciation on swap agreements | | | 177,618 | |
| Cash | | | 835 | |
| Receivables: | | | | |
| Fund shares sold | | | 27,329,462 | |
| Dividends | | | 286,558 | |
| Interest | | | 1,684 | |
| Total assets | | | 378,737,535 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 202,889 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 3,664,133 | |
| Payable upon return of securities loaned | | | 271,800 | |
| Variation margin | | | 220,184 | |
| Management fees | | | 194,414 | |
| Distribution and service fees | | | 70,806 | |
| Transfer agent and administrative fees | | | 64,805 | |
| Portfolio accounting fees | | | 24,052 | |
| Miscellaneous | | | 100,466 | |
| Total liabilities | | | 4,813,549 | |
| Net assets | | $ | 373,923,986 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 364,980,944 | |
| Undistributed net investment income | | | 246,749 | |
| Accumulated net realized loss on investments | | | (39,823,372 | ) |
| Net unrealized appreciation on investments | | | 48,519,665 | |
| Net assets | | $ | 373,923,986 | |
| A-Class: | | | | |
| Net assets | | $ | 18,466,165 | |
| Capital shares outstanding | | | 638,045 | |
| Net asset value per share | | $ | 28.94 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 30.38 | |
| C-Class: | | | | |
| Net assets | | $ | 11,466,099 | |
| Capital shares outstanding | | | 416,659 | |
| Net asset value per share | | $ | 27.52 | |
| H-Class: | | | | |
| Net assets | | $ | 343,991,722 | |
| Capital shares outstanding | | | 11,883,070 | |
| Net asset value per share | | $ | 28.95 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
|
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends | | $ | 2,026,991 | |
| Interest | | | 36,516 | |
| Income from securities lending, net | | | 114 | |
| Total investment income | | | 2,063,621 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 897,480 | |
| Transfer agent and administrative fees | | | 299,160 | |
| Distribution and service fees: | | | | |
| A-Class | | | 15,812 | |
| C-Class | | | 51,639 | |
| H-Class | | | 270,439 | |
| Portfolio accounting fees | | | 116,756 | |
| Custodian fees | | | 21,741 | |
| Trustees’ fees* | | | 14,176 | |
| Miscellaneous | | | 129,669 | |
| Total expenses | | | 1,816,872 | |
| Net investment income | | | 246,749 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 329,802 | |
| Swap agreements | | | 2,599,583 | |
| Futures contracts | | | 1,968,780 | |
| Net realized gain | | | 4,898,165 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 1,092,869 | |
| Swap agreements | | | (89,150 | ) |
| Futures contracts | | | (412,176 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 591,543 | |
| Net realized and unrealized gain | | | 5,489,708 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 5,736,457 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 246,749 | | | $ | (205,786 | ) |
| Net realized gain (loss) on investments | | | 4,898,165 | | | | (707,064 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 591,543 | | | | 15,364,800 | |
| Net increase in net assets resulting from operations | | | 5,736,457 | | | | 14,451,950 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 43,100,027 | | | | 102,743,762 | |
| C-Class | | | 57,057,303 | | | | 157,204,528 | |
| H-Class | | | 893,327,992 | | | | 1,762,118,692 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (38,650,516 | ) | | | (99,361,075 | ) |
| C-Class | | | (55,942,659 | ) | | | (157,538,958 | ) |
| H-Class | | | (795,074,991 | ) | | | (1,784,659,332 | ) |
| Net increase (decrease) from capital share transactions | | | 103,817,156 | | | | (19,492,383 | ) |
| Net increase (decrease) in net assets | | | 109,553,613 | | | | (5,040,433 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 264,370,373 | | | | 269,410,806 | |
| End of period | | $ | 373,923,986 | | | $ | 264,370,373 | |
| Undistributed net investment income at end of period | | $ | 246,749 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,584,193 | | | | 4,096,321 | |
| C-Class | | | 2,169,755 | | | | 6,482,033 | |
| H-Class | | | 32,054,774 | | | | 70,536,838 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,421,759 | ) | | | (4,010,269 | ) |
| C-Class | | | (2,128,757 | ) | | | (6,501,183 | ) |
| H-Class | | | (28,711,905 | ) | | | (71,435,348 | ) |
| Net increase (decrease) in shares | | | 3,546,301 | | | | (831,608 | ) |
| 30 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 26.41 | | | $ | 23.18 | | | $ | 15.79 | | | $ | 25.92 | | | $ | 27.32 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .03 | | | | .01 | | | | (.06 | ) | | | .07 | | | | .12 | | | | .52 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .71 | | | | 1.78 | | | | 3.29 | | | | 7.43 | | | | (10.21 | ) | | | (1.78 | ) |
| Total from investment operations | | | .74 | | | | 1.79 | | | | 3.23 | | | | 7.50 | | | | (10.09 | ) | | | (1.26 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (— | )d | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Total distributions | | | — | | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Net asset value, end of period | | $ | 28.94 | | | $ | 28.20 | | | $ | 26.41 | | | $ | 23.18 | | | $ | 15.79 | | | $ | 25.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.62 | % | | | 6.78 | % | | | 13.94 | % | | | 47.55 | % | | | (38.95 | %) | | | (4.68 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 18,466 | | | $ | 13,413 | | | $ | 10,288 | | | $ | 46,312 | | | $ | 29,409 | | | $ | 2,358 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.22 | % | | | 0.05 | % | | | (0.25 | %) | | | 0.34 | % | | | 0.68 | % | | | 1.86 | % |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.52 | % | | | 1.51 | % |
| Portfolio turnover rate | | | 62 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % | | | 396 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.91 | | | $ | 25.41 | | | $ | 22.50 | | | $ | 15.44 | | | $ | 25.55 | | | $ | 27.15 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.07 | ) | | | (.20 | ) | | | (.27 | ) | | | (.08 | ) | | | (.02 | ) | | | .18 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .68 | | | | 1.70 | | | | 3.18 | | | | 7.25 | | | | (10.05 | ) | | | (1.64 | ) |
| Total from investment operations | | | .61 | | | | 1.50 | | | | 2.91 | | | | 7.17 | | | | (10.07 | ) | | | (1.46 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (— | )d | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Total distributions | | | — | | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Net asset value, end of period | | $ | 27.52 | | | $ | 26.91 | | | $ | 25.41 | | | $ | 22.50 | | | $ | 15.44 | | | $ | 25.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.27 | % | | | 5.90 | % | | | 12.93 | % | | | 46.49 | % | | | (39.43 | %) | | | (5.45 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,466 | | | $ | 10,110 | | | $ | 10,032 | | | $ | 11,456 | | | $ | 7,295 | | | $ | 7,836 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.55 | %) | | | (0.80 | %) | | | (1.11 | %) | | | (0.41 | %) | | | (0.08 | %) | | | 0.67 | % |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % |
| Portfolio turnover rate | | | 62 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % | | | 396 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 26.39 | | | $ | 23.17 | | | $ | 15.78 | | | $ | 25.90 | | | $ | 27.31 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .03 | | | | (.02 | ) | | | (.09 | ) | | | .06 | | | | .13 | | | | .39 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .72 | | | | 1.83 | | | | 3.31 | | | | 7.44 | | | | (10.21 | ) | | | (1.66 | ) |
| Total from investment operations | | | .75 | | | | 1.81 | | | | 3.22 | | | | 7.50 | | | | (10.08 | ) | | | (1.27 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (— | )d | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Total distributions | | | — | | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) | | | (.14 | ) |
| Net asset value, end of period | | $ | 28.95 | | | $ | 28.20 | | | $ | 26.39 | | | $ | 23.17 | | | $ | 15.78 | | | $ | 25.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.66 | % | | | 6.86 | % | | | 13.90 | % | | | 47.58 | % | | | (38.94 | %) | | | (4.72 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 343,992 | | | $ | 240,847 | | | $ | 249,090 | | | $ | 194,193 | | | $ | 139,759 | | | $ | 78,963 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.24 | % | | | (0.07 | %) | | | (0.37 | %) | | | 0.29 | % | | | 0.64 | % | | | 1.40 | % |
| Total expenses | | | 1.49 | % | | | 1.50 | % | | | 1.54 | % | | | 1.53 | % | | | 1.53 | % | | | 1.48 | % |
| Portfolio turnover rate | | | 62 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % | | | 396 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Less than $0.01 per share. |
| 32 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INVERSE S&P 500 Strategy FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | January 7, 1994 |
| Advisor Class | August 5, 1998 |
| A-Class | March 31, 2004 |
| C-Class | March 15, 2001 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
| SCHEDULE OF INVESTMENTS (Unaudited) | | September 30, 2012 |
| INVERSE S&P 500 Strategy FUND | | |
| | | | Face | | | | | |
| | | | amount | | | | Value | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 75.7% | | | | | | | | |
| Fannie Mae1 | | | | | | | | |
| 0.13% due 12/05/12 | | $ | 20,000,000 | | | $ | 19,998,560 | |
| 0.15% due 10/10/12 | | | 15,000,000 | | | | 14,999,925 | |
| Total Fannie Mae | | | | | | | 34,998,485 | |
| Freddie Mac1 | | | | | | | | |
| 0.15% due 02/06/13 | | | 20,000,000 | | | | 19,995,020 | |
| 0.15% due 10/29/12 | | | 15,000,000 | | | | 14,999,760 | |
| Total Freddie Mac | | | | | | | 34,994,780 | |
| Farmer Mac2 | | | | | | | | |
| 0.17% due 11/28/12 | | | 10,000,000 | | | | 9,999,520 | |
| 0.15% due 12/21/12 | | | 10,000,000 | | | | 9,999,100 | |
| Total Farmer Mac | | | | | | | 19,998,620 | |
| Federal Home Loan Bank2 | | | | | | | | |
| 0.15% due 10/30/12 | | | 15,000,000 | | | | 14,999,760 | |
| Federal Farm Credit Bank2 | | | | | | | | |
| 0.15% due 11/05/12 | | | 15,000,000 | | | | 14,999,565 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $119,972,100) | | | | | | | 119,991,210 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,3 - 21.1% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 11,851,255 | | | | 11,851,255 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/124 | | | 10,860,703 | | | | 10,860,703 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 6,818,740 | | | | 6,818,740 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 3,889,909 | | | | 3,889,909 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $33,420,607) | | | | | | | 33,420,607 | |
| Total Investments - 96.8% | | | | | | | | |
| (Cost $153,392,707) | | | | | | $ | 153,411,817 | |
| Other Assets & Liabilities, net - 3.2% | | | | | | | 5,067,547 | |
| Total Net Assets - 100.0% | | | | | | $ | 158,479,364 | |
| | | | | | | | Unrealized | |
| | | | Contracts | | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $47,958,938) | | | 669 | | | $ | 194,974 | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $73,997,167) | | | 51,363 | | | $ | 202,886 | |
| Barclays Bank plc | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $15,689,504) | | | 10,890 | | | | 70,700 | |
| Goldman Sachs International | | | | | | | | |
| October 2012 S&P 500 Index Swap, | | | | | | | | |
| Terminating 10/29/125 | | | | | | | | |
| (Notional Value $20,461,015) | | | 14,202 | | | | (105,617 | ) |
| (Total Notional Value | | | | | | | | |
| $110,147,686) | | | | | | $ | 167,969 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
| 2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 3 | Repurchase Agreements — See Note 5. |
| 4 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 5 | Total Return based on S&P 500 Index +/- financing at a variable rate. |
| | | plc — Public Limited Company |
| 34 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE S&P 500 Strategy FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
|
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $119,972,100) | | $ | 119,991,210 | |
| Repurchase agreements, at value | | | | |
| (cost $33,420,607) | | | 33,420,607 | |
| Total investments | | | | |
| (cost $153,392,707) | | | 153,411,817 | |
| Segregated cash with broker | | | 6,001,288 | |
| Unrealized appreciation on swap agreements | | | 273,586 | |
| Receivables: | | | | |
| Variation margin | | | 387,775 | |
| Fund shares sold | | | 320,566 | |
| Interest | | | 412 | |
| Total assets | | | 160,395,444 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 105,617 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,603,096 | |
| Management fees | | | 104,187 | |
| Transfer agent and administrative fees | | | 28,941 | |
| Portfolio accounting fees | | | 11,576 | |
| Distribution and service fees | | | 10,966 | |
| Miscellaneous | | | 51,697 | |
| Total liabilities | | | 1,916,080 | |
| Net assets | | $ | 158,479,364 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 576,873,834 | |
| Accumulated net investment loss | | | (1,686,612 | ) |
| Accumulated net realized loss on investments | | | (417,089,911 | ) |
| Net unrealized appreciation on investments | | | 382,053 | |
| Net assets | | $ | 158,479,364 | |
| Investor Class: | | | | |
| Net assets | | $ | 137,192,933 | |
| Capital shares outstanding | | | 5,848,021 | |
| Net asset value per share | | $ | 23.46 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,537,265 | |
| Capital shares outstanding | | | 210,106 | |
| Net asset value per share | | $ | 21.60 | |
| A-Class: | | | | |
| Net assets | | $ | 7,206,454 | |
| Capital shares outstanding | | | 327,727 | |
| Net asset value per share | | $ | 21.99 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 23.09 | |
| C-Class: | | | | |
| Net assets | | $ | 9,542,712 | |
| Capital shares outstanding | | | 460,991 | |
| Net asset value per share | | $ | 20.70 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
|
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Interest | | $ | 110,990 | |
| Total investment income | | | 110,990 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 725,175 | |
| Transfer agent and administrative fees | | | 201,437 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 27,189 | |
| A-Class | | | 10,431 | |
| C-Class | | | 49,062 | |
| Portfolio accounting fees | | | 80,574 | |
| Trustees’ fees* | | | 14,692 | |
| Custodian fees | | | 13,775 | |
| Miscellaneous | | | 83,199 | |
| Total expenses | | | 1,205,534 | |
| Net investment loss | | | (1,094,544 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (2,084,311 | ) |
| Futures contracts | | | (8,077,821 | ) |
| Net realized loss | | | (10,162,132 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 12,243 | |
| Swap agreements | | | 366,138 | |
| Futures contracts | | | 254,683 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 633,064 | |
| Net realized and unrealized loss | | | (9,529,068 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (10,623,612 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
| INVERSE S&P 500 Strategy FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (1,094,544 | ) | | $ | (3,044,224 | ) |
| Net realized loss on investments | | | (10,162,132 | ) | | | (48,907,023 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 633,064 | | | | 1,110,081 | |
| Net decrease in net assets resulting from operations | | | (10,623,612 | ) | | | (50,841,166 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 182,780,932 | | | | 740,514,113 | |
| Advisor Class | | | 31,144,828 | | | | 91,994,118 | |
| A-Class | | | 5,877,591 | | | | 78,100,721 | |
| C-Class | | | 10,021,437 | | | | 22,769,486 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (149,583,607 | ) | | | (702,486,924 | ) |
| Advisor Class | | | (31,405,514 | ) | | | (90,159,118 | ) |
| A-Class | | | (6,146,109 | ) | | | (72,186,098 | ) |
| C-Class | | | (7,682,843 | ) | | | (25,298,728 | ) |
| Net increase from capital share transactions | | | 35,006,715 | | | | 43,247,570 | |
| Net increase (decrease) in net assets | | | 24,383,103 | | | | (7,593,596 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 134,096,261 | | | | 141,689,857 | |
| End of period | | $ | 158,479,364 | | | $ | 134,096,261 | |
| Accumulated net investment loss at end of period | | $ | (1,686,612 | ) | | $ | (592,068 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 7,258,031 | | | | 24,859,345 | |
| Advisor Class | | | 1,320,104 | | | | 3,384,090 | |
| A-Class | | | 247,080 | | | | 2,790,019 | |
| C-Class | | | 449,386 | | | | 886,566 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (5,974,827 | ) | | | (24,449,326 | ) |
| Advisor Class | | | (1,373,172 | ) | | | (3,364,284 | ) |
| A-Class | | | (262,000 | ) | | | (2,634,880 | ) |
| C-Class | | | (348,941 | ) | | | (988,825 | ) |
| Net increase in shares | | | 1,315,661 | | | | 482,705 | |
| 36 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE S&P 500 Strategy FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.61 | | | $ | 28.50 | | | $ | 34.38 | | | $ | 54.23 | | | $ | 40.00 | | | $ | 37.85 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.16 | ) | | | (.38 | ) | | | (.41 | ) | | | (.47 | ) | | | .12 | | | | .93 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.99 | ) | | | (3.51 | ) | | | (5.47 | ) | | | (19.32 | ) | | | 14.94 | | | | 2.74 | |
| Total from investment operations | | | (1.15 | ) | | | (3.89 | ) | | | (5.88 | ) | | | (19.79 | ) | | | 15.06 | | | | 3.67 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Net asset value, end of period | | $ | 23.46 | | | $ | 24.61 | | | $ | 28.50 | | | $ | 34.38 | | | $ | 54.23 | | | $ | 40.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.67 | %) | | | (13.65 | %) | | | (17.10 | %) | | | (36.51 | %) | | | 37.66 | % | | | 10.24 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 137,193 | | | $ | 112,334 | | | $ | 118,410 | | | $ | 171,423 | | | $ | 217,740 | | | $ | 223,044 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.25 | %) | | | (1.31 | %) | | | (1.22 | %) | | | (1.16 | %) | | | 0.25 | % | | | 3.08 | % |
| Total expenses | | | 1.39 | % | | | 1.41 | % | | | 1.44 | % | | | 1.43 | % | | | 1.43 | % | | | 1.41 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.71 | | | $ | 26.44 | | | $ | 32.06 | | | $ | 50.83 | | | $ | 37.72 | | | $ | 36.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.20 | ) | | | (.48 | ) | | | (.54 | ) | | | (.63 | ) | | | (.13 | ) | | | .73 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.91 | ) | | | (3.25 | ) | | | (5.08 | ) | | | (18.08 | ) | | | 14.07 | | | | 2.51 | |
| Total from investment operations | | | (1.11 | ) | | | (3.73 | ) | | | (5.62 | ) | | | (18.71 | ) | | | 13.94 | | | | 3.24 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Net asset value, end of period | | $ | 21.60 | | | $ | 22.71 | | | $ | 26.44 | | | $ | 32.06 | | | $ | 50.83 | | | $ | 37.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.93 | %) | | | (14.11 | %) | | | (17.53 | %) | | | (36.82 | %) | | | 36.96 | % | | | 9.56 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,537 | | | $ | 5,978 | | | $ | 6,434 | | | $ | 9,607 | | | $ | 15,305 | | | $ | 11,131 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.75 | %) | | | (1.81 | %) | | | (1.72 | %) | | | (1.63 | %) | | | (0.30 | %) | | | 2.64 | % |
| Total expenses | | | 1.89 | % | | | 1.91 | % | | | 1.93 | % | | | 1.93 | % | | | 1.93 | % | | | 1.92 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
| 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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | | 2012a | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.10 | | | $ | 26.82 | | | $ | 32.43 | | | $ | 51.30 | | | $ | 37.97 | | | $ | 36.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.18 | ) | | | (.42 | ) | | | (.48 | ) | | | (.53 | ) | | | — | d | | | .81 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.93 | ) | | | (3.30 | ) | | | (5.13 | ) | | | (18.28 | ) | | | 14.16 | | | | 2.58 | |
| Total from investment operations | | | (1.11 | ) | | | (3.72 | ) | | | (5.61 | ) | | | (18.81 | ) | | | 14.16 | | | | 3.39 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Net asset value, end of period | | $ | 21.99 | | | $ | 23.10 | | | $ | 26.82 | | | $ | 32.43 | | | $ | 51.30 | | | $ | 37.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.81 | %) | | | (13.87 | %) | | | (17.30 | %) | | | (36.68 | %) | | | 37.30 | % | | | 9.95 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,206 | | | $ | 7,915 | | | $ | 5,029 | | | $ | 28,565 | | | $ | 18,381 | | | $ | 9,344 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.50 | %) | | | (1.56 | %) | | | (1.47 | %) | | | (1.42 | %) | | | 0.00 | % | | | 2.83 | % |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.68 | % | | | 1.67 | % | | | 1.68 | % | | | 1.66 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.83 | | | $ | 25.53 | | | $ | 31.12 | | | $ | 49.59 | | | $ | 37.00 | | | $ | 35.50 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.25 | ) | | | (.59 | ) | | | (.67 | ) | | | (.79 | ) | | | (.28 | ) | | | .58 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.88 | ) | | | (3.11 | ) | | | (4.92 | ) | | | (17.62 | ) | | | 13.70 | | | | 2.44 | |
| Total from investment operations | | | (1.13 | ) | | | (3.70 | ) | | | (5.59 | ) | | | (18.41 | ) | | | 13.42 | | | | 3.02 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) | | | (1.52 | ) |
| Net asset value, end of period | | $ | 20.70 | | | $ | 21.83 | | | $ | 25.53 | | | $ | 31.12 | | | $ | 49.59 | | | $ | 37.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.18 | %) | | | (14.49 | %) | | | (17.96 | %) | | | (37.14 | %) | | | 36.27 | % | | | 9.07 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,543 | | | $ | 7,870 | | | $ | 11,817 | | | $ | 16,041 | | | $ | 19,674 | | | $ | 32,299 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.25 | %) | | | (2.31 | %) | | | (2.23 | %) | | | (2.15 | %) | | | (0.67 | %) | | | 2.14 | % |
| Total expenses | | | 2.39 | % | | | 2.42 | % | | | 2.44 | % | | | 2.43 | % | | | 2.43 | % | | | 2.41 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Net investment income is less than $0.01 per share. |
| e | Per share amounts for the period April 1, 2007 through April 23, 2007 have been restated to reflect a 1:5 reverse share split effective April 23, 2007. |
| 38 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | February 14, 1994 |
| Advisor Class | September 22, 1998 |
| A-Class | March 31, 2004 |
| C-Class | March 26, 2001 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | | | 16.1 | % |
| Microsoft Corp. | | | 6.4 | % |
| Google, Inc. — Class A | | | 5.1 | % |
| Oracle Corp. | | | 4.0 | % |
| Amazon.com, Inc. | | | 3.0 | % |
| Intel Corp. | | | 2.9 | % |
| QUALCOMM, Inc. | | | 2.7 | % |
| Cisco Systems, Inc. | | | 2.6 | % |
| Comcast Corp. — Class A | | | 1.9 | % |
| Mondelez International, Inc. — Class A | | | 1.9 | % |
| Top Ten Total | | | 46.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| NASDAQ-100® FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 81.6% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 53.7% | | | | | | | | |
| Apple, Inc. | | | 195,502 | | | $ | 130,450,664 | |
| Microsoft Corp. | | | 1,748,443 | | | | 52,068,633 | |
| Google, Inc. — Class A* | | | 54,639 | | | | 41,225,126 | |
| Oracle Corp. | | | 1,018,294 | | | | 32,066,078 | |
| Intel Corp. | | | 1,043,425 | | | | 23,664,879 | |
| QUALCOMM, Inc. | | | 355,250 | | | | 22,199,573 | |
| Cisco Systems, Inc. | | | 1,117,230 | | | | 21,327,921 | |
| eBay, Inc.* | | | 268,767 | | | | 13,011,010 | |
| Baidu, Inc. ADR* | | | 57,183 | | | | 6,680,118 | |
| Texas Instruments, Inc. | | | 237,290 | | | | 6,537,340 | |
| Automatic Data Processing, Inc. | | | 101,048 | | | | 5,927,476 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 62,269 | | | | 4,353,849 | |
| Yahoo!, Inc.* | | | 247,063 | | | | 3,946,831 | |
| Broadcom Corp. — Class A | | | 105,745 | | | | 3,656,662 | |
| Intuit, Inc. | | | 61,248 | | | | 3,606,282 | |
| Dell, Inc. | | | 361,768 | | | | 3,567,032 | |
| Adobe Systems, Inc.* | | | 102,562 | | | | 3,329,163 | |
| Citrix Systems, Inc.* | | | 38,989 | | | | 2,985,388 | |
| Applied Materials, Inc. | | | 258,092 | | | | 2,881,597 | |
| Symantec Corp.* | | | 146,397 | | | | 2,635,146 | |
| Activision Blizzard, Inc. | | | 231,725 | | | | 2,613,858 | |
| Seagate Technology plc | | | 83,783 | | | | 2,597,273 | |
| CA, Inc. | | | 97,823 | | | | 2,520,410 | |
| Paychex, Inc. | | | 75,653 | | | | 2,518,488 | |
| NetApp, Inc.* | | | 75,773 | | | | 2,491,416 | |
| Altera Corp. | | | 66,722 | | | | 2,267,547 | |
| SanDisk Corp.* | | | 50,376 | | | | 2,187,830 | |
| Fiserv, Inc.* | | | 28,295 | | | | 2,094,679 | |
| Check Point Software Technologies Ltd.* | | | 42,713 | | | | 2,057,058 | |
| Xilinx, Inc. | | | 54,678 | | | | 1,826,792 | |
| Avago Technologies Ltd. | | | 51,069 | | | | 1,780,521 | |
| F5 Networks, Inc.* | | | 16,482 | | | | 1,725,665 | |
| NVIDIA Corp.* | | | 129,203 | | | | 1,723,568 | |
| KLA-Tencor Corp. | | | 34,729 | | | | 1,656,747 | |
| Maxim Integrated Products, Inc. | | | 60,863 | | | | 1,620,173 | |
| Autodesk, Inc.* | | | 47,925 | | | | 1,599,257 | |
| Nuance Communications, Inc.* | | | 64,207 | | | | 1,598,112 | |
| VeriSign, Inc.* | | | 32,618 | | | | 1,588,170 | |
| Linear Technology Corp. | | | 48,028 | | | | 1,529,692 | |
| Akamai Technologies, Inc.* | | | 36,979 | | | | 1,414,817 | |
| BMC Software, Inc.* | | | 33,258 | | | | 1,379,874 | |
| Microchip Technology, Inc. | | | 40,395 | | | | 1,322,532 | |
| Micron Technology, Inc.* | | | 212,216 | | | | 1,270,113 | |
| Lam Research Corp.* | | | 38,019 | | | | 1,208,434 | |
| Marvell Technology Group Ltd. | | | 117,503 | | | | 1,075,152 | |
| Electronic Arts, Inc.* | | | 66,400 | | | | 842,616 | |
| Flextronics International Ltd.* | | | 138,796 | | | | 832,776 | |
| Research In Motion Ltd.* | | | 107,660 | | | | 807,450 | |
| Infosys Ltd. ADR | | | 15,517 | | | | 753,195 | |
| Total Information Technology | | | | | | | 435,024,983 | |
| Consumer Discretionary - 12.8% | | | | | | | | |
| Amazon.com, Inc.* | | | 94,283 | | | | 23,978,092 | |
| Comcast Corp. — Class A | | | 441,071 | | | | 15,777,110 | |
| Starbucks Corp. | | | 158,505 | | | | 8,044,129 | |
| News Corp. — Class A | | | 327,192 | | | | 8,026,020 | |
| DIRECTV* | | | 130,945 | | | | 6,869,375 | |
| Priceline.com, Inc.* | | | 10,392 | | | | 6,429,842 | |
| Viacom, Inc. — Class B | | | 96,654 | | | | 5,179,688 | |
| Bed Bath & Beyond, Inc.* | | | 48,423 | | | | 3,050,649 | |
| Ross Stores, Inc. | | | 47,047 | | | | 3,039,236 | |
| Mattel, Inc. | | | 71,104 | | | | 2,522,770 | |
| Wynn Resorts Ltd. | | | 20,962 | | | | 2,419,853 | |
| Dollar Tree, Inc.* | | | 48,037 | | | | 2,318,986 | |
| Sirius XM Radio, Inc.* | | | 799,462 | | | | 2,078,601 | |
| O’Reilly Automotive, Inc.* | | | 24,795 | | | | 2,073,358 | |
| Liberty Interactive Corp. — Class A* | | | 107,448 | | | | 1,987,788 | |
| Garmin Ltd.1 | | | 40,643 | | | | 1,696,439 | |
| Virgin Media, Inc. | | | 56,046 | | | | 1,649,994 | |
| Staples, Inc. | | | 142,316 | | | | 1,639,480 | |
| Expedia, Inc. | | | 25,636 | | | | 1,482,786 | |
| Sears Holdings Corp.*,1 | | | 22,199 | | | | 1,231,823 | |
| Fossil, Inc.* | | | 12,689 | | | | 1,074,758 | |
| Apollo Group, Inc. — Class A* | | | 23,546 | | | | 684,011 | |
| Netflix, Inc.*,1 | | | 11,579 | | | | 630,361 | |
| Total Consumer Discretionary | | | | | | | 103,885,149 | |
| Health Care - 8.9% | | | | | | | | |
| Amgen, Inc. | | | 160,751 | | | | 13,554,525 | |
| Express Scripts Holding Co.* | | | 169,090 | | | | 10,596,870 | |
| Gilead Sciences, Inc.* | | | 157,791 | | | | 10,466,277 | |
| Biogen Idec, Inc.* | | | 49,292 | | | | 7,355,845 | |
| Celgene Corp.* | | | 89,977 | | | | 6,874,243 | |
| Alexion Pharmaceuticals, Inc.* | | | 40,267 | | | | 4,606,545 | |
| Intuitive Surgical, Inc.* | | | 8,332 | | | | 4,129,589 | |
| Cerner Corp.* | | | 35,698 | | | | 2,763,382 | |
| Vertex Pharmaceuticals, Inc.* | | | 45,006 | | | | 2,518,086 | |
| Perrigo Co. | | | 19,500 | | | | 2,265,314 | |
| Mylan, Inc.* | | | 84,652 | | | | 2,065,509 | |
| Life Technologies Corp.* | | | 36,559 | | | | 1,787,004 | |
| Henry Schein, Inc.* | | | 18,464 | | | | 1,463,641 | |
| DENTSPLY International, Inc. | | | 29,566 | | | | 1,127,647 | |
| Warner Chilcott plc — Class A | | | 52,245 | | | | 705,308 | |
| Total Health Care | | | | | | | 72,279,785 | |
| Consumer Staples - 3.8% | | | | | | | | |
| Mondelez International, Inc. — Class A* | | | 370,124 | | | | 15,304,627 | |
| Costco Wholesale Corp. | | | 90,170 | | | | 9,028,271 | |
| Whole Foods Market, Inc. | | | 38,519 | | | | 3,751,751 | |
| Monster Beverage Corp.* | | | 36,793 | | | | 1,992,709 | |
| Green Mountain Coffee Roasters, Inc.*,1 | | | 32,437 | | | | 770,379 | |
| Total Consumer Staples | | | | | | | 30,847,737 | |
| 40 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| NASDAQ-100® FUND | |
| | | Shares | | | Value | |
| | | | | | | | | |
| Industrials - 1.3% | | | | | | | | |
| PACCAR, Inc. | | | 73,727 | | | $ | 2,950,923 | |
| Fastenal Co. | | | 61,771 | | | | 2,655,535 | |
| CH Robinson Worldwide, Inc. | | | 33,645 | | | | 1,969,916 | |
| Stericycle, Inc.* | | | 17,868 | | | | 1,617,411 | |
| Expeditors International of | | | | | | | | |
| Washington, Inc. | | | 43,911 | | | | 1,596,604 | |
| Total Industrials | | | | | | | 10,790,389 | |
| Telecommunication Services - 0.7% | | | | | | | | |
| Vodafone Group plc ADR | | | 198,165 | | | | 5,646,712 | |
| | | | | | | | | |
| Materials - 0.4% | | | | | | | | |
| Sigma-Aldrich Corp. | | | 25,186 | | | | 1,812,636 | |
| Randgold Resources Ltd. ADR | | | 11,228 | | | | 1,381,044 | |
| Total Materials | | | | | | | 3,193,680 | |
| Total Common Stocks | | | | | | | | |
| (Cost $287,608,098) | | | | | | | 661,668,435 | |
| | | | | | | | | |
| RIGHTS† - 0.0% | | | | | | | | |
| Liberty Ventures | | | | | | | | |
| Expires 08/09/13* | | | 1,998 | | | | 27,053 | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | 27,053 | |
| | | Face | | | | |
| | | amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 21.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 84,131,916 | | | | 84,131,916 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 48,406,152 | | | | 48,406,152 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 27,614,415 | | | | 27,614,415 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 12,411,024 | | | | 12,411,024 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $172,563,507) | | | | | | | 172,563,507 | |
| SECURITIES LENDING COLLATERAL††,4 - 0.2% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 737,590 | | | | 737,590 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 725,885 | | | | 725,885 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,463,475) | | | | | | | 1,463,475 | |
| Total Investments - 103.1% | | | | | | | | |
| (Cost $461,635,080) | | | | | | $ | 835,722,470 | |
| Other Assets & Liabilities, net - (3.1)% | | | | | | | (25,506,743 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 810,215,727 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 NASDAQ-100 | | | | | | | | |
| Index Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $30,212,145) | | | 541 | | | $ | 51,475 | |
| | | | | | | | | |
| | | | units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/29/125 | | | | | | | | |
| (Notional Value $65,088,809) | | | 23,253 | | | $ | (31,453 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/31/125 | | | | | | | | |
| (Notional Value $15,682,238) | | | 5,602 | | | | (125,394 | ) |
| Barclays Bank plc | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/31/125 | | | | | | | | |
| (Notional Value $37,795,637) | | | 13,502 | | | | (303,802 | ) |
| (Total Notional Value | | | | | | | | |
| $118,566,684) | | | | | | $ | (460,649 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | 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 FUNDS SEMI-ANNUAL REPORT | 41 |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value - including $1,384,178 of | | | | |
| securities loaned | | | | |
| (cost $289,071,573) | | $ | 663,158,963 | |
| Repurchase agreements, at value | | | | |
| (cost $172,563,507) | | | 172,563,507 | |
| Total investments | | | | |
| (cost $461,635,080) | | | 835,722,470 | |
| Segregated cash with broker | | | 7,582,000 | |
| Cash | | | 19,473 | |
| Receivables: | | | | |
| Fund shares sold | | | 3,641,148 | |
| Dividends | | | 281,106 | |
| Interest | | | 2,735 | |
| Total assets | | | 847,248,932 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 460,649 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 33,456,832 | |
| Payable upon return of securities loaned | | | 1,463,475 | |
| Management fees | | | 488,378 | |
| Variation margin | | | 283,420 | |
| Swap settlement | | | 197,719 | |
| Transfer agent and administrative fees | | | 162,793 | |
| Portfolio accounting fees | | | 44,433 | |
| Distribution and service fees | | | 40,125 | |
| Miscellaneous | | | 435,381 | |
| Total liabilities | | | 37,033,205 | |
| Net assets | | $ | 810,215,727 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 493,458,962 | |
| Accumulated net investment loss | | | (1,711,422 | ) |
| Accumulated net realized loss on investments | | | (55,210,029 | ) |
| Net unrealized appreciation on investments | | | 373,678,216 | |
| Net assets | | $ | 810,215,727 | |
| Investor Class: | | | | |
| Net assets | | $ | 710,457,749 | |
| Capital shares outstanding | | | 38,947,777 | |
| Net asset value per share | | $ | 18.24 | |
| Advisor Class: | | | | |
| Net assets | | $ | 47,517,476 | |
| Capital shares outstanding | | | 2,802,802 | |
| Net asset value per share | | $ | 16.95 | |
| A-Class: | | | | |
| Net assets | | $ | 33,842,189 | |
| Capital shares outstanding | | | 1,954,818 | |
| Net asset value per share | | $ | 17.31 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.17 | |
| C-Class: | | | | |
| Net assets | | $ | 18,398,313 | |
| Capital shares outstanding | | | 1,137,151 | |
| Net asset value per share | | $ | 16.18 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends | | $ | 4,713,049 | |
| Interest | | | 52,911 | |
| Income from securities lending, net | | | 456 | |
| Total investment income | | | 4,766,416 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 3,062,886 | |
| Transfer agent and administrative fees | | | 1,020,962 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 197,896 | |
| A-Class | | | 20,744 | |
| C-Class | | | 81,654 | |
| Portfolio accounting fees | | | 290,462 | |
| Custodian fees | | | 72,698 | |
| Trustees’ fees* | | | 46,863 | |
| Miscellaneous | | | 585,704 | |
| Total expenses | | | 5,379,869 | |
| Net investment loss | | | (613,453 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 15,814,733 | |
| Swap agreements | | | (1,017,377 | ) |
| Futures contracts | | | 4,710,290 | |
| Net realized gain | | | 19,507,646 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (13,716,756 | ) |
| Swap agreements | | | (328,505 | ) |
| Futures contracts | | | (676,024 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (14,721,285 | ) |
| Net realized and unrealized gain | | | 4,786,361 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 4,172,908 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 42 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (613,453 | ) | | $ | (2,813,556 | ) |
| Net realized gain on investments | | | 19,507,646 | | | | 75,735,221 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (14,721,285 | ) | | | 43,102,194 | |
| Net increase in net assets resulting from operations | | | 4,172,908 | | | | 116,023,859 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 657,354,062 | | | | 1,153,783,841 | |
| Advisor Class | | | 378,619,717 | | | | 571,956,189 | |
| A-Class | | | 42,996,887 | | | | 97,487,517 | |
| C-Class | | | 18,446,386 | | | | 21,424,113 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (724,084,326 | ) | | | (1,063,699,726 | ) |
| Advisor Class | | | (394,609,313 | ) | | | (639,590,826 | ) |
| A-Class | | | (23,460,663 | ) | | | (102,605,558 | ) |
| C-Class | | | (15,546,212 | ) | | | (20,325,435 | ) |
| Net increase (decrease) from capital share transactions | | | (60,283,462 | ) | | | 18,430,115 | |
| Net increase (decrease) in net assets | | | (56,110,554 | ) | | | 134,453,974 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 866,326,281 | | | | 731,872,307 | |
| End of period | | $ | 810,215,727 | | | $ | 866,326,281 | |
| Accumulated net investment loss at end of period | | $ | (1,711,422 | ) | | $ | (1,097,969 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 37,326,920 | | | | 75,538,259 | |
| Advisor Class | | | 23,461,165 | | | | 40,025,316 | |
| A-Class | | | 2,541,428 | | | | 6,747,249 | |
| C-Class | | | 1,200,727 | | | | 1,580,216 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (41,378,540 | ) | | | (70,605,176 | ) |
| Advisor Class | | | (24,608,059 | ) | | | (44,503,780 | ) |
| A-Class | | | (1,441,229 | ) | | | (7,256,942 | ) |
| C-Class | | | (1,013,664 | ) | | | (1,494,948 | ) |
| Net increase (decrease) in shares | | | (3,911,252 | ) | | | 30,194 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
| NASDAQ-100® FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.92 | | | $ | 15.23 | | | $ | 12.83 | | | $ | 8.15 | | | $ | 11.81 | | | $ | 11.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.01 | ) | | | (.05 | ) | | | (.07 | ) | | | (.07 | ) | | | (.06 | ) | | | (.06 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .33 | | | | 2.74 | | | | 2.47 | | | | 4.75 | | | | (3.60 | ) | | | .09 | |
| Total from investment operations | | | .32 | | | | 2.69 | | | | 2.40 | | | | 4.68 | | | | (3.66 | ) | | | .03 | |
| Net asset value, end of period | | $ | 18.24 | | | $ | 17.92 | | | $ | 15.23 | | | $ | 12.83 | | | $ | 8.15 | | | $ | 11.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.79 | % | | | 17.66 | % | | | 18.71 | % | | | 57.42 | % | | | (30.99 | %) | | | 0.25 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 710,458 | | | $ | 770,626 | | | $ | 579,925 | | | $ | 571,761 | | | $ | 389,944 | | | $ | 617,923 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.08 | %) | | | (0.34 | %) | | | (0.50 | %) | | | (0.63 | %) | | | (0.59 | %) | | | (0.50 | %) |
| Total expenses | | | 1.24 | % | | | 1.27 | % | | | 1.31 | % | | | 1.30 | % | | | 1.30 | % | | | 1.28 | % |
| Portfolio turnover rate | | | 36 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % | | | 57 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.70 | | | $ | 14.27 | | | $ | 12.09 | | | $ | 7.72 | | | $ | 11.23 | | | $ | 11.26 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.05 | ) | | | (.13 | ) | | | (.12 | ) | | | (.12 | ) | | | (.11 | ) | | | (.12 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .30 | | | | 2.56 | | | | 2.30 | | | | 4.49 | | | | (3.40 | ) | | | .09 | |
| Total from investment operations | | | .25 | | | | 2.43 | | | | 2.18 | | | | 4.37 | | | | (3.51 | ) | | | (.03 | ) |
| Net asset value, end of period | | $ | 16.95 | | | $ | 16.70 | | | $ | 14.27 | | | $ | 12.09 | | | $ | 7.72 | | | $ | 11.23 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.50 | % | | | 17.03 | % | | | 18.03 | % | | | 56.61 | % | | | (31.26 | %) | | | (0.27 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 47,517 | | | $ | 65,970 | | | $ | 120,277 | | | $ | 17,859 | | | $ | 18,078 | | | $ | 15,184 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.57 | %) | | | (0.87 | %) | | | (1.00 | %) | | | (1.13 | %) | | | (1.11 | %) | | | (0.99 | %) |
| Total expenses | | | 1.75 | % | | | 1.76 | % | | | 1.80 | % | | | 1.80 | % | | | 1.79 | % | | | 1.78 | % |
| Portfolio turnover rate | | | 36 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % | | | 57 | % |
| 44 | THE RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.03 | | | $ | 14.52 | | | $ | 12.27 | | | $ | 7.82 | | | $ | 11.35 | | | $ | 11.36 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.03 | ) | | | (.09 | ) | | | (.11 | ) | | | (.09 | ) | | | (.08 | ) | | | (.09 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .31 | | | | 2.60 | | | | 2.36 | | | | 4.54 | | | | (3.45 | ) | | | .08 | |
| Total from investment operations | | | .28 | | | | 2.51 | | | | 2.25 | | | | 4.45 | | | | (3.53 | ) | | | (.01 | ) |
| Net asset value, end of period | | $ | 17.31 | | | $ | 17.03 | | | $ | 14.52 | | | $ | 12.27 | | | $ | 7.82 | | | $ | 11.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.64 | % | | | 17.29 | % | | | 18.34 | % | | | 56.91 | % | | | (31.10 | %) | | | (0.09 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 33,842 | | | $ | 14,553 | | | $ | 19,806 | | | $ | 15,128 | | | $ | 3,140 | | | $ | 6,044 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.39 | %) | | | (0.61 | %) | | | (0.81 | %) | | | (0.86 | %) | | | (0.82 | %) | | | (0.76 | %) |
| Total expenses | | | 1.49 | % | | | 1.53 | % | | | 1.56 | % | | | 1.55 | % | | | 1.55 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 36 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % | | | 57 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.97 | | | $ | 13.72 | | | $ | 11.67 | | | $ | 7.49 | | | $ | 10.95 | | | $ | 11.02 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.08 | ) | | | (.19 | ) | | | (.19 | ) | | | (.16 | ) | | | (.15 | ) | | | (.18 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .29 | | | | 2.44 | | | | 2.24 | | | | 4.34 | | | | (3.31 | ) | | | .11 | |
| Total from investment operations | | | .21 | | | | 2.25 | | | | 2.05 | | | | 4.18 | | | | (3.46 | ) | | | (.07 | ) |
| Net asset value, end of period | | $ | 16.18 | | | $ | 15.97 | | | $ | 13.72 | | | $ | 11.67 | | | $ | 7.49 | | | $ | 10.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.31 | % | | | 16.40 | % | | | 17.57 | % | | | (55.81 | %) | | | (31.60 | %) | | | (0.64 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 18,398 | | | $ | 15,177 | | | $ | 11,864 | | | $ | 12,216 | | | $ | 6,368 | | | $ | 10,343 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.06 | %) | | | (1.35 | %) | | | (1.52 | %) | | | (1.63 | %) | | | (1.59 | %) | | | (1.50 | %) |
| Total expenses | | | 2.24 | % | | | 2.27 | % | | | 2.31 | % | | | 2.30 | % | | | 2.30 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 36 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % | | | 57 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| 46 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| inverse NASDAQ-100® STRATEGY FUND |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 87.2% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 5,898,052 | | | $ | 5,898,052 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 3,393,504 | | | | 3,393,504 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 1,935,904 | | | | 1,935,904 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 1,702,055 | | | | 1,702,055 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $12,929,515) | | | | | | | 12,929,515 | |
| Total Investments - 87.2% | | | | | | | | |
| (Cost $12,929,515) | | | | | | $ | 12,929,515 | |
| Other Assets & Liabilities, net - 12.8% | | | | | | | 1,896,305 | |
| Total Net Assets - 100.0% | | | | | | $ | 14,825,820 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 NASDAQ-100 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $2,345,490) | | | 42 | | | $ | (12 | ) |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $5,054,071) | | | 1,806 | | | $ | 40,412 | |
| Barclays Bank plc | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $3,337,140) | | | 1,192 | | | | 13,127 | |
| Goldman Sachs International | | | | | | | | |
| October 2012 NASDAQ-100 Index | | | | | | | | |
| Swap, Terminating 10/29/123 | | | | | | | | |
| (Notional Value $4,082,412) | | | 1,458 | | | | (25,766 | ) |
| (Total Notional Value | | | | | | | | |
| $12,473,623) | | | | | | $ | 27,773 | |
† Value determined based on Level 1 inputs — See Note 4.
†† Value determined based on Level 2 inputs — See Note 4.
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 3 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. |
plc — Public Limited Company
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
| inverse NASDAQ-100® STRATEGY FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $12,929,515) | | $ | 12,929,515 | |
| Segregated cash with broker | | | 414,000 | |
| Unrealized appreciation on swap agreements | | | 53,539 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,759,461 | |
| Variation margin | | | 18,690 | |
| Interest | | | 168 | |
| Total assets | | | 15,175,373 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 25,766 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 302,108 | |
| Management fees | | | 7,915 | |
| Swap settlement | | | 2,833 | |
| Transfer agent and administrative fees | | | 2,199 | |
| Distribution and service fees | | | 1,416 | |
| Portfolio accounting fees | | | 879 | |
| Miscellaneous | | | 6,437 | |
| Total liabilities | | | 349,553 | |
| Net assets | | $ | 14,825,820 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 96,124,926 | |
| Accumulated net investment loss | | | (140,420 | ) |
| Accumulated net realized loss on investments | | | (81,186,447 | ) |
| Net unrealized appreciation on investments | | | 27,761 | |
| Net assets | | $ | 14,825,820 | |
| Investor Class: | | | | |
| Net assets | | $ | 9,266,785 | |
| Capital shares outstanding | | | 1,028,367 | |
| Net asset value per share | | $ | 9.01 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,486,208 | |
| Capital shares outstanding | | | 519,621 | |
| Net asset value per share | | $ | 8.63 | |
| A-Class: | | | | |
| Net assets | | $ | 383,736 | |
| Capital shares outstanding | | | 43,724 | |
| Net asset value per share | | $ | 8.78 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 9.22 | |
| C-Class: | | | | |
| Net assets | | $ | 689,091 | |
| Capital shares outstanding | | | 86,733 | |
| Net asset value per share | | $ | 7.95 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | |
| Interest | | $ | 7,894 | |
| Total investment income | | | 7,894 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 58,869 | |
| Transfer agent and administrative fees | | | 16,352 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 4,104 | |
| A-Class | | | 901 | |
| C-Class | | | 4,111 | |
| Portfolio accounting fees | | | 6,541 | |
| Registration fees | | | 5,145 | |
| Trustees’ fees* | | | 1,241 | |
| Custodian fees | | | 1,135 | |
| Miscellaneous | | | 3,821 | |
| Total expenses | | | 102,220 | |
| Net investment loss | | | (94,326 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (77,085 | ) |
| Futures contracts | | | (524,048 | ) |
| Net realized loss | | | (601,133 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (13,346 | ) |
| Futures contracts | | | (12 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (13,358 | ) |
| Net realized and unrealized loss | | | (614,491 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (708,817 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE NASDAQ-100® STRATEGY FUND
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (94,326 | ) | | $ | (298,274 | ) |
| Net realized loss on investments | | | (601,133 | ) | | | (7,827,993 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (13,358 | ) | | | 547,611 | |
| Net decrease in net assets resulting from operations | | | (708,817 | ) | | | (7,578,656 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 60,878,034 | | | | 142,109,664 | |
| Advisor Class | | | 12,228,197 | | | | 114,452,287 | |
| A-Class | | | 2,024,330 | | | | 6,351,382 | |
| C-Class | | | 5,453,448 | | | | 7,348,638 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (60,088,492 | ) | | | (162,650,698 | ) |
| Advisor Class | | | (7,662,224 | ) | | | (111,429,096 | ) |
| A-Class | | | (2,025,709 | ) | | | (6,619,902 | ) |
| C-Class | | | (5,497,412 | ) | | | (8,759,826 | ) |
| Net increase (decrease) from capital share transactions | | | 5,310,172 | | | | (19,197,551 | ) |
| Net increase (decrease) in net assets | | | 4,601,354 | | | | (26,776,207 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 10,224,465 | | | | 37,000,672 | |
| End of period | | $ | 14,825,820 | | | $ | 10,224,465 | |
| Accumulated net investment loss at end of period | | $ | (140,420 | ) | | $ | (46,094 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 6,354,037 | | | | 12,219,255 | |
| Advisor Class | | | 1,327,792 | | | | 9,713,681 | |
| A-Class | | | 212,779 | | | | 569,930 | |
| C-Class | | | 638,088 | | | | 688,617 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,261,909 | ) | | | (14,048,576 | ) |
| Advisor Class | | | (831,201 | ) | | | (9,746,834 | ) |
| A-Class | | | (220,795 | ) | | | (599,296 | ) |
| C-Class | | | (641,742 | ) | | | (826,443 | ) |
| Net increase (decrease) in shares | | | 577,049 | | | | (2,029,666 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
INVERSE NASDAQ-100® STRATEGY FUND
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.39 | | | $ | 11.92 | | | $ | 15.07 | | | $ | 25.09 | | | $ | 21.27 | | | $ | 21.67 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.06 | ) | | | (.16 | ) | | | (.18 | ) | | | (.25 | ) | | | (.06 | ) | | | .59 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | (2.37 | ) | | | (2.97 | ) | | | (9.77 | ) | | | 4.25 | | | | (.30 | ) |
| Total from investment operations | | | (.38 | ) | | | (2.53 | ) | | | (3.15 | ) | | | (10.02 | ) | | | 4.19 | | | | .29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Net asset value, end of period | | $ | 9.01 | | | $ | 9.39 | | | $ | 11.92 | | | $ | 15.07 | | | $ | 25.09 | | | $ | 21.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.05 | %) | | | (21.22 | %) | | | (20.90 | %) | | | (39.94 | %) | | | 19.48 | % | | | 1.92 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,267 | | | $ | 8,792 | | | $ | 32,978 | | | $ | 21,137 | | | $ | 33,672 | | | $ | 59,819 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.30 | %) | | | (1.38 | %) | | | (1.30 | %) | | | (1.35 | %) | | | (0.26 | %) | | | 2.98 | % |
| Total expenses | | | 1.42 | % | | | 1.45 | % | | | 1.47 | % | | | 1.47 | % | | | 1.46 | % | | | 1.47 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.00 | | | $ | 11.43 | | | $ | 14.54 | | | $ | 24.37 | | | $ | 20.77 | | | $ | 21.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.08 | ) | | | (.21 | ) | | | (.24 | ) | | | (.32 | ) | | | (.06 | ) | | | .51 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.29 | ) | | | (2.22 | ) | | | (2.87 | ) | | | (9.51 | ) | | | 4.03 | | | | (.33 | ) |
| Total from investment operations | | | (.37 | ) | | | (2.43 | ) | | | (3.11 | ) | | | (9.83 | ) | | | 3.97 | | | | .18 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Net asset value, end of period | | $ | 8.63 | | | $ | 9.00 | | | $ | 11.43 | | | $ | 14.54 | | | $ | 24.37 | | | $ | 20.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.11 | %) | | | (21.26 | %) | | | (21.39 | %) | | | (40.34 | %) | | | 18.88 | % | | | 1.43 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,486 | | | $ | 207 | | | $ | 642 | | | $ | 916 | | | $ | 476 | | | $ | 3,744 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.80 | %) | | | (1.91 | %) | | | (1.80 | %) | | | (1.84 | %) | | | (0.29 | %) | | | 2.56 | % |
| Total expenses | | | 1.92 | % | | | 1.95 | % | | | 1.97 | % | | | 1.97 | % | | | 1.97 | % | | | 1.98 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| 50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.15 | | | $ | 11.66 | | | $ | 14.78 | | | $ | 24.67 | | | $ | 20.97 | | | $ | 21.43 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.07 | ) | | | (.18 | ) | | | (.21 | ) | | | (.26 | ) | | | (.22 | ) | | | .52 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.30 | ) | | | (2.33 | ) | | | (2.91 | ) | | | (9.63 | ) | | | 4.29 | | | | (.29 | ) |
| Total from investment operations | | | (.37 | ) | | | (2.51 | ) | | | (3.12 | ) | | | (9.89 | ) | | | 4.07 | | | | .23 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Net asset value, end of period | | $ | 8.78 | | | $ | 9.15 | | | $ | 11.66 | | | $ | 14.78 | | | $ | 24.67 | | | $ | 20.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.04 | %) | | | (21.53 | %) | | | (21.11 | %) | | | (40.09 | %) | | | 19.18 | % | | | 1.65 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 384 | | | $ | 474 | | | $ | 946 | | | $ | 1,041 | | | $ | 2,301 | | | $ | 1,784 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.56 | %) | | | (1.62 | %) | | | (1.54 | %) | | | (1.37 | %) | | | (0.92 | %) | | | 2.61 | % |
| Total expenses | | | 1.67 | % | | | 1.69 | % | | | 1.72 | % | | | 1.71 | % | | | 1.71 | % | | | 1.72 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 8.32 | | | $ | 10.67 | | | $ | 13.62 | | | $ | 22.91 | | | $ | 19.63 | | | $ | 20.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.10 | ) | | | (.24 | ) | | | (.29 | ) | | | (.39 | ) | | | (.25 | ) | | | .38 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.27 | ) | | | (2.11 | ) | | | (2.66 | ) | | | (8.90 | ) | | | 3.90 | | | | (.33 | ) |
| Total from investment operations | | | (.37 | ) | | | (2.35 | ) | | | (2.95 | ) | | | (9.29 | ) | | | 3.65 | | | | .05 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) | | | (.69 | ) |
| Net asset value, end of period | | $ | 7.95 | | | $ | 8.32 | | | $ | 10.67 | | | $ | 13.62 | | | $ | 22.91 | | | $ | 19.63 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.33 | %) | | | (22.12 | %) | | | (21.66 | %) | | | (40.55 | %) | | | 18.35 | % | | | 0.85 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 689 | | | $ | 752 | | | $ | 2,435 | | | $ | 1,858 | | | $ | 3,066 | | | $ | 7,633 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.30 | %) | | | (2.37 | %) | | | (2.29 | %) | | | (2.33 | %) | | | (1.19 | %) | | | 2.05 | % |
| Total expenses | | | 2.42 | % | | | 2.45 | % | | | 2.47 | % | | | 2.47 | % | | | 2.47 | % | | | 2.48 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | March 31, 2004 |
| C-Class | August 20, 2001 |
| H-Class | August 16, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Vertex Pharmaceuticals, Inc. | | | 0.6 | % |
| Regeneron Pharmaceuticals, Inc. | | | 0.6 | % |
| Equinix, Inc. | | | 0.5 | % |
| AMETEK, Inc. | | | 0.4 | % |
| HollyFrontier Corp. | | | 0.4 | % |
| Kansas City Southern | | | 0.4 | % |
| Macerich Co. | | | 0.4 | % |
| Church & Dwight Company, Inc. | | | 0.4 | % |
| PetSmart, Inc. | | | 0.4 | % |
| SL Green Realty Corp. | | | 0.4 | % |
| Top Ten Total | | | 4.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 60.2% | | | | | | | | |
| | | | | | | | | |
| Financials - 13.3% | | | | | | | | |
| Macerich Co. | | | 2,405 | | | $ | 137,637 | |
| SL Green Realty Corp. | | | 1,630 | | | | 130,514 | |
| Federal Realty Investment Trust | | | 1,159 | | | | 122,042 | |
| Affiliated Managers Group, Inc.* | | | 930 | | | | 114,389 | |
| New York Community Bancorp, Inc. | | | 7,943 | | | | 112,472 | |
| UDR, Inc. | | | 4,528 | | | | 112,385 | |
| Rayonier, Inc. | | | 2,218 | | | | 108,704 | |
| Alleghany Corp.* | | | 308 | | | | 106,242 | |
| Everest Re Group Ltd. | | | 938 | | | | 100,329 | |
| Realty Income Corp.1 | | | 2,419 | | | | 98,913 | |
| Essex Property Trust, Inc. | | | 659 | | | | 97,690 | |
| Camden Property Trust | | | 1,514 | | | | 97,638 | |
| Taubman Centers, Inc. | | | 1,120 | | | | 85,938 | |
| Alexandria Real Estate Equities, Inc. | | | 1,137 | | | | 83,592 | |
| Fidelity National Financial, Inc. — Class A | | | 3,815 | | | | 81,603 | |
| Regency Centers Corp. | | | 1,629 | | | | 79,381 | |
| MSCI, Inc. — Class A* | | | 2,200 | | | | 78,738 | |
| Arthur J Gallagher & Co. | | | 2,193 | | | | 78,553 | |
| Liberty Property Trust | | | 2,124 | | | | 76,974 | |
| Reinsurance Group of America, | | | | | | | | |
| Inc. — Class A | | | 1,330 | | | | 76,967 | |
| WR Berkley Corp. | | | 2,010 | | | | 75,355 | |
| Raymond James Financial, Inc. | | | 2,019 | | | | 73,996 | |
| American Campus Communities, Inc. | | | 1,663 | | | | 72,972 | |
| Duke Realty Corp. | | | 4,884 | | | | 71,795 | |
| Senior Housing Properties Trust | | | 3,190 | | | | 69,478 | |
| BRE Properties, Inc. | | | 1,390 | | | | 65,177 | |
| Cullen/Frost Bankers, Inc. | | | 1,113 | | | | 63,919 | |
| HCC Insurance Holdings, Inc. | | | 1,822 | | | | 61,748 | |
| Jones Lang LaSalle, Inc. | | | 800 | | | | 61,080 | |
| Eaton Vance Corp. | | | 2,082 | | | | 60,295 | |
| National Retail Properties, Inc. | | | 1,953 | | | | 59,567 | |
| Signature Bank* | | | 847 | | | | 56,816 | |
| Weingarten Realty Investors | | | 2,019 | | | | 56,754 | |
| Brown & Brown, Inc. | | | 2,129 | | | | 55,503 | |
| Home Properties, Inc. | | | 899 | | | | 55,082 | |
| Commerce Bancshares, Inc. | | | 1,348 | | | | 54,365 | |
| East West Bancorp, Inc. | | | 2,569 | | | | 54,257 | |
| American Financial Group, Inc. | | | 1,426 | | | | 54,045 | |
| Hospitality Properties Trust | | | 2,233 | | | | 53,101 | |
| SEI Investments Co. | | | 2,450 | | | | 52,553 | |
| BioMed Realty Trust, Inc. | | | 2,789 | | | | 52,210 | |
| First Niagara Financial Group, Inc. | | | 6,377 | | | | 51,590 | |
| Waddell & Reed Financial, Inc. — Class A | | | 1,548 | | | | 50,728 | |
| SVB Financial Group* | | | 800 | | | | 48,368 | |
| Hancock Holding Co. | | | 1,532 | | | | 47,415 | |
| CBOE Holdings, Inc. | | | 1,581 | | | | 46,513 | |
| Highwoods Properties, Inc. | | | 1,372 | | | | 44,755 | |
| Omega Healthcare Investors, Inc. | | | 1,963 | | | | 44,619 | |
| City National Corp. | | | 856 | | | | 44,093 | |
| First American Financial Corp. | | | 1,926 | | | | 41,736 | |
| Associated Banc-Corp. | | | 3,107 | | | | 40,919 | |
| Old Republic International Corp. | | | 4,367 | | | | 40,613 | |
| Mack-Cali Realty Corp. | | | 1,510 | | | | 40,166 | |
| Aspen Insurance Holdings Ltd. | | | 1,288 | | | | 39,271 | |
| Protective Life Corp. | | | 1,449 | | | | 37,978 | |
| Bank of Hawaii Corp. | | | 818 | | | | 37,317 | |
| Valley National Bancorp | | | 3,577 | | | | 35,842 | |
| Fulton Financial Corp. | | | 3,622 | | | | 35,713 | |
| TCF Financial Corp. | | | 2,953 | | | | 35,259 | |
| Synovus Financial Corp.1 | | | 14,240 | | | | 33,749 | |
| Prosperity Bancshares, Inc. | | | 789 | | | | 33,627 | |
| Washington Federal, Inc. | | | 1,922 | | | | 32,059 | |
| Janus Capital Group, Inc. | | | 3,386 | | | | 31,964 | |
| Jefferies Group, Inc. | | | 2,319 | | | | 31,747 | |
| Corporate Office Properties Trust | | | 1,309 | | | | 31,377 | |
| Webster Financial Corp. | | | 1,304 | | | | 30,905 | |
| Hanover Insurance Group, Inc. | | | 815 | | | | 30,367 | |
| Kemper Corp. | | | 987 | | | | 30,311 | |
| FirstMerit Corp. | | | 1,983 | | | | 29,210 | |
| Apollo Investment Corp. | | | 3,669 | | | | 28,875 | |
| Trustmark Corp. | | | 1,171 | | | | 28,502 | |
| Potlatch Corp. | | | 727 | | | | 27,168 | |
| Mercury General Corp. | | | 660 | | | | 25,509 | |
| StanCorp Financial Group, Inc. | | | 803 | | | | 25,086 | |
| Greenhill & Company, Inc. | | | 484 | | | | 25,047 | |
| Equity One, Inc. | | | 1,118 | | | | 23,545 | |
| Westamerica Bancorporation | | | 496 | | | | 23,337 | |
| Cathay General Bancorp | | | 1,325 | | | | 22,870 | |
| Alexander & Baldwin, Inc.* | | | 767 | | | | 22,650 | |
| BancorpSouth, Inc. | | | 1,499 | | | | 22,095 | |
| International Bancshares Corp. | | | 988 | | | | 18,821 | |
| Astoria Financial Corp. | | | 1,478 | | | | 14,603 | |
| Total Financials | | | | | | | 4,647,088 | |
| Industrials - 9.8% | | | | | | | | |
| AMETEK, Inc. | | | 4,386 | | | | 155,483 | |
| Kansas City Southern | | | 1,990 | | | | 150,802 | |
| Donaldson Company, Inc. | | | 2,480 | | | | 86,082 | |
| J.B. Hunt Transport Services, Inc. | | | 1,641 | | | | 85,398 | |
| AGCO Corp.* | | | 1,761 | | | | 83,612 | |
| Pentair Ltd. | | | 1,795 | | | | 79,895 | |
| KBR, Inc. | | | 2,664 | | | | 79,441 | |
| B/E Aerospace, Inc.* | | | 1,878 | | | | 79,064 | |
| Fortune Brands Home & Security, Inc.* | | | 2,904 | | | | 78,437 | |
| Hubbell, Inc. — Class B | | | 967 | | | | 78,076 | |
| Wabtec Corp. | | | 866 | | | | 69,531 | |
| Waste Connections, Inc. | | | 2,228 | | | | 67,397 | |
| IDEX Corp. | | | 1,507 | | | | 62,947 | |
| Corrections Corporation of America | | | 1,811 | | | | 60,578 | |
| SPX Corp. | | | 918 | | | | 60,046 | |
| Nordson Corp. | | | 1,019 | | | | 59,734 | |
| Lincoln Electric Holdings, Inc. | | | 1,516 | | | | 59,200 | |
| Carlisle Companies, Inc. | | | 1,133 | | | | 58,825 | |
| MSC Industrial Direct Company, | | | | | | | | |
| Inc. — Class A | | | 839 | | | | 56,599 | |
| Triumph Group, Inc. | | | 899 | | | | 56,214 | |
| Kirby Corp.* | | | 1,006 | | | | 55,612 | |
| Valmont Industries, Inc. | | | 420 | | | | 55,230 | |
| Towers Watson & Co. — Class A | | | 1,039 | | | | 55,119 | |
| Graco, Inc. | | | 1,090 | | | | 54,805 | |
| United Rentals, Inc.* | | | 1,674 | | | | 54,757 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Timken Co. | | | 1,462 | | | $ | 54,328 | |
| Copart, Inc.* | | | 1,957 | | | | 54,268 | |
| Kennametal, Inc. | | | 1,449 | | | | 53,729 | |
| Gardner Denver, Inc. | | | 886 | | | | 53,523 | |
| Manpower, Inc. | | | 1,435 | | | | 52,808 | |
| Regal-Beloit Corp. | | | 749 | | | | 52,790 | |
| Shaw Group, Inc.* | | | 1,194 | | | | 52,082 | |
| URS Corp. | | | 1,388 | | | | 49,010 | |
| Acuity Brands, Inc. | | | 763 | | | | 48,290 | |
| Oshkosh Corp.* | | | 1,660 | | | | 45,534 | |
| Terex Corp.* | | | 2,000 | | | | 45,160 | |
| Alaska Air Group, Inc.* | | | 1,276 | | | | 44,736 | |
| AECOM Technology Corp.* | | | 2,049 | | | | 43,357 | |
| Trinity Industries, Inc. | | | 1,430 | | | | 42,857 | |
| Clean Harbors, Inc.* | | | 858 | | | | 41,913 | |
| Watsco, Inc. | | | 541 | | | | 41,002 | |
| Lennox International, Inc. | | | 840 | | | | 40,622 | |
| CLARCOR, Inc. | | | 910 | | | | 40,613 | |
| Landstar System, Inc. | | | 844 | | | | 39,904 | |
| Huntington Ingalls Industries, Inc.* | | | 898 | | | | 37,761 | |
| Woodward, Inc. | | | 1,090 | | | | 37,038 | |
| GATX Corp. | | | 850 | | | | 36,074 | |
| Exelis, Inc. | | | 3,381 | | | | 34,960 | |
| Crane Co. | | | 872 | | | | 34,819 | |
| ITT Corp. | | | 1,670 | | | | 33,651 | |
| Corporate Executive Board Co. | | | 608 | | | | 32,607 | |
| Esterline Technologies Corp.* | | | 562 | | | | 31,551 | |
| Harsco Corp. | | | 1,462 | | | | 30,015 | |
| Alliant Techsystems, Inc. | | | 591 | | | | 29,615 | |
| Deluxe Corp. | | | 915 | | | | 27,962 | |
| Rollins, Inc. | | | 1,189 | | | | 27,811 | |
| Con-way, Inc. | | | 1,016 | | | | 27,808 | |
| General Cable Corp.* | | | 905 | | | | 26,589 | |
| UTI Worldwide, Inc. | | | 1,882 | | | | 25,351 | |
| Brink’s Co. | | | 867 | | | | 22,273 | |
| Mine Safety Appliances Co. | | | 563 | | | | 20,983 | |
| HNI Corp. | | | 820 | | | | 20,918 | |
| Herman Miller, Inc. | | | 1,054 | | | | 20,490 | |
| FTI Consulting, Inc.* | | | 765 | | | | 20,410 | |
| JetBlue Airways Corp.* | | | 4,120 | | | | 19,735 | |
| Granite Construction, Inc. | | | 647 | | | | 18,582 | |
| Werner Enterprises, Inc. | | | 800 | | | | 17,096 | |
| Matson, Inc. | | | 767 | | | | 16,038 | |
| Korn/Ferry International* | | | 872 | | | | 13,368 | |
| Total Industrials | | | | | | | 3,402,915 | |
| Information Technology - 9.3% | | | | | | | | |
| Equinix, Inc.* | | | 873 | | | | 179,882 | |
| Rackspace Hosting, Inc.* | | | 1,960 | | | | 129,536 | |
| Alliance Data Systems Corp.* | | | 902 | | | | 128,040 | |
| ANSYS, Inc.* | | | 1,670 | | | | 122,577 | |
| Trimble Navigation Ltd.* | | | 2,270 | | | | 108,188 | |
| Synopsys, Inc.* | | | 2,694 | | | | 88,955 | |
| TIBCO Software, Inc.* | | | 2,787 | | | | 84,251 | |
| Skyworks Solutions, Inc.* | | | 3,452 | | | | 81,346 | |
| Gartner, Inc.* | | | 1,687 | | | | 77,753 | |
| Avnet, Inc.* | | | 2,558 | | | | 74,412 | |
| FactSet Research Systems, Inc. | | | 741 | | | | 71,447 | |
| MICROS Systems, Inc.* | | | 1,452 | | | | 71,322 | |
| Informatica Corp.* | | | 1,960 | | | | 68,228 | |
| NCR Corp.* | | | 2,875 | | | | 67,016 | |
| Arrow Electronics, Inc.* | | | 1,969 | | | | 66,375 | |
| Riverbed Technology, Inc.* | | | 2,792 | | | | 64,971 | |
| Cadence Design Systems, Inc.* | | | 4,974 | | | | 63,991 | |
| SolarWinds, Inc.* | | | 1,100 | | | | 61,314 | |
| Concur Technologies, Inc.* | | | 816 | | | | 60,164 | |
| Global Payments, Inc. | | | 1,425 | | | | 59,608 | |
| Jack Henry & Associates, Inc. | | | 1,559 | | | | 59,086 | |
| AOL, Inc.* | | | 1,623 | | | | 57,178 | |
| Solera Holdings, Inc. | | | 1,266 | | | | 55,539 | |
| VeriFone Systems, Inc.* | | | 1,952 | | | | 54,363 | |
| Cree, Inc.* | | | 2,100 | | | | 53,613 | |
| Broadridge Financial Solutions, Inc. | | | 2,262 | | | | 52,772 | |
| CoreLogic, Inc.* | | | 1,907 | | | | 50,593 | |
| Wright Express Corp.* | | | 700 | | | | 48,804 | |
| NeuStar, Inc. — Class A* | | | 1,202 | | | | 48,116 | |
| Parametric Technology Corp.* | | | 2,151 | | | | 46,892 | |
| Lender Processing Services, Inc. | | | 1,536 | | | | 42,839 | |
| National Instruments Corp. | | | 1,700 | | | | 42,789 | |
| Atmel Corp.* | | | 7,966 | | | | 41,901 | |
| Ingram Micro, Inc. — Class A* | | | 2,716 | | | | 41,365 | |
| Compuware Corp.* | | | 3,901 | | | | 38,659 | |
| Diebold, Inc. | | | 1,139 | | | | 38,396 | |
| Zebra Technologies Corp. — Class A* | | | 937 | | | | 35,175 | |
| Convergys Corp. | | | 2,035 | | | | 31,888 | |
| Polycom, Inc.* | | | 3,199 | | | | 31,574 | |
| DST Systems, Inc. | | | 555 | | | | 31,391 | |
| Tech Data Corp.* | | | 683 | | | | 30,940 | |
| Itron, Inc.* | | | 715 | | | | 30,852 | |
| Fairchild Semiconductor International, | | | | | | | | |
| Inc. — Class A* | | | 2,294 | | | | 30,097 | |
| ACI Worldwide, Inc.* | | | 710 | | | | 30,005 | |
| Semtech Corp.* | | | 1,192 | | | | 29,979 | |
| Rovi Corp.* | | | 1,974 | | | | 28,643 | |
| Quest Software, Inc.* | | | 1,013 | | | | 28,364 | |
| Fair Isaac Corp. | | | 612 | | | | 27,087 | |
| Plantronics, Inc. | | | 761 | | | | 26,886 | |
| Cypress Semiconductor Corp. | | | 2,474 | | | | 26,521 | |
| Mentor Graphics Corp.* | | | 1,691 | | | | 26,177 | |
| Silicon Laboratories, Inc.* | | | 695 | | | | 25,548 | |
| Acxiom Corp.* | | | 1,358 | | | | 24,811 | |
| Ciena Corp.* | | | 1,814 | | | | 24,670 | |
| Vishay Intertechnology, Inc.* | | | 2,386 | | | | 23,454 | |
| Tellabs, Inc. | | | 6,250 | | | | 22,125 | |
| ValueClick, Inc.* | | | 1,278 | | | | 21,969 | |
| International Rectifier Corp.* | | | 1,250 | | | | 20,863 | |
| Intersil Corp. — Class A | | | 2,313 | | | | 20,239 | |
| RF Micro Devices, Inc.* | | | 5,006 | | | | 19,774 | |
| ADTRAN, Inc. | | | 1,140 | | | | 19,699 | |
| QLogic Corp.* | | | 1,706 | | | | 19,483 | |
| Monster Worldwide, Inc.* | | | 2,141 | | | | 15,694 | |
| Integrated Device Technology, Inc.* | | | 2,593 | | | | 15,247 | |
| 54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Advent Software, Inc.* | | | 581 | | | $ | 14,275 | |
| MEMC Electronic Materials, Inc.* | | | 4,183 | | | | 11,503 | |
| Mantech International Corp. — Class A | | | 430 | | | | 10,320 | |
| Total Information Technology | | | | | | | 3,257,534 | |
| Consumer Discretionary - 8.4% | | | | | | | | |
| PetSmart, Inc. | | | 1,961 | | | | 135,269 | |
| Tractor Supply Co. | | | 1,283 | | | | 126,876 | |
| PVH Corp. | | | 1,280 | | | | 119,961 | |
| LKQ Corp.* | | | 5,360 | | | | 99,160 | |
| Foot Locker, Inc. | | | 2,728 | | | | 96,844 | |
| Polaris Industries, Inc. | | | 1,153 | | | | 93,243 | |
| Dick’s Sporting Goods, Inc. | | | 1,761 | | | | 91,308 | |
| Advance Auto Parts, Inc. | | | 1,325 | | | | 90,683 | |
| Toll Brothers, Inc.* | | | 2,711 | | | | 90,087 | |
| Panera Bread Co. — Class A* | | | 510 | | | | 87,154 | |
| Mohawk Industries, Inc.* | | | 1,049 | | | | 83,941 | |
| Under Armour, Inc. — Class A* | | | 1,394 | | | | 77,827 | |
| NVR, Inc.* | | | 88 | | | | 74,316 | |
| Jarden Corp. | | | 1,359 | | | | 71,810 | |
| Signet Jewelers Ltd. | | | 1,464 | | | | 71,385 | |
| Williams-Sonoma, Inc. | | | 1,568 | | | | 68,945 | |
| American Eagle Outfitters, Inc. | | | 3,238 | | | | 68,257 | |
| Hanesbrands, Inc.* | | | 1,767 | | | | 56,332 | |
| Chico’s FAS, Inc. | | | 3,004 | | | | 54,402 | |
| Tupperware Brands Corp. | | | 1,012 | | | | 54,233 | |
| Service Corporation International | | | 3,889 | | | | 52,346 | |
| Carter’s, Inc.* | | | 918 | | | | 49,425 | |
| Ascena Retail Group, Inc.* | | | 2,229 | | | | 47,812 | |
| Brinker International, Inc. | | | 1,338 | | | | 47,231 | |
| AMC Networks, Inc. — Class A* | | | 1,035 | | | | 45,043 | |
| Gentex Corp. | | | 2,618 | | | | 44,532 | |
| Cinemark Holdings, Inc. | | | 1,851 | | | | 41,518 | |
| John Wiley & Sons, Inc. — Class A | | | 852 | | | | 39,149 | |
| Sotheby’s | | | 1,230 | | | | 38,745 | |
| Warnaco Group, Inc.* | | | 744 | | | | 38,614 | |
| Rent-A-Center, Inc. — Class A | | | 1,066 | | | | 37,395 | |
| Bally Technologies, Inc.* | | | 750 | | | | 37,042 | |
| Lamar Advertising Co. — Class A* | | | 997 | | | | 36,949 | |
| Aaron’s, Inc. | | | 1,276 | | | | 35,486 | |
| Life Time Fitness, Inc.* | | | 724 | | | | 33,116 | |
| HSN, Inc. | | | 675 | | | | 33,109 | |
| ANN, Inc.* | | | 857 | | | | 32,335 | |
| Cheesecake Factory, Inc. | | | 904 | | | | 32,318 | |
| Tempur-Pedic International, Inc.* | | | 1,078 | | | | 32,221 | |
| Thor Industries, Inc. | | | 796 | | | | 28,911 | |
| Guess?, Inc. | | | 1,110 | | | | 28,216 | |
| MDC Holdings, Inc. | | | 693 | | | | 26,687 | |
| DreamWorks Animation SKG, | | | | | | | | |
| Inc. — Class A*,1 | | | 1,300 | | | | 24,999 | |
| Deckers Outdoor Corp.*,1 | | | 671 | | | | 24,585 | |
| Collective Brands, Inc.* | | | 1,107 | | | | 24,033 | |
| Wendy’s Co. | | | 5,092 | | | | 23,169 | |
| Meredith Corp. | | | 652 | | | | 22,820 | |
| New York Times Co. — Class A* | | | 2,205 | | | | 21,521 | |
| Aeropostale, Inc.* | | | 1,475 | | | | 19,957 | |
| Bob Evans Farms, Inc. | | | 508 | | | | 19,878 | |
| KB Home | | | 1,381 | | | | 19,817 | |
| Regis Corp. | | | 1,042 | | | | 19,152 | |
| Saks, Inc.*,1 | | | 1,852 | | | | 19,094 | |
| Valassis Communications, Inc.* | | | 720 | | | | 17,777 | |
| WMS Industries, Inc.* | | | 986 | | | | 16,151 | |
| Matthews International Corp. — Class A | | | 506 | | | | 15,089 | |
| Scholastic Corp. | | | 470 | | | | 14,937 | |
| Strayer Education, Inc. | | | 215 | | | | 13,835 | |
| Office Depot, Inc.* | | | 5,164 | | | | 13,220 | |
| International Speedway Corp. — Class A | | | 462 | | | | 13,107 | |
| ITT Educational Services, Inc.* | | | 283 | | | | 9,121 | |
| Barnes & Noble, Inc.*,1 | | | 684 | | | | 8,742 | |
| Scientific Games Corp. — Class A* | | | 1,027 | | | | 8,493 | |
| RadioShack Corp.1 | | | 1,797 | | | | 4,277 | |
| Total Consumer Discretionary | | | | | | | 2,924,007 | |
| Health Care - 6.3% | | | | | | | | |
| Vertex Pharmaceuticals, Inc.* | | | 3,910 | | | | 218,765 | |
| Regeneron Pharmaceuticals, Inc.* | | | 1,356 | | | | 207,007 | |
| Henry Schein, Inc.* | | | 1,602 | | | | 126,991 | |
| ResMed, Inc. | | | 2,570 | | | | 104,007 | |
| IDEXX Laboratories, Inc.* | | | 995 | | | | 98,853 | |
| Hologic, Inc.* | | | 4,795 | | | | 97,051 | |
| Mettler-Toledo International, Inc.* | | | 562 | | | | 95,957 | |
| Cooper Companies, Inc. | | | 870 | | | | 82,180 | |
| AMERIGROUP Corp.* | | | 880 | | | | 80,459 | |
| Universal Health Services, Inc. — Class B | | | 1,596 | | | | 72,985 | |
| Omnicare, Inc. | | | 2,019 | | | | 68,585 | |
| Endo Health Solutions, Inc.* | | | 2,119 | | | | 67,215 | |
| MEDNAX, Inc.* | | | 900 | | | | 67,005 | |
| HMS Holdings Corp.* | | | 1,560 | | | | 52,151 | |
| Teleflex, Inc. | | | 740 | | | | 50,942 | |
| United Therapeutics Corp.* | | | 871 | | | | 48,671 | |
| Community Health Systems, Inc.* | | | 1,643 | | | | 47,877 | |
| Medicis Pharmaceutical Corp. — Class A | | | 1,079 | | | | 46,688 | |
| Covance, Inc.* | | | 992 | | | | 46,316 | |
| Techne Corp. | | | 627 | | | | 45,106 | |
| WellCare Health Plans, Inc.* | | | 780 | | | | 44,109 | |
| Health Management Associates, | | | | | | | | |
| Inc. — Class A* | | | 4,640 | | | | 38,930 | |
| Allscripts Healthcare Solutions, Inc.* | | | 3,099 | | | | 38,521 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 360 | | | | 38,419 | |
| LifePoint Hospitals, Inc.* | | | 889 | | | | 38,031 | |
| STERIS Corp. | | | 1,047 | | | | 37,137 | |
| Thoratec Corp.* | | | 1,061 | | | | 36,711 | |
| Charles River Laboratories | | | | | | | | |
| International, Inc.* | | | 881 | | | | 34,888 | |
| Owens & Minor, Inc. | | | 1,147 | | | | 34,272 | |
| Health Net, Inc.* | | | 1,475 | | | | 33,202 | |
| Hill-Rom Holdings, Inc. | | | 1,121 | | | | 32,576 | |
| VCA Antech, Inc.* | | | 1,590 | | | | 31,371 | |
| Masimo Corp.* | | | 941 | | | | 22,753 | |
| Total Health Care | | | | | | | 2,185,731 | |
| Materials - 4.2% | | | | | | | | |
| Royal Gold, Inc. | | | 1,066 | | | | 106,451 | |
| Ashland, Inc. | | | 1,322 | | | | 94,655 | |
| Rock-Tenn Co. — Class A | | | 1,280 | | | | 92,389 | |
| Valspar Corp. | | | 1,528 | | | | 85,720 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Albemarle Corp. | | | 1,623 | | | $ | 85,499 | |
| Reliance Steel & Aluminum Co. | | | 1,358 | | | | 71,092 | |
| Martin Marietta Materials, Inc. | | | 826 | | | | 68,451 | |
| RPM International, Inc. | | | 2,390 | | | | 68,211 | |
| Packaging Corporation of America | | | 1,780 | | | | 64,614 | |
| Aptargroup, Inc. | | | 1,200 | | | | 62,052 | |
| Sonoco Products Co. | | | 1,820 | | | | 56,402 | |
| Cytec Industries, Inc. | | | 829 | | | | 54,316 | |
| Domtar Corp. | | | 650 | | | | 50,889 | |
| NewMarket Corp. | | | 193 | | | | 47,571 | |
| Compass Minerals International, Inc. | | | 600 | | | | 44,754 | |
| Steel Dynamics, Inc. | | | 3,966 | | | | 44,538 | |
| Carpenter Technology Corp. | | | 798 | | | | 41,751 | |
| Cabot Corp. | | | 1,077 | | | | 39,386 | |
| Silgan Holdings, Inc. | | | 890 | | | | 38,724 | |
| Sensient Technologies Corp. | | | 904 | | | | 33,231 | |
| Olin Corp. | | | 1,444 | | | | 31,378 | |
| Louisiana-Pacific Corp.* | | | 2,490 | | | | 31,125 | |
| Scotts Miracle-Gro Co. — Class A | | | 697 | | | | 30,298 | |
| Commercial Metals Co. | | | 2,105 | | | | 27,786 | |
| Greif, Inc. — Class A | | | 549 | | | | 24,255 | |
| Minerals Technologies, Inc. | | | 318 | | | | 22,556 | |
| Intrepid Potash, Inc.* | | | 970 | | | | 20,836 | |
| Worthington Industries, Inc. | | | 942 | | | | 20,404 | |
| Total Materials | | | | | | | 1,459,334 | |
| Energy - 3.5% | | | | | | | | |
| HollyFrontier Corp. | | | 3,684 | | | | 152,039 | |
| Oceaneering International, Inc. | | | 1,953 | | | | 107,903 | |
| Cimarex Energy Co. | | | 1,558 | | | | 91,222 | |
| Plains Exploration & Production Co.* | | | 2,332 | | | | 87,381 | |
| Oil States International, Inc.* | | | 990 | | | | 78,665 | |
| Dresser-Rand Group, Inc.* | | | 1,371 | | | | 75,556 | |
| Energen Corp. | | | 1,300 | | | | 68,133 | |
| SM Energy Co. | | | 1,176 | | | | 63,633 | |
| Superior Energy Services, Inc.* | | | 2,846 | | | | 58,400 | |
| Dril-Quip, Inc.* | | | 655 | | | | 47,081 | |
| Atwood Oceanics, Inc.* | | | 1,027 | | | | 46,678 | |
| World Fuel Services Corp. | | | 1,304 | | | | 46,435 | |
| Rosetta Resources, Inc.* | | | 958 | | | | 45,888 | |
| Tidewater, Inc. | | | 902 | | | | 43,774 | |
| Patterson-UTI Energy, Inc. | | | 2,747 | | | | 43,512 | |
| Helix Energy Solutions Group, Inc.* | | | 1,771 | | | | 32,356 | |
| Unit Corp.* | | | 778 | | | | 32,287 | |
| Arch Coal, Inc. | | | 3,841 | | | | 24,314 | |
| CARBO Ceramics, Inc. | | | 355 | | | | 22,337 | |
| Bill Barrett Corp.* | | | 868 | | | | 21,500 | |
| Northern Oil and Gas, Inc.* | | | 1,071 | | | | 18,196 | |
| Forest Oil Corp.* | | | 2,138 | | | | 18,066 | |
| Quicksilver Resources, Inc.* | | | 2,160 | | | | 8,834 | |
| Total Energy | | | | | | | 1,234,190 | |
| Utilities - 3.1% | | | | | | | | |
| OGE Energy Corp. | | | 1,786 | | | | 99,051 | |
| Alliant Energy Corp. | | | 2,009 | | | | 87,171 | |
| National Fuel Gas Co. | | | 1,504 | | | | 81,276 | |
| N.V. Energy, Inc. | | | 4,271 | | | | 76,921 | |
| MDU Resources Group, Inc. | | | 3,419 | | | | 75,355 | |
| Westar Energy, Inc. | | | 2,290 | | | | 67,921 | |
| Questar Corp. | | | 3,180 | | | | 64,649 | |
| UGI Corp. | | | 2,032 | | | | 64,516 | |
| Aqua America, Inc. | | | 2,530 | | | | 62,643 | |
| Great Plains Energy, Inc. | | | 2,773 | | | | 61,727 | |
| Atmos Energy Corp. | | | 1,634 | | | | 58,481 | |
| Hawaiian Electric Industries, Inc. | | | 1,760 | | | | 46,306 | |
| Cleco Corp. | | | 1,099 | | | | 46,136 | |
| Vectren Corp. | | | 1,480 | | | | 42,328 | |
| IDACORP, Inc. | | | 912 | | | | 39,462 | |
| WGL Holdings, Inc. | | | 934 | | | | 37,594 | |
| PNM Resources, Inc. | | | 1,437 | | | | 30,220 | |
| Black Hills Corp. | | | 800 | | | | 28,456 | |
| Total Utilities | | | | | | | 1,070,213 | |
| Consumer Staples - 2.0% | | | | | | | | |
| Church & Dwight Company, Inc. | | | 2,524 | | | | 136,271 | |
| Energizer Holdings, Inc. | | | 1,166 | | | | 86,995 | |
| Ingredion, Inc. | | | 1,380 | | | | 76,121 | |
| Ralcorp Holdings, Inc.* | | | 997 | | | | 72,781 | |
| Hillshire Brands Co. | | | 2,147 | | | | 57,497 | |
| Green Mountain Coffee Roasters, Inc.* | | | 2,336 | | | | 55,480 | |
| Smithfield Foods, Inc.* | | | 2,435 | | | | 47,848 | |
| Flowers Foods, Inc. | | | 2,085 | | | | 42,075 | |
| Harris Teeter Supermarkets, Inc. | | | 895 | | | | 34,762 | |
| Lancaster Colony Corp. | | | 351 | | | | 25,711 | |
| Universal Corp. | | | 419 | | | | 21,335 | |
| Post Holdings, Inc.* | | | 486 | | | | 14,609 | |
| Tootsie Roll Industries, Inc.1 | | | 373 | | | | 10,064 | |
| SUPERVALU, Inc.1 | | | 3,864 | | | | 9,312 | |
| Total Consumer Staples | | | | | | | 690,861 | |
| Telecommunication Services - 0.3% | | | | | | | | |
| tw telecom, Inc. — Class A* | | | 2,738 | | | | 71,380 | |
| Telephone & Data Systems, Inc. | | | 1,830 | | | | 46,866 | |
| Total Telecommunication Services | | | | | | | 118,246 | |
| Total Common Stocks | | | | | | | | |
| (Cost $16,731,991) | | | | | | | 20,990,119 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 36.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 6,451,108 | | | | 6,451,108 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 3,711,710 | | | | 3,711,710 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 2,117,432 | | | | 2,117,432 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 579,290 | | | | 579,290 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $12,859,540) | | | | | | | 12,859,540 | |
| 56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| SECURITIES LENDING COLLATERAL††,4 - 0.3% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | $ | 54,302 | | | $ | 54,302 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 53,441 | | | | 53,441 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $107,743) | | | | | | | 107,743 | |
| Total Investments - 97.4% | | | | | | | | |
| (Cost $29,699,274) | | | | | | $ | 33,957,402 | |
| Other Assets & Liabilities, net - 2.6% | | | | | | | 900,731 | |
| Total Net Assets - 100.0% | | | | | | $ | 34,858,133 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 S&P MidCap 400 | | | | | | | | |
| Index Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $11,923,340) | | | 121 | | | $ | (214,509 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/29/125 | | | | | | | | |
| (Notional Value $2,399,604) | | | 2,426 | | | $ | 18,920 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/31/125 | | | | | | | | |
| (Notional Value $594,109) | | | 601 | | | | (1,898 | ) |
| Barclays Bank plc | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/31/125 | | | | | | | | |
| (Notional Value $15,908,223) | | | 16,085 | | | | (50,462 | ) |
| (Total Notional Value | | | | | | | | |
| $18,901,936) | | | | | | $ | (33,440 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
MID-CAP 1.5x STRATEGY FUND
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $104,798 of | | | | |
| securities loaned | | | | |
| (cost $16,839,734) | | $ | 21,097,862 | |
| Repurchase agreements, at value | | | | |
| (cost $12,859,540) | | | 12,859,540 | |
| Total investments | | | | |
| (cost $29,699,274) | | | 33,957,402 | |
| Segregated cash with broker | | | 2,316,000 | |
| Unrealized appreciation on swap agreements | | | 18,920 | |
| Cash | | | 487 | |
| Receivables: | | | | |
| Fund shares sold | | | 143,337 | |
| Dividends | | | 42,635 | |
| Interest | | | 195 | |
| Total assets | | | 36,478,976 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 52,360 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,354,469 | |
| Payable upon return of securities loaned | | | 107,743 | |
| Variation margin | | | 46,630 | |
| Management fees | | | 23,539 | |
| Distribution and service fees | | | 8,608 | |
| Swap settlement | | | 7,071 | |
| Transfer agent and administrative fees | | | 6,539 | |
| Portfolio accounting fees | | | 2,615 | |
| Miscellaneous | | | 11,269 | |
| Total liabilities | | | 1,620,843 | |
| Net assets | | $ | 34,858,133 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 47,536,475 | |
| Accumulated net investment loss | | | (127,376 | ) |
| Accumulated net realized loss on investments | | | (16,561,145 | ) |
| Net unrealized appreciation on investments | | | 4,010,179 | |
| Net assets | | $ | 34,858,133 | |
| A-Class: | | | | |
| Net assets | | $ | 997,698 | |
| Capital shares outstanding | | | 27,859 | |
| Net asset value per share | | $ | 35.81 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 37.60 | |
| C-Class: | | | | |
| Net assets | | $ | 3,554,064 | |
| Capital shares outstanding | | | 108,789 | |
| Net asset value per share | | $ | 32.67 | |
| H-Class: | | | | |
| Net assets | | $ | 30,306,371 | |
| Capital shares outstanding | | | 845,363 | |
| Net asset value per share | | $ | 35.85 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 129,861 | |
| Interest | | | 3,393 | |
| Income from securities lending, net | | | 24 | |
| Total investment income | | | 133,278 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 98,028 | |
| Transfer agent and administrative fees | | | 27,230 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,464 | |
| C-Class | | | 19,632 | |
| H-Class | | | 20,858 | |
| Portfolio accounting fees | | | 10,892 | |
| Custodian fees | | | 1,872 | |
| Trustees’ fees* | | | 1,762 | |
| Miscellaneous | | | 11,508 | |
| Total expenses | | | 193,246 | |
| Net investment loss | | | (59,968 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,056,821 | |
| Swap agreements | | | 698,113 | |
| Futures contracts | | | 388,941 | |
| Net realized gain | | | 2,143,875 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (657,992 | ) |
| Swap agreements | | | (7,307 | ) |
| Futures contracts | | | (409,612 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,074,911 | ) |
| Net realized and unrealized gain | | | 1,068,964 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 1,008,996 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (59,968 | ) | | $ | (248,932 | ) |
| Net realized gain (loss) on investments | | | 2,143,875 | | | | (3,727,066 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,074,911 | ) | | | (744,351 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 1,008,996 | | | | (4,720,349 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 294,321 | | | | 4,439,075 | |
| C-Class | | | 2,831,888 | | | | 8,856,328 | |
| H-Class | | | 49,514,343 | | | | 191,352,207 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,248,389 | ) | | | (4,211,118 | ) |
| C-Class | | | (3,974,975 | ) | | | (9,591,810 | ) |
| H-Class | | | (37,353,897 | ) | | | (212,908,174 | ) |
| Net increase (decrease) from capital share transactions | | | 10,063,291 | | | | (22,063,492 | ) |
| Net increase (decrease) in net assets | | | 11,072,287 | | | | (26,783,841 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 23,785,846 | | | | 50,569,687 | |
| End of period | | $ | 34,858,133 | | | $ | 23,785,846 | |
| Accumulated net investment loss at end of period | | $ | (127,376 | ) | | $ | (67,408 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 8,671 | | | | 137,923 | |
| C-Class | | | 89,481 | | | | 276,605 | |
| H-Class | | | 1,460,922 | | | | 5,925,626 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (35,935 | ) | | | (133,333 | ) |
| C-Class | | | (125,818 | ) | | | (307,940 | ) |
| H-Class | | | (1,083,524 | ) | | | (6,606,666 | ) |
| Net increase (decrease) in shares | | | 313,797 | | | | (707,785 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
MID-CAP 1.5x STRATEGY FUND
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.23 | | | $ | 37.14 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.39 | | | $ | 41.56 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.07 | ) | | | (.23 | ) | | | (.26 | ) | | | (.16 | ) | | | —c | | | | .23 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.35 | ) | | | (.68 | ) | | | 10.51 | | | | 13.72 | | | | (17.74 | ) | | | (7.46 | ) |
| Total from investment operations | | | (.42 | ) | | | (.91 | ) | | | 10.25 | | | | 13.56 | | | | (17.74 | ) | | | (7.23 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.26 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.68 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.94 | ) |
| Net asset value, end of period | | $ | 35.81 | | | $ | 36.23 | | | $ | 37.14 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.16 | %) | | | (2.45 | %) | | | 38.12 | % | | | 101.73 | % | | | (54.70 | %) | | | (18.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 998 | | | $ | 1,997 | | | $ | 1,877 | | | $ | 1,567 | | | $ | 1,080 | | | $ | 1,571 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.42 | %) | | | (0.68 | %) | | | (0.88 | %) | | | (0.79 | %) | | | 0.01 | % | | | 0.57 | % |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.70 | % | | | 1.69 | % | | | 1.68 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 65 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % | | | 226 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.18 | | | $ | 34.26 | | | $ | 24.98 | | | $ | 12.47 | | | $ | 30.73 | | | $ | 39.82 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.18 | ) | | | (.43 | ) | | | (.43 | ) | | | (.27 | ) | | | (.17 | ) | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.33 | ) | | | (.65 | ) | | | 9.71 | | | | 12.78 | | | | (16.77 | ) | | | (7.07 | ) |
| Total from investment operations | | | (.51 | ) | | | (1.08 | ) | | | 9.28 | | | | 12.51 | | | | (16.94 | ) | | | (7.15 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.26 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.68 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.94 | ) |
| Net asset value, end of period | | $ | 32.67 | | | $ | 33.18 | | | $ | 34.26 | | | $ | 24.98 | | | $ | 12.47 | | | $ | 30.73 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.54 | %) | | | (3.15 | %) | | | 37.15 | % | | | 100.32 | % | | | (55.06 | %) | | | (18.90 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,554 | | | $ | 4,815 | | | $ | 6,045 | | | $ | 4,069 | | | $ | 2,954 | | | $ | 8,388 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.14 | %) | | | (1.42 | %) | | | (1.59 | %) | | | (1.43 | %) | | | (0.72 | %) | | | (0.20 | %) |
| Total expenses | | | 2.39 | % | | | 2.41 | % | | | 2.44 | % | | | 2.44 | % | | | 2.43 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 65 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % | | | 226 | % |
| 60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.27 | | | $ | 37.12 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.40 | | | $ | 41.58 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.07 | ) | | | (.24 | ) | | | (.28 | ) | | | (.15 | ) | | | .01 | | | | .25 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.35 | ) | | | (.61 | ) | | | 10.51 | | | | 13.71 | | | | (17.76 | ) | | | (7.49 | ) |
| Total from investment operations | | | (.42 | ) | | | (.85 | ) | | | 10.23 | | | | 13.56 | | | | (17.75 | ) | | | (7.24 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.26 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.68 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.94 | ) |
| Net asset value, end of period | | $ | 35.85 | | | $ | 36.27 | | | $ | 37.12 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.16 | %) | | | (2.29 | %) | | | 38.04 | % | | | 101.73 | % | | | (54.71 | %) | | | (18.31 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 30,306 | | | $ | 16,974 | | | $ | 42,647 | | | $ | 30,825 | | | $ | 11,063 | | | $ | 11,763 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.42 | %) | | | (0.72 | %) | | | (0.91 | %) | | | (0.73 | %) | | | 0.06 | % | | | 0.61 | % |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.70 | % | | | 1.68 | % | | | 1.68 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 65 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % | | | 226 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Net investment income is less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| 62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INVERSE MID-CAP STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 89.0% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 1,206,844 | | | $ | 1,206,844 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 694,369 | | | | 694,369 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 396,119 | | | | 396,119 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 325,671 | | | | 325,671 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,623,003) | | | | | | | 2,623,003 | |
| Total Investments - 89.0% | | | | | | | | |
| (Cost $2,623,003) | | | | | | $ | 2,623,003 | |
| Other Assets & Liabilities, net - 11.0% | | | | | | | 324,178 | |
| Total Net Assets - 100.0% | | | | | | $ | 2,947,181 | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 S&P MidCap 400 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,478,100) | | | 15 | | | $ | 7,617 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $808,659) | | | 818 | | | $ | 2,561 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $261,945) | | | 265 | | | | 837 | |
| Goldman Sachs International | | | | | | | | |
| October 2012 S&P MidCap 400 Index | | | | | | | | |
| Swap, Terminating 10/29/123 | | | | | | | | |
| (Notional Value $384,333) | | | 389 | | | | (3,034 | ) |
| (Total Notional Value | | | | | | | | |
| $1,454,937) | | | | | | $ | 364 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 3 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
INVERSE MID-CAP STRATEGY FUND
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $2,623,003) | | $ | 2,623,003 | |
| Segregated cash with broker | | | 380,000 | |
| Unrealized appreciation on swap agreements | | | 3,398 | |
| Receivable for swap settlement | | | 226 | |
| Receivables: | | | | |
| Variation margin | | | 5,700 | |
| Fund shares sold | | | 5,619 | |
| Interest | | | 34 | |
| Total assets | | | 3,017,980 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 3,034 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 62,381 | |
| Management fees | | | 2,059 | |
| Distribution and service fees | | | 785 | |
| Transfer agent and administrative fees | | | 572 | |
| Portfolio accounting fees | | | 229 | |
| Miscellaneous | | | 1,739 | |
| Total liabilities | | | 70,799 | |
| Net assets | | $ | 2,947,181 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 18,344,544 | |
| Accumulated net investment loss | | | (44,236 | ) |
| Accumulated net realized loss on investments | | | (15,361,108 | ) |
| Net unrealized appreciation on investments | | | 7,981 | |
| Net assets | | $ | 2,947,181 | |
| A-Class: | | | | |
| Net assets | | $ | 96,798 | |
| Capital shares outstanding | | | 5,447 | |
| Net asset value per share | | $ | 17.77 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.66 | |
| C-Class: | | | | |
| Net assets | | $ | 381,264 | |
| Capital shares outstanding | | | 22,995 | |
| Net asset value per share | | $ | 16.58 | |
| H-Class: | | | | |
| Net assets | | $ | 2,469,119 | |
| Capital shares outstanding | | | 139,106 | |
| Net asset value per share | | $ | 17.75 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Interest | | $ | 2,638 | |
| Total investment income | | | 2,638 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 19,953 | |
| Transfer agent and administrative fees | | | 5,542 | |
| Distribution and service fees: | | | | |
| A-Class | | | 134 | |
| C-Class | | | 1,971 | |
| H-Class | | | 4,916 | |
| Portfolio accounting fees | | | 2,217 | |
| Custodian fees | | | 357 | |
| Trustees’ fees* | | | 317 | |
| Miscellaneous | | | 2,416 | |
| Total expenses | | | 37,823 | |
| Net investment loss | | | (35,185 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (116,035 | ) |
| Futures contracts | | | (227,333 | ) |
| Net realized loss | | | (343,368 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (3,351 | ) |
| Futures contracts | | | 6,320 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 2,969 | |
| Net realized and unrealized loss | | | (340,399 | ) |
| Net decrease in net assets | | | | |
| resulting from operations | | $ | (375,584 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (35,185 | ) | | $ | (77,519 | ) |
| Net realized loss on investments | | | (343,368 | ) | | | (1,789,289 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,969 | | | | 50,923 | |
| Net decrease in net assets resulting from operations | | | (375,584 | ) | | | (1,815,885 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 8,502 | | | | 422,447 | |
| C-Class | | | 1,922,359 | | | | 1,884,393 | |
| H-Class | | | 24,200,108 | | | | 35,539,703 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (24,787 | ) | | | (552,182 | ) |
| C-Class | | | (1,592,784 | ) | | | (2,014,057 | ) |
| H-Class | | | (23,005,236 | ) | | | (34,099,863 | ) |
| Net increase from capital share transactions | | | 1,508,162 | | | | 1,180,441 | |
| Net increase (decrease) in net assets | | | 1,132,578 | | | | (635,444 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 1,814,603 | | | | 2,450,047 | |
| End of period | | $ | 2,947,181 | | | $ | 1,814,603 | |
| Accumulated net investment loss at end of period | | $ | (44,236 | ) | | $ | (9,051 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 435 | | | | 20,135 | |
| C-Class | | | 108,768 | | | | 88,767 | |
| H-Class | | | 1,270,779 | | | | 1,591,658 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,330 | ) | | | (26,947 | ) |
| C-Class | | | (92,860 | ) | | | (99,207 | ) |
| H-Class | | | (1,218,438 | ) | | | (1,595,492 | ) |
| Net increase (decrease) in shares | | | 67,354 | | | | (21,086 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
INVERSE MID-CAP STRATEGY FUND
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.21 | | | $ | 20.38 | | | $ | 27.37 | | | $ | 48.21 | | | $ | 37.07 | | | $ | 33.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.14 | ) | | | (.34 | ) | | | (.39 | ) | | | (.52 | ) | | | (.22 | ) | | | .81 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.30 | ) | | | (1.83 | ) | | | (6.60 | ) | | | (20.32 | ) | | | 11.40 | | | | 3.11 | |
| Total from investment operations | | | (.44 | ) | | | (2.17 | ) | | | (6.99 | ) | | | (20.84 | ) | | | 11.18 | | | | 3.92 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Net asset value, end of period | | $ | 17.77 | | | $ | 18.21 | | | $ | 20.38 | | | $ | 27.37 | | | $ | 48.21 | | | $ | 37.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.42 | %) | | | (10.65 | %) | | | (25.54 | %) | | | (43.23 | %) | | | 30.14 | % | | | 11.83 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 97 | | | $ | 115 | | | $ | 268 | | | $ | 733 | | | $ | 452 | | | $ | 906 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.52 | %) | | | (1.63 | %) | | | (1.54 | %) | | | (1.56 | %) | | | (0.55 | %) | | | 2.35 | % |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.69 | % | | | 1.69 | % | | | 1.68 | % | | | 1.66 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.06 | | | $ | 19.24 | | | $ | 26.03 | | | $ | 46.24 | | | $ | 35.82 | | | $ | 32.89 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.20 | ) | | | (.48 | ) | | | (.55 | ) | | | (.75 | ) | | | (.41 | ) | | | .60 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.28 | ) | | | (1.70 | ) | | | (6.24 | ) | | | (19.46 | ) | | | 10.87 | | | | 2.96 | |
| Total from investment operations | | | (.48 | ) | | | (2.18 | ) | | | (6.79 | ) | | | (20.21 | ) | | | 10.46 | | | | 3.56 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Net asset value, end of period | | $ | 16.58 | | | $ | 17.06 | | | $ | 19.24 | | | $ | 26.03 | | | $ | 46.24 | | | $ | 35.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.81 | %) | | | (11.33 | %) | | | (26.09 | %) | | | (43.71 | %) | | | 29.18 | % | | | 11.05 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 381 | | | $ | 121 | | | $ | 337 | | | $ | 268 | | | $ | 327 | | | $ | 1,478 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.27 | %) | | | (2.39 | %) | | | (2.29 | %) | | | (2.30 | %) | | | (1.07 | %) | | | 1.83 | % |
| Total expenses | | | 2.39 | % | | | 2.42 | % | | | 2.44 | % | | | 2.43 | % | | | 2.43 | % | | | 2.41 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| 66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.19 | | | $ | 20.36 | | | $ | 27.35 | | | $ | 48.21 | | | $ | 37.07 | | | $ | 33.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.14 | ) | | | (.35 | ) | | | (.40 | ) | | | (.55 | ) | | | (.27 | ) | | | .78 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.30 | ) | | | (1.82 | ) | | | (6.59 | ) | | | (20.31 | ) | | | 11.45 | | | | 3.14 | |
| Total from investment operations | | | (.44 | ) | | | (2.17 | ) | | | (6.99 | ) | | | (20.86 | ) | | | 11.18 | | | | 3.92 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) | | | (.63 | ) |
| Net asset value, end of period | | $ | 17.75 | | | $ | 18.19 | | | $ | 20.36 | | | $ | 27.35 | | | $ | 48.21 | | | $ | 37.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.42 | %) | | | (10.66 | %) | | | (25.56 | %) | | | (43.27 | %) | | | 30.14 | % | | | 11.83 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,469 | | | $ | 1,578 | | | $ | 1,845 | | | $ | 2,891 | | | $ | 7,350 | | | $ | 46,630 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.52 | %) | | | (1.64 | %) | | | (1.53 | %) | | | (1.55 | %) | | | (0.62 | %) | | | 2.26 | % |
| Total expenses | | | 1.64 | % | | | 1.67 | % | | | 1.69 | % | | | 1.68 | % | | | 1.70 | % | | | 1.65 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| A-Class | March 31, 2004 | |
| C-Class | January 23, 2001 | |
| H-Class | November 1, 2000 | |
| Ten Largest Holdings (% of Total Net Assets) |
| Pharmacyclics, Inc. | | | 0.2 | % |
| Two Harbors Investment Corp. | | | 0.2 | % |
| athenahealth, Inc. | | | 0.2 | % |
| Cubist Pharmaceuticals, Inc. | | | 0.2 | % |
| Ocwen Financial Corp. | | | 0.2 | % |
| Dril-Quip, Inc. | | | 0.2 | % |
| HMS Holdings Corp. | | | 0.2 | % |
| United Natural Foods, Inc. | | | 0.2 | % |
| Energy XXI Bermuda Ltd. | | | 0.2 | % |
| Wright Express Corp. | | | 0.2 | % |
| Top Ten Total | | | 2.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
RUSSELL 2000® 1.5x STRATEGY FUND
| | | Shares | | | Value | |
| COMMON STOCKS† - 68.1% | | | | | | | | |
| | | | | | | | | |
| Financials - 14.7% | | | | | | | | |
| Two Harbors Investment Corp. | | | 6,485 | | | $ | 76,198 | |
| Ocwen Financial Corp.* | | | 2,498 | | | | 68,471 | |
| Starwood Property Trust, Inc. | | | 2,701 | | | | 62,851 | |
| Omega Healthcare Investors, Inc. | | | 2,457 | | | | 55,847 | |
| Highwoods Properties, Inc. | | | 1,710 | | | | 55,779 | |
| Hancock Holding Co. | | | 1,772 | | | | 54,844 | |
| CYS Investments, Inc. | | | 3,866 | | | | 54,472 | |
| Invesco Mortgage Capital, Inc. | | | 2,676 | | | | 53,868 | |
| First American Financial Corp. | | | 2,460 | | | | 53,307 | |
| LaSalle Hotel Properties | | | 1,984 | | | | 52,952 | |
| Entertainment Properties Trust | | | 1,090 | | | | 48,428 | |
| Alterra Capital Holdings Ltd. | | | 1,989 | | | | 47,617 | |
| CNO Financial Group, Inc. | | | 4,923 | | | | 47,508 | |
| Prosperity Bancshares, Inc. | | | 1,101 | | | | 46,926 | |
| RLJ Lodging Trust | | | 2,478 | | | | 46,859 | |
| Susquehanna Bancshares, Inc. | | | 4,354 | | | | 45,543 | |
| Texas Capital Bancshares, Inc.* | | | 877 | | | | 43,596 | |
| American Realty Capital Trust, Inc. | | | 3,680 | | | | 43,165 | |
| Colonial Properties Trust | | | 2,040 | | | | 42,942 | |
| DiamondRock Hospitality Co. | | | 4,362 | | | | 42,006 | |
| Stifel Financial Corp.* | | | 1,243 | | | | 41,766 | |
| Healthcare Realty Trust, Inc. | | | 1,810 | | | | 41,721 | |
| ARMOUR Residential REIT, Inc. | | | 5,438 | | | | 41,655 | |
| Washington Real Estate Investment Trust | | | 1,538 | | | | 41,249 | |
| Webster Financial Corp. | | | 1,674 | | | | 39,674 | |
| Prospect Capital Corp. | | | 3,442 | | | | 39,651 | |
| Sovran Self Storage, Inc. | | | 669 | | | | 38,702 | |
| FirstMerit Corp. | | | 2,544 | | | | 37,473 | |
| DCT Industrial Trust, Inc. | | | 5,728 | | | | 37,060 | |
| Apollo Investment Corp. | | | 4,704 | | | | 37,019 | |
| CubeSmart | | | 2,860 | | | | 36,808 | |
| Trustmark Corp. | | | 1,503 | | | | 36,583 | |
| UMB Financial Corp. | | | 751 | | | | 36,559 | |
| FNB Corp. | | | 3,233 | | | | 36,242 | |
| DuPont Fabros Technology, Inc. | | | 1,423 | | | | 35,931 | |
| Potlatch Corp. | | | 940 | | | | 35,128 | |
| EastGroup Properties, Inc. | | | 659 | | | | 35,059 | |
| Sunstone Hotel Investors, Inc.* | | | 3,177 | | | | 34,947 | |
| Greenhill & Company, Inc. | | | 670 | | | | 34,673 | |
| Glimcher Realty Trust | | | 3,232 | | | | 34,163 | |
| Umpqua Holdings Corp. | | | 2,596 | | | | 33,462 | |
| Platinum Underwriters Holdings Ltd. | | | 806 | | | | 32,941 | |
| Medical Properties Trust, Inc. | | | 3,148 | | | | 32,897 | |
| RLI Corp. | | | 492 | | | | 32,797 | |
| BancorpSouth, Inc. | | | 2,189 | | | | 32,266 | |
| Wintrust Financial Corp. | | | 842 | | | | 31,634 | |
| Cathay General Bancorp | | | 1,828 | | | | 31,551 | |
| IBERIABANK Corp. | | | 687 | | | | 31,465 | |
| Primerica, Inc. | | | 1,089 | | | | 31,189 | |
| Pebblebrook Hotel Trust | | | 1,327 | | | | 31,039 | |
| First Cash Financial Services, Inc.* | | | 667 | | | | 30,688 | |
| Westamerica Bancorporation | | | 643 | | | | 30,253 | |
| Old National Bancorp | | | 2,200 | | | | 29,942 | |
| Capstead Mortgage Corp. | | | 2,173 | | | | 29,314 | |
| United Bankshares, Inc. | | | 1,170 | | | | 29,145 | |
| National Health Investors, Inc. | | | 565 | | | | 29,064 | |
| PS Business Parks, Inc. | | | 430 | | | | 28,733 | |
| Northwest Bancshares, Inc. | | | 2,264 | | | | 27,690 | |
| Sun Communities, Inc. | | | 613 | | | | 27,045 | |
| First Industrial Realty Trust, Inc.* | | | 2,056 | | | | 27,016 | |
| Equity One, Inc. | | | 1,277 | | | | 26,894 | |
| MarketAxess Holdings, Inc. | | | 850 | | | | 26,860 | |
| PHH Corp.* | | | 1,309 | | | | 26,638 | |
| Lexington Realty Trust | | | 2,752 | | | | 26,584 | |
| Redwood Trust, Inc. | | | 1,837 | | | | 26,563 | |
| First Financial Bankshares, Inc. | | | 729 | | | | 26,266 | |
| Cash America International, Inc. | | | 679 | | | | 26,188 | |
| National Penn Bancshares, Inc. | | | 2,865 | | | | 26,100 | |
| Glacier Bancorp, Inc. | | | 1,672 | | | | 26,050 | |
| Community Bank System, Inc. | | | 918 | | | | 25,878 | |
| Montpelier Re Holdings Ltd. | | | 1,159 | | | | 25,649 | |
| Financial Engines, Inc.* | | | 1,076 | | | | 25,641 | |
| EZCORP, Inc. — Class A* | | | 1,110 | | | | 25,452 | |
| Acadia Realty Trust | | | 1,021 | | | | 25,341 | |
| Strategic Hotels & Resorts, Inc.* | | | 4,200 | | | | 25,242 | |
| MB Financial, Inc. | | | 1,266 | | | | 25,004 | |
| Walter Investment Management Corp.* | | | 667 | | | | 24,686 | |
| CVB Financial Corp. | | | 2,050 | | | | 24,477 | |
| Selective Insurance Group, Inc. | | | 1,276 | | | | 24,231 | |
| Education Realty Trust, Inc. | | | 2,194 | | | | 23,915 | |
| International Bancshares Corp. | | | 1,237 | | | | 23,565 | |
| Bank of the Ozarks, Inc. | | | 673 | | | | 23,198 | |
| First Financial Bancorp | | | 1,361 | | | | 23,015 | |
| BBCN Bancorp, Inc.* | | | 1,808 | | | | 22,799 | |
| LTC Properties, Inc. | | | 710 | | | | 22,614 | |
| PrivateBancorp, Inc. — Class A | | | 1,396 | | | | 22,322 | |
| PennyMac Mortgage Investment Trust | | | 955 | | | | 22,318 | |
| Alexander’s, Inc. | | | 52 | | | | 22,229 | |
| Symetra Financial Corp. | | | 1,800 | | | | 22,140 | |
| Provident Financial Services, Inc. | | | 1,396 | | | | 22,043 | |
| First Midwest Bancorp, Inc. | | | 1,734 | | | | 21,762 | |
| Anworth Mortgage Asset Corp. | | | 3,182 | | | | 21,638 | |
| American Capital Mortgage Investment Corp. | | | 839 | | | | 21,084 | |
| Fifth Street Finance Corp. | | | 1,910 | | | | 20,972 | |
| Pennsylvania Real Estate Investment Trust | | | 1,300 | | | | 20,618 | |
| American Assets Trust, Inc. | | | 765 | | | | 20,494 | |
| Government Properties Income Trust | | | 855 | | | | 20,007 | |
| Astoria Financial Corp. | | | 2,022 | | | | 19,977 | |
| NorthStar Realty Finance Corp. | | | 3,091 | | | | 19,659 | |
| Solar Capital Ltd. | | | 853 | | | | 19,551 | |
| Hersha Hospitality Trust — Class A | | | 3,985 | | | | 19,527 | |
| Argo Group International Holdings Ltd. | | | 600 | | | | 19,434 | |
| Main Street Capital Corp. | | | 650 | | | | 19,182 | |
| Investors Bancorp, Inc.* | | | 1,021 | | | | 18,623 | |
| Franklin Street Properties Corp. | | | 1,679 | | | | 18,587 | |
| Park National Corp. | | | 265 | | | | 18,555 | |
| Evercore Partners, Inc. — Class A | | | 668 | | | | 18,036 | |
| Citizens Republic Bancorp, Inc.* | | | 930 | | | | 17,996 | |
| DFC Global Corp.* | | | 1,024 | | | | 17,562 | |
| Home BancShares, Inc. | | | 515 | | | | 17,556 | |
| Associated Estates Realty Corp. | | | 1,153 | | | | 17,479 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
russell 2000® 1.5x strategy FUND
| | | Shares | | | Value | |
| Boston Private Financial Holdings, Inc. | | | 1,810 | | | $ | 17,358 | |
| First Commonwealth Financial Corp. | | | 2,443 | | | | 17,223 | |
| Sabra Health Care REIT, Inc. | | | 858 | | | | 17,169 | |
| Columbia Banking System, Inc. | | | 920 | | | | 17,057 | |
| NBT Bancorp, Inc. | | | 768 | | | | 16,950 | |
| Cousins Properties, Inc. | | | 2,129 | | | | 16,904 | |
| Infinity Property & Casualty Corp. | | | 278 | | | | 16,788 | |
| CreXus Investment Corp. | | | 1,550 | | | | 16,756 | |
| Horace Mann Educators Corp. | | | 921 | | | | 16,679 | |
| BlackRock Kelso Capital Corp. | | | 1,711 | | | | 16,631 | |
| Western Alliance Bancorporation* | | | 1,626 | | | | 16,585 | |
| PacWest Bancorp | | | 704 | | | | 16,452 | |
| Investors Real Estate Trust | | | 1,989 | | | | 16,449 | |
| World Acceptance Corp.* | | | 242 | | | | 16,323 | |
| Triangle Capital Corp. | | | 633 | | | | 16,243 | |
| iStar Financial, Inc.* | | | 1,957 | | | | 16,204 | |
| Greenlight Capital Re Ltd. — Class A* | | | 652 | | | | 16,137 | |
| American Equity Investment Life Holding Co. | | | 1,387 | | | | 16,131 | |
| National Financial Partners Corp.* | | | 945 | | | | 15,971 | |
| Amtrust Financial Services, Inc. | | | 620 | | | | 15,890 | |
| Oritani Financial Corp. | | | 1,054 | | | | 15,863 | |
| Tower Group, Inc. | | | 809 | | | | 15,687 | |
| Credit Acceptance Corp.* | | | 183 | | | | 15,648 | |
| Pinnacle Financial Partners, Inc.* | | | 803 | | | | 15,514 | |
| Chemical Financial Corp. | | | 641 | | | | 15,512 | |
| Hudson Pacific Properties, Inc. | | | 836 | | | | 15,466 | |
| First Potomac Realty Trust | | | 1,184 | | | | 15,250 | |
| Independent Bank Corp. | | | 501 | | | | 15,075 | |
| Colony Financial, Inc. | | | 772 | | | | 15,039 | |
| ViewPoint Financial Group, Inc. | | | 782 | | | | 14,991 | |
| Retail Opportunity Investments Corp. | | | 1,163 | | | | 14,968 | |
| Chesapeake Lodging Trust | | | 747 | | | | 14,843 | |
| Inland Real Estate Corp. | | | 1,771 | | | | 14,611 | |
| Nationstar Mortgage Holdings, Inc.* | | | 440 | | | | 14,599 | |
| Banco Latinoamericano de | | | | | | | | |
| Comercio Exterior S.A. — Class E | | | 655 | | | | 14,469 | |
| Brookline Bancorp, Inc. | | | 1,628 | | | | 14,359 | |
| SCBT Financial Corp. | | | 348 | | | | 14,017 | |
| Kennedy-Wilson Holdings, Inc. | | | 996 | | | | 13,914 | |
| Sterling Financial Corp. | | | 622 | | | | 13,852 | |
| PennantPark Investment Corp. | | | 1,304 | | | | 13,835 | |
| FelCor Lodging Trust, Inc.* | | | 2,878 | | | | 13,642 | |
| Dynex Capital, Inc. | | | 1,263 | | | | 13,577 | |
| Employers Holdings, Inc. | | | 736 | | | | 13,491 | |
| Forestar Group, Inc.* | | | 808 | | | | 13,462 | |
| Safety Insurance Group, Inc. | | | 293 | | | | 13,443 | |
| Radian Group, Inc.1 | | | 3,097 | | | | 13,441 | |
| Ramco-Gershenson Properties Trust | | | 1,065 | | | | 13,344 | |
| Nelnet, Inc. — Class A | | | 557 | | | | 13,223 | |
| KBW, Inc. | | | 801 | | | | 13,192 | |
| Coresite Realty Corp. | | | 481 | | | | 12,958 | |
| Universal Health Realty Income Trust | | | 278 | | | | 12,782 | |
| Hercules Technology Growth Capital, Inc. | | | 1,156 | | | | 12,728 | |
| Cohen & Steers, Inc. | | | 429 | | | | 12,707 | |
| TrustCo Bank Corp. NY | | | 2,178 | | | | 12,458 | |
| Apollo Residential Mortgage, Inc. | | | 559 | | | | 12,320 | |
| State Bank Financial Corp. | | | 738 | | | | 12,170 | |
| City Holding Co. | | | 337 | | | | 12,078 | |
| Virtus Investment Partners, Inc.* | | | 140 | | | | 12,040 | |
| PICO Holdings, Inc.* | | | 525 | | | | 11,981 | |
| S&T Bancorp, Inc. | | | 671 | | | | 11,816 | |
| Hilltop Holdings, Inc.* | | | 919 | | | | 11,680 | |
| Community Trust Bancorp, Inc. | | | 328 | | | | 11,655 | |
| Berkshire Hills Bancorp, Inc. | | | 509 | | | | 11,646 | |
| Navigators Group, Inc.* | | | 236 | | | | 11,617 | |
| United Fire Group, Inc. | | | 462 | | | | 11,605 | |
| Resource Capital Corp. | | | 1,964 | | | | 11,548 | |
| AMERISAFE, Inc.* | | | 425 | | | | 11,535 | |
| Banner Corp. | | | 423 | | | | 11,463 | |
| Renasant Corp. | | | 579 | | | | 11,351 | |
| WesBanco, Inc. | | | 544 | | | | 11,266 | |
| Flushing Financial Corp. | | | 713 | | | | 11,265 | |
| HFF, Inc. — Class A* | | | 756 | | | | 11,265 | |
| BGC Partners, Inc. — Class A | | | 2,287 | | | | 11,206 | |
| Sandy Spring Bancorp, Inc. | | | 559 | | | | 10,761 | |
| Urstadt Biddle Properties, Inc. — Class A | | | 530 | | | | 10,722 | |
| Flagstone Reinsurance Holdings S.A. | | | 1,243 | | | | 10,677 | |
| Getty Realty Corp. | | | 593 | | | | 10,644 | |
| Dime Community Bancshares, Inc. | | | 726 | | | | 10,483 | |
| Tompkins Financial Corp. | | | 258 | | | | 10,454 | |
| Ashford Hospitality Trust, Inc. | | | 1,242 | | | | 10,433 | |
| Monmouth Real Estate | | | | | | | | |
| Investment Corp. — Class A | | | 930 | | | | 10,407 | |
| Maiden Holdings Ltd. | | | 1,166 | | | | 10,366 | |
| Lakeland Financial Corp. | | | 374 | | | | 10,322 | |
| West Coast Bancorp* | | | 451 | | | | 10,157 | |
| First Merchants Corp. | | | 664 | | | | 9,967 | |
| Oriental Financial Group, Inc. | | | 944 | | | | 9,931 | |
| Duff & Phelps Corp. — Class A | | | 727 | | | | 9,894 | |
| Campus Crest Communities, Inc. | | | 897 | | | | 9,688 | |
| Cardinal Financial Corp. | | | 674 | | | | 9,638 | |
| Piper Jaffray Cos.* | | | 376 | | | | 9,569 | |
| Simmons First National Corp. — Class A | | | 392 | | | | 9,547 | |
| Citizens, Inc.* | | | 900 | | | | 9,441 | |
| TowneBank | | | 610 | | | | 9,351 | |
| Hanmi Financial Corp.* | | | 726 | | | | 9,300 | |
| Tejon Ranch Co.* | | | 307 | | | | 9,222 | |
| WisdomTree Investments, Inc.* | | | 1,360 | | | | 9,112 | |
| Heartland Financial USA, Inc. | | | 334 | | | | 9,108 | |
| STAG Industrial, Inc. | | | 559 | | | | 9,089 | |
| TICC Capital Corp. | | | 873 | | | | 9,079 | |
| Wilshire Bancorp, Inc.* | | | 1,436 | | | | 9,047 | |
| Meadowbrook Insurance Group, Inc. | | | 1,174 | | | | 9,028 | |
| AG Mortgage Investment Trust, Inc. | | | 371 | | | | 8,952 | |
| Excel Trust, Inc. | | | 783 | | | | 8,942 | |
| ICG Group, Inc.* | | | 861 | | | | 8,747 | |
| Washington Trust Bancorp, Inc. | | | 332 | | | | 8,722 | |
| Southside Bancshares, Inc. | | | 398 | | | | 8,680 | |
| Epoch Holding Corp. | | | 374 | | | | 8,639 | |
| eHealth, Inc.* | | | 459 | | | | 8,615 | |
| Stewart Information Services Corp. | | | 425 | | | | 8,560 | |
| First Busey Corp. | | | 1,729 | | | | 8,438 | |
| MCG Capital Corp. | | | 1,778 | | | | 8,197 | |
| United Community Banks, Inc.* | | | 966 | | | | 8,105 | |
| 70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
russell 2000® 1.5x strategy FUND
| | | Shares | | | Value | |
| First Financial Corp. | | | 258 | | | $ | 8,086 | |
| Rockville Financial, Inc. | | | 658 | | | | 8,061 | |
| CapLease, Inc. | | | 1,549 | | | | 8,008 | |
| FBL Financial Group, Inc. — Class A | | | 237 | | | | 7,868 | |
| Investment Technology Group, Inc.* | | | 904 | | | | 7,865 | |
| Saul Centers, Inc. | | | 175 | | | | 7,770 | |
| 1st Source Corp. | | | 345 | | | | 7,683 | |
| National Western Life Insurance Co. — Class A | | | 53 | | | | 7,592 | |
| GAMCO Investors, Inc. — Class A | | | 152 | | | | 7,562 | |
| Safeguard Scientifics, Inc.* | | | 477 | | | | 7,484 | |
| Provident New York Bancorp | | | 783 | | | | 7,368 | |
| Union First Market Bankshares Corp. | | | 473 | | | | 7,360 | |
| Cedar Realty Trust, Inc. | | | 1,391 | | | | 7,344 | |
| Great Southern Bancorp, Inc. | | | 237 | | | | 7,326 | |
| Beneficial Mutual Bancorp, Inc.* | | | 766 | | | | 7,323 | |
| Winthrop Realty Trust | | | 679 | | | | 7,320 | |
| Rouse Properties, Inc. | | | 510 | | | | 7,319 | |
| Capital Southwest Corp. | | | 65 | | | | 7,277 | |
| WSFS Financial Corp. | | | 175 | | | | 7,224 | |
| NewStar Financial, Inc.* | | | 602 | | | | 7,218 | |
| Central Pacific Financial Corp.* | | | 504 | | | | 7,207 | |
| First BanCorp* | | | 1,630 | | | | 7,205 | |
| EverBank Financial Corp. | | | 520 | | | | 7,160 | |
| Sterling Bancorp | | | 721 | | | | 7,152 | |
| MVC Capital, Inc. | | | 557 | | | | 7,130 | |
| OneBeacon Insurance Group Ltd. — Class A | | | 527 | | | | 7,083 | |
| Netspend Holdings, Inc.* | | | 720 | | | | 7,078 | |
| German American Bancorp, Inc. | | | 293 | | | | 7,067 | |
| StellarOne Corp. | | | 534 | | | | 7,027 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 405 | | | | 7,023 | |
| Univest Corporation of Pennsylvania | | | 389 | | | | 7,002 | |
| Presidential Life Corp. | | | 502 | | | | 6,993 | |
| Bancorp, Inc.* | | | 675 | | | | 6,932 | |
| Ameris Bancorp* | | | 549 | | | | 6,912 | |
| Green Dot Corp. — Class A* | | | 560 | | | | 6,849 | |
| Agree Realty Corp. | | | 265 | | | | 6,755 | |
| Camden National Corp. | | | 181 | | | | 6,704 | |
| MGIC Investment Corp.* | | | 4,372 | | | | 6,689 | |
| SY Bancorp, Inc. | | | 277 | | | | 6,554 | |
| Kite Realty Group Trust | | | 1,281 | | | | 6,533 | |
| BancFirst Corp. | | | 152 | | | | 6,530 | |
| Taylor Capital Group, Inc.* | | | 381 | | | | 6,523 | |
| Eagle Bancorp, Inc.* | | | 390 | | | | 6,521 | |
| Lakeland Bancorp, Inc. | | | 630 | | | | 6,521 | |
| Centerstate Banks, Inc. | | | 697 | | | | 6,217 | |
| Hudson Valley Holding Corp. | | | 362 | | | | 6,172 | |
| International. FCStone, Inc.* | | | 321 | | | | 6,118 | |
| RAIT Financial Trust | | | 1,162 | | | | 6,101 | |
| Knight Capital Group, Inc. — Class A* | | | 2,276 | | | | 6,100 | |
| Trico Bancshares | | | 369 | | | | 6,100 | |
| BofI Holding, Inc.* | | | 232 | | | | 6,044 | |
| Summit Hotel Properties, Inc. | | | 706 | | | | 6,029 | |
| MainSource Financial Group, Inc. | | | 469 | | | | 6,022 | |
| Financial Institutions, Inc. | | | 321 | | | | 5,983 | |
| Arrow Financial Corp. | | | 239 | | | | 5,967 | |
| Bryn Mawr Bank Corp. | | | 265 | | | | 5,947 | |
| Federal Agricultural Mortgage Corp. — Class C | | | 231 | | | | 5,946 | |
| Territorial Bancorp, Inc. | | | 259 | | | | 5,944 | |
| Westwood Holdings Group, Inc. | | | 152 | | | | 5,930 | |
| OmniAmerican Bancorp, Inc.* | | | 260 | | | | 5,910 | |
| Global Indemnity plc — Class A* | | | 265 | | | | 5,798 | |
| Franklin Financial Corp.* | | | 334 | | | | 5,698 | |
| State Auto Financial Corp. | | | 347 | | | | 5,687 | |
| CoBiz Financial, Inc. | | | 809 | | | | 5,663 | |
| Medley Capital Corp. | | | 402 | | | | 5,656 | |
| First Connecticut Bancorp, Inc. | | | 418 | | | | 5,647 | |
| First Community Bancshares, Inc. | | | 370 | | | | 5,646 | |
| Enterprise Financial Services Corp. | | | 415 | | | | 5,644 | |
| First Interstate Bancsystem, Inc. — Class A | | | 375 | | | | 5,610 | |
| Peoples Bancorp, Inc. | | | 244 | | | | 5,585 | |
| First of Long Island Corp. | | | 181 | | | | 5,577 | |
| Cowen Group, Inc. — Class A* | | | 2,029 | | | | 5,478 | |
| Citizens & Northern Corp. | | | 279 | | | | 5,471 | |
| Virginia Commerce Bancorp, Inc.* | | | 624 | | | | 5,460 | |
| Heritage Financial Corp. | | | 362 | | | | 5,441 | |
| Northfield Bancorp, Inc. | | | 337 | | | | 5,399 | |
| Bank of Marin Bancorp | | | 124 | | | | 5,271 | |
| Golub Capital BDC, Inc. | | | 331 | | | | 5,263 | |
| FXCM, Inc. — Class A | | | 551 | | | | 5,262 | |
| United Financial Bancorp, Inc. | | | 362 | | | | 5,238 | |
| National Bankshares, Inc. | | | 156 | | | | 5,179 | |
| Select Income REIT | | | 210 | | | | 5,170 | |
| Baldwin & Lyons, Inc. — Class B | | | 216 | | | | 5,165 | |
| Republic Bancorp, Inc. — Class A | | | 235 | | | | 5,158 | |
| Calamos Asset Management, Inc. — Class A | | | 442 | | | | 5,145 | |
| Home Loan Servicing Solutions Ltd. | | | 315 | | | | 5,125 | |
| Washington Banking Co. | | | 360 | | | | 5,101 | |
| GFI Group, Inc. | | | 1,604 | | | | 5,101 | |
| CNB Financial Corp. | | | 290 | | | | 5,078 | |
| SeaBright Holdings, Inc. | | | 460 | | | | 5,060 | |
| Terreno Realty Corp. | | | 313 | | | | 4,945 | |
| First Financial Holdings, Inc. | | | 378 | | | | 4,910 | |
| Bank Mutual Corp. | | | 1,076 | | | | 4,896 | |
| OceanFirst Financial Corp. | | | 333 | | | | 4,885 | |
| One Liberty Properties, Inc. | | | 261 | | | | 4,868 | |
| Parkway Properties, Inc. | | | 364 | | | | 4,867 | |
| Southwest Bancorp, Inc.* | | | 447 | | | | 4,850 | |
| Medallion Financial Corp. | | | 410 | | | | 4,842 | |
| Enstar Group Ltd.* | | | 48 | | | | 4,783 | |
| KCAP Financial, Inc. | | | 509 | | | | 4,713 | |
| Fox Chase Bancorp, Inc. | | | 299 | | | | 4,670 | |
| Arlington Asset Investment Corp. — Class A | | | 195 | | | | 4,653 | |
| Westfield Financial, Inc. | | | 615 | | | | 4,606 | |
| Gladstone Commercial Corp. | | | 252 | | | | 4,602 | |
| Bridge Bancorp, Inc. | | | 195 | | | | 4,545 | |
| 1st United Bancorp, Inc.* | | | 693 | | | | 4,470 | |
| Chatham Lodging Trust | | | 321 | | | | 4,455 | |
| Diamond Hill Investment Group, Inc. | | | 58 | | | | 4,447 | |
| Alliance Financial Corp. | | | 110 | | | | 4,423 | |
| West Bancorporation, Inc. | | | 367 | | | | 4,422 | |
| New Mountain Finance Corp. | | | 298 | | | | 4,416 | |
| Thomas Properties Group, Inc. | | | 750 | | | | 4,365 | |
| Pacific Capital Bancorp* | | | 95 | | | | 4,361 | |
| BankFinancial Corp. | | | 493 | | | | 4,333 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
russell 2000® 1.5x strategy FUND
| | | Shares | | | Value | |
| Gladstone Capital Corp. | | | 488 | | | $ | 4,270 | |
| Western Asset Mortgage Capital Corp. | | | 190 | | | | 4,218 | |
| Metro Bancorp, Inc.* | | | 328 | | | | 4,156 | |
| SWS Group, Inc.* | | | 677 | | | | 4,136 | |
| Penns Woods Bancorp, Inc. | | | 93 | | | | 4,123 | |
| Marlin Business Services Corp. | | | 194 | | | | 4,115 | |
| Home Federal Bancorp, Inc. | | | 360 | | | | 4,075 | |
| American National Bankshares, Inc. | | | 180 | | | | 4,066 | |
| Walker & Dunlop, Inc.* | | | 263 | | | | 4,042 | |
| First Bancorp | | | 350 | | | | 4,036 | |
| Phoenix Companies, Inc.* | | | 131 | | | | 4,018 | |
| Homeowners Choice, Inc. | | | 170 | | | | 3,995 | |
| Gladstone Investment Corp. | | | 510 | | | | 3,988 | |
| Solar Senior Capital Ltd. | | | 222 | | | | 3,976 | |
| Ames National Corp. | | | 190 | | | | 3,960 | |
| MetroCorp Bancshares, Inc.* | | | 370 | | | | 3,918 | |
| American Safety Insurance Holdings Ltd.* | | | 209 | | | | 3,906 | |
| GSV Capital Corp.* | | | 450 | | | | 3,884 | |
| Manning & Napier, Inc. — Class A | | | 317 | | | | 3,864 | |
| First Defiance Financial Corp. | | | 223 | | | | 3,849 | |
| THL Credit, Inc. | | | 273 | | | | 3,830 | |
| Preferred Bank/Los Angeles CA* | | | 270 | | | | 3,829 | |
| Oppenheimer Holdings, Inc. — Class A | | | 238 | | | | 3,796 | |
| Pacific Continental Corp. | | | 425 | | | | 3,795 | |
| Kansas City Life Insurance Co. | | | 97 | | | | 3,737 | |
| NGP Capital Resources Co. | | | 499 | | | | 3,723 | |
| Bank of Kentucky Financial Corp. | | | 134 | | | | 3,717 | |
| Park Sterling Corp.* | | | 752 | | | | 3,715 | |
| HomeStreet, Inc.* | | | 97 | | | | 3,692 | |
| Fidus Investment Corp. | | | 221 | | | | 3,691 | |
| UMH Properties, Inc. | | | 308 | | | | 3,687 | |
| New York Mortgage Trust, Inc. | | | 520 | | | | 3,666 | |
| National Interstate Corp. | | | 141 | | | | 3,638 | |
| Mission West Properties, Inc. | | | 418 | | | | 3,637 | |
| First Bancorp, Inc. | | | 207 | | | | 3,633 | |
| First California Financial Group, Inc.* | | | 520 | | | | 3,619 | |
| Guaranty Bancorp* | | | 1,770 | | | | 3,575 | |
| Merchants Bancshares, Inc. | | | 117 | | | | 3,457 | |
| MidWestOne Financial Group, Inc. | | | 160 | | | | 3,446 | |
| Peapack Gladstone Financial Corp. | | | 210 | | | | 3,431 | |
| Mercantile Bank Corp.* | | | 200 | | | | 3,428 | |
| Sierra Bancorp | | | 279 | | | | 3,421 | |
| Kearny Financial Corp. | | | 350 | | | | 3,409 | |
| AV Homes, Inc.* | | | 229 | | | | 3,398 | |
| Consolidated-Tomoka Land Co. | | | 103 | | | | 3,388 | |
| Bridge Capital Holdings* | | | 217 | | | | 3,355 | |
| ESB Financial Corp. | | | 238 | | | | 3,322 | |
| Center Bancorp, Inc. | | | 278 | | | | 3,314 | |
| Heritage Commerce Corp.* | | | 476 | | | | 3,303 | |
| Suffolk Bancorp* | | | 223 | | | | 3,269 | |
| Provident Financial Holdings, Inc. | | | 230 | | | | 3,268 | |
| Gyrodyne Company of America, Inc.* | | | 30 | | | | 3,259 | |
| Meridian Interstate Bancorp, Inc.* | | | 196 | | | | 3,234 | |
| Bar Harbor Bankshares | | | 90 | | | | 3,217 | |
| Gramercy Capital Corporation* | | | 1,060 | | | | 3,191 | |
| Kaiser Federal Financial Group, Inc. | | | 210 | | | | 3,169 | |
| Ladenburg Thalmann Financial Services, Inc.* | | | 2,387 | | | | 3,151 | |
| MidSouth Bancorp, Inc. | | | 193 | | | | 3,125 | |
| Sun Bancorp, Inc.* | | | 924 | | | | 3,114 | |
| First Pactrust Bancorp, Inc. | | | 248 | | | | 3,102 | |
| Whitestone REIT — Class B | | | 235 | | | | 3,102 | |
| Ares Commercial Real Estate Corp. | | | 180 | | | | 3,071 | |
| Crawford & Co. — Class B | | | 609 | | | | 3,051 | |
| Northrim BanCorp, Inc. | | | 150 | | | | 3,021 | |
| Nicholas Financial, Inc. | | | 233 | | | | 3,008 | |
| First Financial Northwest, Inc.* | | | 370 | | | | 2,979 | |
| Zillow, Inc. — Class A* | | | 70 | | | | 2,953 | |
| Horizon Technology Finance Corp. | | | 180 | | | | 2,909 | |
| Home Bancorp, Inc.* | | | 160 | | | | 2,878 | |
| Farmers National Banc Corp. | | | 440 | | | | 2,842 | |
| Capital City Bank Group, Inc. | | | 267 | | | | 2,841 | |
| SI Financial Group, Inc. | | | 240 | | | | 2,813 | |
| Doral Financial Corp.* | | | 2,979 | | | | 2,802 | |
| C&F Financial Corp. | | | 70 | | | | 2,755 | |
| FNB United Corp.* | | | 230 | | | | 2,732 | |
| Harris & Harris Group, Inc.* | | | 718 | | | | 2,721 | |
| Seacoast Banking Corporation of Florida* | | | 1,710 | | | | 2,719 | |
| Heritage Oaks Bancorp* | | | 470 | | | | 2,707 | |
| FBR & Co.* | | | 860 | | | | 2,657 | |
| Hallmark Financial Services* | | | 326 | | | | 2,654 | |
| Heritage Financial Group, Inc. | | | 200 | | | | 2,628 | |
| Horizon Bancorp | | | 90 | | | | 2,572 | |
| Donegal Group, Inc. — Class A | | | 181 | | | | 2,541 | |
| Century Bancorp, Inc. — Class A | | | 79 | | | | 2,522 | |
| Eastern Insurance Holdings, Inc. | | | 150 | | | | 2,516 | |
| NASB Financial, Inc.* | | | 100 | | | | 2,484 | |
| Cape Bancorp, Inc.* | | | 264 | | | | 2,471 | |
| BSB Bancorp, Inc.* | | | 190 | | | | 2,451 | |
| Peoples Federal Bancshares, Inc. | | | 140 | | | | 2,419 | |
| Enterprise Bancorp, Inc. | | | 139 | | | | 2,374 | |
| Access National Corp. | | | 170 | | | | 2,322 | |
| Tree.com, Inc.* | | | 140 | | | | 2,194 | |
| ESSA Bancorp, Inc. | | | 209 | | | | 2,172 | |
| Clifton Savings Bancorp, Inc. | | | 196 | | | | 2,156 | |
| Artio Global Investors, Inc. — Class A | | | 720 | | | | 2,146 | |
| Middleburg Financial Corp. | | | 120 | | | | 2,131 | |
| Fidelity Southern Corp. | | | 222 | | | | 2,100 | |
| EMC Insurance Group, Inc. | | | 99 | | | | 2,079 | |
| TCP Capital Corp. | | | 130 | | | | 2,075 | |
| JMP Group, Inc. | | | 366 | | | | 2,009 | |
| Investors Title Co. | | | 30 | | | | 1,957 | |
| Hingham Institution for Savings | | | 30 | | | | 1,933 | |
| Resource America, Inc. — Class A | | | 280 | | | | 1,915 | |
| Regional Management Corp.* | | | 110 | | | | 1,898 | |
| Independence Holding Co. | | | 188 | | | | 1,893 | |
| MicroFinancial, Inc. | | | 200 | | | | 1,830 | |
| Gain Capital Holdings, Inc. | | | 349 | | | | 1,721 | |
| Universal Insurance Holdings, Inc. | | | 429 | | | | 1,652 | |
| Pacific Mercantile Bancorp* | | | 250 | | | | 1,635 | |
| Charter Financial Corp. | | | 153 | | | | 1,492 | |
| Roma Financial Corp. | | | 165 | | | | 1,469 | |
| First Marblehead Corp.* | | | 1,351 | | | | 1,419 | |
| Capital Bank Financial Corp. — Class A* | | | 69 | | | | 1,248 | |
| Fortegra Financial Corp.* | | | 151 | | | | 1,197 | |
| 72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
russell 2000® 1.5x strategy FUND
| | | Shares | | | Value | |
| Pzena Investment Management, Inc. — Class A | | | 226 | | | $ | 1,177 | |
| CIFC Corp.* | | | 152 | | | | 1,113 | |
| California First National Bancorp | | | 55 | | | | 1,014 | |
| Waterstone Financial, Inc.* | | | 170 | | | | 882 | |
| Berkshire Bancorp, Inc.* | | | 100 | | | | 823 | |
| First Federal Bancshares of Arkansas, Inc.* | | | 80 | | | | 782 | |
| Cascade Bancorp* | | | 140 | | | | 739 | |
| Crescent Financial Bancshares, Inc.* | | | 60 | | | | 273 | |
| Total Financials | | | | | | | 5,997,801 | |
| Information Technology - 11.7% | | | | | | | | |
| Wright Express Corp.* | | | 905 | | | | 63,096 | |
| Ultimate Software Group, Inc.* | | | 614 | | | | 62,690 | |
| CommVault Systems, Inc.* | | | 1,035 | | | | 60,754 | |
| Parametric Technology Corp.* | | | 2,778 | | | | 60,560 | |
| Aruba Networks, Inc.* | | | 2,591 | | | | 58,258 | |
| Cirrus Logic, Inc.* | | | 1,494 | | | | 57,356 | |
| Aspen Technology, Inc.* | | | 2,174 | | | | 56,198 | |
| CoStar Group, Inc.* | | | 621 | | | | 50,636 | |
| FEI Co. | | | 879 | | | | 47,027 | |
| MAXIMUS, Inc. | | | 783 | | | | 46,760 | |
| QLIK Technologies, Inc.* | | | 1,980 | | | | 44,372 | |
| Convergys Corp. | | | 2,710 | | | | 42,466 | |
| Microsemi Corp.* | | | 2,062 | | | | 41,385 | |
| Hittite Microwave Corp.* | | | 730 | | | | 40,494 | |
| ACI Worldwide, Inc.* | | | 918 | | | | 38,795 | |
| InterDigital, Inc. | | | 1,032 | | | | 38,473 | |
| Cavium, Inc.* | | | 1,154 | | | | 38,463 | |
| Semtech Corp.* | | | 1,516 | | | | 38,127 | |
| Anixter International, Inc. | | | 653 | | | | 37,521 | |
| Cymer, Inc.* | | | 715 | | | | 36,508 | |
| Quest Software, Inc.* | | | 1,298 | | | | 36,344 | |
| OSI Systems, Inc.* | | | 461 | | | | 35,885 | |
| 3D Systems Corp.* | | | 1,086 | | | | 35,675 | |
| j2 Global, Inc. | | | 1,074 | | | | 35,248 | |
| Fair Isaac Corp. | | | 795 | | | | 35,187 | |
| Plantronics, Inc. | | | 989 | | | | 34,941 | |
| Cognex Corp. | | | 990 | | | | 34,234 | |
| Sourcefire, Inc.* | | | 690 | | | | 33,830 | |
| NETGEAR, Inc.* | | | 882 | | | | 33,639 | |
| Arris Group, Inc.* | | | 2,623 | | | | 33,548 | |
| Mentor Graphics Corp.* | | | 2,162 | | | | 33,468 | |
| ViaSat, Inc.* | | | 874 | | | | 32,670 | |
| Acxiom Corp.* | | | 1,785 | | | | 32,612 | |
| ValueClick, Inc.* | | | 1,873 | | | | 32,197 | |
| CACI International, Inc. — Class A* | | | 621 | | | | 32,162 | |
| Universal Display Corp.* | | | 925 | | | | 31,801 | |
| JDA Software Group, Inc.* | | | 990 | | | | 31,462 | |
| Ciena Corp.* | | | 2,300 | | | | 31,280 | |
| Comverse Technology, Inc.* | | | 5,080 | | | | 31,242 | |
| Progress Software Corp.* | | | 1,459 | | | | 31,208 | |
| First Solar, Inc.* | | | 1,400 | | | | 31,003 | |
| MKS Instruments, Inc. | | | 1,216 | | | | 30,996 | |
| Cardtronics, Inc.* | | | 1,028 | | | | 30,614 | |
| Tyler Technologies, Inc.* | | | 695 | | | | 30,594 | |
| Sapient Corp.* | | | 2,854 | | | | 30,424 | |
| Finisar Corp.* | | | 2,116 | | | | 30,259 | |
| TiVo, Inc.* | | | 2,888 | | | | 30,122 | |
| Tellabs, Inc. | | | 8,500 | | | | 30,090 | |
| VistaPrint N.V.* | | | 860 | | | | 29,369 | |
| Kenexa Corp.* | | | 633 | | | | 29,010 | |
| Heartland Payment Systems, Inc. | | | 897 | | | | 28,417 | |
| Littelfuse, Inc. | | | 500 | | | | 28,270 | |
| Liquidity Services, Inc.* | | | 548 | | | | 27,515 | |
| DealerTrack Holdings, Inc.* | | | 987 | | | | 27,488 | |
| Veeco Instruments, Inc.* | | | 905 | | | | 27,168 | |
| Manhattan Associates, Inc.* | | | 474 | | | | 27,146 | |
| Stratasys, Inc.* | | | 493 | | | | 26,819 | |
| International Rectifier Corp.* | | | 1,600 | | | | 26,704 | |
| MicroStrategy, Inc. — Class A* | | | 196 | | | | 26,278 | |
| BroadSoft, Inc.* | | | 640 | | | | 26,253 | |
| Entegris, Inc.* | | | 3,186 | | | | 25,902 | |
| Intersil Corp. — Class A | | | 2,960 | | | | 25,900 | |
| QLogic Corp.* | | | 2,260 | | | | 25,808 | |
| ADTRAN, Inc. | | | 1,476 | | | | 25,505 | |
| RF Micro Devices, Inc.* | | | 6,450 | | | | 25,478 | |
| Coherent, Inc.* | | | 553 | | | | 25,361 | |
| Blackbaud, Inc. | | | 1,046 | | | | 25,020 | |
| VirnetX Holding Corp.* | | | 976 | | | | 24,820 | |
| Plexus Corp.* | | | 807 | | | | 24,445 | |
| Cornerstone OnDemand, Inc.* | | | 785 | | | | 24,068 | |
| LivePerson, Inc.* | | | 1,272 | | | | 23,036 | |
| Syntel, Inc. | | | 356 | | | | 22,218 | |
| NIC, Inc. | | | 1,500 | | | | 22,200 | |
| Euronet Worldwide, Inc.* | | | 1,174 | | | | 22,059 | |
| OpenTable, Inc.* | | | 528 | | | | 21,965 | |
| NetScout Systems, Inc.* | | | 851 | | | | 21,709 | |
| Unisys Corp.* | | | 1,012 | | | | 21,070 | |
| Monster Worldwide, Inc.* | | | 2,810 | | | | 20,597 | |
| ScanSource, Inc.* | | | 639 | | | | 20,461 | |
| Benchmark Electronics, Inc.* | | | 1,335 | | | | 20,385 | |
| Power Integrations, Inc. | | | 663 | | | | 20,175 | |
| Ancestry.com, Inc.* | | | 670 | | | | 20,154 | |
| Bottomline Technologies, Inc.* | | | 810 | | | | 19,999 | |
| MTS Systems Corp. | | | 372 | | | | 19,921 | |
| SS&C Technologies Holdings, Inc.* | | | 790 | | | | 19,916 | |
| SYNNEX Corp.* | | | 611 | | | | 19,906 | |
| TriQuint Semiconductor, Inc.* | | | 3,907 | | | | 19,730 | |
| Integrated Device Technology, Inc.* | | | 3,305 | | | | 19,433 | |
| Cabot Microelectronics Corp. | | | 542 | | | | 19,046 | |
| Ultratech, Inc.* | | | 606 | | | | 19,016 | |
| Take-Two Interactive Software, Inc.* | | | 1,811 | | | | 18,888 | |
| Synaptics, Inc.* | | | 785 | | | | 18,856 | |
| RealPage, Inc.* | | | 828 | | | | 18,713 | |
| Insight Enterprises, Inc.* | | | 1,031 | | | | 18,022 | |
| Loral Space & Communications, Inc. | | | 252 | | | | 17,917 | |
| Advent Software, Inc.* | | | 727 | | | | 17,862 | |
| Electronics for Imaging, Inc.* | | | 1,075 | | | | 17,856 | |
| CSG Systems International, Inc.* | | | 783 | | | | 17,610 | |
| EarthLink, Inc. | | | 2,468 | | | | 17,572 | |
| OmniVision Technologies, Inc.* | | | 1,214 | | | | 16,941 | |
| Bankrate, Inc.* | | | 1,073 | | | | 16,717 | |
| WebMD Health Corp. — Class A* | | | 1,180 | | | | 16,555 | |
| Blucora, Inc.* | | | 929 | | | | 16,545 | |
| Tessera Technologies, Inc. | | | 1,205 | | | | 16,484 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| FARO Technologies, Inc.* | | | 395 | | | $ | 16,321 | |
| ExlService Holdings, Inc.* | | | 546 | | | | 16,107 | |
| Rogers Corp.* | | | 380 | | | | 16,097 | |
| Sanmina-SCI Corp.* | | | 1,887 | | | | 16,021 | |
| Ellie Mae, Inc.* | | | 587 | | | | 15,984 | |
| Ixia* | | | 978 | | | | 15,716 | |
| Ebix, Inc. | | | 656 | | | | 15,488 | |
| GT Advanced Technologies, Inc.*,1 | | | 2,749 | | | | 14,982 | |
| Synchronoss Technologies, Inc.* | | | 645 | | | | 14,771 | |
| MEMC Electronic Materials, Inc.* | | | 5,360 | | | | 14,740 | |
| Web.com Group, Inc.* | | | 816 | | | | 14,647 | |
| Emulex Corp.* | | | 2,015 | | | | 14,528 | |
| Brightpoint, Inc.* | | | 1,599 | | | | 14,359 | |
| Digital River, Inc.* | | | 853 | | | | 14,211 | |
| Rambus, Inc.* | | | 2,562 | | | | 14,193 | |
| Diodes, Inc.* | | | 821 | | | | 13,965 | |
| Infinera Corp.* | | | 2,545 | | | | 13,947 | |
| Monolithic Power Systems, Inc.* | | | 706 | | | | 13,944 | |
| Guidewire Software, Inc.* | | | 449 | | | | 13,941 | |
| Verint Systems, Inc.* | | | 504 | | | | 13,830 | |
| ATMI, Inc.* | | | 739 | | | | 13,723 | |
| iGATE Corp.* | | | 749 | | | | 13,609 | |
| Websense, Inc.* | | | 861 | | | | 13,475 | |
| Spansion, Inc. — Class A* | | | 1,117 | | | | 13,315 | |
| Monotype Imaging Holdings, Inc. | | | 845 | | | | 13,174 | |
| Rofin-Sinar Technologies, Inc.* | | | 657 | | | | 12,963 | |
| Volterra Semiconductor Corp.* | | | 591 | | | | 12,925 | |
| Mantech International Corp. — Class A | | | 532 | | | | 12,768 | |
| comScore, Inc.* | | | 824 | | | | 12,566 | |
| Harmonic, Inc.* | | | 2,729 | | | | 12,390 | |
| Brooks Automation, Inc. | | | 1,535 | | | | 12,326 | |
| Constant Contact, Inc.* | | | 708 | | | | 12,319 | |
| Global Cash Access Holdings, Inc.* | | | 1,530 | | | | 12,317 | |
| Badger Meter, Inc. | | | 335 | | | | 12,191 | |
| Park Electrochemical Corp. | | | 487 | | | | 12,092 | |
| Entropic Communications, Inc.* | | | 2,043 | | | | 11,890 | |
| ServiceSource International, Inc.*,1 | | | 1,152 | | | | 11,820 | |
| Micrel, Inc. | | | 1,129 | | | | 11,764 | |
| Opnet Technologies, Inc. | | | 345 | | | | 11,754 | |
| Comtech Telecommunications Corp. | | | 420 | | | | 11,609 | |
| TTM Technologies, Inc.* | | | 1,230 | | | | 11,599 | |
| United Online, Inc. | | | 2,100 | | | | 11,592 | |
| LogMeIn, Inc.* | | | 514 | | | | 11,529 | |
| Pegasystems, Inc. | | | 397 | | | | 11,529 | |
| Measurement Specialties, Inc.* | | | 347 | | | | 11,444 | |
| Active Network, Inc.* | | | 905 | | | | 11,340 | |
| Advanced Energy Industries, Inc.* | | | 918 | | | | 11,310 | |
| Accelrys, Inc.* | | | 1,291 | | | | 11,180 | |
| Cray, Inc.* | | | 855 | | | | 10,859 | |
| Procera Networks, Inc.* | | | 451 | | | | 10,599 | |
| Lattice Semiconductor Corp.* | | | 2,735 | | | | 10,475 | |
| Interactive Intelligence Group, Inc.* | | | 345 | | | | 10,367 | |
| Black Box Corp. | | | 405 | | | | 10,332 | |
| InvenSense, Inc. — Class A* | | | 844 | | | | 10,086 | |
| Higher One Holdings, Inc.* | | | 745 | | | | 10,043 | |
| DTS, Inc.* | | | 425 | | | | 9,894 | |
| EPIQ Systems, Inc. | | | 734 | | | | 9,850 | |
| Newport Corp.* | | | 889 | | | | 9,832 | |
| PROS Holdings, Inc.* | | | 502 | | | | 9,573 | |
| Vocus, Inc.* | | | 476 | | | | 9,549 | |
| SPS Commerce, Inc.* | | | 244 | | | | 9,387 | |
| Forrester Research, Inc. | | | 323 | | | | 9,293 | |
| Sonus Networks, Inc.* | | | 4,932 | | | | 9,272 | |
| Tangoe, Inc.* | | | 693 | | | | 9,099 | |
| RealD, Inc.* | | | 1,016 | | | | 9,083 | |
| TeleTech Holdings, Inc.* | | | 531 | | | | 9,054 | |
| Dice Holdings, Inc.* | | | 1,060 | | | | 8,925 | |
| Perficient, Inc.* | | | 738 | | | | 8,908 | |
| Silicon Image, Inc.* | | | 1,936 | | | | 8,886 | |
| Cass Information Systems, Inc. | | | 211 | | | | 8,856 | |
| Angie’s List, Inc.* | | | 830 | | | | 8,781 | |
| Quantum Corp.* | | | 5,432 | | | | 8,746 | |
| Power-One, Inc.* | | | 1,561 | | | | 8,742 | |
| Internap Network Services Corp.* | | | 1,230 | | | | 8,672 | |
| Intermec, Inc.* | | | 1,388 | | | | 8,619 | |
| TNS, Inc.* | | | 571 | | | | 8,536 | |
| Responsys, Inc.* | | | 831 | | | | 8,501 | |
| Methode Electronics, Inc. | | | 856 | | | | 8,312 | |
| Imperva, Inc.* | | | 224 | | | | 8,286 | |
| AuthenTec, Inc.* | | | 1,030 | | | | 8,250 | |
| MIPS Technologies, Inc. — Class A* | | | 1,114 | | | | 8,232 | |
| Amkor Technology, Inc.* | | | 1,854 | | | | 8,158 | |
| Super Micro Computer, Inc.* | | | 674 | | | | 8,108 | |
| Actuate Corp.* | | | 1,141 | | | | 8,021 | |
| Daktronics, Inc. | | | 841 | | | | 7,998 | |
| CTS Corp. | | | 788 | | | | 7,935 | |
| Move, Inc.* | | | 908 | | | | 7,827 | |
| Rudolph Technologies, Inc.* | | | 741 | | | | 7,781 | |
| Checkpoint Systems, Inc.* | | | 937 | | | | 7,758 | |
| Ceva, Inc.* | | | 536 | | | | 7,708 | |
| Electro Rent Corp. | | | 433 | | | | 7,660 | |
| Virtusa Corp.* | | | 431 | | | | 7,659 | |
| Mercury Computer Systems, Inc.* | | | 716 | | | | 7,604 | |
| PDF Solutions, Inc.* | | | 555 | | | | 7,581 | |
| Demand Media, Inc.* | | | 693 | | | | 7,533 | |
| Nanometrics, Inc.* | | | 543 | | | | 7,499 | |
| Stamps.com, Inc.* | | | 324 | | | | 7,497 | |
| Photronics, Inc.* | | | 1,396 | | | | 7,497 | |
| SciQuest, Inc.* | | | 410 | | | | 7,462 | |
| MoneyGram International, Inc.* | | | 494 | | | | 7,380 | |
| Oplink Communications, Inc.* | | | 445 | | | | 7,360 | |
| Sycamore Networks, Inc.* | | | 476 | | | | 7,330 | |
| Extreme Networks* | | | 2,189 | | | | 7,311 | |
| Applied Micro Circuits Corp.* | | | 1,438 | | | | 7,276 | |
| Anaren, Inc.* | | | 345 | | | | 6,897 | |
| Exar Corp.* | | | 862 | | | | 6,896 | |
| Zygo Corp.* | | | 375 | | | | 6,859 | |
| Saba Software, Inc.* | | | 686 | | | | 6,853 | |
| Silicon Graphics International Corp.* | | | 741 | | | | 6,743 | |
| Symmetricom, Inc.* | | | 964 | | | | 6,719 | |
| Deltek, Inc.* | | | 514 | | | | 6,692 | |
| Avid Technology, Inc.* | | | 690 | | | | 6,527 | |
| LTX-Credence Corp.* | | | 1,132 | | | | 6,509 | |
| Electro Scientific Industries, Inc. | | | 532 | | | | 6,501 | |
| 74 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| NVE Corp.* | | | 109 | | | $ | 6,452 | |
| FormFactor, Inc.* | | | 1,146 | | | | 6,406 | |
| QuinStreet, Inc.* | | | 760 | | | | 6,376 | |
| VASCO Data Security International, Inc.* | | | 658 | | | | 6,172 | |
| Digi International, Inc.* | | | 601 | | | | 6,106 | |
| GSI Group, Inc.* | | | 676 | | | | 6,023 | |
| PLX Technology, Inc.* | | | 1,038 | | | | 5,989 | |
| Fabrinet* | | | 514 | | | | 5,957 | |
| Jive Software, Inc.* | | | 378 | | | | 5,938 | |
| Globecomm Systems, Inc.* | | | 530 | | | | 5,910 | |
| Integrated Silicon Solution, Inc.* | | | 632 | | | | 5,852 | |
| CIBER, Inc.* | | | 1,686 | | | | 5,850 | |
| Kopin Corp.* | | | 1,549 | | | | 5,824 | |
| Calix, Inc.* | | | 908 | | | | 5,811 | |
| Glu Mobile, Inc.* | | | 1,254 | | | | 5,806 | |
| Inphi Corp.* | | | 543 | | | | 5,788 | |
| Computer Task Group, Inc.* | | | 354 | | | | 5,728 | |
| IXYS Corp.* | | | 568 | | | | 5,635 | |
| FSI International, Inc.* | | | 906 | | | | 5,617 | |
| Envestnet, Inc.* | | | 479 | | | | 5,604 | |
| ExactTarget, Inc.* | | | 230 | | | | 5,571 | |
| STEC, Inc.* | | | 823 | | | | 5,555 | |
| IntraLinks Holdings, Inc.* | | | 845 | | | | 5,526 | |
| CalAmp Corp.* | | | 670 | | | | 5,501 | |
| Maxwell Technologies, Inc.* | | | 676 | | | | 5,489 | |
| OCZ Technology Group, Inc.*,1 | | | 1,560 | | | | 5,413 | |
| Yelp, Inc. — Class A* | | | 200 | | | | 5,410 | |
| Keynote Systems, Inc. | | | 368 | | | | 5,329 | |
| Cohu, Inc. | | | 567 | | | | 5,324 | |
| Seachange International, Inc.* | | | 667 | | | | 5,236 | |
| XO Group, Inc.* | | | 612 | | | | 5,110 | |
| Sigma Designs, Inc.* | | | 762 | | | | 5,037 | |
| Demandware, Inc.* | | | 150 | | | | 4,763 | |
| support.com, Inc.* | | | 1,125 | | | | 4,759 | |
| Pericom Semiconductor Corp.* | | | 544 | | | | 4,725 | |
| Bel Fuse, Inc. — Class B | | | 250 | | | | 4,670 | |
| KVH Industries, Inc.* | | | 344 | | | | 4,641 | |
| Lionbridge Technologies, Inc.* | | | 1,310 | | | | 4,611 | |
| ShoreTel, Inc.* | | | 1,123 | | | | 4,593 | |
| KEMET Corp.* | | | 1,040 | | | | 4,576 | |
| Oclaro, Inc.* | | | 1,693 | | | | 4,571 | |
| Multi-Fineline Electronix, Inc.* | | | 198 | | | | 4,465 | |
| American Software, Inc. — Class A | | | 541 | | | | 4,415 | |
| Supertex, Inc.* | | | 238 | | | | 4,255 | |
| RealNetworks, Inc.* | | | 510 | | | | 4,243 | |
| Infoblox, Inc.* | | | 180 | | | | 4,185 | |
| PRGX Global, Inc.* | | | 486 | | | | 4,160 | |
| SunPower Corp. — Class A* | | | 920 | | | | 4,149 | |
| Parkervision, Inc.* | | | 1,760 | | | | 4,118 | |
| Zix Corp.* | | | 1,411 | | | | 4,050 | |
| Imation Corp.* | | | 720 | | | | 4,025 | |
| Callidus Software, Inc.* | | | 800 | | | | 3,944 | |
| Vishay Precision Group, Inc.* | | | 281 | | | | 3,928 | |
| Unwired Planet, Inc.* | | | 2,015 | | | | 3,869 | |
| KIT Digital, Inc.* | | | 1,279 | | | | 3,837 | |
| Travelzoo, Inc.* | | | 162 | | | | 3,818 | |
| Richardson Electronics Ltd. | | | 320 | | | | 3,798 | |
| Guidance Software, Inc.* | | | 336 | | | | 3,783 | |
| ePlus, Inc.* | | | 96 | | | | 3,765 | |
| Telular Corp. | | | 380 | | | | 3,762 | |
| Rubicon Technology, Inc.* | | | 392 | | | | 3,755 | |
| Millennial Media, Inc.* | | | 260 | | | | 3,731 | |
| Bazaarvoice, Inc.* | | | 242 | | | | 3,666 | |
| Immersion Corp.* | | | 655 | | | | 3,583 | |
| Digimarc Corp. | | | 161 | | | | 3,582 | |
| Alpha & Omega Semiconductor Ltd.* | | | 403 | | | | 3,470 | |
| Market Leader, Inc.* | | | 510 | | | | 3,417 | |
| MaxLinear, Inc. — Class A* | | | 509 | | | | 3,405 | |
| Aviat Networks, Inc.* | | | 1,426 | | | | 3,394 | |
| ModusLink Global Solutions, Inc.* | | | 919 | | | | 3,391 | |
| Echelon Corp.* | | | 880 | | | | 3,379 | |
| Intevac, Inc.* | | | 541 | | | | 3,306 | |
| Limelight Networks, Inc.* | | | 1,393 | | | | 3,260 | |
| Rosetta Stone, Inc.* | | | 250 | | | | 3,188 | |
| MoSys, Inc.* | | | 776 | | | | 3,135 | |
| Ultra Clean Holdings* | | | 541 | | | | 3,089 | |
| PC-Telephone, Inc. | | | 430 | | | | 3,032 | |
| Aeroflex Holding Corp.* | | | 454 | | | | 3,010 | |
| DSP Group, Inc.* | | | 504 | | | | 2,994 | |
| Mindspeed Technologies, Inc.* | | | 842 | | | | 2,913 | |
| Mesa Laboratories, Inc. | | | 60 | | | | 2,903 | |
| Datalink Corp.* | | | 350 | | | | 2,898 | |
| Agilysys, Inc.* | | | 336 | | | | 2,890 | |
| QuickLogic Corp.* | | | 1,020 | | | | 2,856 | |
| Ubiquiti Networks, Inc.* | | | 240 | | | | 2,856 | |
| Pervasive Software, Inc.* | | | 310 | | | | 2,666 | |
| iPass, Inc.* | | | 1,200 | | | | 2,640 | |
| NeoPhotonics Corp.* | | | 449 | | | | 2,622 | |
| Axcelis Technologies, Inc.* | | | 2,493 | | | | 2,618 | |
| Numerex Corp. — Class A* | | | 229 | | | | 2,595 | |
| Tessco Technologies, Inc. | | | 120 | | | | 2,540 | |
| AXT, Inc.* | | | 751 | | | | 2,538 | |
| Westell Technologies, Inc. — Class A* | | | 1,130 | | | | 2,418 | |
| PC Connection, Inc. | | | 209 | | | | 2,406 | |
| Key Tronic Corp.* | | | 240 | | | | 2,381 | |
| Hackett Group, Inc.* | | | 565 | | | | 2,362 | |
| GSI Technology, Inc.* | | | 475 | | | | 2,351 | |
| TeleNav, Inc.* | | | 386 | | | | 2,304 | |
| ANADIGICS, Inc.* | | | 1,633 | | | | 2,270 | |
| Intermolecular, Inc.* | | | 319 | | | | 2,265 | |
| Proofpoint, Inc.* | | | 150 | | | | 2,228 | |
| STR Holdings, Inc.* | | | 706 | | | | 2,189 | |
| TechTarget, Inc.* | | | 357 | | | | 2,110 | |
| Innodata, Inc.* | | | 510 | | | | 2,066 | |
| EPAM Systems, Inc.* | | | 109 | | | | 2,064 | |
| Marchex, Inc. — Class B | | | 527 | | | | 2,013 | |
| Neonode, Inc.* | | | 520 | | | | 1,960 | |
| Radisys Corp.* | | | 535 | | | | 1,926 | |
| QAD, Inc. — Class A* | | | 140 | | | | 1,901 | |
| Carbonite, Inc.* | | | 263 | | | | 1,844 | |
| M/A-COM Technology Solutions Holdings, Inc.* | | | 140 | | | | 1,778 | |
| AVG Technologies N.V.* | | | 183 | | | | 1,757 | |
| FalconStor Software, Inc.* | | | 731 | | | | 1,718 | |
| Aware, Inc. | | | 270 | | | | 1,701 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Spark Networks, Inc.* | | | 270 | | | $ | 1,652 | |
| Brightcove, Inc.* | | | 137 | | | | 1,600 | |
| Viasystems Group, Inc.* | | | 90 | | | | 1,557 | |
| Mattersight Corp.* | | | 240 | | | | 1,421 | |
| Mattson Technology, Inc.* | | | 1,360 | | | | 1,319 | |
| MeetMe, Inc.* | | | 426 | | | | 1,214 | |
| Synacor, Inc.* | | | 160 | | | | 1,213 | |
| Sapiens International Corporation N.V.* | | | 320 | | | | 1,165 | |
| Audience, Inc.* | | | 140 | | | | 868 | |
| Envivio, Inc.* | | | 180 | | | | 396 | |
| Ambient Corp.* | | | 60 | | | | 316 | |
| Total Information Technology | | | | | | | 4,764,173 | |
| Industrials - 10.0% | | | | | | | | |
| Genesee & Wyoming, Inc. — Class A* | | | 937 | | | | 62,648 | |
| Acuity Brands, Inc. | | | 986 | | | | 62,403 | |
| Alaska Air Group, Inc.* | | | 1,654 | | | | 57,988 | |
| Dollar Thrifty Automotive Group, Inc.* | | | 654 | | | | 56,852 | |
| Hexcel Corp.* | | | 2,307 | | | | 55,413 | |
| Woodward, Inc. | | | 1,606 | | | | 54,572 | |
| Teledyne Technologies, Inc.* | | | 849 | | | | 53,818 | |
| Robbins & Myers, Inc. | | | 893 | | | | 53,222 | |
| CLARCOR, Inc. | | | 1,164 | | | | 51,949 | |
| AO Smith Corp. | | | 900 | | | | 51,786 | |
| Watsco, Inc. | | | 682 | | | | 51,688 | |
| Chart Industries, Inc.* | | | 690 | | | | 50,957 | |
| Middleby Corp.* | | | 437 | | | | 50,535 | |
| Old Dominion Freight Line, Inc.* | | | 1,647 | | | | 49,674 | |
| Actuant Corp. — Class A | | | 1,687 | | | | 48,282 | |
| HEICO Corp. | | | 1,224 | | | | 47,357 | |
| EMCOR Group, Inc. | | | 1,546 | | | | 44,122 | |
| Corporate Executive Board Co. | | | 779 | | | | 41,777 | |
| Portfolio Recovery Associates, Inc.* | | | 392 | | | | 40,937 | |
| Applied Industrial Technologies, Inc. | | | 980 | | | | 40,601 | |
| Esterline Technologies Corp.* | | | 714 | | | | 40,084 | |
| Moog, Inc. — Class A* | | | 1,054 | | | | 39,915 | |
| Geo Group, Inc. | | | 1,427 | | | | 39,485 | |
| US Airways Group, Inc.* | | | 3,767 | | | | 39,403 | |
| EnerSys, Inc.* | | | 1,108 | | | | 39,101 | |
| Belden, Inc. | | | 1,059 | | | | 39,056 | |
| Tetra Tech, Inc.* | | | 1,467 | | | | 38,523 | |
| Advisory Board Co.* | | | 793 | | | | 37,929 | |
| Avis Budget Group, Inc.* | | | 2,462 | | | | 37,866 | |
| USG Corp.* | | | 1,714 | | | | 37,623 | |
| Deluxe Corp. | | | 1,185 | | | | 36,213 | |
| Curtiss-Wright Corp. | | | 1,091 | | | | 35,676 | |
| Healthcare Services Group, Inc. | | | 1,558 | | | | 35,630 | |
| Brady Corp. — Class A | | | 1,138 | | | | 33,321 | |
| Franklin Electric Company, Inc. | | | 544 | | | | 32,907 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 617 | | | | 31,856 | |
| Acacia Research Corp.* | | | 1,156 | | | | 31,686 | |
| Barnes Group, Inc. | | | 1,257 | | | | 31,438 | |
| Beacon Roofing Supply, Inc.* | | | 1,085 | | | | 30,923 | |
| Mueller Industries, Inc. | | | 628 | | | | 28,555 | |
| Brink’s Co. | | | 1,094 | | | | 28,105 | |
| HNI Corp. | | | 1,054 | | | | 26,887 | |
| MasTec, Inc.* | | | 1,356 | | | | 26,713 | |
| Simpson Manufacturing Company, Inc. | | | 923 | | | | 26,416 | |
| Herman Miller, Inc. | | | 1,355 | | | | 26,340 | |
| JetBlue Airways Corp.* | | | 5,426 | | | | 25,991 | |
| FTI Consulting, Inc.* | | | 971 | | | | 25,906 | |
| Watts Water Technologies, Inc. — Class A | | | 684 | | | | 25,876 | |
| Granite Construction, Inc. | | | 896 | | | | 25,733 | |
| Hub Group, Inc. — Class A* | | | 858 | | | | 25,465 | |
| RBC Bearings, Inc.* | | | 516 | | | | 24,820 | |
| Raven Industries, Inc. | | | 838 | | | | 24,662 | |
| United Stationers, Inc. | | | 947 | | | | 24,641 | |
| ESCO Technologies, Inc. | | | 619 | | | | 24,048 | |
| Mine Safety Appliances Co. | | | 636 | | | | 23,704 | |
| ABM Industries, Inc. | | | 1,247 | | | | 23,606 | |
| II-VI, Inc.* | | | 1,223 | | | | 23,261 | |
| TAL International Group, Inc. | | | 675 | | | | 22,937 | |
| Seaboard Corp.* | | | 10 | | | | 22,601 | |
| AZZ, Inc. | | | 586 | | | | 22,256 | |
| UniFirst Corp. | | | 331 | | | | 22,107 | |
| Werner Enterprises, Inc. | | | 1,029 | | | | 21,990 | |
| Allegiant Travel Co. — Class A* | | | 347 | | | | 21,986 | |
| Kaman Corp. | | | 608 | | | | 21,803 | |
| Lindsay Corp. | | | 294 | | | | 21,159 | |
| Briggs & Stratton Corp. | | | 1,130 | | | | 21,097 | |
| Amerco, Inc. | | | 197 | | | | 20,953 | |
| Forward Air Corp. | | | 676 | | | | 20,557 | |
| Orbital Sciences Corp.* | | | 1,368 | | | | 19,918 | |
| On Assignment, Inc.* | | | 999 | | | | 19,899 | |
| Knight Transportation, Inc. | | | 1,340 | | | | 19,162 | |
| Universal Forest Products, Inc. | | | 455 | | | | 18,901 | |
| Tennant Co. | | | 434 | | | | 18,584 | |
| Huron Consulting Group, Inc.* | | | 530 | | | | 18,455 | |
| Cubic Corp. | | | 365 | | | | 18,272 | |
| Interface, Inc. — Class A | | | 1,356 | | | | 17,913 | |
| Trimas Corp.* | | | 742 | | | | 17,890 | |
| Mueller Water Products, Inc. — Class A | | | 3,630 | | | | 17,787 | |
| Exponent, Inc.* | | | 307 | | | | 17,527 | |
| Aegion Corp. — Class A* | | | 908 | | | | 17,397 | |
| Steelcase, Inc. — Class A | | | 1,760 | | | | 17,336 | |
| Titan International, Inc. | | | 977 | | | | 17,254 | |
| EnPro Industries, Inc.* | | | 475 | | | | 17,105 | |
| ACCO Brands Corp.* | | | 2,624 | | | | 17,030 | |
| DigitalGlobe, Inc.* | | | 834 | | | | 17,005 | |
| Korn/Ferry International* | | | 1,107 | | | | 16,970 | |
| Kaydon Corp. | | | 738 | | | | 16,487 | |
| Spirit Airlines, Inc.* | | | 963 | | | | 16,448 | |
| Quanex Building Products Corp. | | | 852 | | | | 16,052 | |
| Swift Transportation Co. — Class A* | | | 1,835 | | | | 15,818 | |
| Knoll, Inc. | | | 1,109 | | | | 15,471 | |
| Aircastle Ltd. | | | 1,360 | | | | 15,409 | |
| AAR Corp. | | | 935 | | | | 15,353 | |
| CIRCOR International, Inc. | | | 404 | | | | 15,251 | |
| McGrath RentCorp | | | 573 | | | | 14,950 | |
| Blount International, Inc.* | | | 1,133 | | | | 14,910 | |
| Heartland Express, Inc. | | | 1,115 | | | | 14,896 | |
| Team, Inc.* | | | 464 | | | | 14,778 | |
| Rush Enterprises, Inc. — Class A* | | | 767 | | | | 14,772 | |
| Mobile Mini, Inc.* | | | 882 | | | | 14,738 | |
| TrueBlue, Inc.* | | | 936 | | | | 14,714 | |
| 76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Astec Industries, Inc.* | | | 461 | | | $ | 14,572 | |
| Encore Capital Group, Inc.* | | | 503 | | | | 14,215 | |
| Albany International Corp. — Class A | | | 642 | | | | 14,105 | |
| American Science & Engineering, Inc. | | | 209 | | | | 13,712 | |
| Ceradyne, Inc. | | | 560 | | | | 13,681 | |
| G&K Services, Inc. — Class A | | | 434 | | | | 13,589 | |
| Navigant Consulting, Inc.* | | | 1,203 | | | | 13,293 | |
| Generac Holdings, Inc. | | | 578 | | | | 13,230 | |
| Insperity, Inc. | | | 524 | | | | 13,221 | |
| GenCorp, Inc.* | | | 1,384 | | | | 13,134 | |
| Resources Connection, Inc. | | | 989 | | | | 12,966 | |
| Apogee Enterprises, Inc. | | | 660 | | | | 12,949 | |
| Standex International Corp. | | | 290 | | | | 12,891 | |
| Encore Wire Corp. | | | 437 | | | | 12,787 | |
| Sun Hydraulics Corp. | | | 480 | | | | 12,754 | |
| SkyWest, Inc. | | | 1,185 | | | | 12,241 | |
| Rexnord Corp.* | | | 670 | | | | 12,207 | |
| Sykes Enterprises, Inc.* | | | 906 | | | | 12,177 | |
| RailAmerica, Inc.* | | | 434 | | | | 11,922 | |
| Cascade Corp. | | | 211 | | | | 11,550 | |
| Wabash National Corp.* | | | 1,587 | | | | 11,315 | |
| Altra Holdings, Inc. | | | 621 | | | | 11,302 | |
| Dycom Industries, Inc.* | | | 781 | | | | 11,231 | |
| Trex Company, Inc.* | | | 322 | | | | 10,987 | |
| Sauer-Danfoss, Inc. | | | 272 | | | | 10,937 | |
| John Bean Technologies Corp. | | | 668 | | | | 10,908 | |
| Griffon Corp. | | | 1,058 | | | | 10,897 | |
| Great Lakes Dredge & Dock Corp. | | | 1,374 | | | | 10,580 | |
| DXP Enterprises, Inc.* | | | 208 | | | | 9,936 | |
| Ennis, Inc. | | | 605 | | | | 9,928 | |
| Viad Corp. | | | 473 | | | | 9,867 | |
| Quad/Graphics, Inc. | | | 581 | | | | 9,854 | |
| Nortek, Inc.* | | | 180 | | | | 9,851 | |
| InnerWorkings, Inc.* | | | 737 | | | | 9,596 | |
| Comfort Systems USA, Inc. | | | 871 | | | | 9,520 | |
| Tutor Perini Corp.* | | | 831 | | | | 9,507 | |
| Meritor, Inc.* | | | 2,241 | | | | 9,502 | |
| Gorman-Rupp Co. | | | 350 | | | | 9,450 | |
| MYR Group, Inc.* | | | 473 | | | | 9,436 | |
| Aerovironment, Inc.* | | | 401 | | | | 9,411 | |
| GeoEye, Inc.* | | | 349 | | | | 9,224 | |
| ICF International, Inc.* | | | 458 | | | | 9,206 | |
| Kimball International, Inc. — Class B | | | 751 | | | | 9,177 | |
| Federal Signal Corp.* | | | 1,444 | | | | 9,126 | |
| Primoris Services Corp. | | | 696 | | | | 9,083 | |
| US Ecology, Inc. | | | 420 | | | | 9,064 | |
| Gibraltar Industries, Inc.* | | | 704 | | | | 9,025 | |
| Layne Christensen Co.* | | | 460 | | | | 9,021 | |
| Textainer Group Holdings Ltd. | | | 288 | | | | 8,798 | |
| Greenbrier Companies, Inc.* | | | 533 | | | | 8,603 | |
| AAON, Inc. | | | 429 | | | | 8,447 | |
| Thermon Group Holdings, Inc.* | | | 336 | | | | 8,397 | |
| Mistras Group, Inc.* | | | 360 | | | | 8,352 | |
| Standard Parking Corp.* | | | 363 | | | | 8,142 | |
| Powell Industries, Inc.* | | | 209 | | | | 8,082 | |
| H&E Equipment Services, Inc. | | | 663 | | | | 8,036 | |
| Titan Machinery, Inc.* | | | 396 | | | | 8,031 | |
| National Presto Industries, Inc. | | | 109 | | | | 7,944 | |
| Kforce, Inc.* | | | 669 | | | | 7,888 | |
| Kelly Services, Inc. — Class A | | | 622 | | | | 7,837 | |
| Taser International, Inc.* | | | 1,292 | | | | 7,791 | |
| Douglas Dynamics, Inc. | | | 515 | | | | 7,617 | |
| Celadon Group, Inc. | | | 467 | | | | 7,505 | |
| Saia, Inc.* | | | 371 | | | | 7,472 | |
| Global Power Equipment Group, Inc. | | | 402 | | | | 7,433 | |
| EnerNOC, Inc.* | | | 572 | | | | 7,425 | |
| Astronics Corp.* | | | 239 | | | | 7,361 | |
| Multi-Color Corp. | | | 310 | | | | 7,180 | |
| Capstone Turbine Corp.* | | | 6,925 | | | | 6,925 | |
| Columbus McKinnon Corp.* | | | 451 | | | | 6,815 | |
| LB Foster Co. — Class A | | | 210 | | | | 6,791 | |
| GP Strategies Corp.* | | | 346 | | | | 6,685 | |
| Hawaiian Holdings, Inc.* | | | 1,181 | | | | 6,602 | |
| Kadant, Inc.* | | | 275 | | | | 6,377 | |
| Marten Transport Ltd. | | | 362 | | | | 6,360 | |
| American Railcar Industries, Inc.* | | | 222 | | | | 6,291 | |
| CAI International, Inc.* | | | 301 | | | | 6,177 | |
| Echo Global Logistics, Inc.* | | | 347 | | | | 5,951 | |
| Aceto Corp. | | | 620 | | | | 5,859 | |
| Lydall, Inc.* | | | 400 | | | | 5,636 | |
| Alamo Group, Inc. | | | 165 | | | | 5,574 | |
| Wesco Aircraft Holdings, Inc.* | | | 406 | | | | 5,546 | |
| Ameresco, Inc. — Class A* | | | 468 | | | | 5,527 | |
| RPX Corp.* | | | 487 | | | | 5,459 | |
| Kratos Defense & Security Solutions, Inc.* | | | 934 | | | | 5,455 | |
| KEYW Holding Corp.* | | | 436 | | | | 5,450 | |
| Builders FirstSource, Inc.* | | | 1,045 | | | | 5,424 | |
| Air Transport Services Group, Inc.* | | | 1,229 | | | | 5,408 | |
| Northwest Pipe Co.* | | | 219 | | | | 5,398 | |
| Odyssey Marine Exploration, Inc.* | | | 1,702 | | | | 5,378 | |
| CDI Corp. | | | 314 | | | | 5,347 | |
| CBIZ, Inc.* | | | 880 | | | | 5,298 | |
| Heidrick & Struggles International, Inc. | | | 415 | | | | 5,287 | |
| Republic Airways Holdings, Inc.* | | | 1,122 | | | | 5,195 | |
| Accuride Corp.* | | | 1,099 | | | | 5,121 | |
| XPO Logistics, Inc.* | | | 410 | | | | 5,018 | |
| EnergySolutions, Inc.* | | | 1,835 | | | | 5,010 | |
| Furmanite Corp.* | | | 865 | | | | 4,913 | |
| FreightCar America, Inc. | | | 276 | | | | 4,910 | |
| Roadrunner Transportation Systems, Inc.* | | | 301 | | | | 4,870 | |
| Zipcar, Inc.* | | | 620 | | | | 4,824 | |
| Insteel Industries, Inc. | | | 406 | | | | 4,762 | |
| Consolidated Graphics, Inc.* | | | 182 | | | | 4,748 | |
| SeaCube Container Leasing Ltd. | | | 252 | | | | 4,725 | |
| Michael Baker Corp.* | | | 196 | | | | 4,677 | |
| Orion Marine Group, Inc.* | | | 627 | | | | 4,659 | |
| Arkansas Best Corp. | | | 587 | | | | 4,649 | |
| Dynamic Materials Corp. | | | 308 | | | | 4,626 | |
| Quality Distribution, Inc.* | | | 500 | | | | 4,625 | |
| Houston Wire & Cable Co. | | | 413 | | | | 4,444 | |
| American Woodmark Corp.* | | | 222 | | | | 4,433 | |
| Park-Ohio Holdings Corp.* | | | 203 | | | | 4,399 | |
| Barrett Business Services, Inc. | | | 157 | | | | 4,255 | |
| LMI Aerospace, Inc.* | | | 208 | | | | 4,252 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Graham Corp. | | | 234 | | | $ | 4,228 | |
| NCI Building Systems, Inc.* | | | 419 | | | | 4,203 | |
| Commercial Vehicle Group, Inc.* | | | 570 | | | | 4,190 | |
| Flow International Corp.* | | | 1,114 | | | | 4,122 | |
| Patriot Transportation Holding, Inc.* | | | 147 | | | | 4,098 | |
| CRA International, Inc.* | | | 237 | | | | 4,095 | |
| Pendrell Corp.* | | | 3,594 | | | | 4,061 | |
| Miller Industries, Inc. | | | 253 | | | | 4,061 | |
| Argan, Inc. | | | 228 | | | | 3,979 | |
| PMFG, Inc.* | | | 479 | | | | 3,875 | |
| Dolan Co.* | | | 712 | | | | 3,831 | |
| Proto Labs, Inc.* | | | 113 | | | | 3,822 | |
| Franklin Covey Co.* | | | 318 | | | | 3,816 | |
| American Superconductor Corp.* | | | 907 | | | | 3,764 | |
| Sterling Construction Company, Inc.* | | | 377 | | | | 3,762 | |
| Acorn Energy, Inc. | | | 410 | | | | 3,657 | |
| American Reprographics Co.* | | | 850 | | | | 3,630 | |
| Schawk, Inc. — Class A | | | 278 | | | | 3,628 | |
| Ampco-Pittsburgh Corp. | | | 196 | | | | 3,616 | |
| Swisher Hygiene, Inc.*,1 | | | 2,614 | | | | 3,607 | |
| Twin Disc, Inc. | | | 195 | | | | 3,491 | |
| Hurco Companies, Inc.* | | | 152 | | | | 3,478 | |
| Heritage-Crystal Clean, Inc.* | | | 173 | | | | 3,434 | |
| Hudson Global, Inc.* | | | 768 | | | | 3,425 | |
| NN, Inc.* | | | 394 | | | | 3,345 | |
| Pacer International, Inc.* | | | 810 | | | | 3,224 | |
| Pike Electric Corp.* | | | 398 | | | | 3,164 | |
| FuelCell Energy, Inc.* | | | 3,515 | | | | 3,093 | |
| Rand Logistics, Inc.* | | | 410 | | | | 3,087 | |
| Met-Pro Corp. | | | 341 | | | | 3,052 | |
| Vicor Corp. | | | 457 | | | | 3,048 | |
| LSI Industries, Inc. | | | 448 | | | | 3,020 | |
| Energy Recovery, Inc.* | | | 1,019 | | | | 3,016 | |
| TMS International Corp. — Class A* | | | 301 | | | | 2,980 | |
| Courier Corp. | | | 237 | | | | 2,896 | |
| Cenveo, Inc.* | | | 1,255 | | | | 2,874 | |
| Preformed Line Products Co. | | | 51 | | | | 2,770 | |
| Hardinge, Inc. | | | 270 | | | | 2,768 | |
| Asset Acceptance Capital Corp.* | | | 370 | | | | 2,760 | |
| Edgen Group, Inc. — Class A* | | | 350 | | | | 2,713 | |
| Genco Shipping & Trading Ltd.* | | | 725 | | | | 2,668 | |
| TRC Companies, Inc.* | | | 351 | | | | 2,640 | |
| Eastern Co. | | | 140 | | | | 2,624 | |
| WageWorks, Inc.* | | | 150 | | | | 2,618 | |
| Casella Waste Systems, Inc. — Class A* | | | 601 | | | | 2,572 | |
| Asta Funding, Inc. | | | 260 | | | | 2,441 | |
| Metalico, Inc.* | | | 928 | | | | 2,376 | |
| VSE Corp. | | | 97 | | | | 2,376 | |
| Hill International, Inc.* | | | 530 | | | | 2,311 | |
| Intersections, Inc. | | | 210 | | | | 2,213 | |
| AT Cross Co. — Class A* | | | 221 | | | | 2,203 | |
| API Technologies Corp.* | | | 750 | | | | 2,153 | |
| International Shipholding Corp. | | | 125 | | | | 2,109 | |
| Coleman Cable, Inc. | | | 205 | | | | 1,976 | |
| Universal Truckload Services, Inc. | | | 122 | | | | 1,948 | |
| Sypris Solutions, Inc. | | | 250 | | | | 1,785 | |
| NL Industries, Inc. | | | 153 | | | | 1,758 | |
| CECO Environmental Corp. | | | 170 | | | | 1,661 | |
| CPI Aerostructures, Inc.* | | | 150 | | | | 1,626 | |
| Willis Lease Finance Corp.* | | | 130 | | | | 1,604 | |
| PGT, Inc.* | | | 450 | | | | 1,476 | |
| Patrick Industries, Inc.* | | | 90 | | | | 1,392 | |
| BlueLinx Holdings, Inc.* | | | 560 | | | | 1,310 | |
| SIFCO Industries, Inc. | | | 60 | | | | 1,092 | |
| Enphase Energy, Inc.* | | | 180 | | | | 745 | |
| Omega Flex, Inc.* | | | 66 | | | | 700 | |
| A123 Systems, Inc.* | | | 2,611 | | | | 653 | |
| Compx International, Inc. | | | 27 | | | | 410 | |
| Total Industrials | | | | | | | 4,103,579 | |
| Consumer Discretionary - 9.5% | | | | | | | | |
| Cabela’s, Inc.* | | | 1,081 | | | | 59,109 | |
| Six Flags Entertainment Corp. | | | 921 | | | | 54,154 | |
| Domino’s Pizza, Inc. | | | 1,341 | | | | 50,555 | |
| Wolverine World Wide, Inc. | | | 1,130 | | | | 50,138 | |
| Warnaco Group, Inc.* | | | 956 | | | | 49,616 | |
| Sotheby’s | | | 1,570 | | | | 49,454 | |
| Rent-A-Center, Inc. — Class A | | | 1,376 | | | | 48,270 | |
| Vail Resorts, Inc. | | | 835 | | | | 48,137 | |
| Brunswick Corp. | | | 2,068 | | | | 46,798 | |
| Pool Corp. | | | 1,102 | | | | 45,821 | |
| Life Time Fitness, Inc.* | | | 990 | | | | 45,283 | |
| Cheesecake Factory, Inc. | | | 1,253 | | | | 44,795 | |
| HSN, Inc. | | | 879 | | | | 43,115 | |
| ANN, Inc.* | | | 1,128 | | | | 42,560 | |
| Pier 1 Imports, Inc. | | | 2,253 | | | | 42,221 | |
| Dana Holding Corp. | | | 3,428 | | | | 42,164 | |
| Select Comfort Corp.* | | | 1,315 | | | | 41,488 | |
| Men’s Wearhouse, Inc. | | | 1,180 | | | | 40,628 | |
| Vitamin Shoppe, Inc.* | | | 686 | | | | 40,008 | |
| Steven Madden Ltd.* | | | 909 | | | | 39,741 | |
| Tenneco, Inc.* | | | 1,407 | | | | 39,396 | |
| Genesco, Inc.* | | | 567 | | | | 37,836 | |
| Buffalo Wild Wings, Inc.* | | | 426 | | | | 36,525 | |
| Hibbett Sports, Inc.* | | | 614 | | | | 36,502 | |
| MDC Holdings, Inc. | | | 883 | | | | 34,004 | |
| Crocs, Inc.* | | | 2,085 | | | | 33,798 | |
| Children’s Place Retail Stores, Inc.* | | | 560 | | | | 33,600 | |
| Coinstar, Inc.* | | | 729 | | | | 32,790 | |
| Lumber Liquidators Holdings, Inc.* | | | 641 | | | | 32,486 | |
| Fifth & Pacific Companies, Inc.* | | | 2,519 | | | | 32,193 | |
| Group 1 Automotive, Inc. | | | 531 | | | | 31,982 | |
| Jos. A. Bank Clothiers, Inc.* | | | 647 | | | | 31,367 | |
| Ryland Group, Inc. | | | 1,030 | | | | 30,900 | |
| New York Times Co. — Class A* | | | 3,162 | | | | 30,862 | |
| Express, Inc.* | | | 2,075 | | | | 30,752 | |
| Collective Brands, Inc.* | | | 1,410 | | | | 30,611 | |
| Iconix Brand Group, Inc.* | | | 1,648 | | | | 30,060 | |
| Lions Gate Entertainment Corp.* | | | 1,965 | | | | 30,005 | |
| Cracker Barrel Old Country Store, Inc. | | | 446 | | | | 29,931 | |
| Penske Automotive Group, Inc. | | | 989 | | | | 29,759 | |
| Meredith Corp. | | | 844 | | | | 29,540 | |
| Buckle, Inc. | | | 647 | | | | 29,393 | |
| Jack in the Box, Inc.* | | | 1,023 | | | | 28,757 | |
| Ryman Hospitality Properties* | | | 724 | | | | 28,621 | |
| 78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Live Nation Entertainment, Inc.* | | | 3,250 | | | $ | 27,983 | |
| Cooper Tire & Rubber Co. | | | 1,450 | | | | 27,811 | |
| Meritage Homes Corp.* | | | 714 | | | | 27,153 | |
| Finish Line, Inc. — Class A | | | 1,174 | | | | 26,697 | |
| Saks, Inc.*,1 | | | 2,552 | | | | 26,311 | |
| Bob Evans Farms, Inc. | | | 672 | | | | 26,295 | |
| Shutterfly, Inc.* | | | 831 | | | | 25,860 | |
| BJ’s Restaurants, Inc.* | | | 567 | | | | 25,713 | |
| KB Home | | | 1,787 | | | | 25,643 | |
| Aeropostale, Inc.* | | | 1,881 | | | | 25,450 | |
| Monro Muffler Brake, Inc. | | | 717 | | | | 25,231 | |
| Texas Roadhouse, Inc. — Class A | | | 1,449 | | | | 24,778 | |
| Francesca’s Holdings Corp.* | | | 802 | | | | 24,645 | |
| Jones Group, Inc. | | | 1,908 | | | | 24,556 | |
| Regis Corp. | | | 1,332 | | | | 24,482 | |
| Valassis Communications, Inc.* | | | 991 | | | | 24,468 | |
| Helen of Troy Ltd.* | | | 740 | | | | 23,554 | |
| Hillenbrand, Inc. | | | 1,283 | | | | 23,338 | |
| Arbitron, Inc. | | | 611 | | | | 23,157 | |
| Peet’s Coffee & Tea, Inc.* | | | 311 | | | | 22,809 | |
| Marriott Vacations Worldwide Corp.* | | | 620 | | | | 22,332 | |
| Papa John’s International, Inc.* | | | 418 | | | | 22,325 | |
| Sturm Ruger & Company, Inc. | | | 446 | | | | 22,073 | |
| Grand Canyon Education, Inc.* | | | 929 | | | | 21,860 | |
| National CineMedia, Inc. | | | 1,298 | | | | 21,248 | |
| WMS Industries, Inc.* | | | 1,280 | | | | 20,965 | |
| Shuffle Master, Inc.* | | | 1,270 | | | | 20,078 | |
| Orient-Express Hotels Ltd. — Class A* | | | 2,249 | | | | 20,016 | |
| DineEquity, Inc.* | | | 350 | | | | 19,600 | |
| Matthews International Corp. — Class A | | | 655 | | | | 19,532 | |
| Churchill Downs, Inc. | | | 304 | | | | 19,067 | |
| Cato Corp. — Class A | | | 640 | | | | 19,014 | |
| Scholastic Corp. | | | 598 | | | | 19,004 | |
| Oxford Industries, Inc. | | | 325 | | | | 18,346 | |
| International Speedway Corp. — Class A | | | 642 | | | | 18,214 | |
| Asbury Automotive Group, Inc.* | | | 643 | | | | 17,972 | |
| Skechers U.S.A., Inc. — Class A* | | | 878 | | | | 17,911 | |
| Strayer Education, Inc. | | | 278 | | | | 17,889 | |
| Ascent Capital Group, Inc. — Class A* | | | 331 | | | | 17,877 | |
| Dorman Products, Inc.* | | | 566 | | | | 17,835 | |
| Sonic Automotive, Inc. — Class A | | | 938 | | | | 17,803 | |
| Pinnacle Entertainment, Inc.* | | | 1,446 | | | | 17,714 | |
| La-Z-Boy, Inc.* | | | 1,196 | | | | 17,497 | |
| American Axle & Manufacturing | | | | | | | | |
| Holdings, Inc.* | | | 1,549 | | | | 17,457 | |
| Standard Pacific Corp.* | | | 2,518 | | | | 17,022 | |
| Belo Corp. — Class A | | | 2,168 | | | | 16,975 | |
| Interval Leisure Group, Inc. | | | 895 | | | | 16,942 | |
| Office Depot, Inc.* | | | 6,581 | | | | 16,847 | |
| Lithia Motors, Inc. — Class A | | | 502 | | | | 16,722 | |
| Smith & Wesson Holding Corp.* | | | 1,504 | | | | 16,559 | |
| Steiner Leisure Ltd.* | | | 350 | | | | 16,293 | |
| Brown Shoe Company, Inc. | | | 992 | | | | 15,902 | |
| NACCO Industries, Inc. — Class A | | | 126 | | | | 15,802 | |
| OfficeMax, Inc. | | | 2,006 | | | | 15,667 | |
| American Public Education, Inc.* | | | 421 | | | | 15,337 | |
| Columbia Sportswear Co. | | | 281 | | | | 15,174 | |
| Stage Stores, Inc. | | | 710 | | | | 14,953 | |
| Stewart Enterprises, Inc. — Class A | | | 1,736 | | | | 14,574 | |
| iRobot Corp.* | | | 639 | | | | 14,544 | |
| Sonic Corp.* | | | 1,409 | | | | 14,470 | |
| Zumiez, Inc.* | | | 511 | | | | 14,170 | |
| G-III Apparel Group Ltd.* | | | 388 | | | | 13,929 | |
| Movado Group, Inc. | | | 409 | | | | 13,791 | |
| AFC Enterprises, Inc.* | | | 560 | | | | 13,776 | |
| American Greetings Corp. — Class A1 | | | 811 | | | | 13,624 | |
| Drew Industries, Inc.* | | | 449 | | | | 13,564 | |
| Ameristar Casinos, Inc. | | | 762 | | | | 13,564 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 1,166 | | | | 13,071 | |
| True Religion Apparel, Inc. | | | 600 | | | | 12,798 | |
| Core-Mark Holding Company, Inc. | | | 265 | | | | 12,749 | |
| CEC Entertainment, Inc. | | | 423 | | | | 12,741 | |
| K12, Inc.* | | | 619 | | | | 12,504 | |
| Pep Boys-Manny Moe & Jack | | | 1,222 | | | | 12,440 | |
| Ethan Allen Interiors, Inc. | | | 559 | | | | 12,253 | |
| Fred’s, Inc. — Class A | | | 856 | | | | 12,181 | |
| Arctic Cat, Inc.* | | | 292 | | | | 12,106 | |
| Blue Nile, Inc.* | | | 325 | | | | 12,053 | |
| Tumi Holdings, Inc.* | | | 500 | | | | 11,770 | |
| rue21, Inc.* | | | 363 | | | | 11,307 | |
| Maidenform Brands, Inc.* | | | 544 | | | | 11,141 | |
| Red Robin Gourmet Burgers, Inc.* | | | 342 | | | | 11,136 | |
| Capella Education Co.* | | | 315 | | | | 11,044 | |
| Vera Bradley, Inc.* | | | 462 | | | | 11,019 | |
| Krispy Kreme Doughnuts, Inc.* | | | 1,379 | | | | 10,935 | |
| Scientific Games Corp. — Class A* | | | 1,313 | | | | 10,859 | |
| Denny’s Corp.* | | | 2,232 | | | | 10,825 | |
| Ruby Tuesday, Inc.* | | | 1,479 | | | | 10,723 | |
| LeapFrog Enterprises, Inc. — Class A* | | | 1,172 | | | | 10,571 | |
| Biglari Holdings, Inc.* | | | 28 | | | | 10,222 | |
| Beazer Homes USA, Inc.* | | | 2,861 | | | | 10,157 | |
| Quiksilver, Inc.* | | | 3,033 | | | | 10,070 | |
| Multimedia Games Holding Company, Inc.* | | | 633 | | | | 9,957 | |
| Callaway Golf Co. | | | 1,505 | | | | 9,241 | |
| Boyd Gaming Corp.* | | | 1,293 | | | | 9,129 | |
| Superior Industries International, Inc. | | | 531 | | | | 9,075 | |
| JAKKS Pacific, Inc. | | | 601 | | | | 8,757 | |
| Winnebago Industries, Inc.* | | | 677 | | | | 8,551 | |
| Hot Topic, Inc. | | | 982 | | | | 8,543 | |
| Gentherm, Inc.* | | | 684 | | | | 8,509 | |
| M/I Homes, Inc.* | | | 437 | | | | 8,452 | |
| Standard Motor Products, Inc. | | | 458 | | | | 8,436 | |
| Barnes & Noble, Inc.* | | | 656 | | | | 8,384 | |
| America’s Car-Mart, Inc.* | | | 183 | | | | 8,321 | |
| Conn’s, Inc.* | | | 365 | | | | 8,048 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 2,313 | | | | 8,003 | |
| Modine Manufacturing Co.* | | | 1,082 | | | | 7,985 | |
| Shoe Carnival, Inc. | | | 330 | | | | 7,765 | |
| Fisher Communications, Inc.* | | | 207 | | | | 7,609 | |
| Libbey, Inc.* | | | 477 | | | | 7,527 | |
| EW Scripps Co. — Class A* | | | 696 | | | | 7,412 | |
| Cavco Industries, Inc.* | | | 161 | | | | 7,388 | |
| Digital Generation, Inc.* | | | 640 | | | | 7,270 | |
| MDC Partners, Inc. — Class A | | | 589 | | | | 7,268 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Harte-Hanks, Inc. | | | 1,035 | | | $ | 7,173 | |
| Mattress Firm Holding Corp.* | | | 252 | | | | 7,094 | |
| NutriSystem, Inc. | | | 656 | | | | 6,908 | |
| Universal Technical Institute, Inc. | | | 501 | | | | 6,864 | |
| Caribou Coffee Company, Inc.* | | | 486 | | | | 6,673 | |
| Bravo Brio Restaurant Group, Inc.* | | | 457 | | | | 6,649 | |
| Town Sports International Holdings, Inc.* | | | 535 | | | | 6,618 | |
| Wet Seal, Inc. — Class A* | | | 2,097 | | | | 6,606 | |
| Tuesday Morning Corp.* | | | 975 | | | | 6,386 | |
| Blyth, Inc. | | | 238 | | | | 6,186 | |
| Haverty Furniture Companies, Inc. | | | 441 | | | | 6,121 | |
| Universal Electronics, Inc.* | | | 346 | | | | 6,082 | |
| Perry Ellis International, Inc.* | | | 275 | | | | 6,064 | |
| Fiesta Restaurant Group, Inc.* | | | 373 | | | | 5,920 | |
| Destination Maternity Corp. | | | 312 | | | | 5,834 | |
| Caesars Entertainment Corp.* | | | 857 | | | | 5,828 | |
| Fuel Systems Solutions, Inc.* | | | 337 | | | | 5,793 | |
| Exide Technologies* | | | 1,815 | | | | 5,627 | |
| Central European Media Enterprises | | | | | | | | |
| Ltd. — Class A* | | | 855 | | | | 5,566 | |
| RadioShack Corp.1 | | | 2,310 | | | | 5,498 | |
| Stein Mart, Inc.* | | | 633 | | | | 5,387 | |
| Ruth’s Hospitality Group, Inc.* | | | 821 | | | | 5,230 | |
| Journal Communications, Inc. — Class A* | | | 999 | | | | 5,195 | |
| Skullcandy, Inc.*,1 | | | 377 | | | | 5,184 | |
| Marcus Corp. | | | 459 | | | | 5,095 | |
| Zagg, Inc.* | | | 594 | | | | 5,067 | |
| World Wrestling Entertainment, | | | | | | | | |
| Inc. — Class A | | | 626 | | | | 5,039 | |
| PetMed Express, Inc. | | | 472 | | | | 4,739 | |
| CSS Industries, Inc. | | | 225 | | | | 4,624 | |
| Carmike Cinemas, Inc.* | | | 410 | | | | 4,613 | |
| Career Education Corp.* | | | 1,200 | | | | 4,524 | |
| Casual Male Retail Group, Inc.* | | | 971 | | | | 4,496 | |
| Corinthian Colleges, Inc.* | | | 1,814 | | | | 4,317 | |
| Citi Trends, Inc.* | | | 343 | | | | 4,306 | |
| Black Diamond, Inc.* | | | 482 | | | | 4,227 | |
| Unifi, Inc.* | | | 321 | | | | 4,115 | |
| Speedway Motorsports, Inc. | | | 267 | | | | 4,112 | |
| Bridgepoint Education, Inc.* | | | 404 | | | | 4,101 | |
| bebe stores, Inc. | | | 853 | | | | 4,094 | |
| Body Central Corp.* | | | 378 | | | | 3,950 | |
| Spartan Motors, Inc. | | | 790 | | | | 3,950 | |
| Federal-Mogul Corp.* | | | 430 | | | | 3,935 | |
| MarineMax, Inc.* | | | 474 | | | | 3,929 | |
| Entercom Communications | | | | | | | | |
| Corp. — Class A* | | | 570 | | | | 3,910 | |
| Steinway Musical Instruments, Inc.* | | | 160 | | | | 3,898 | |
| Big 5 Sporting Goods Corp. | | | 389 | | | | 3,871 | |
| Tilly’s, Inc. — Class A* | | | 210 | | | | 3,849 | |
| Weyco Group, Inc. | | | 154 | | | | 3,750 | |
| Mac-Gray Corp. | | | 278 | | | | 3,728 | |
| West Marine, Inc.* | | | 350 | | | | 3,721 | |
| Gordmans Stores, Inc.* | | | 200 | | | | 3,690 | |
| Rentrak Corp.* | | | 217 | | | | 3,674 | |
| Carriage Services, Inc. — Class A | | | 370 | | | | 3,578 | |
| Cumulus Media, Inc. — Class A* | | | 1,304 | | | | 3,573 | |
| Jamba, Inc.* | | | 1,560 | | | | 3,479 | |
| Vitacost.com, Inc.* | | | 510 | | | | 3,458 | |
| Isle of Capri Casinos, Inc.* | | | 487 | | | | 3,385 | |
| Kirkland’s, Inc.* | | | 335 | | | | 3,327 | |
| Saga Communications, Inc. — Class A* | | | 81 | | | | 3,282 | |
| Morgans Hotel Group Co.* | | | 508 | | | | 3,261 | |
| Hooker Furniture Corp. | | | 250 | | | | 3,248 | |
| Bassett Furniture Industries, Inc. | | | 260 | | | | 3,237 | |
| Stoneridge, Inc.* | | | 648 | | | | 3,221 | |
| VOXX International Corp. — Class A* | | | 424 | | | | 3,172 | |
| Luby’s, Inc.* | | | 466 | | | | 3,136 | |
| LIN TV Corp. — Class A* | | | 706 | | | | 3,106 | |
| Systemax, Inc.* | | | 259 | | | | 3,059 | |
| RG Barry Corp. | | | 206 | | | | 3,036 | |
| McClatchy Co. — Class A* | | | 1,342 | | | | 2,993 | |
| ReachLocal, Inc.* | | | 237 | | | | 2,972 | |
| Johnson Outdoors, Inc. — Class A* | | | 135 | | | | 2,888 | |
| Global Sources Ltd.* | | | 438 | | | | 2,873 | |
| Winmark Corp. | | | 53 | | | | 2,866 | |
| Cherokee, Inc. | | | 195 | | | | 2,839 | |
| Nexstar Broadcasting Group, | | | | | | | | |
| Inc. — Class A* | | | 267 | | | | 2,836 | |
| Overstock.com, Inc.* | | | 267 | | | | 2,766 | |
| Bon-Ton Stores, Inc. | | | 291 | | | | 2,765 | |
| Teavana Holdings, Inc.* | | | 208 | | | | 2,712 | |
| Lifetime Brands, Inc. | | | 224 | | | | 2,668 | |
| Sealy Corp.* | | | 1,167 | | | | 2,544 | |
| Outdoor Channel Holdings, Inc. | | | 346 | | | | 2,519 | |
| hhgregg, Inc.* | | | 363 | | | | 2,505 | |
| Einstein Noah Restaurant Group, Inc. | | | 138 | | | | 2,441 | |
| New York & Company, Inc.* | | | 632 | | | | 2,370 | |
| Culp, Inc. | | | 200 | | | | 2,352 | |
| Reading International, Inc. — Class A* | | | 390 | | | | 2,301 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 609 | | | | 2,272 | |
| Delta Apparel, Inc.* | | | 163 | | | | 2,245 | |
| Lincoln Educational Services Corp. | | | 526 | | | | 2,209 | |
| MTR Gaming Group, Inc.* | | | 520 | | | | 2,189 | |
| K-Swiss, Inc. — Class A* | | | 616 | | | | 2,113 | |
| Ignite Restaurant Group, Inc.* | | | 150 | | | | 2,091 | |
| Bluegreen Corp.* | | | 330 | | | | 2,072 | |
| Flexsteel Industries, Inc. | | | 100 | | | | 2,070 | |
| Carrols Restaurant Group, Inc.* | | | 353 | | | | 2,033 | |
| Red Lion Hotels Corp.* | | | 321 | | | | 2,006 | |
| Martha Stewart Living | | | | | | | | |
| Omnimedia — Class A | | | 644 | | | | 1,977 | |
| Education Management Corp.* | | | 621 | | | | 1,931 | |
| Geeknet, Inc.* | | | 99 | | | | 1,916 | |
| Nathan’s Famous, Inc.* | | | 60 | | | | 1,887 | |
| Daily Journal Corp.* | | | 20 | | | | 1,875 | |
| Monarch Casino & Resort, Inc.* | | | 207 | | | | 1,803 | |
| Collectors Universe, Inc. | | | 120 | | | | 1,684 | |
| Entravision Communications | | | | | | | | |
| Corp. — Class A | | | 1,176 | | | | 1,576 | |
| Shiloh Industries, Inc. | | | 133 | | | | 1,492 | |
| Premier Exhibitions, Inc.* | | | 600 | | | | 1,422 | |
| Marine Products Corp. | | | 238 | | | | 1,418 | |
| Frisch’s Restaurants, Inc. | | | 70 | | | | 1,390 | |
| 80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Orbitz Worldwide, Inc.* | | | 534 | | | $ | 1,362 | |
| Crown Media Holdings, Inc. — Class A* | | | 801 | | | | 1,338 | |
| Salem Communications Corp. — Class A | | | 230 | | | | 1,205 | |
| National American University | | | | | | | | |
| Holdings, Inc. | | | 237 | | | | 1,185 | |
| US Auto Parts Network, Inc.* | | | 341 | | | | 1,180 | |
| CafePress, Inc.* | | | 110 | | | | 1,002 | |
| Tower International, Inc.* | | | 128 | | | | 987 | |
| Perfumania Holdings, Inc.* | | | 120 | | | | 864 | |
| Orchard Supply Hardware Stores | | | | | | | | |
| Corp. — Class A* | | | 40 | | | | 579 | |
| Beasley Broadcasting Group, | | | | | | | | |
| Inc. — Class A* | | | 100 | | | | 488 | |
| Value Line, Inc. | | | 28 | | | | 273 | |
| Dial Global, Inc.* | | | 98 | | | | 266 | |
| Total Consumer Discretionary | | | | | | | 3,890,772 | |
| Health Care - 9.1% | | | | | | | | |
| Pharmacyclics, Inc.* | | | 1,266 | | | | 81,658 | |
| athenahealth, Inc.* | | | 830 | | | | 76,169 | |
| Cubist Pharmaceuticals, Inc.* | | | 1,465 | | | | 69,851 | |
| HMS Holdings Corp.* | | | 1,993 | | | | 66,626 | |
| Align Technology, Inc.* | | | 1,670 | | | | 61,741 | |
| Seattle Genetics, Inc.*,1 | | | 2,205 | | | | 59,425 | |
| Alkermes plc* | | | 2,843 | | | | 58,992 | |
| Medicis Pharmaceutical Corp. — Class A | | | 1,338 | | | | 57,895 | |
| WellCare Health Plans, Inc.* | | | 998 | | | | 56,437 | |
| Jazz Pharmaceuticals plc* | | | 966 | | | | 55,072 | |
| HealthSouth Corp.* | | | 2,221 | | | | 53,436 | |
| Cepheid, Inc.* | | | 1,517 | | | | 52,352 | |
| ViroPharma, Inc.* | | | 1,616 | | | | 48,836 | |
| STERIS Corp. | | | 1,340 | | | | 47,529 | |
| Haemonetics Corp.* | | | 587 | | | | 47,077 | |
| Centene Corp.* | | | 1,190 | | | | 44,518 | |
| Owens & Minor, Inc. | | | 1,476 | | | | 44,103 | |
| PAREXEL International Corp.* | | | 1,392 | | | | 42,819 | |
| Par Pharmaceutical Companies, Inc.* | | | 848 | | | | 42,383 | |
| West Pharmaceutical Services, Inc. | | | 790 | | | | 41,925 | |
| Vivus, Inc.* | | | 2,310 | | | | 41,164 | |
| Impax Laboratories, Inc.* | | | 1,558 | | | | 40,446 | |
| Arena Pharmaceuticals, Inc.* | | | 4,577 | | | | 38,081 | |
| Theravance, Inc.* | | | 1,409 | | | | 36,507 | |
| Air Methods Corp.* | | | 298 | | | | 35,572 | |
| Volcano Corp.* | | | 1,237 | | | | 35,340 | |
| Cyberonics, Inc.* | | | 641 | | | | 33,600 | |
| Medicines Co.* | | | 1,279 | | | | 33,011 | |
| Isis Pharmaceuticals, Inc.*,1 | | | 2,329 | | | | 32,769 | |
| Magellan Health Services, Inc.* | | | 630 | | | | 32,514 | |
| MWI Veterinary Supply, Inc.* | | | 294 | | | | 31,364 | |
| Chemed Corp. | | | 446 | | | | 30,903 | |
| HeartWare International, Inc.* | | | 326 | | | | 30,804 | |
| Nektar Therapeutics* | | | 2,663 | | | | 28,441 | |
| Immunogen, Inc.* | | | 1,935 | | | | 28,251 | |
| Masimo Corp.* | | | 1,158 | | | | 28,000 | |
| Auxilium Pharmaceuticals, Inc.* | | | 1,122 | | | | 27,444 | |
| PSS World Medical, Inc.* | | | 1,172 | | | | 26,698 | |
| PDL BioPharma, Inc. | | | 3,244 | | | | 24,946 | |
| Insulet Corp.* | | | 1,113 | | | | 24,019 | |
| MedAssets, Inc.* | | | 1,348 | | | | 23,994 | |
| DexCom, Inc.* | | | 1,592 | | | | 23,928 | |
| Acorda Therapeutics, Inc.* | | | 926 | | | | 23,715 | |
| Neogen Corp.* | | | 546 | | | | 23,314 | |
| NuVasive, Inc.* | | | 1,005 | | | | 23,025 | |
| Questcor Pharmaceuticals, Inc.*,1 | | | 1,243 | | | | 22,996 | |
| Hanger, Inc.* | | | 787 | | | | 22,453 | |
| Ironwood Pharmaceuticals, | | | | | | | | |
| Inc. — Class A* | | | 1,745 | | | | 22,301 | |
| Analogic Corp. | | | 280 | | | | 21,888 | |
| Medidata Solutions, Inc.* | | | 520 | | | | 21,580 | |
| Amsurg Corp. — Class A* | | | 737 | | | | 20,916 | |
| ArthroCare Corp.* | | | 642 | | | | 20,801 | |
| Alnylam Pharmaceuticals, Inc.* | | | 1,075 | | | | 20,199 | |
| Wright Medical Group, Inc.* | | | 910 | | | | 20,120 | |
| Orthofix International N.V.* | | | 433 | | | | 19,377 | |
| Dynavax Technologies Corp.* | | | 4,041 | | | | 19,235 | |
| Sunrise Senior Living, Inc.* | | | 1,347 | | | | 19,222 | |
| Luminex Corp.* | | | 969 | | | | 18,837 | |
| Integra LifeSciences Holdings Corp.* | | | 456 | | | | 18,742 | |
| CONMED Corp. | | | 653 | | | | 18,611 | |
| NPS Pharmaceuticals, Inc.* | | | 2,000 | | | | 18,500 | |
| Meridian Bioscience, Inc. | | | 954 | | | | 18,298 | |
| Abaxis, Inc.* | | | 503 | | | | 18,068 | |
| Team Health Holdings, Inc.* | | | 663 | | | | 17,987 | |
| Endologix, Inc.* | | | 1,286 | | | | 17,773 | |
| IPC The Hospitalist Company, Inc.* | | | 387 | | | | 17,686 | |
| Affymax, Inc.* | | | 835 | | | | 17,585 | |
| Molina Healthcare, Inc.* | | | 699 | | | | 17,580 | |
| ICU Medical, Inc.* | | | 289 | | | | 17,479 | |
| Akorn, Inc.* | | | 1,315 | | | | 17,384 | |
| Dendreon Corp.*,1 | | | 3,570 | | | | 17,243 | |
| Rigel Pharmaceuticals, Inc.* | | | 1,656 | | | | 16,974 | |
| Quality Systems, Inc. | | | 914 | | | | 16,955 | |
| Exelixis, Inc.* | | | 3,445 | | | | 16,605 | |
| ABIOMED, Inc.* | | | 778 | | | | 16,330 | |
| Bio-Reference Labs, Inc.* | | | 571 | | | | 16,319 | |
| Spectrum Pharmaceuticals, Inc.* | | | 1,385 | | | | 16,205 | |
| Momenta Pharmaceuticals, Inc.* | | | 1,089 | | | | 15,867 | |
| Halozyme Therapeutics, Inc.* | | | 2,085 | | | | 15,763 | |
| Optimer Pharmaceuticals, Inc.* | | | 1,090 | | | | 15,391 | |
| NxStage Medical, Inc.* | | | 1,146 | | | | 15,139 | |
| Emeritus Corp.* | | | 715 | | | | 14,972 | |
| Conceptus, Inc.* | | | 732 | | | | 14,867 | |
| MAKO Surgical Corp.* | | | 840 | | | | 14,624 | |
| Exact Sciences Corp.* | | | 1,328 | | | | 14,621 | |
| Merit Medical Systems, Inc.* | | | 978 | | | | 14,602 | |
| Accretive Health, Inc.* | | | 1,303 | | | | 14,541 | |
| Computer Programs & Systems, Inc. | | | 258 | | | | 14,332 | |
| Kindred Healthcare, Inc.* | | | 1,229 | | | | 13,986 | |
| OraSure Technologies, Inc.* | | | 1,254 | | | | 13,944 | |
| InterMune, Inc.* | | | 1,519 | | | | 13,625 | |
| Cantel Medical Corp. | | | 493 | | | | 13,350 | |
| Greatbatch, Inc.* | | | 546 | | | | 13,284 | |
| Landauer, Inc. | | | 222 | | | | 13,258 | |
| Genomic Health, Inc.* | | | 375 | | | | 13,009 | |
| Achillion Pharmaceuticals, Inc.* | | | 1,238 | | | | 12,888 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Synageva BioPharma Corp.* | | | 240 | | | $ | 12,823 | |
| HealthStream, Inc.* | | | 450 | | | | 12,807 | |
| Acadia Healthcare Company, Inc.* | | | 530 | | | | 12,641 | |
| Ensign Group, Inc. | | | 405 | | | | 12,395 | |
| Quidel Corp.* | | | 651 | | | | 12,323 | |
| Neurocrine Biosciences, Inc.* | | | 1,535 | | | | 12,249 | |
| Array BioPharma, Inc.* | | | 2,072 | | | | 12,142 | |
| National Healthcare Corp. | | | 249 | | | | 11,887 | |
| Accuray, Inc.* | | | 1,655 | | | | 11,717 | |
| Spectranetics Corp.* | | | 791 | | | | 11,667 | |
| Santarus, Inc.* | | | 1,274 | | | | 11,313 | |
| Omnicell, Inc.* | | | 774 | | | | 10,759 | |
| Lexicon Pharmaceuticals, Inc.* | | | 4,610 | | | | 10,695 | |
| Infinity Pharmaceuticals, Inc.* | | | 449 | | | | 10,574 | |
| Invacare Corp. | | | 739 | | | | 10,449 | |
| Opko Health, Inc.*,1 | | | 2,482 | | | | 10,375 | |
| ExamWorks Group, Inc.* | | | 678 | | | | 10,116 | |
| AVANIR Pharmaceuticals, Inc. — Class A* | | | 3,144 | | | | 10,061 | |
| Amedisys, Inc.* | | | 696 | | | | 9,612 | |
| AMN Healthcare Services, Inc.* | | | 947 | | | | 9,527 | |
| Metropolitan Health Networks, Inc.* | | | 1,020 | | | | 9,527 | |
| XenoPort, Inc.* | | | 828 | | | | 9,489 | |
| AVEO Pharmaceuticals, Inc.* | | | 902 | | | | 9,390 | |
| Sequenom, Inc.* | | | 2,657 | | | | 9,379 | |
| Capital Senior Living Corp.* | | | 648 | | | | 9,377 | |
| Triple-S Management Corp. — Class B* | | | 447 | | | | 9,342 | |
| BioScrip, Inc.* | | | 1,015 | | | | 9,247 | |
| Antares Pharma, Inc.*,1 | | | 2,116 | | | | 9,226 | |
| Select Medical Holdings Corp.* | | | 810 | | | | 9,096 | |
| Vanguard Health Systems, Inc.* | | | 734 | | | | 9,080 | |
| Healthways, Inc.* | | | 770 | | | | 9,017 | |
| MAP Pharmaceuticals, Inc.* | | | 578 | | | | 8,999 | |
| Natus Medical, Inc.* | | | 687 | | | | 8,979 | |
| Atrion Corp. | | | 40 | | | | 8,860 | |
| AMAG Pharmaceuticals, Inc.* | | | 499 | | | | 8,852 | |
| PharMerica Corp.* | | | 687 | | | | 8,697 | |
| Aegerion Pharmaceuticals, Inc.* | | | 584 | | | | 8,655 | |
| Celldex Therapeutics, Inc.* | | | 1,359 | | | | 8,562 | |
| Emergent Biosolutions, Inc.* | | | 599 | | | | 8,512 | |
| ZIOPHARM Oncology, Inc.* | | | 1,547 | | | | 8,431 | |
| Symmetry Medical, Inc.* | | | 849 | | | | 8,397 | |
| Fluidigm Corp.* | | | 479 | | | | 8,143 | |
| Universal American Corp.* | | | 876 | | | | 8,094 | |
| Cambrex Corp.* | | | 689 | | | | 8,082 | |
| Hi-Tech Pharmacal Company, Inc.* | | | 244 | | | | 8,079 | |
| Orexigen Therapeutics, Inc.* | | | 1,400 | | | | 7,994 | |
| Gentiva Health Services, Inc.* | | | 706 | | | | 7,992 | |
| Idenix Pharmaceuticals, Inc.* | | | 1,730 | | | | 7,906 | |
| Depomed, Inc.* | | | 1,297 | | | | 7,665 | |
| US Physical Therapy, Inc. | | | 277 | | | | 7,654 | |
| Vical, Inc.* | | | 1,759 | | | | 7,599 | |
| Curis, Inc.* | | | 1,832 | | | | 7,584 | |
| MannKind Corp.*,1 | | | 2,621 | | | | 7,548 | |
| Threshold Pharmaceuticals, Inc.* | | | 1,040 | | | | 7,530 | |
| Sangamo Biosciences, Inc.* | | | 1,219 | | | | 7,412 | |
| Pacira Pharmaceuticals, Inc.* | | | 424 | | | | 7,378 | |
| SciClone Pharmaceuticals, Inc.* | | | 1,316 | | | | 7,304 | |
| IRIS International, Inc.* | | | 365 | | | | 7,125 | |
| SurModics, Inc.* | | | 351 | | | | 7,097 | |
| Affymetrix, Inc.* | | | 1,638 | | | | 7,093 | |
| Arqule, Inc.* | | | 1,367 | | | | 6,985 | |
| AngioDynamics, Inc.* | | | 571 | | | | 6,966 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 404 | | | | 6,929 | |
| Endocyte, Inc.* | | | 685 | | | | 6,829 | |
| Oncothyreon, Inc.* | | | 1,326 | | | | 6,816 | |
| Enzon Pharmaceuticals, Inc.* | | | 977 | | | | 6,800 | |
| LHC Group, Inc.* | | | 365 | | | | 6,742 | |
| Tornier N.V.* | | | 352 | | | | 6,670 | |
| Astex Pharmaceuticals* | | | 2,159 | | | | 6,628 | |
| Synta Pharmaceuticals Corp.* | | | 864 | | | | 6,584 | |
| Clovis Oncology, Inc.* | | | 320 | | | | 6,544 | |
| Staar Surgical Co.* | | | 847 | | | | 6,403 | |
| Raptor Pharmaceutical Corp.* | | | 1,136 | | | | 6,316 | |
| Corvel Corp.* | | | 140 | | | | 6,265 | |
| Navidea Biopharmaceuticals, Inc.*,1 | | | 2,240 | | | | 6,160 | |
| Dyax Corp.* | | | 2,292 | | | | 5,959 | |
| Cynosure, Inc. — Class A* | | | 223 | | | | 5,883 | |
| XOMA Corp.* | | | 1,580 | | | | 5,830 | |
| Unilife Corp.* | | | 1,868 | | | | 5,828 | |
| Novavax, Inc.* | | | 2,685 | | | | 5,800 | |
| Omeros Corp.* | | | 600 | | | | 5,640 | |
| Vascular Solutions, Inc.* | | | 377 | | | | 5,583 | |
| Cytori Therapeutics, Inc.* | | | 1,264 | | | | 5,574 | |
| Cadence Pharmaceuticals, Inc.* | | | 1,397 | | | | 5,476 | |
| RTI Biologics, Inc.* | | | 1,300 | | | | 5,421 | |
| Immunomedics, Inc.* | | | 1,532 | | | | 5,377 | |
| Obagi Medical Products, Inc.* | | | 433 | | | | 5,374 | |
| Merge Healthcare, Inc.* | | | 1,368 | | | | 5,239 | |
| Geron Corp.* | | | 3,069 | | | | 5,217 | |
| Repros Therapeutics, Inc.* | | | 340 | | | | 5,178 | |
| Epocrates, Inc.* | | | 436 | | | | 5,079 | |
| Five Star Quality Care, Inc.* | | | 984 | | | | 5,028 | |
| Sun Healthcare Group, Inc.* | | | 591 | | | | 5,003 | |
| Vocera Communications, Inc.* | | | 160 | | | | 4,946 | |
| Young Innovations, Inc. | | | 126 | | | | 4,927 | |
| BioCryst Pharmaceuticals, Inc.* | | | 1,138 | | | | 4,825 | |
| NewLink Genetics Corp.* | | | 295 | | | | 4,788 | |
| OncoGenex Pharmaceutical, Inc.* | | | 336 | | | | 4,761 | |
| Keryx Biopharmaceuticals, Inc.* | | | 1,650 | | | | 4,653 | |
| Synergy Pharmaceuticals, Inc.* | | | 950 | | | | 4,541 | |
| Cardiovascular Systems, Inc.* | | | 389 | | | | 4,497 | |
| Solta Medical, Inc.* | | | 1,429 | | | | 4,487 | |
| Pain Therapeutics, Inc.* | | | 877 | | | | 4,429 | |
| Cerus Corp.* | | | 1,263 | | | | 4,294 | |
| CryoLife, Inc. | | | 639 | | | | 4,294 | |
| Repligen Corp.* | | | 720 | | | | 4,291 | |
| Palomar Medical Technologies, Inc.* | | | 450 | | | | 4,248 | |
| PhotoMedex, Inc.* | | | 300 | | | | 4,218 | |
| Osiris Therapeutics, Inc.* | | | 378 | | | | 4,177 | |
| Pozen, Inc.* | | | 615 | | | | 4,077 | |
| Anika Therapeutics, Inc.* | | | 270 | | | | 4,055 | |
| Almost Family, Inc.* | | | 190 | | | | 4,043 | |
| Providence Service Corp.* | | | 306 | | | | 3,975 | |
| Rockwell Medical Technologies, Inc.* | | | 484 | | | | 3,954 | |
| Amicus Therapeutics, Inc.* | | | 701 | | | | 3,645 | |
| Sunesis Pharmaceuticals, Inc.* | | | 627 | | | | 3,543 | |
| 82 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Dusa Pharmaceuticals, Inc.* | | | 517 | | | $ | 3,510 | |
| Exactech, Inc.* | | | 196 | | | | 3,495 | |
| Sagent Pharmaceuticals, Inc.* | | | 216 | | | | 3,445 | |
| Assisted Living Concepts, Inc. — Class A | | | 445 | | | | 3,395 | |
| Zogenix, Inc.* | | | 1,261 | | | | 3,354 | |
| Trius Therapeutics, Inc.* | | | 575 | | | | 3,352 | |
| Discovery Laboratories, Inc.* | | | 1,010 | | | | 3,313 | |
| Merrimack Pharmaceuticals, Inc.* | | | 350 | | | | 3,283 | |
| Greenway Medical Technologies* | | | 188 | | | | 3,215 | |
| Furiex Pharmaceuticals, Inc.* | | | 168 | | | | 3,205 | |
| Corcept Therapeutics, Inc.* | | | 1,137 | | | | 3,172 | |
| BioDelivery Sciences International, Inc.* | | | 490 | | | | 3,097 | |
| Targacept, Inc.* | | | 629 | | | | 3,076 | |
| Cross Country Healthcare, Inc.* | | | 635 | | | | 2,997 | |
| Biotime, Inc.* | | | 703 | | | | 2,953 | |
| Rochester Medical Corp.* | | | 250 | | | | 2,953 | |
| Skilled Healthcare Group, Inc. — Class A* | | | 446 | | | | 2,868 | |
| GTx, Inc.* | | | 618 | | | | 2,830 | |
| National Research Corp. | | | 56 | | | | 2,815 | |
| Chindex International, Inc.* | | | 272 | | | | 2,810 | |
| Utah Medical Products, Inc. | | | 80 | | | | 2,719 | |
| Vanda Pharmaceuticals, Inc.* | | | 653 | | | | 2,632 | |
| SIGA Technologies, Inc.* | | | 814 | | | | 2,605 | |
| ImmunoCellular Therapeutics Ltd.* | | | 920 | | | | 2,585 | |
| AtriCure, Inc.* | | | 341 | | | | 2,537 | |
| Hansen Medical, Inc.* | | | 1,277 | | | | 2,490 | |
| Agenus, Inc.* | | | 530 | | | | 2,443 | |
| Harvard Bioscience, Inc.* | | | 576 | | | | 2,436 | |
| Ampio Pharmaceuticals, Inc.* | | | 591 | | | | 2,305 | |
| Biospecifics Technologies Corp.* | | | 113 | | | | 2,194 | |
| Zeltiq Aesthetics, Inc.* | | | 389 | | | | 2,194 | |
| Anacor Pharmaceuticals, Inc.* | | | 332 | | | | 2,185 | |
| Derma Sciences, Inc.* | | | 210 | | | | 2,180 | |
| EnteroMedics, Inc.* | | | 590 | | | | 2,154 | |
| Coronado Biosciences, Inc.* | | | 410 | | | | 2,132 | |
| Alphatec Holdings, Inc.* | | | 1,267 | | | | 2,091 | |
| Progenics Pharmaceuticals, Inc.* | | | 706 | | | | 2,026 | |
| Codexis, Inc.* | | | 609 | | | | 1,845 | |
| PDI, Inc.* | | | 230 | | | | 1,833 | |
| Lannett Company, Inc.* | | | 375 | | | | 1,811 | |
| Cumberland Pharmaceuticals, Inc.* | | | 280 | | | | 1,809 | |
| Mediware Information Systems* | | | 80 | | | | 1,753 | |
| Maxygen, Inc. | | | 642 | | | | 1,695 | |
| Horizon Pharma, Inc.* | | | 487 | | | | 1,690 | |
| Pacific Biosciences of California, Inc.* | | | 858 | | | | 1,570 | |
| Transcept Pharmaceuticals, Inc.* | | | 295 | | | | 1,566 | |
| Pernix Therapeutics Holdings* | | | 206 | | | | 1,535 | |
| ChemoCentryx, Inc.* | | | 125 | | | | 1,454 | |
| Verastem, Inc.* | | | 142 | | | | 1,333 | |
| Sucampo Pharmaceuticals, | | | | | | | | |
| Inc. — Class A* | | | 251 | | | | 1,263 | |
| Ventrus Biosciences, Inc.* | | | 290 | | | | 1,038 | |
| Cornerstone Therapeutics, Inc.* | | | 199 | | | | 1,021 | |
| BG Medicine, Inc.* | | | 254 | | | | 935 | |
| Supernus Pharmaceuticals, Inc.* | | | 80 | | | | 924 | |
| Cempra, Inc.* | | | 98 | | | | 730 | |
| Acura Pharmaceuticals, Inc.* | | | 277 | | | | 482 | |
| Biolase, Inc.* | | | 1 | | | | 2 | |
| Total Health Care | | | | | | | 3,728,660 | |
| Energy - 4.2% | | | | | | | | |
| Dril-Quip, Inc.* | | | 934 | | | | 67,136 | |
| Energy XXI Bermuda Ltd. | | | 1,832 | | | | 64,028 | |
| Rosetta Resources, Inc.* | | | 1,226 | | | | 58,725 | |
| Kodiak Oil & Gas Corp.* | | | 6,114 | | | | 57,227 | |
| Oasis Petroleum, Inc.* | | | 1,853 | | | | 54,608 | |
| Berry Petroleum Co. — Class A | | | 1,215 | | | | 49,365 | |
| Helix Energy Solutions Group, Inc.* | | | 2,446 | | | | 44,688 | |
| Bristow Group, Inc. | | | 830 | | | | 41,957 | |
| Lufkin Industries, Inc. | | | 776 | | | | 41,764 | |
| Gulfport Energy Corp.* | | | 1,288 | | | | 40,263 | |
| SemGroup Corp. — Class A* | | | 973 | | | | 35,856 | |
| Western Refining, Inc. | | | 1,328 | | | | 34,766 | |
| Targa Resources Corp. | | | 677 | | | | 34,080 | |
| Arch Coal, Inc. | | | 4,920 | | | | 31,144 | |
| Exterran Holdings, Inc.* | | | 1,505 | | | | 30,521 | |
| Hornbeck Offshore Services, Inc.* | | | 815 | | | | 29,870 | |
| Stone Energy Corp.* | | | 1,148 | | | | 28,838 | |
| Bill Barrett Corp.* | | | 1,120 | | | | 27,742 | |
| McMoRan Exploration Co.* | | | 2,349 | | | | 27,601 | |
| Cloud Peak Energy, Inc.* | | | 1,413 | | | | 25,575 | |
| Northern Oil and Gas, Inc.* | | | 1,472 | | | | 25,009 | |
| Key Energy Services, Inc.* | | | 3,502 | | | | 24,514 | |
| Forest Oil Corp.* | | | 2,730 | | | | 23,069 | |
| Carrizo Oil & Gas, Inc.* | | | 921 | | | | 23,034 | |
| PDC Energy, Inc.* | | | 692 | | | | 21,888 | |
| ION Geophysical Corp.* | | | 3,064 | | | | 21,264 | |
| Swift Energy Co.* | | | 994 | | | | 20,755 | |
| Gulfmark Offshore, Inc. — Class A* | | | 625 | | | | 20,650 | |
| C&J Energy Services, Inc.* | | | 1,030 | | | | 20,497 | |
| Comstock Resources, Inc.* | | | 1,111 | | | | 20,420 | |
| Clean Energy Fuels Corp.* | | | 1,535 | | | | 20,215 | |
| Approach Resources, Inc.* | | | 670 | | | | 20,187 | |
| Halcon Resources Corp.* | | | 2,583 | | | | 18,933 | |
| Geospace Technologies Corp.* | | | 147 | | | | 17,994 | |
| Hercules Offshore, Inc.* | | | 3,679 | | | | 17,954 | |
| Ship Finance International Ltd. | | | 1,050 | | | | 16,506 | |
| Newpark Resources, Inc.* | | | 2,082 | | | | 15,428 | |
| Magnum Hunter Resources Corp.* | | | 3,422 | | | | 15,194 | |
| W&T Offshore, Inc. | | | 802 | | | | 15,062 | |
| Contango Oil & Gas Co.* | | | 299 | | | | 14,693 | |
| CVR Energy, Inc.* | | | 389 | | | | 14,295 | |
| Rex Energy Corp.* | | | 1,005 | | | | 13,417 | |
| Crosstex Energy, Inc. | | | 947 | | | | 13,286 | |
| Heckmann Corp.*,1 | | | 3,106 | | | | 13,045 | |
| EPL Oil & Gas, Inc.* | | | 642 | | | | 13,026 | |
| Rentech, Inc.* | | | 5,295 | | | | 13,026 | |
| Forum Energy Technologies, Inc.* | | | 510 | | | | 12,403 | |
| Nordic American Tankers Ltd. | | | 1,230 | | | | 12,398 | |
| Parker Drilling Co.* | | | 2,731 | | | | 11,552 | |
| Vaalco Energy, Inc.* | | | 1,343 | | | | 11,483 | |
| Pioneer Energy Services Corp.* | | | 1,432 | | | | 11,155 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Quicksilver Resources, Inc.* | | | 2,720 | | | $ | 11,125 | |
| TETRA Technologies, Inc.* | | | 1,803 | | | | 10,908 | |
| Endeavour International Corp.* | | | 1,076 | | | | 10,405 | |
| Delek US Holdings, Inc. | | | 395 | | | | 10,069 | |
| Resolute Energy Corp.* | | | 1,124 | | | | 9,970 | |
| PHI, Inc.* | | | 301 | | | | 9,469 | |
| Gulf Island Fabrication, Inc. | | | 331 | | | | 9,225 | |
| FX Energy, Inc.* | | | 1,232 | | | | 9,191 | |
| Petroquest Energy, Inc.* | | | 1,316 | | | | 8,830 | |
| Solazyme, Inc.* | | | 757 | | | | 8,690 | |
| Vantage Drilling Co.*,1 | | | 4,438 | | | | 8,166 | |
| Venoco, Inc.* | | | 683 | | | | 8,114 | |
| Basic Energy Services, Inc.* | | | 717 | | | | 8,045 | |
| Harvest Natural Resources, Inc.* | | | 862 | | | | 7,689 | |
| Goodrich Petroleum Corp.*,1 | | | 604 | | | | 7,635 | |
| Tesco Corp.* | | | 703 | | | | 7,508 | |
| Triangle Petroleum Corp.* | | | 1,022 | | | | 7,318 | |
| Clayton Williams Energy, Inc.* | | | 139 | | | | 7,213 | |
| BPZ Resources, Inc.* | | | 2,429 | | | | 6,947 | |
| Penn Virginia Corp. | | | 1,061 | | | | 6,578 | |
| GasLog Ltd.* | | | 550 | | | | 6,369 | |
| Matrix Service Co.* | | | 599 | | | | 6,331 | |
| KiOR, Inc. — Class A* | | | 614 | | | | 5,710 | |
| Callon Petroleum Co.* | | | 919 | | | | 5,652 | |
| Sanchez Energy Corp.* | | | 270 | | | | 5,516 | |
| Teekay Tankers Ltd. — Class A | | | 1,465 | | | | 5,479 | |
| RigNet, Inc.* | | | 287 | | | | 5,310 | |
| Bonanza Creek Energy, Inc.* | | | 225 | | | | 5,301 | |
| Scorpio Tankers, Inc.* | | | 872 | | | | 5,232 | |
| Uranium Energy Corp.* | | | 1,962 | | | | 5,121 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 166 | | | | 5,091 | |
| Warren Resources, Inc.* | | | 1,664 | | | | 5,059 | |
| Willbros Group, Inc.* | | | 903 | | | | 4,849 | |
| Midstates Petroleum Company, Inc.* | | | 560 | | | | 4,844 | |
| Mitcham Industries, Inc.* | | | 290 | | | | 4,620 | |
| Frontline Ltd. | | | 1,196 | | | | 4,593 | |
| Dawson Geophysical Co.* | | | 181 | | | | 4,572 | |
| Abraxas Petroleum Corp.* | | | 1,911 | | | | 4,395 | |
| Natural Gas Services Group, Inc.* | | | 281 | | | | 4,201 | |
| Synergy Resources Corp.* | | | 910 | | | | 3,795 | |
| Overseas Shipholding Group, Inc. | | | 572 | | | | 3,775 | |
| Knightsbridge Tankers Ltd. | | | 564 | | | | 3,694 | |
| Miller Energy Resources, Inc.* | | | 683 | | | | 3,435 | |
| Cal Dive International, Inc.* | | | 2,226 | | | | 3,406 | |
| Apco Oil and Gas International, Inc. | | | 210 | | | | 3,379 | |
| Green Plains Renewable Energy, Inc.* | | | 574 | | | | 3,364 | |
| Matador Resources Co.* | | | 323 | | | | 3,356 | |
| Isramco, Inc.* | | | 27 | | | | 3,132 | |
| Evolution Petroleum Corp.* | | | 380 | | | | 3,070 | |
| Alon USA Energy, Inc. | | | 224 | | | | 3,069 | |
| Bolt Technology Corp. | | | 200 | | | | 2,876 | |
| Saratoga Resources, Inc.* | | | 470 | | | | 2,576 | |
| Westmoreland Coal Co.* | | | 256 | | | | 2,542 | |
| Uranerz Energy Corp.* | | | 1,532 | | | | 2,497 | |
| Global Geophysical Services, Inc.* | | | 452 | | | | 2,491 | |
| TGC Industries, Inc.* | | | 340 | | | | 2,448 | |
| Amyris, Inc.* | | | 704 | | | | 2,422 | |
| CREDO Petroleum Corp.* | | | 160 | | | | 2,318 | |
| REX American Resources Corp.* | | | 127 | | | | 2,287 | |
| Gastar Exploration Ltd.* | | | 1,371 | | | | 2,276 | |
| Crimson Exploration, Inc.* | | | 490 | | | | 2,092 | |
| Union Drilling, Inc.* | | | 321 | | | | 2,083 | |
| ZaZa Energy Corp.* | | | 580 | | | | 1,723 | |
| Adams Resources & Energy, Inc. | | | 50 | | | | 1,525 | |
| Gevo, Inc.* | | | 712 | | | | 1,517 | |
| Hallador Energy Co. | | | 155 | | | | 1,291 | |
| Forbes Energy Services Ltd.* | | | 340 | | | | 1,190 | |
| Renewable Energy Group, Inc.* | | | 167 | | | | 1,111 | |
| Emerald Oil, Inc.* | | | 1,113 | | | | 924 | |
| Ceres, Inc.* | | | 135 | | | | 767 | |
| Total Energy | | | | | | | 1,705,877 | |
| Materials - 3.4% | | | | | | | | |
| Coeur d’Alene Mines Corp.* | | | 2,088 | | | | 60,197 | |
| Eagle Materials, Inc. | | | 1,053 | | | | 48,711 | |
| Hecla Mining Co. | | | 6,617 | | | | 43,341 | |
| Sensient Technologies Corp. | | | 1,158 | | | | 42,567 | |
| Olin Corp. | | | 1,860 | | | | 40,418 | |
| Louisiana-Pacific Corp.* | | | 3,187 | | | | 39,837 | |
| Chemtura Corp.* | | | 2,286 | | | | 39,365 | |
| HB Fuller Co. | | | 1,157 | | | | 35,497 | |
| PolyOne Corp. | | | 2,079 | | | | 34,449 | |
| Stillwater Mining Co.* | | | 2,683 | | | | 31,633 | |
| Buckeye Technologies, Inc. | | | 916 | | | | 29,367 | |
| Minerals Technologies, Inc. | | | 407 | | | | 28,869 | |
| Georgia Gulf Corp. | | | 793 | | | | 28,723 | |
| Worthington Industries, Inc. | | | 1,213 | | | | 26,273 | |
| SunCoke Energy, Inc.* | | | 1,620 | | | | 26,115 | |
| Kaiser Aluminum Corp. | | | 443 | | | | 25,867 | |
| Balchem Corp. | | | 679 | | | | 24,940 | |
| Resolute Forest Products* | | | 1,880 | | | | 24,440 | |
| Innophos Holdings, Inc. | | | 502 | | | | 24,342 | |
| Schweitzer-Mauduit International, Inc. | | | 726 | | | | 23,951 | |
| Graphic Packaging Holding Co.* | | | 3,885 | | | | 22,572 | |
| American Vanguard Corp. | | | 646 | | | | 22,481 | |
| Clearwater Paper Corp.* | | | 543 | | | | 22,431 | |
| Globe Specialty Metals, Inc. | | | 1,424 | | | | 21,673 | |
| Texas Industries, Inc. | | | 524 | | | | 21,301 | |
| McEwen Mining, Inc.* | | | 4,576 | | | | 21,004 | |
| KapStone Paper and Packaging Corp.* | | | 937 | | | | 20,979 | |
| Boise, Inc. | | | 2,336 | | | | 20,463 | |
| AMCOL International Corp. | | | 582 | | | | 19,718 | |
| Kraton Performance Polymers, Inc.* | | | 749 | | | | 19,549 | |
| LSB Industries, Inc.* | | | 438 | | | | 19,215 | |
| Calgon Carbon Corp.* | | | 1,317 | | | | 18,846 | |
| Stepan Co. | | | 191 | | | | 18,359 | |
| Innospec, Inc.* | | | 532 | | | | 18,045 | |
| PH Glatfelter Co. | | | 991 | | | | 17,650 | |
| Koppers Holdings, Inc. | | | 484 | | | | 16,906 | |
| RTI International Metals, Inc.* | | | 702 | | | | 16,806 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 590 | | | | 16,609 | |
| Deltic Timber Corp. | | | 252 | | | | 16,446 | |
| A. Schulman, Inc. | | | 684 | | | | 16,293 | |
| Gold Resource Corp. | | | 693 | | | | 14,865 | |
| Haynes International, Inc. | | | 281 | | | | 14,654 | |
| 84 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| Flotek Industries, Inc.* | | | 1,144 | | | $ | 14,494 | |
| Quaker Chemical Corp. | | | 301 | | | | 14,048 | |
| OM Group, Inc.* | | | 748 | | | | 13,868 | |
| AK Steel Holding Corp. | | | 2,570 | | | | 12,336 | |
| Myers Industries, Inc. | | | 781 | | | | 12,199 | |
| TPC Group, Inc.* | | | 295 | | | | 12,039 | |
| Golden Star Resources Ltd.*,1 | | | 6,007 | | | | 11,834 | |
| Materion Corp. | | | 474 | | | | 11,281 | |
| Neenah Paper, Inc. | | | 368 | | | | 10,540 | |
| Tredegar Corp. | | | 556 | | | | 9,863 | |
| Horsehead Holding Corp.* | | | 1,019 | | | | 9,517 | |
| Wausau Paper Corp. | | | 1,020 | | | | 9,445 | |
| Headwaters, Inc.* | | | 1,412 | | | | 9,291 | |
| Hawkins, Inc. | | | 209 | | | | 8,684 | |
| Century Aluminum Co.* | | | 1,198 | | | | 8,566 | |
| OMNOVA Solutions, Inc.* | | | 1,071 | | | | 8,107 | |
| Paramount Gold and Silver Corp.*,1 | | | 3,025 | | | | 8,047 | |
| Zep, Inc. | | | 516 | | | | 7,802 | |
| Ferro Corp.* | | | 2,007 | | | | 6,884 | |
| Landec Corp.* | | | 588 | | | | 6,733 | |
| AEP Industries, Inc.* | | | 97 | | | | 5,877 | |
| Universal Stainless & Alloy* | | | 155 | | | | 5,758 | |
| FutureFuel Corp. | | | 451 | | | | 5,462 | |
| Noranda Aluminum Holding Corp. | | | 773 | | | | 5,171 | |
| ADA-ES, Inc.* | | | 210 | | | | 4,958 | |
| General Moly, Inc.* | | | 1,551 | | | | 4,917 | |
| Zoltek Companies, Inc.* | | | 639 | | | | 4,914 | |
| Vista Gold Corp.* | | | 1,352 | | | | 4,908 | |
| Midway Gold Corp.* | | | 2,961 | | | | 4,856 | |
| AM Castle & Co.* | | | 388 | | | | 4,846 | |
| Arabian American Development Co.* | | | 460 | | | | 4,503 | |
| Gold Reserve, Inc. — Class A* | | | 1,210 | | | | 3,920 | |
| Spartech Corp.* | | | 716 | | | | 3,831 | |
| US Silica Holdings, Inc.* | | | 277 | | | | 3,756 | |
| Metals USA Holdings Corp.* | | | 274 | | | | 3,663 | |
| Olympic Steel, Inc. | | | 209 | | | | 3,528 | |
| Golden Minerals Co.* | | | 665 | | | | 3,471 | |
| KMG Chemicals, Inc. | | | 182 | | | | 3,367 | |
| Chase Corp. | | | 152 | | | | 2,792 | |
| US Antimony Corp.* | | | 1,250 | | | | 2,438 | |
| UFP Technologies, Inc.* | | | 130 | | | | 2,287 | |
| Revett Minerals, Inc.* | | | 589 | | | | 2,097 | |
| United States Lime & Minerals, Inc.* | | | 41 | | | | 1,977 | |
| Handy & Harman Ltd.* | | | 125 | | | | 1,848 | |
| GSE Holding, Inc.* | | | 191 | | | | 1,499 | |
| Total Materials | | | | | | | 1,397,989 | |
| Utilities - 2.5% | | | | | | | | |
| Cleco Corp. | | | 1,412 | | | | 59,276 | |
| Piedmont Natural Gas Company, Inc. | | | 1,659 | | | | 53,884 | |
| IDACORP, Inc. | | | 1,157 | | | | 50,063 | |
| WGL Holdings, Inc. | | | 1,192 | | | | 47,978 | |
| Southwest Gas Corp. | | | 1,072 | | | | 47,382 | |
| Portland General Electric Co. | | | 1,751 | | | | 47,347 | |
| GenOn Energy, Inc.* | | | 17,930 | | | | 45,362 | |
| New Jersey Resources Corp. | | | 964 | | | | 44,074 | |
| UIL Holdings Corp. | | | 1,174 | | | | 42,100 | |
| Atlantic Power Corp. | | | 2,634 | | | | 39,405 | |
| UNS Energy Corp. | | | 929 | | | | 38,888 | |
| PNM Resources, Inc. | | | 1,845 | | | | 38,800 | |
| South Jersey Industries, Inc. | | | 703 | | | | 37,210 | |
| ALLETE, Inc. | | | 885 | | | | 36,940 | |
| Black Hills Corp. | | | 1,023 | | | | 36,388 | |
| Avista Corp. | | | 1,359 | | | | 34,981 | |
| El Paso Electric Co. | | | 933 | | | | 31,955 | |
| Northwest Natural Gas Co. | | | 624 | | | | 30,726 | |
| NorthWestern Corp. | | | 843 | | | | 30,542 | |
| MGE Energy, Inc. | | | 540 | | | | 28,615 | |
| CH Energy Group, Inc. | | | 347 | | | | 22,628 | |
| Laclede Group, Inc. | | | 521 | | | | 22,403 | |
| Empire District Electric Co. | | | 973 | | | | 20,968 | |
| Otter Tail Corp. | | | 842 | | | | 20,090 | |
| American States Water Co. | | | 438 | | | | 19,461 | |
| California Water Service Group | | | 976 | | | | 18,202 | |
| Chesapeake Utilities Corp. | | | 223 | | | | 10,561 | |
| Unitil Corp. | | | 314 | | | | 8,547 | |
| SJW Corp. | | | 330 | | | | 8,369 | |
| Ormat Technologies, Inc. | | | 414 | | | | 7,763 | |
| Middlesex Water Co. | | | 363 | | | | 6,955 | |
| Connecticut Water Service, Inc. | | | 197 | | | | 6,284 | |
| York Water Co. | | | 294 | | | | 5,392 | |
| Artesian Resources Corp. — Class A | | | 169 | | | | 3,926 | |
| Delta Natural Gas Company, Inc. | | | 160 | | | | 3,098 | |
| Cadiz, Inc.* | | | 300 | | | | 2,913 | |
| Consolidated Water Company Ltd. | | | 333 | | | | 2,754 | |
| Genie Energy Ltd. — Class B | | | 349 | | | | 2,502 | |
| American DG Energy, Inc.* | | | 560 | | | | 1,450 | |
| Total Utilities | | | | | | | 1,016,182 | |
| Consumer Staples - 2.5% | | | | | | | | |
| United Natural Foods, Inc.* | | | 1,129 | | | | 65,990 | |
| Hain Celestial Group, Inc.* | | | 857 | | | | 53,991 | |
| Casey’s General Stores, Inc. | | | 885 | | | | 50,570 | |
| Darling International, Inc.* | | | 2,728 | | | | 49,894 | |
| TreeHouse Foods, Inc.* | | | 838 | | | | 43,995 | |
| Harris Teeter Supermarkets, Inc. | | | 1,018 | | | | 39,539 | |
| B&G Foods, Inc. — Class A | | | 1,117 | | | | 33,856 | |
| PriceSmart, Inc. | | | 419 | | | | 31,727 | |
| Lancaster Colony Corp. | | | 431 | | | | 31,571 | |
| Elizabeth Arden, Inc.* | | | 583 | | | | 27,540 | |
| Universal Corp. | | | 540 | | | | 27,497 | |
| Snyders-Lance, Inc. | | | 1,020 | | | | 25,500 | |
| Sanderson Farms, Inc. | | | 537 | | | | 23,827 | |
| Fresh Del Monte Produce, Inc. | | | 886 | | | | 22,682 | |
| Vector Group Ltd. | | | 1,292 | | | | 21,426 | |
| Spectrum Brands Holdings, Inc. | | | 528 | | | | 21,124 | |
| Boston Beer Company, Inc. — Class A* | | | 181 | | | | 20,267 | |
| Prestige Brands Holdings, Inc.* | | | 1,169 | | | | 19,826 | |
| J&J Snack Foods Corp. | | | 341 | | | | 19,550 | |
| Post Holdings, Inc.* | | | 640 | | | | 19,238 | |
| WD-40 Co. | | | 365 | | | | 19,214 | |
| Rite Aid Corp.* | | | 15,315 | | | | 17,919 | |
| Smart Balance, Inc.* | | | 1,367 | | | | 16,513 | |
| Andersons, Inc. | | | 429 | | | | 16,156 | |
| Cal-Maine Foods, Inc. | | | 332 | | | | 14,920 | |
| Tootsie Roll Industries, Inc.1 | | | 544 | | | | 14,677 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| SUPERVALU, Inc.1 | | | 4,920 | | | $ | 11,857 | |
| Dole Food Company, Inc.*,1 | | | 836 | | | | 11,729 | |
| Star Scientific, Inc.* | | | 3,378 | | | | 11,688 | |
| Central Garden and Pet Co. — Class A* | | | 894 | | | | 10,800 | |
| Weis Markets, Inc. | | | 251 | | | | 10,625 | |
| Diamond Foods, Inc. | | | 515 | | | | 9,692 | |
| Susser Holdings Corp.* | | | 255 | | | | 9,223 | |
| Medifast, Inc.* | | | 320 | | | | 8,368 | |
| Chiquita Brands International, Inc.* | | | 1,061 | | | | 8,106 | |
| Harbinger Group, Inc.* | | | 954 | | | | 8,042 | |
| Pantry, Inc.* | | | 544 | | | | 7,915 | |
| Spartan Stores, Inc. | | | 502 | | | | 7,686 | |
| Coca-Cola Bottling Company Consolidated | | | 111 | | | | 7,559 | |
| Schiff Nutrition International, Inc.* | | | 310 | | | | 7,499 | |
| Village Super Market, Inc. — Class A | | | 198 | | | | 7,278 | |
| Pilgrim’s Pride Corp.* | | | 1,396 | | | | 7,134 | |
| Inter Parfums, Inc. | | | 381 | | | | 6,972 | |
| Calavo Growers, Inc. | | | 272 | | | | 6,800 | |
| Alliance One International, Inc.* | | | 2,030 | | | | 6,557 | |
| USANA Health Sciences, Inc.* | | | 138 | | | | 6,413 | |
| Seneca Foods Corp. — Class A* | | | 209 | | | | 6,241 | |
| Nash Finch Co. | | | 279 | | | | 5,697 | |
| Annie’s, Inc.* | | | 120 | | | | 5,381 | |
| Ingles Markets, Inc. — Class A | | | 293 | | | | 4,791 | |
| Central European Distribution Corp.* | | | 1,533 | | | | 4,369 | |
| Nature’s Sunshine Products, Inc. | | | 258 | | | | 4,216 | |
| Chefs’ Warehouse, Inc.* | | | 251 | | | | 4,111 | |
| Revlon, Inc. — Class A* | | | 263 | | | | 4,061 | |
| National Beverage Corp.* | | | 263 | | | | 3,987 | |
| Limoneira Co. | | | 190 | | | | 3,502 | |
| Omega Protein Corp.* | | | 459 | | | | 3,149 | |
| Female Health Co. | | | 439 | | | | 3,139 | |
| Nutraceutical International Corp.* | | | 197 | | | | 3,105 | |
| Roundy’s, Inc. | | | 468 | | | | 2,831 | |
| Arden Group, Inc. — Class A | | | 27 | | | | 2,620 | |
| Oil-Dri Corporation of America | | | 113 | | | | 2,615 | |
| Alico, Inc. | | | 80 | | | | 2,498 | |
| Orchids Paper Products Co. | | | 130 | | | | 2,345 | |
| John B Sanfilippo & Son, Inc.* | | | 180 | | | | 2,344 | |
| Griffin Land & Nurseries, Inc. | | | 68 | | | | 2,294 | |
| Craft Brew Alliance, Inc.* | | | 238 | | | | 1,868 | |
| Synutra International, Inc.* | | | 404 | | | | 1,866 | |
| Westway Group, Inc.* | | | 280 | | | | 1,733 | |
| Inventure Foods, Inc.* | | | 300 | | | | 1,707 | |
| Farmer Bros Co.* | | | 155 | | | | 1,474 | |
| Lifeway Foods, Inc. | | | 110 | | | | 1,045 | |
| Total Consumer Staples | | | | | | | 1,003,941 | |
| Telecommunication Services - 0.5% | | | | | | | | |
| Cincinnati Bell, Inc.* | | | 4,580 | | | | 26,105 | |
| Cogent Communications Group, Inc. | | | 1,085 | | | | 24,943 | |
| Consolidated Communications | | | | | | | | |
| Holdings, Inc. | | | 930 | | | | 15,987 | |
| Premiere Global Services, Inc.* | | | 1,159 | | | | 10,837 | |
| 8x8, Inc.* | | | 1,640 | | | | 10,758 | |
| Shenandoah Telecommunications Co. | | | 550 | | | | 9,680 | |
| Atlantic Tele-Network, Inc. | | | 209 | | | | 8,983 | |
| magicJack VocalTec Ltd.* | | | 350 | | | | 8,586 | |
| Leap Wireless International, Inc.* | | | 1,254 | | | | 8,552 | |
| General Communication, Inc. — Class A* | | | 859 | | | | 8,418 | |
| Iridium Communications, Inc.* | | | 1,150 | | | | 8,418 | |
| Vonage Holdings Corp.* | | | 3,691 | | | | 8,415 | |
| Cbeyond, Inc.* | | | 628 | | | | 6,192 | |
| Neutral Tandem, Inc.* | | | 655 | | | | 6,144 | |
| USA Mobility, Inc. | | | 510 | | | | 6,054 | |
| NTELOS Holdings Corp. | | | 348 | | | | 6,045 | |
| inContact, Inc.* | | | 721 | | | | 4,701 | |
| Towerstream Corp.* | | | 1,098 | | | | 4,458 | |
| Primus Telecommunications Group, Inc. | | | 280 | | | | 4,276 | |
| Hawaiian Telcom Holdco, Inc.* | | | 240 | | | | 4,255 | |
| Fairpoint Communications, Inc.* | | | 476 | | | | 3,599 | |
| IDT Corp. — Class B | | | 347 | | | | 3,564 | |
| HickoryTech Corp. | | | 312 | | | | 3,301 | |
| ORBCOMM, Inc.* | | | 828 | | | | 3,097 | |
| Boingo Wireless, Inc.* | | | 370 | | | | 2,938 | |
| Lumos Networks Corp. | | | 349 | | | | 2,743 | |
| Total Telecommunication Services | | | | | | | 211,049 | |
| Total Common Stocks | | | | | | | | |
| (Cost $25,556,196) | | | | | | | 27,820,023 | |
| WARRANT†† - 0.0% | | | | | | | | |
| Magnum Hunter Resources Corp. | | | | | | | | |
| $10.50, 8/16/13* | | | 23 | | | | — | |
| Total Warrant | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| RIGHTS†† - 0.0% | | | | | | | | |
| Hampton Roads Bankshares, Inc. | | | | | | | | |
| Expires 09/30/12* | | | 40 | | | | 32 | |
| Green Bankshares, Inc. | | | | | | | | |
| Expires 09/30/20* | | | 280 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $50) | | | | | | | 32 | |
| CLOSED-END FUND† - 0.0% | | | | | | | | |
| Firsthand Technology Value Fund, Inc.* | | | 200 | | | | 3,488 | |
| Total Closed-End Fund | | | | | | | | |
| (Cost $3,430) | | | | | | | 3,488 | |
| 86 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENTS††,2 - 26.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 5,071,177 | | | $ | 5,071,177 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 2,917,753 | | | | 2,917,753 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 1,664,500 | | | �� | 1,664,500 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 1,354,562 | | | | 1,354,562 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $11,007,992) | | | | | | | 11,007,992 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.4% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 90,310 | | | | 90,310 | |
| Merrill Lynch, Pierce, | | | | | | | | |
| Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 88,878 | | | | 88,878 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $179,188) | | | | | | | 179,188 | |
| Total Investments - 95.4% | | | | | | | | |
| (Cost $36,746,857) | | | | | | $ | 39,010,723 | |
| Other Assets & Liabilities, net - 4.6% | | | | | | | 1,868,094 | |
| Total Net Assets - 100.0% | | | | | | $ | 40,878,817 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Russell 2000 Index Mini | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $6,840,440) | | | 82 | | | $ | (101,964 | ) |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/29/125 | | | | | | | | |
| (Notional Value $1,526,392) | | | 1,823 | | | $ | 6,639 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $7,356,129) | | | 8,784 | | | | (53,365 | ) |
| Barclays Bank plc | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $17,648,208) | | | 21,074 | | | | (127,798 | ) |
| (Total Notional Value | | | | | | | | |
| $26,530,729) | | | | | | $ | (174,524 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | 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 FUNDS SEMI-ANNUAL REPORT | 87 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $167,672 of | | | | |
| securities loaned | | | | |
| (cost $25,738,865) | | $ | 28,002,731 | |
| Repurchase agreements, at value | | | | |
| (cost $11,007,992) | | | 11,007,992 | |
| Total investments | | | | |
| (cost $36,746,857) | | | 39,010,723 | |
| Foreign currency, at value | | | | |
| (cost $174) | | | 174 | |
| Segregated cash with broker | | | 2,272,000 | |
| Unrealized appreciation on swap agreements | | | 6,639 | |
| Receivable for swap settlement | | | 3,103 | |
| Cash | | | 1,257 | |
| Receivables: | | | | |
| Fund shares sold | | | 165,567 | |
| Dividends | | | 32,515 | |
| Interest | | | 253 | |
| Total assets | | | 41,492,231 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 181,163 | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 179,188 | |
| Fund shares redeemed | | | 145,185 | |
| Variation margin | | | 52,480 | |
| Management fees | | | 24,937 | |
| Distribution and service fees | | | 7,819 | |
| Transfer agent and administrative fees | | | 6,927 | |
| Portfolio accounting fees | | | 2,771 | |
| Miscellaneous | | | 12,944 | |
| Total liabilities | | | 613,414 | |
| Net assets | | $ | 40,878,817 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 50,622,280 | |
| Accumulated net investment loss | | | (120,484 | ) |
| Accumulated net realized loss on investments | | | (11,610,359 | ) |
| Net unrealized appreciation on investments | | | 1,987,380 | |
| Net assets | | $ | 40,878,817 | |
| A-Class: | | | | |
| Net assets | | $ | 343,279 | |
| Capital shares outstanding | | | 10,536 | |
| Net asset value per share | | $ | 32.58 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 34.20 | |
| C-Class: | | | | |
| Net assets | | $ | 1,569,663 | |
| Capital shares outstanding | | | 52,744 | |
| Net asset value per share | | $ | 29.76 | |
| H-Class: | | | | |
| Net assets | | $ | 38,965,875 | |
| Capital shares outstanding | | | 1,198,306 | |
| Net asset value per share | | $ | 32.52 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $108) | | $ | 114,153 | |
| Interest | | | 3,680 | |
| Income from securities lending, net | | | 107 | |
| Total investment income | | | 117,940 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 100,106 | |
| Transfer agent and administrative fees | | | 27,807 | |
| Distribution and service fees: | | | | |
| A-Class | | | 761 | |
| C-Class | | | 7,916 | |
| H-Class | | | 25,067 | |
| Portfolio accounting fees | | | 11,123 | |
| Custodian fees | | | 2,034 | |
| Trustees’ fees* | | | 1,375 | |
| Miscellaneous | | | 18,945 | |
| Total expenses | | | 195,134 | |
| Net investment loss | | | (77,194 | ) |
| | | | | |
| Net Realized And Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (149,787 | ) |
| Swap agreements | | | 316,330 | |
| Futures contracts | | | (589,176 | ) |
| Net realized loss | | | (422,633 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 435,531 | |
| Swap agreements | | | (135,825 | ) |
| Futures contracts | | | (156,688 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 143,018 | |
| Net realized and unrealized loss | | | (279,615 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (356,809 | ) |
| * | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (77,194 | ) | | $ | (289,091 | ) |
| Net realized loss on investments | | | (422,633 | ) | | | (1,230,147 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 143,018 | | | | (1,846,120 | ) |
| Net decrease in net assets resulting from operations | | | (356,809 | ) | | | (3,365,358 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 80,681 | | | | 3,364,331 | |
| C-Class | | | 72,135 | | | | 645,809 | |
| H-Class | | | 86,117,663 | | | | 184,051,398 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,018,148 | ) | | | (4,002,486 | ) |
| C-Class | | | (330,035 | ) | | | (1,356,339 | ) |
| H-Class | | | (61,781,803 | ) | | | (204,119,521 | ) |
| Net increase (decrease) from capital share transactions | | | 23,140,493 | | | | (21,416,808 | ) |
| Net increase (decrease) in net assets | | | 22,783,684 | | | | (24,782,166 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 18,095,133 | | | | 42,877,299 | |
| End of period | | $ | 40,878,817 | | | $ | 18,095,133 | |
| Accumulated net investment loss at end of period | | $ | (120,484 | ) | | $ | (43,290 | ) |
| | | | | | | | | |
| Capital Share Activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,644 | | | | 108,140 | |
| C-Class | | | 2,637 | | | | 23,548 | |
| H-Class | | | 2,792,239 | | | | 6,337,910 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (34,183 | ) | | | (133,321 | ) |
| C-Class | | | (12,168 | ) | | | (49,014 | ) |
| H-Class | | | (2,057,694 | ) | | | (6,975,808 | ) |
| Net increase (decrease) in shares | | | 693,475 | | | | (688,545 | ) |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.20 | | | $ | 34.37 | | | $ | 25.24 | | | $ | 12.49 | | | $ | 28.62 | | | $ | 37.24 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.11 | ) | | | (.39 | ) | | | (.35 | ) | | | (.11 | ) | | | (.02 | ) | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | .49 | | | | (1.78 | ) | | | 9.48 | | | | 12.86 | | | | (16.11 | ) | | | (8.83 | ) |
| Total from investment operations | | | .38 | | | | (2.17 | ) | | | 9.13 | | | | 12.75 | | | | (16.13 | ) | | | (8.54 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Net asset value, end of period | | $ | 32.58 | | | $ | 32.20 | | | $ | 34.37 | | | $ | 25.24 | | | $ | 12.49 | | | $ | 28.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.18 | % | | | (6.31 | %) | | | 36.17 | % | | | 102.08 | % | | | (56.36 | %) | | | (22.98 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 343 | | | $ | 1,355 | | | $ | 2,312 | | | $ | 585 | | | $ | 591 | | | $ | 4,372 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.69 | %) | | | (1.24 | %) | | | (1.25 | %) | | | (0.59 | %) | | | (0.07 | %) | | | 0.81 | % |
| Total expenses | | | 1.71 | % | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 142 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % | | | 227 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.52 | | | $ | 31.75 | | | $ | 23.50 | | | $ | 11.71 | | | $ | 27.10 | | | $ | 35.51 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.19 | ) | | | (.54 | ) | | | (.47 | ) | | | (.24 | ) | | | (.18 | ) | | | .03 | |
| Net gain (loss) on investments (realized and unrealized) | | | .43 | | | | (1.69 | ) | | | 8.72 | | | | 12.03 | | | | (15.21 | ) | | | (8.36 | ) |
| Total from investment operations | | | .24 | | | | (2.23 | ) | | | 8.25 | | | | 11.79 | | | | (15.39 | ) | | | (8.33 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Net asset value, end of period | | $ | 29.76 | | | $ | 29.52 | | | $ | 31.75 | | | $ | 23.50 | | | $ | 11.71 | | | $ | 27.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.81 | % | | | (7.02 | %) | | | 35.11 | % | | | 100.68 | % | | | (56.79 | %) | | | (23.50 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,570 | | | $ | 1,839 | | | $ | 2,786 | | | $ | 2,782 | | | $ | 3,381 | | | $ | 10,873 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.39 | %) | | | (1.99 | %) | | | (1.90 | %) | | | (1.36 | %) | | | (0.83 | %) | | | 0.09 | % |
| Total expenses | | | 2.46 | % | | | 2.49 | % | | | 2.47 | % | | | 2.46 | % | | | 2.45 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 142 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % | | | 227 | % |
| 90 | the RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.13 | | | $ | 34.29 | | | $ | 25.21 | | | $ | 12.47 | | | $ | 28.62 | | | $ | 37.22 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.10 | ) | | | (.37 | ) | | | (.35 | ) | | | (.19 | ) | | | (.02 | ) | | | .30 | |
| Net gain (loss) on investments (realized and unrealized) | | | .49 | | | | (1.79 | ) | | | 9.43 | | | | 12.93 | | | | (16.13 | ) | | | (8.82 | ) |
| Total from investment operations | | | .39 | | | | (2.16 | ) | | | 9.08 | | | | 12.74 | | | | (16.15 | ) | | | (8.52 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.08 | ) |
| Net asset value, end of period | | $ | 32.52 | | | $ | 32.13 | | | $ | 34.29 | | | $ | 25.21 | | | $ | 12.47 | | | $ | 28.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.21 | % | | | (6.30 | %) | | | 36.02 | % | | | 102.17 | % | | | (56.43 | %) | | | (22.93 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 38,966 | | | $ | 14,901 | | | $ | 37,780 | | | $ | 23,320 | | | $ | 13,807 | | | $ | 13,839 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.64 | %) | | | (1.24 | %) | | | (1.25 | %) | | | (0.94 | %) | | | (0.07 | %) | | | 0.83 | % |
| Total expenses | | | 1.70 | % | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 142 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % | | | 227 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
RUSSELL 2000® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | May 31, 2006 |
| C-Class | May 31, 2006 |
| H-Class | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Pharmacyclics, Inc. | | | 0.2 | % |
| athenahealth, Inc. | | | 0.2 | % |
| Cubist Pharmaceuticals, Inc. | | | 0.2 | % |
| Two Harbors Investment Corp. | | | 0.1 | % |
| Ocwen Financial Corp. | | | 0.1 | % |
| Dril-Quip, Inc. | | | 0.1 | % |
| HMS Holdings Corp. | | | 0.1 | % |
| United Natural Foods, Inc. | | | 0.1 | % |
| Energy XXI Bermuda Ltd. | | | 0.1 | % |
| Ultimate Software Group, Inc. | | | 0.1 | % |
| Top Ten Total | | | 1.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 54.2% | | | | | | | | |
| | | | | | | | | |
| Financials - 11.6% | | | | | | | | |
| Two Harbors Investment Corp. | | | 9,485 | | | $ | 111,449 | |
| Ocwen Financial Corp.* | | | 4,014 | | | | 110,023 | |
| Starwood Property Trust, Inc. | | | 4,353 | | | | 101,294 | |
| Highwoods Properties, Inc. | | | 2,762 | | | | 90,096 | |
| Omega Healthcare Investors, Inc. | | | 3,954 | | | | 89,874 | |
| Hancock Holding Co. | | | 2,852 | | | | 88,268 | |
| Invesco Mortgage Capital, Inc. | | | 4,317 | | | | 86,901 | |
| First American Financial Corp. | | | 3,971 | | | | 86,052 | |
| LaSalle Hotel Properties | | | 3,206 | | | | 85,568 | |
| CYS Investments, Inc. | | | 5,651 | | | | 79,623 | |
| Entertainment Properties Trust | | | 1,752 | | | | 77,841 | |
| Alterra Capital Holdings Ltd. | | | 3,205 | | | | 76,727 | |
| CNO Financial Group, Inc. | | | 7,930 | | | | 76,525 | |
| RLJ Lodging Trust | | | 3,994 | | | | 75,527 | |
| Prosperity Bancshares, Inc. | | | 1,772 | | | | 75,522 | |
| Susquehanna Bancshares, Inc. | | | 7,022 | | | | 73,449 | |
| Texas Capital Bancshares, Inc.* | | | 1,414 | | | | 70,289 | |
| American Realty Capital Trust, Inc. | | | 5,930 | | | | 69,558 | |
| Colonial Properties Trust | | | 3,285 | | | | 69,149 | |
| Stifel Financial Corp.* | | | 2,004 | | | | 67,333 | |
| Healthcare Realty Trust, Inc. | | | 2,920 | | | | 67,306 | |
| Washington Real Estate | | | | | | | | |
| Investment Trust | | | 2,482 | | | | 66,567 | |
| DiamondRock Hospitality Co. | | | 6,737 | | | | 64,877 | |
| Webster Financial Corp. | | | 2,698 | | | | 63,942 | |
| Sovran Self Storage, Inc. | | | 1,088 | | | | 62,941 | |
| ARMOUR Residential REIT, Inc. | | | 7,952 | | | | 60,912 | |
| FirstMerit Corp. | | | 4,104 | | | | 60,452 | |
| DCT Industrial Trust, Inc. | | | 9,238 | | | | 59,769 | |
| Apollo Investment Corp. | | | 7,586 | | | | 59,701 | |
| Prospect Capital Corp. | | | 5,156 | | | | 59,397 | |
| CubeSmart | | | 4,603 | | | | 59,241 | |
| UMB Financial Corp. | | | 1,210 | | | | 58,903 | |
| Trustmark Corp. | | | 2,420 | | | | 58,903 | |
| FNB Corp. | | | 5,220 | | | | 58,516 | |
| DuPont Fabros Technology, Inc. | | | 2,295 | | | | 57,949 | |
| Potlatch Corp. | | | 1,511 | | | | 56,466 | |
| EastGroup Properties, Inc. | | | 1,061 | | | | 56,445 | |
| Greenhill & Company, Inc. | | | 1,090 | | | | 56,407 | |
| Glimcher Realty Trust | | | 5,214 | | | | 55,111 | |
| Umpqua Holdings Corp. | | | 4,188 | | | | 53,983 | |
| Sunstone Hotel Investors, Inc.* | | | 4,851 | | | | 53,361 | |
| Platinum Underwriters | | | | | | | | |
| Holdings Ltd. | | | 1,299 | | | | 53,090 | |
| Medical Properties Trust, Inc. | | | 5,073 | | | | 53,013 | |
| RLI Corp. | | | 792 | | | | 52,795 | |
| BancorpSouth, Inc. | | | 3,531 | | | | 52,047 | |
| Wintrust Financial Corp. | | | 1,362 | | | | 51,170 | |
| Cathay General Bancorp | | | 2,947 | | | | 50,865 | |
| IBERIABANK Corp. | | | 1,100 | | | | 50,380 | |
| Primerica, Inc. | | | 1,759 | | | | 50,378 | |
| First Cash Financial Services, Inc.* | | | 1,071 | | | | 49,276 | |
| Pebblebrook Hotel Trust | | | 2,082 | | | | 48,698 | |
| Westamerica Bancorporation | | | 1,033 | | | | 48,603 | |
| Old National Bancorp | | | 3,544 | | | | 48,234 | |
| Capstead Mortgage Corp. | | | 3,499 | | | | 47,202 | |
| National Health Investors, Inc. | | | 914 | | | | 47,016 | |
| United Bankshares, Inc. | | | 1,881 | | | | 46,856 | |
| PS Business Parks, Inc. | | | 686 | | | | 45,839 | |
| Northwest Bancshares, Inc. | | | 3,652 | | | | 44,663 | |
| First Industrial Realty Trust, Inc.* | | | 3,312 | | | | 43,520 | |
| Sun Communities, Inc. | | | 984 | | | | 43,414 | |
| Equity One, Inc. | | | 2,054 | | | | 43,257 | |
| PHH Corp.* | | | 2,117 | | | | 43,082 | |
| Lexington Realty Trust | | | 4,433 | | | | 42,823 | |
| MarketAxess Holdings, Inc. | | | 1,355 | | | | 42,818 | |
| Redwood Trust, Inc. | | | 2,961 | | | | 42,816 | |
| First Financial Bankshares, Inc. | | | 1,176 | | | | 42,371 | |
| Cash America International, Inc. | | | 1,098 | | | | 42,350 | |
| National Penn Bancshares, Inc. | | | 4,617 | | | | 42,061 | |
| Glacier Bancorp, Inc. | | | 2,686 | | | | 41,848 | |
| Community Bank System, Inc. | | | 1,471 | | | | 41,467 | |
| Montpelier Re Holdings Ltd. | | | 1,871 | | | | 41,405 | |
| Financial Engines, Inc.* | | | 1,732 | | | | 41,274 | |
| EZCORP, Inc. — Class A* | | | 1,787 | | | | 40,976 | |
| Acadia Realty Trust | | | 1,641 | | | | 40,730 | |
| Strategic Hotels & Resorts, Inc.* | | | 6,766 | | | | 40,664 | |
| MB Financial, Inc. | | | 2,041 | | | | 40,310 | |
| Walter Investment Management Corp.* | | | 1,067 | | | | 39,490 | |
| CVB Financial Corp. | | | 3,295 | | | | 39,342 | |
| Selective Insurance Group, Inc. | | | 2,041 | | | | 38,759 | |
| Education Realty Trust, Inc. | | | 3,539 | | | | 38,575 | |
| International Bancshares Corp. | | | 1,994 | | | | 37,986 | |
| Bank of the Ozarks, Inc. | | | 1,088 | | | | 37,503 | |
| First Financial Bancorp | | | 2,186 | | | | 36,965 | |
| BBCN Bancorp, Inc.* | | | 2,916 | | | | 36,771 | |
| LTC Properties, Inc. | | | 1,140 | | | | 36,309 | |
| PrivateBancorp, Inc. — Class A | | | 2,260 | | | | 36,137 | |
| PennyMac Mortgage | | | | | | | | |
| Investment Trust | | | 1,541 | | | | 36,013 | |
| Symetra Financial Corp. | | | 2,899 | | | | 35,658 | |
| Provident Financial Services, Inc. | | | 2,248 | | | | 35,496 | |
| First Midwest Bancorp, Inc. | | | 2,799 | | | | 35,127 | |
| Anworth Mortgage Asset Corp. | | | 5,132 | | | | 34,898 | |
| American Capital Mortgage | | | | | | | | |
| Investment Corp. | | | 1,356 | | | | 34,076 | |
| Fifth Street Finance Corp. | | | 3,082 | | | | 33,840 | |
| Pennsylvania Real Estate | | | | | | | | |
| Investment Trust | | | 2,095 | | | | 33,227 | |
| American Assets Trust, Inc. | | | 1,227 | | | | 32,871 | |
| Alexander’s, Inc. | | | 76 | | | | 32,489 | |
| Government Properties Income Trust | | | 1,383 | | | | 32,362 | |
| Astoria Financial Corp. | | | 3,260 | | | | 32,209 | |
| NorthStar Realty Finance Corp. | | | 4,990 | | | | 31,736 | |
| Hersha Hospitality Trust — Class A | | | 6,432 | | | | 31,517 | |
| Solar Capital Ltd. | | | 1,366 | | | | 31,309 | |
| Argo Group International | | | | | | | | |
| Holdings Ltd. | | | 963 | | | | 31,192 | |
| Investors Bancorp, Inc.* | | | 1,654 | | | | 30,169 | |
| Franklin Street Properties Corp. | | | 2,713 | | | | 30,033 | |
| Park National Corp. | | | 421 | | | | 29,478 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| Main Street Capital Corp. | | | 994 | | | $ | 29,333 | |
| Citizens Republic Bancorp, Inc.* | | | 1,500 | | | | 29,025 | |
| Evercore Partners, Inc. — Class A | | | 1,070 | | | | 28,890 | |
| DFC Global Corp.* | | | 1,646 | | | | 28,229 | |
| Home BancShares, Inc. | | | 826 | | | | 28,158 | |
| Boston Private Financial Holdings, Inc. | | | 2,918 | | | | 27,984 | |
| First Commonwealth Financial Corp. | | | 3,937 | | | | 27,756 | |
| Sabra Health Care REIT, Inc. | | | 1,385 | | | | 27,714 | |
| NBT Bancorp, Inc. | | | 1,246 | | | | 27,499 | |
| Columbia Banking System, Inc. | | | 1,479 | | | | 27,421 | |
| Cousins Properties, Inc. | | | 3,428 | | | | 27,218 | |
| CreXus Investment Corp. | | | 2,508 | | | | 27,111 | |
| Horace Mann Educators Corp. | | | 1,479 | | | | 26,784 | |
| Western Alliance Bancorporation* | | | 2,616 | | | | 26,683 | |
| BlackRock Kelso Capital Corp. | | | 2,743 | | | | 26,662 | |
| Associated Estates Realty Corp. | | | 1,749 | | | | 26,515 | |
| Investors Real Estate Trust | | | 3,206 | | | | 26,514 | |
| PacWest Bancorp | | | 1,134 | | | | 26,502 | |
| Infinity Property & Casualty Corp. | | | 436 | | | | 26,330 | |
| Triangle Capital Corp. | | | 1,022 | | | | 26,225 | |
| World Acceptance Corp.* | | | 388 | | | | 26,171 | |
| iStar Financial, Inc.* | | | 3,158 | | | | 26,148 | |
| American Equity Investment Life | | | | | | | | |
| Holding Co. | | | 2,231 | | | | 25,947 | |
| Greenlight Capital Re Ltd. — Class A* | | | 1,048 | | | | 25,938 | |
| National Financial Partners Corp.* | | | 1,518 | | | | 25,654 | |
| Amtrust Financial Services, Inc. | | | 999 | | | | 25,589 | |
| Oritani Financial Corp. | | | 1,696 | | | | 25,525 | |
| Tower Group, Inc. | | | 1,301 | | | | 25,226 | |
| Pinnacle Financial Partners, Inc.* | | | 1,297 | | | | 25,058 | |
| Hudson Pacific Properties, Inc. | | | 1,344 | | | | 24,864 | |
| Chemical Financial Corp. | | | 1,026 | | | | 24,829 | |
| First Potomac Realty Trust | | | 1,909 | | | | 24,588 | |
| Credit Acceptance Corp.* | | | 285 | | | | 24,370 | |
| Independent Bank Corp. | | | 804 | | | | 24,192 | |
| Colony Financial, Inc. | | | 1,241 | | | | 24,175 | |
| ViewPoint Financial Group, Inc. | | | 1,261 | | | | 24,173 | |
| Retail Opportunity Investments Corp. | | | 1,878 | | | | 24,170 | |
| Chesapeake Lodging Trust | | | 1,204 | | | | 23,923 | |
| Nationstar Mortgage Holdings, Inc.* | | | 720 | | | | 23,890 | |
| Inland Real Estate Corp. | | | 2,861 | | | | 23,603 | |
| Banco Latinoamericano de Comercio | | | | | | | | |
| Exterior S.A. — Class E | | | 1,051 | | | | 23,217 | |
| Brookline Bancorp, Inc. | | | 2,617 | | | | 23,082 | |
| SCBT Financial Corp. | | | 560 | | | | 22,557 | |
| PennantPark Investment Corp. | | | 2,112 | | | | 22,408 | |
| Sterling Financial Corp. | | | 1,003 | | | | 22,337 | |
| FelCor Lodging Trust, Inc.* | | | 4,643 | | | | 22,008 | |
| Dynex Capital, Inc. | | | 2,025 | | | | 21,769 | |
| Forestar Group, Inc.* | | | 1,300 | | | | 21,658 | |
| Employers Holdings, Inc. | | | 1,180 | | | | 21,629 | |
| Safety Insurance Group, Inc. | | | 471 | | | | 21,609 | |
| Ramco-Gershenson Properties Trust | | | 1,719 | | | | 21,539 | |
| KBW, Inc. | | | 1,299 | | | | 21,395 | |
| Nelnet, Inc. — Class A | | | 894 | | | | 21,224 | |
| Radian Group, Inc.1 | | | 4,843 | | | | 21,019 | |
| Kennedy-Wilson Holdings, Inc. | | | 1,481 | | | | 20,690 | |
| Coresite Realty Corp. | | | 765 | | | | 20,609 | |
| Universal Health Realty Income Trust | | | 447 | | | | 20,553 | |
| Hercules Technology Growth Capital, Inc. | | | 1,853 | | | | 20,402 | |
| Cohen & Steers, Inc. | | | 682 | | | | 20,201 | |
| TrustCo Bank Corp. NY | | | 3,502 | | | | 20,031 | |
| Apollo Residential Mortgage, Inc. | | | 908 | | | | 20,012 | |
| Virtus Investment Partners, Inc.* | | | 229 | | | | 19,694 | |
| PICO Holdings, Inc.* | | | 856 | | | | 19,534 | |
| State Bank Financial Corp. | | | 1,184 | | | | 19,524 | |
| City Holding Co. | | | 544 | | | | 19,497 | |
| S&T Bancorp, Inc. | | | 1,085 | | | | 19,107 | |
| Berkshire Hills Bancorp, Inc. | | | 834 | | | | 19,082 | |
| United Fire Group, Inc. | | | 748 | | | | 18,790 | |
| Hilltop Holdings, Inc.* | | | 1,475 | | | | 18,747 | |
| Resource Capital Corp. | | | 3,169 | | | | 18,634 | |
| Banner Corp. | | | 686 | | | | 18,591 | |
| AMERISAFE, Inc.* | | | 678 | | | | 18,401 | |
| Renasant Corp. | | | 936 | | | | 18,350 | |
| Flushing Financial Corp. | | | 1,149 | | | | 18,154 | |
| HFF, Inc. — Class A* | | | 1,218 | | | | 18,148 | |
| Community Trust Bancorp, Inc. | | | 510 | | | | 18,123 | |
| Navigators Group, Inc.* | | | 368 | | | | 18,115 | |
| WesBanco, Inc. | | | 874 | | | | 18,101 | |
| BGC Partners, Inc. — Class A | | | 3,680 | | | | 18,032 | |
| Sandy Spring Bancorp, Inc. | | | 902 | | | | 17,364 | |
| Urstadt Biddle Properties, Inc. — Class A | | | 855 | | | | 17,297 | |
| Getty Realty Corp. | | | 958 | | | | 17,196 | |
| Flagstone Reinsurance Holdings S.A. | | | 2,001 | | | | 17,189 | |
| Dime Community Bancshares, Inc. | | | 1,171 | | | | 16,909 | |
| Monmouth Real Estate | | | | | | | | |
| Investment Corp. — Class A | | | 1,508 | | | | 16,875 | |
| Ashford Hospitality Trust, Inc. | | | 1,994 | | | | 16,750 | |
| Maiden Holdings Ltd. | | | 1,872 | | | | 16,642 | |
| Lakeland Financial Corp. | | | 597 | | | | 16,477 | |
| West Coast Bancorp* | | | 717 | | | | 16,147 | |
| First Merchants Corp. | | | 1,070 | | | | 16,061 | |
| Oriental Financial Group, Inc. | | | 1,526 | | | | 16,054 | |
| Tompkins Financial Corp. | | | 391 | | | | 15,843 | |
| Duff & Phelps Corp. — Class A | | | 1,160 | | | | 15,788 | |
| Simmons First National Corp. — Class A | | | 645 | | | | 15,709 | |
| Cardinal Financial Corp. | | | 1,095 | | | | 15,659 | |
| Piper Jaffray Cos.* | | | 606 | | | | 15,423 | |
| Citizens, Inc.* | | | 1,456 | | | | 15,273 | |
| Hanmi Financial Corp.* | | | 1,182 | | | | 15,141 | |
| TowneBank | | | 981 | | | | 15,039 | |
| Heartland Financial USA, Inc. | | | 543 | | | | 14,808 | |
| Tejon Ranch Co.* | | | 489 | | | | 14,690 | |
| WisdomTree Investments, Inc.* | | | 2,190 | | | | 14,673 | |
| TICC Capital Corp. | | | 1,401 | | | | 14,570 | |
| Wilshire Bancorp, Inc.* | | | 2,307 | | | | 14,534 | |
| STAG Industrial, Inc. | | | 893 | | | | 14,520 | |
| Campus Crest Communities, Inc. | | | 1,331 | | | | 14,375 | |
| Excel Trust, Inc. | | | 1,256 | | | | 14,344 | |
| AG Mortgage Investment Trust, Inc. | | | 589 | | | | 14,213 | |
| ICG Group, Inc.* | | | 1,397 | | | | 14,193 | |
| Washington Trust Bancorp, Inc. | | | 538 | | | | 14,133 | |
| Meadowbrook Insurance Group, Inc. | | | 1,831 | | | | 14,080 | |
| 94 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| Southside Bancshares, Inc. | | | 645 | | | $ | 14,067 | |
| Epoch Holding Corp. | | | 595 | | | | 13,745 | |
| eHealth, Inc.* | | | 731 | | | | 13,721 | |
| Stewart Information Services Corp. | | | 680 | | | | 13,695 | |
| First Busey Corp. | | | 2,780 | | | | 13,566 | |
| First Financial Corp. | | | 423 | | | | 13,257 | |
| MCG Capital Corp. | | | 2,866 | | | | 13,212 | |
| Rockville Financial, Inc. | | | 1,071 | | | | 13,120 | |
| United Community Banks, Inc.* | | | 1,558 | | | | 13,072 | |
| CapLease, Inc. | | | 2,495 | | | | 12,899 | |
| Capital Southwest Corp. | | | 115 | | | | 12,874 | |
| Investment Technology Group, Inc.* | | | 1,448 | | | | 12,598 | |
| FBL Financial Group, Inc. — Class A | | | 379 | | | | 12,583 | |
| 1st Source Corp. | | | 555 | | | | 12,360 | |
| Safeguard Scientifics, Inc.* | | | 773 | | | | 12,128 | |
| Saul Centers, Inc. | | | 273 | | | | 12,121 | |
| GAMCO Investors, Inc. — Class A | | | 243 | | | | 12,089 | |
| Provident New York Bancorp | | | 1,273 | | | | 11,979 | |
| Cedar Realty Trust, Inc. | | | 2,245 | | | | 11,854 | |
| Winthrop Realty Trust | | | 1,093 | | | | 11,783 | |
| Beneficial Mutual Bancorp, Inc.* | | | 1,232 | | | | 11,778 | |
| Rouse Properties, Inc. | | | 820 | | | | 11,767 | |
| Union First Market Bankshares Corp. | | | 753 | | | | 11,717 | |
| NewStar Financial, Inc.* | | | 976 | | | | 11,702 | |
| First BanCorp* | | | 2,630 | | | | 11,625 | |
| WSFS Financial Corp. | | | 281 | | | | 11,600 | |
| Central Pacific Financial Corp.* | | | 810 | | | | 11,583 | |
| EverBank Financial Corp. | | | 840 | | | | 11,567 | |
| Great Southern Bancorp, Inc. | | | 374 | | | | 11,560 | |
| Sterling Bancorp | | | 1,155 | | | | 11,458 | |
| MVC Capital, Inc. | | | 892 | | | | 11,418 | |
| Netspend Holdings, Inc.* | | | 1,157 | | | | 11,373 | |
| OneBeacon Insurance Group Ltd. — | | | | | | | | |
| Class A | | | 846 | | | | 11,370 | |
| StellarOne Corp. | | | 862 | | | | 11,344 | |
| German American Bancorp, Inc. | | | 470 | | | | 11,336 | |
| National Western Life Insurance Co. — | | | | | | | | |
| Class A | | | 79 | | | | 11,317 | |
| Apollo Commercial Real Estate | | | | | | | | |
| Finance, Inc. | | | 651 | | | | 11,288 | |
| Presidential Life Corp. | | | 809 | | | | 11,269 | |
| Ameris Bancorp* | | | 889 | | | | 11,193 | |
| Univest Corporation of Pennsylvania | | | 618 | | | | 11,124 | |
| Bancorp, Inc.* | | | 1,083 | | | | 11,122 | |
| Agree Realty Corp. | | | 432 | | | | 11,012 | |
| Green Dot Corp. — Class A* | | | 890 | | | | 10,885 | |
| MGIC Investment Corp.* | | | 7,051 | | | | 10,788 | |
| Camden National Corp. | | | 290 | | | | 10,742 | |
| SY Bancorp, Inc. | | | 449 | | | | 10,623 | |
| Eagle Bancorp, Inc.* | | | 632 | | | | 10,567 | |
| Kite Realty Group Trust | | | 2,058 | | | | 10,496 | |
| Taylor Capital Group, Inc.* | | | 610 | | | | 10,443 | |
| Lakeland Bancorp, Inc. | | | 1,002 | | | | 10,371 | |
| BancFirst Corp. | | | 233 | | | | 10,010 | |
| Centerstate Banks, Inc. | | | 1,120 | | | | 9,990 | |
| Trico Bancshares | | | 597 | | | | 9,868 | |
| Knight Capital Group, Inc. — Class A* | | | 3,674 | | | | 9,846 | |
| RAIT Financial Trust | | | 1,871 | | | | 9,823 | |
| Hudson Valley Holding Corp. | | | 572 | | | | 9,753 | |
| INTL FCStone, Inc. | | | 511 | | | | 9,740 | |
| Summit Hotel Properties, Inc. | | | 1,140 | | | | 9,736 | |
| MainSource Financial Group, Inc. | | | 758 | | | | 9,733 | |
| Bryn Mawr Bank Corp. | | | 432 | | | | 9,694 | |
| Financial Institutions, Inc. | | | 520 | | | | 9,693 | |
| Territorial Bancorp, Inc. | | | 417 | | | | 9,570 | |
| Arrow Financial Corp. | | | 381 | | | | 9,537 | |
| BofI Holding, Inc.* | | | 365 | | | | 9,508 | |
| Global Indemnity plc — Class A* | | | 433 | | | | 9,474 | |
| Federal Agricultural Mortgage Corp. — | | | | | | | | |
| Class C | | | 367 | | | | 9,447 | |
| OmniAmerican Bancorp, Inc.* | | | 415 | | | | 9,433 | |
| Westwood Holdings Group, Inc. | | | 241 | | | | 9,401 | |
| CoBiz Financial, Inc. | | | 1,304 | | | | 9,128 | |
| Enterprise Financial Services Corp. | | | 670 | | | | 9,112 | |
| First Interstate Bancsystem, Inc. — | | | | | | | | |
| Class A | | | 608 | | | | 9,096 | |
| Franklin Financial Corp.* | | | 531 | | | | 9,059 | |
| First of Long Island Corp. | | | 294 | | | | 9,058 | |
| Medley Capital Corp. | | | 643 | | | | 9,047 | |
| First Community Bancshares, Inc. | | | 590 | | | | 9,003 | |
| State Auto Financial Corp. | | | 549 | | | | 8,998 | |
| First Connecticut Bancorp, Inc. | | | 665 | | | | 8,984 | |
| Citizens & Northern Corp. | | | 458 | | | | 8,981 | |
| Peoples Bancorp, Inc. | | | 389 | | | | 8,904 | |
| Cowen Group, Inc. — Class A* | | | 3,275 | | | | 8,843 | |
| Virginia Commerce Bancorp, Inc.* | | | 1,005 | | | | 8,794 | |
| Heritage Financial Corp. | | | 582 | | | | 8,747 | |
| Northfield Bancorp, Inc. | | | 544 | | | | 8,715 | |
| Golub Capital BDC, Inc. | | | 539 | | | | 8,570 | |
| National Bankshares, Inc. | | | 255 | | | | 8,466 | |
| Select Income REIT | | | 340 | | | | 8,371 | |
| Calamos Asset Management, Inc. — | | | | | | | | |
| Class A | | | 719 | | | | 8,369 | |
| United Financial Bancorp, Inc. | | | 572 | | | | 8,277 | |
| Home Loan Servicing Solutions Ltd. | | | 508 | | | | 8,265 | |
| Baldwin & Lyons, Inc. — Class B | | | 345 | | | | 8,249 | |
| Bank of Marin Bancorp | | | 193 | | | | 8,204 | |
| GFI Group, Inc. | | | 2,577 | | | | 8,195 | |
| SeaBright Holdings, Inc. | | | 744 | | | | 8,184 | |
| Washington Banking Co. | | | 575 | | | | 8,148 | |
| First Financial Holdings, Inc. | | | 618 | | | | 8,028 | |
| CNB Financial Corp. | | | 458 | | | | 8,020 | |
| Republic Bancorp, Inc. — Class A | | | 364 | | | | 7,990 | |
| Terreno Realty Corp. | | | 505 | | | | 7,979 | |
| Medallion Financial Corp. | | | 673 | | | | 7,948 | |
| One Liberty Properties, Inc. | | | 426 | | | | 7,945 | |
| OceanFirst Financial Corp. | | | 541 | | | | 7,936 | |
| FXCM, Inc. — Class A | | | 830 | | | | 7,927 | |
| Bank Mutual Corp. | | | 1,730 | | | | 7,872 | |
| Southwest Bancorp, Inc.* | | | 725 | | | | 7,866 | |
| Parkway Properties, Inc. | | | 586 | | | | 7,835 | |
| KCAP Financial, Inc. | | | 819 | | | | 7,584 | |
| Bridge Bancorp, Inc. | | | 325 | | | | 7,576 | |
| Gladstone Commercial Corp. | | | 412 | | | | 7,523 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| Westfield Financial, Inc. | | | 996 | | | $ | 7,460 | |
| Fox Chase Bancorp, Inc. | | | 475 | | | | 7,420 | |
| Diamond Hill Investment Group, Inc. | | | 96 | | | | 7,361 | |
| Chatham Lodging Trust | | | 521 | | | | 7,231 | |
| Arlington Asset Investment Corp. — | | | | | | | | |
| Class A | | | 301 | | | | 7,182 | |
| 1st United Bancorp, Inc.* | | | 1,110 | | | | 7,160 | |
| West Bancorporation, Inc. | | | 584 | | | | 7,037 | |
| Thomas Properties Group, Inc. | | | 1,200 | | | | 6,984 | |
| BankFinancial Corp. | | | 787 | | | | 6,918 | |
| Gladstone Capital Corp. | | | 781 | | | | 6,834 | |
| Pacific Capital Bancorp* | | | 147 | | | | 6,747 | |
| Metro Bancorp, Inc.* | | | 531 | | | | 6,728 | |
| Alliance Financial Corp. | | | 167 | | | | 6,715 | |
| Enstar Group Ltd.* | | | 67 | | | | 6,677 | |
| Western Asset Mortgage Capital Corp. | | | 300 | | | | 6,660 | |
| Phoenix Companies, Inc.* | | | 217 | | | | 6,655 | |
| SWS Group, Inc.* | | | 1,089 | | | | 6,654 | |
| Marlin Business Services Corp. | | | 311 | | | | 6,596 | |
| Home Federal Bancorp, Inc. | | | 581 | | | | 6,577 | |
| First Bancorp | | | 569 | | | | 6,561 | |
| American National Bankshares, Inc. | | | 290 | | | | 6,551 | |
| Walker & Dunlop, Inc.* | | | 424 | | | | 6,517 | |
| Ames National Corp. | | | 311 | | | | 6,481 | |
| Penns Woods Bancorp, Inc. | | | 146 | | | | 6,472 | |
| Gladstone Investment Corp. | | | 824 | | | | 6,444 | |
| Solar Senior Capital Ltd. | | | 356 | | | | 6,376 | |
| New Mountain Finance Corp. | | | 430 | | | | 6,373 | |
| Homeowners Choice, Inc. | | | 270 | | | | 6,345 | |
| American Safety Insurance | | | | | | | | |
| Holdings Ltd.* | | | 339 | | | | 6,336 | |
| First Defiance Financial Corp. | | | 362 | | | | 6,248 | |
| MetroCorp Bancshares, Inc.* | | | 590 | | | | 6,248 | |
| THL Credit, Inc. | | | 445 | | | | 6,243 | |
| Preferred Bank/Los Angeles CA* | | | 440 | | | | 6,239 | |
| GSV Capital Corp.* | | | 720 | | | | 6,214 | |
| Manning & Napier, Inc. — Class A | | | 508 | | | | 6,193 | |
| Oppenheimer Holdings, Inc. — Class A | | | 381 | | | | 6,077 | |
| Pacific Continental Corp. | | | 678 | | | | 6,055 | |
| Bank of Kentucky Financial Corp. | | | 218 | | | | 6,047 | |
| Park Sterling Corp.* | | | 1,219 | | | | 6,022 | |
| NGP Capital Resources Co. | | | 801 | | | | 5,975 | |
| National Interstate Corp. | | | 231 | | | | 5,960 | |
| UMH Properties, Inc. | | | 491 | | | | 5,877 | |
| Mission West Properties, Inc. | | | 675 | | | | 5,873 | |
| First California Financial Group, Inc.* | | | 840 | | | | 5,846 | |
| Fidus Investment Corp. | | | 349 | | | | 5,828 | |
| HomeStreet, Inc.* | | | 153 | | | | 5,823 | |
| Kansas City Life Insurance Co. | | | 151 | | | | 5,818 | |
| Guaranty Bancorp* | | | 2,850 | | | | 5,757 | |
| First Bancorp, Inc. | | | 324 | | | | 5,686 | |
| Merchants Bancshares, Inc. | | | 187 | | | | 5,526 | |
| Sierra Bancorp | | | 448 | | | | 5,492 | |
| Mercantile Bank Corp.* | | | 320 | | | | 5,485 | |
| Kearny Financial Corp. | | | 562 | | | | 5,474 | |
| ESB Financial Corp. | | | 392 | | | | 5,472 | |
| AV Homes, Inc.* | | | 368 | | | | 5,461 | |
| Peapack Gladstone Financial Corp. | | | 330 | | | | 5,392 | |
| MidWestOne Financial Group, Inc. | | | 250 | | | | 5,385 | |
| Heritage Commerce Corp.* | | | 774 | | | | 5,372 | |
| Bridge Capital Holdings* | | | 347 | | | | 5,365 | |
| New York Mortgage Trust, Inc. | | | 760 | | | | 5,358 | |
| Suffolk Bancorp* | | | 362 | | | | 5,307 | |
| Center Bancorp, Inc. | | | 444 | | | | 5,292 | |
| Gramercy Capital Corporation* | | | 1,720 | | | | 5,177 | |
| Meridian Interstate Bancorp, Inc.* | | | 313 | | | | 5,165 | |
| Kaiser Federal Financial Group, Inc. | | | 340 | | | | 5,131 | |
| Provident Financial Holdings, Inc. | | | 360 | | | | 5,116 | |
| MidSouth Bancorp, Inc. | | | 314 | | | | 5,084 | |
| Ladenburg Thalmann Financial | | | | | | | | |
| Services, Inc.* | | | 3,851 | | | | 5,083 | |
| Sun Bancorp, Inc.* | | | 1,488 | | | | 5,015 | |
| Bar Harbor Bankshares | | | 140 | | | | 5,004 | |
| Whitestone REIT — Class B | | | 379 | | | | 5,003 | |
| Consolidated-Tomoka Land Co. | | | 152 | | | | 4,999 | |
| First Pactrust Bancorp, Inc. | | | 397 | | | | 4,966 | |
| Ares Commercial Real Estate Corp. | | | 290 | | | | 4,947 | |
| Crawford & Co. — Class B | | | 976 | | | | 4,890 | |
| Northrim BanCorp, Inc. | | | 240 | | | | 4,834 | |
| Nicholas Financial, Inc. | | | 372 | | | | 4,803 | |
| First Financial Northwest, Inc.* | | | 590 | | | | 4,750 | |
| C&F Financial Corp. | | | 120 | | | | 4,722 | |
| SI Financial Group, Inc. | | | 400 | | | | 4,688 | |
| Zillow, Inc. — Class A* | | | 110 | | | | 4,640 | |
| Capital City Bank Group, Inc. | | | 435 | | | | 4,628 | |
| Farmers National Banc Corp. | | | 700 | | | | 4,522 | |
| Doral Financial Corp.* | | | 4,801 | | | | 4,516 | |
| Home Bancorp, Inc.* | | | 250 | | | | 4,498 | |
| Harris & Harris Group, Inc.* | | | 1,160 | | | | 4,396 | |
| FNB United Corp.* | | | 370 | | | | 4,396 | |
| Seacoast Banking Corporation of Florida* | | | 2,750 | | | | 4,373 | |
| Horizon Technology Finance Corp. | | | 270 | | | | 4,363 | |
| Gyrodyne Company of America, Inc.* | | | 40 | | | | 4,345 | |
| Hallmark Financial Services* | | | 533 | | | | 4,339 | |
| Heritage Oaks Bancorp* | | | 750 | | | | 4,320 | |
| FBR & Co.* | | | 1,392 | | | | 4,301 | |
| Heritage Financial Group, Inc. | | | 320 | | | | 4,205 | |
| Donegal Group, Inc. — Class A | | | 297 | | | | 4,170 | |
| Century Bancorp, Inc. — Class A | | | 130 | | | | 4,150 | |
| Eastern Insurance Holdings, Inc. | | | 240 | | | | 4,025 | |
| Horizon Bancorp | | | 140 | | | | 4,001 | |
| BSB Bancorp, Inc.* | | | 310 | | | | 3,999 | |
| Peoples Federal Bancshares, Inc. | | | 230 | | | | 3,974 | |
| Cape Bancorp, Inc.* | | | 421 | | | | 3,941 | |
| Enterprise Bancorp, Inc. | | | 224 | | | | 3,826 | |
| NASB Financial, Inc.* | | | 150 | | | | 3,726 | |
| Access National Corp. | | | 270 | | | | 3,688 | |
| EMC Insurance Group, Inc. | | | 170 | | | | 3,570 | |
| Clifton Savings Bancorp, Inc. | | | 324 | | | | 3,564 | |
| Middleburg Financial Corp. | | | 200 | | | | 3,552 | |
| ESSA Bancorp, Inc. | | | 338 | | | | 3,512 | |
| Tree.com, Inc.* | | | 220 | | | | 3,447 | |
| Artio Global Investors, Inc. — Class A | | | 1,143 | | | | 3,406 | |
| TCP Capital Corp. | | | 210 | | | | 3,352 | |
| 96 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| Fidelity Southern Corp. | | | 354 | | | $ | 3,349 | |
| Investors Title Co. | | | 50 | | | | 3,262 | |
| JMP Group, Inc. | | | 592 | | | | 3,250 | |
| Regional Management Corp.* | | | 180 | | | | 3,105 | |
| Independence Holding Co. | | | 307 | | | | 3,091 | |
| Resource America, Inc. — Class A | | | 450 | | | | 3,078 | |
| MicroFinancial, Inc. | | | 320 | | | | 2,928 | |
| Gain Capital Holdings, Inc. | | | 551 | | | | 2,716 | |
| Universal Insurance Holdings, Inc. | | | 699 | | | | 2,691 | |
| Pacific Mercantile Bancorp* | | | 400 | | | | 2,616 | |
| Hingham Institution for Savings | | | 40 | | | | 2,577 | |
| Roma Financial Corp. | | | 269 | | | | 2,394 | |
| Charter Financial Corp. | | | 244 | | | | 2,379 | |
| First Marblehead Corp.* | | | 2,109 | | | | 2,214 | |
| Capital Bank Financial Corp. — Class A* | | | 113 | | | | 2,030 | |
| Fortegra Financial Corp.* | | | 248 | | | | 1,967 | |
| Pzena Investment Management, Inc. — | | | | | | | | |
| Class A | | | 357 | | | | 1,860 | |
| CIFC Corp.* | | | 233 | | | | 1,706 | |
| California First National Bancorp | | | 89 | | | | 1,641 | |
| Waterstone Financial, Inc.* | | | 270 | | | | 1,401 | |
| First Federal Bancshares | | | | | | | | |
| of Arkansas, Inc.* | | | 130 | | | | 1,270 | |
| Berkshire Bancorp, Inc.* | | | 150 | | | | 1,235 | |
| Cascade Bancorp* | | | 229 | | | | 1,209 | |
| Crescent Financial Bancshares, Inc.* | | | 100 | | | | 455 | |
| Total Financials | | | | | | | 9,601,414 | |
| Information Technology - 9.3% | | | | | | | | |
| Ultimate Software Group, Inc.* | | | 998 | | | | 101,897 | |
| Wright Express Corp.* | | | 1,456 | | | | 101,513 | |
| CommVault Systems, Inc.* | | | 1,674 | | | | 98,263 | |
| Parametric Technology Corp.* | | | 4,468 | | | | 97,403 | |
| Aruba Networks, Inc.* | | | 4,184 | | | | 94,076 | |
| Cirrus Logic, Inc.* | | | 2,413 | | | | 92,634 | |
| Aspen Technology, Inc.* | | | 3,497 | | | | 90,398 | |
| CoStar Group, Inc.* | | | 997 | | | | 81,295 | |
| FEI Co. | | | 1,422 | | | | 76,078 | |
| MAXIMUS, Inc. | | | 1,273 | | | | 76,023 | |
| QLIK Technologies, Inc.* | | | 3,192 | | | | 71,534 | |
| Convergys Corp. | | | 4,361 | | | | 68,337 | |
| Microsemi Corp.* | | | 3,327 | | | | 66,772 | |
| Hittite Microwave Corp.* | | | 1,176 | | | | 65,233 | |
| ACI Worldwide, Inc.* | | | 1,487 | | | | 62,841 | |
| Cavium, Inc.* | | | 1,860 | | | | 61,994 | |
| Semtech Corp.* | | | 2,454 | | | | 61,718 | |
| InterDigital, Inc. | | | 1,654 | | | | 61,660 | |
| Anixter International, Inc. | | | 1,057 | | | | 60,734 | |
| Cymer, Inc.* | | | 1,155 | | | | 58,974 | |
| Quest Software, Inc.* | | | 2,094 | | | | 58,632 | |
| OSI Systems, Inc.* | | | 747 | | | | 58,145 | |
| j2 Global, Inc. | | | 1,735 | | | | 56,943 | |
| Fair Isaac Corp. | | | 1,286 | | | | 56,918 | |
| Plantronics, Inc. | | | 1,587 | | | | 56,069 | |
| 3D Systems Corp.* | | | 1,701 | | | | 55,878 | |
| Cognex Corp. | | | 1,601 | | | | 55,363 | |
| Sourcefire, Inc.* | | | 1,105 | | | | 54,178 | |
| Arris Group, Inc.* | | | 4,229 | | | | 54,089 | |
| NETGEAR, Inc.* | | | 1,417 | | | | 54,044 | |
| Mentor Graphics Corp.* | | | 3,484 | | | | 53,932 | |
| Acxiom Corp.* | | | 2,874 | | | | 52,508 | |
| ViaSat, Inc.* | | | 1,401 | | | | 52,369 | |
| ValueClick, Inc.* | | | 3,012 | | | | 51,776 | |
| CACI International, Inc. — Class A* | | | 997 | | | | 51,635 | |
| Universal Display Corp.* | | | 1,474 | | | | 50,675 | |
| JDA Software Group, Inc.* | | | 1,593 | | | | 50,626 | |
| Ciena Corp.* | | | 3,710 | | | | 50,456 | |
| Comverse Technology, Inc.* | | | 8,190 | | | | 50,369 | |
| Progress Software Corp.* | | | 2,349 | | | | 50,245 | |
| MKS Instruments, Inc. | | | 1,962 | | | | 50,011 | |
| First Solar, Inc.* | | | 2,250 | | | | 49,826 | |
| Tyler Technologies, Inc.* | | | 1,123 | | | | 49,434 | |
| Sapient Corp.* | | | 4,604 | | | | 49,079 | |
| Cardtronics, Inc.* | | | 1,643 | | | | 48,929 | |
| Finisar Corp.* | | | 3,415 | | | | 48,835 | |
| TiVo, Inc.* | | | 4,661 | | | | 48,614 | |
| Tellabs, Inc. | | | 13,690 | | | | 48,463 | |
| VistaPrint N.V.* | | | 1,380 | | | | 47,127 | |
| Kenexa Corp.* | | | 1,016 | | | | 46,563 | |
| Heartland Payment Systems, Inc. | | | 1,449 | | | | 45,904 | |
| Littelfuse, Inc. | | | 805 | | | | 45,515 | |
| DealerTrack Holdings, Inc.* | | | 1,584 | | | | 44,114 | |
| Liquidity Services, Inc.* | | | 876 | | | | 43,984 | |
| Manhattan Associates, Inc.* | | | 764 | | | | 43,754 | |
| Veeco Instruments, Inc.* | | | 1,451 | | | | 43,559 | |
| Stratasys, Inc.* | | | 798 | | | | 43,411 | |
| International Rectifier Corp.* | | | 2,590 | | | | 43,227 | |
| MicroStrategy, Inc. — Class A* | | | 315 | | | | 42,232 | |
| BroadSoft, Inc.* | | | 1,018 | | | | 41,758 | |
| Intersil Corp. — Class A | | | 4,770 | | | | 41,738 | |
| Entegris, Inc.* | | | 5,130 | | | | 41,707 | |
| QLogic Corp.* | | | 3,640 | | | | 41,569 | |
| ADTRAN, Inc. | | | 2,385 | | | | 41,213 | |
| RF Micro Devices, Inc.* | | | 10,402 | | | | 41,088 | |
| Coherent, Inc.* | | | 885 | | | | 40,586 | |
| Blackbaud, Inc. | | | 1,691 | | | | 40,449 | |
| VirnetX Holding Corp.* | | | 1,567 | | | | 39,849 | |
| Plexus Corp.* | | | 1,310 | | | | 39,679 | |
| Cornerstone OnDemand, Inc.* | | | 1,250 | | | | 38,325 | |
| LivePerson, Inc.* | | | 2,059 | | | | 37,288 | |
| Syntel, Inc. | | | 581 | | | | 36,260 | |
| NIC, Inc. | | | 2,414 | | | | 35,727 | |
| Euronet Worldwide, Inc.* | | | 1,893 | | | | 35,569 | |
| OpenTable, Inc.* | | | 841 | | | | 34,986 | |
| NetScout Systems, Inc.* | | | 1,369 | | | | 34,923 | |
| Unisys Corp.* | | | 1,639 | | | | 34,124 | |
| Monster Worldwide, Inc.* | | | 4,530 | | | | 33,205 | |
| ScanSource, Inc.* | | | 1,035 | | | | 33,141 | |
| Benchmark Electronics, Inc.* | | | 2,155 | | | | 32,906 | |
| Ancestry.com, Inc.* | | | 1,084 | | | | 32,607 | |
| Bottomline Technologies, Inc.* | | | 1,303 | | | | 32,171 | |
| Power Integrations, Inc. | | | 1,057 | | | | 32,165 | |
| MTS Systems Corp. | | | 598 | | | | 32,023 | |
| SYNNEX Corp.* | | | 982 | | | | 31,994 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| SS&C Technologies Holdings, Inc.* | | | 1,262 | | | $ | 31,815 | |
| TriQuint Semiconductor, Inc.* | | | 6,298 | | | | 31,805 | |
| Integrated Device Technology, Inc.* | | | 5,316 | | | | 31,258 | |
| Cabot Microelectronics Corp. | | | 881 | | | | 30,958 | |
| Ultratech, Inc.* | | | 983 | | | | 30,847 | |
| Take-Two Interactive Software, Inc.* | | | 2,920 | | | | 30,456 | |
| Synaptics, Inc.* | | | 1,260 | | | | 30,265 | |
| RealPage, Inc.* | | | 1,335 | | | | 30,171 | |
| Advent Software, Inc.* | | | 1,180 | | | | 28,993 | |
| Insight Enterprises, Inc.* | | | 1,656 | | | | 28,947 | |
| Electronics for Imaging, Inc.* | | | 1,733 | | | | 28,785 | |
| CSG Systems International, Inc.* | | | 1,273 | | | | 28,630 | |
| Loral Space & Communications, Inc. | | | 398 | | | | 28,298 | |
| EarthLink, Inc. | | | 3,972 | | | | 28,281 | |
| OmniVision Technologies, Inc.* | | | 1,958 | | | | 27,324 | |
| Bankrate, Inc.* | | | 1,722 | | | | 26,829 | |
| Blucora, Inc.* | | | 1,502 | | | | 26,751 | |
| Tessera Technologies, Inc. | | | 1,940 | | | | 26,539 | |
| WebMD Health Corp. — Class A* | | | 1,890 | | | | 26,517 | |
| FARO Technologies, Inc.* | | | 638 | | | | 26,362 | |
| Sanmina-SCI Corp.* | | | 3,051 | | | | 25,903 | |
| ExlService Holdings, Inc.* | | | 877 | | | | 25,872 | |
| Rogers Corp.* | | | 609 | | | | 25,797 | |
| Ixia* | | | 1,581 | | | | 25,407 | |
| Ebix, Inc. | | | 1,057 | | | | 24,956 | |
| Ellie Mae, Inc.* | | | 891 | | | | 24,262 | |
| GT Advanced Technologies, Inc.*,1 | | | 4,424 | | | | 24,111 | |
| Synchronoss Technologies, Inc.* | | | 1,038 | | | | 23,770 | |
| MEMC Electronic Materials, Inc.* | | | 8,630 | | | | 23,733 | |
| Web.com Group, Inc.* | | | 1,309 | | | | 23,497 | |
| Emulex Corp.* | | | 3,248 | | | | 23,418 | |
| Brightpoint, Inc.* | | | 2,589 | | | | 23,249 | |
| Digital River, Inc.* | | | 1,382 | | | | 23,024 | |
| Rambus, Inc.* | | | 4,125 | | | | 22,853 | |
| Monolithic Power Systems, Inc.* | | | 1,146 | | | | 22,634 | |
| Infinera Corp.* | | | 4,103 | | | | 22,484 | |
| Diodes, Inc.* | | | 1,320 | | | | 22,453 | |
| Guidewire Software, Inc.* | | | 719 | | | | 22,325 | |
| Verint Systems, Inc.* | | | 812 | | | | 22,281 | |
| ATMI, Inc.* | | | 1,192 | | | | 22,135 | |
| iGATE Corp.* | | | 1,207 | | | | 21,931 | |
| Websense, Inc.* | | | 1,384 | | | | 21,660 | |
| Spansion, Inc. — Class A* | | | 1,803 | | | | 21,492 | |
| Monotype Imaging Holdings, Inc. | | | 1,365 | | | | 21,280 | |
| Rofin-Sinar Technologies, Inc.* | | | 1,072 | | | | 21,151 | |
| Mantech International Corp. — Class A | | | 867 | | | | 20,808 | |
| Volterra Semiconductor Corp.* | | | 948 | | | | 20,733 | |
| comScore, Inc.* | | | 1,322 | | | | 20,161 | |
| Harmonic, Inc.* | | | 4,392 | | | | 19,940 | |
| Brooks Automation, Inc. | | | 2,480 | | | | 19,914 | |
| Constant Contact, Inc.* | | | 1,140 | | | | 19,836 | |
| Global Cash Access Holdings, Inc.* | | | 2,460 | | | | 19,803 | |
| Badger Meter, Inc. | | | 542 | | | | 19,723 | |
| Park Electrochemical Corp. | | | 774 | | | | 19,218 | |
| Entropic Communications, Inc.* | | | 3,292 | | | | 19,159 | |
| ServiceSource International, Inc.*,1 | | | 1,854 | | | | 19,022 | |
| Micrel, Inc. | | | 1,817 | | | | 18,933 | |
| Opnet Technologies, Inc. | | | 552 | | | | 18,807 | |
| Pegasystems, Inc. | | | 645 | | | | 18,731 | |
| United Online, Inc. | | | 3,390 | | | | 18,713 | |
| TTM Technologies, Inc.* | | | 1,983 | | | | 18,700 | |
| Comtech Telecommunications Corp. | | | 676 | | | | 18,685 | |
| Measurement Specialties, Inc.* | | | 565 | | | | 18,634 | |
| LogMeIn, Inc.* | | | 823 | | | | 18,460 | |
| Advanced Energy Industries, Inc.* | | | 1,490 | | | | 18,357 | |
| Active Network, Inc.* | | | 1,448 | | | | 18,143 | |
| Accelrys, Inc.* | | | 2,077 | | | | 17,987 | |
| Cray, Inc.* | | | 1,387 | | | | 17,615 | |
| Lattice Semiconductor Corp.* | | | 4,410 | | | | 16,890 | |
| Procera Networks, Inc.* | | | 712 | | | | 16,732 | |
| Black Box Corp. | | | 652 | | | | 16,633 | |
| Interactive Intelligence Group, Inc.* | | | 547 | | | | 16,437 | |
| InvenSense, Inc. — Class A* | | | 1,361 | | | | 16,264 | |
| Higher One Holdings, Inc.* | | | 1,202 | | | | 16,203 | |
| EPIQ Systems, Inc. | | | 1,182 | | | | 15,862 | |
| DTS, Inc.* | | | 677 | | | | 15,761 | |
| Newport Corp.* | | | 1,425 | | | | 15,761 | |
| PROS Holdings, Inc.* | | | 818 | | | | 15,599 | |
| Vocus, Inc.* | | | 770 | | | | 15,446 | |
| SPS Commerce, Inc.* | | | 401 | | | | 15,426 | |
| Forrester Research, Inc. | | | 528 | | | | 15,191 | |
| Sonus Networks, Inc.* | | | 7,956 | | | | 14,957 | |
| Cass Information Systems, Inc. | | | 351 | | | | 14,731 | |
| RealD, Inc.* | | | 1,641 | | | | 14,671 | |
| Tangoe, Inc.* | | | 1,111 | | | | 14,587 | |
| TeleTech Holdings, Inc.* | | | 855 | | | | 14,578 | |
| Perficient, Inc.* | | | 1,192 | | | | 14,387 | |
| Dice Holdings, Inc.* | | | 1,708 | | | | 14,381 | |
| Silicon Image, Inc.* | | | 3,110 | | | | 14,275 | |
| Quantum Corp.* | | | 8,766 | | | | 14,113 | |
| Angie’s List, Inc.* | | | 1,330 | | | | 14,071 | |
| Power-One, Inc.* | | | 2,508 | | | | 14,045 | |
| Internap Network Services Corp.* | | | 1,983 | | | | 13,980 | |
| Intermec, Inc.* | | | 2,239 | | | | 13,904 | |
| Responsys, Inc.* | | | 1,341 | | | | 13,718 | |
| TNS, Inc.* | | | 910 | | | | 13,605 | |
| Methode Electronics, Inc. | | | 1,381 | | | | 13,410 | |
| AuthenTec, Inc.* | | | 1,660 | | | | 13,297 | |
| Imperva, Inc.* | | | 359 | | | | 13,279 | |
| MIPS Technologies, Inc. — Class A* | | | 1,779 | | | | 13,147 | |
| Amkor Technology, Inc.* | | | 2,983 | | | | 13,125 | |
| Super Micro Computer, Inc.* | | | 1,089 | | | | 13,101 | |
| Actuate Corp.* | | | 1,843 | | | | 12,956 | |
| Daktronics, Inc. | | | 1,353 | | | | 12,867 | |
| CTS Corp. | | | 1,274 | | | | 12,829 | |
| Move, Inc.* | | | 1,472 | | | | 12,689 | |
| Rudolph Technologies, Inc.* | | | 1,205 | | | | 12,653 | |
| Checkpoint Systems, Inc.* | | | 1,511 | | | | 12,511 | |
| Electro Rent Corp. | | | 704 | | | | 12,454 | |
| Ceva, Inc.* | | | 865 | | | | 12,439 | |
| Mercury Computer Systems, Inc.* | | | 1,161 | | | | 12,330 | |
| PDF Solutions, Inc.* | | | 902 | | | | 12,321 | |
| Virtusa Corp.* | | | 691 | | | | 12,279 | |
| SciQuest, Inc.* | | | 668 | | | | 12,158 | |
| 98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Nanometrics, Inc.* | | | 880 | | | $ | 12,153 | |
| Photronics, Inc.* | | | 2,262 | | | | 12,147 | |
| Demand Media, Inc.* | | | 1,115 | | | | 12,120 | |
| Stamps.com, Inc.* | | | 519 | | | | 12,010 | |
| Sycamore Networks, Inc.* | | | 767 | | | | 11,812 | |
| Extreme Networks* | | | 3,518 | | | | 11,750 | |
| Applied Micro Circuits Corp.* | | | 2,319 | | | | 11,734 | |
| Oplink Communications, Inc.* | | | 707 | | | | 11,694 | |
| MoneyGram International, Inc.* | | | 769 | | | | 11,489 | |
| Zygo Corp.* | | | 610 | | | | 11,157 | |
| Exar Corp.* | | | 1,394 | | | | 11,152 | |
| Anaren, Inc.* | | | 556 | | | | 11,114 | |
| Saba Software, Inc.* | | | 1,112 | | | | 11,109 | |
| Symmetricom, Inc.* | | | 1,558 | | | | 10,859 | |
| Silicon Graphics International Corp.*,1 | | | 1,190 | | | | 10,829 | |
| Deltek, Inc.* | | | 822 | | | | 10,702 | |
| LTX-Credence Corp.* | | | 1,835 | | | | 10,551 | |
| Avid Technology, Inc.* | | | 1,113 | | | | 10,529 | |
| Electro Scientific Industries, Inc. | | | 854 | | | | 10,436 | |
| NVE Corp.* | | | 176 | | | | 10,417 | |
| FormFactor, Inc.* | | | 1,857 | | | | 10,381 | |
| QuinStreet, Inc.* | | | 1,218 | | | | 10,219 | |
| VASCO Data Security International, Inc.* | | | 1,054 | | | | 9,887 | |
| Digi International, Inc.* | | | 967 | | | | 9,825 | |
| GSI Group, Inc.* | | | 1,088 | | | | 9,694 | |
| PLX Technology, Inc.* | | | 1,672 | | | | 9,647 | |
| Globecomm Systems, Inc.* | | | 863 | | | | 9,622 | |
| Fabrinet* | | | 830 | | | | 9,620 | |
| Jive Software, Inc.* | | | 604 | | | | 9,489 | |
| CIBER, Inc.* | | | 2,720 | | | | 9,438 | |
| Integrated Silicon Solution, Inc.* | | | 1,014 | | | | 9,390 | |
| Kopin Corp.* | | | 2,496 | | | | 9,385 | |
| Calix, Inc.* | | | 1,465 | | | | 9,376 | |
| Glu Mobile, Inc.*,1 | | | 2,023 | | | | 9,366 | |
| Inphi Corp.* | | | 876 | | | | 9,338 | |
| Computer Task Group, Inc.* | | | 576 | | | | 9,320 | |
| Envestnet, Inc.* | | | 779 | | | | 9,114 | |
| IXYS Corp.* | | | 912 | | | | 9,047 | |
| FSI International, Inc.* | | | 1,457 | | | | 9,033 | |
| STEC, Inc.* | | | 1,328 | | | | 8,964 | |
| ExactTarget, Inc.* | | | 370 | | | | 8,961 | |
| IntraLinks Holdings, Inc.* | | | 1,355 | | | | 8,862 | |
| Maxwell Technologies, Inc.* | | | 1,090 | | | | 8,851 | |
| CalAmp Corp.* | | | 1,070 | | | | 8,785 | |
| OCZ Technology Group, Inc.*,1 | | | 2,513 | | | | 8,720 | |
| Yelp, Inc. — Class A* | | | 320 | | | | 8,656 | |
| Cohu, Inc. | | | 912 | | | | 8,564 | |
| Keynote Systems, Inc. | | | 591 | | | | 8,558 | |
| Seachange International, Inc.* | | | 1,058 | | | | 8,305 | |
| XO Group, Inc.* | | | 977 | | | | 8,158 | |
| Sigma Designs, Inc.* | | | 1,234 | | | | 8,157 | |
| support.com, Inc.* | | | 1,823 | | | | 7,711 | |
| Demandware, Inc.* | | | 240 | | | | 7,620 | |
| Pericom Semiconductor Corp.* | | | 877 | | | | 7,617 | |
| KVH Industries, Inc.* | | | 555 | | | | 7,487 | |
| KEMET Corp.* | | | 1,682 | | | | 7,401 | |
| Lionbridge Technologies, Inc.* | | | 2,102 | | | | 7,399 | |
| Oclaro, Inc.* | | | 2,727 | | | | 7,363 | |
| Bel Fuse, Inc. — Class B | | | 394 | | | | 7,360 | |
| ShoreTel, Inc.* | | | 1,799 | | | | 7,358 | |
| Multi-Fineline Electronix, Inc.* | | | 326 | | | | 7,351 | |
| American Software, Inc. — Class A | | | 875 | | | | 7,140 | |
| Supertex, Inc.* | | | 381 | | | | 6,812 | |
| RealNetworks, Inc.* | | | 813 | | | | 6,764 | |
| Infoblox, Inc.* | | | 290 | | | | 6,743 | |
| SunPower Corp. — Class A* | | | 1,490 | | | | 6,720 | |
| PRGX Global, Inc.* | | | 781 | | | | 6,685 | |
| Parkervision, Inc.* | | | 2,840 | | | | 6,646 | |
| Zix Corp.* | | | 2,278 | | | | 6,538 | |
| Imation Corp.* | | | 1,154 | | | | 6,451 | |
| Vishay Precision Group, Inc.* | | | 461 | | | | 6,445 | |
| Callidus Software, Inc.* | | | 1,290 | | | | 6,360 | |
| Unwired Planet, Inc.* | | | 3,242 | | | | 6,225 | |
| Travelzoo, Inc.* | | | 264 | | | | 6,222 | |
| Millennial Media, Inc.* | | | 430 | | | | 6,171 | |
| Telular Corp. | | | 620 | | | | 6,138 | |
| Richardson Electronics Ltd. | | | 515 | | | | 6,113 | |
| Rubicon Technology, Inc.* | | | 635 | | | | 6,083 | |
| Guidance Software, Inc.* | | | 530 | | | | 5,968 | |
| KIT Digital, Inc.* | | | 1,943 | | | | 5,829 | |
| ePlus, Inc.* | | | 148 | | | | 5,805 | |
| Bazaarvoice, Inc.* | | | 383 | | | | 5,802 | |
| Digimarc Corp. | | | 259 | | | | 5,763 | |
| Immersion Corp.* | | | 1,046 | | | | 5,722 | |
| Alpha & Omega Semiconductor Ltd.* | | | 643 | | | | 5,536 | |
| MaxLinear, Inc. — Class A* | | | 827 | | | | 5,533 | |
| Market Leader, Inc.* | | | 820 | | | | 5,494 | |
| Aviat Networks, Inc.* | | | 2,295 | | | | 5,462 | |
| ModusLink Global Solutions, Inc.* | | | 1,477 | | | | 5,450 | |
| Echelon Corp.* | | | 1,418 | | | | 5,445 | |
| Intevac, Inc.* | | | 868 | | | | 5,303 | |
| Limelight Networks, Inc.* | | | 2,186 | | | | 5,115 | |
| MoSys, Inc.* | | | 1,258 | | | | 5,082 | |
| Rosetta Stone, Inc.* | | | 395 | | | | 5,036 | |
| Ultra Clean Holdings* | | | 867 | | | | 4,951 | |
| PC-Telephone, Inc. | | | 690 | | | | 4,865 | |
| DSP Group, Inc.* | | | 815 | | | | 4,841 | |
| Mesa Laboratories, Inc. | | | 100 | | | | 4,838 | |
| Aeroflex Holding Corp.* | | | 722 | | | | 4,787 | |
| Datalink Corp.* | | | 570 | | | | 4,720 | |
| Mindspeed Technologies, Inc.* | | | 1,351 | | | | 4,674 | |
| Agilysys, Inc.* | | | 543 | | | | 4,670 | |
| Ubiquiti Networks, Inc.* | | | 390 | | | | 4,641 | |
| QuickLogic Corp.* | | | 1,570 | | | | 4,396 | |
| Pervasive Software, Inc.* | | | 500 | | | | 4,300 | |
| iPass, Inc.* | | | 1,940 | | | | 4,268 | |
| NeoPhotonics Corp.* | | | 727 | | | | 4,246 | |
| Tessco Technologies, Inc. | | | 200 | | | | 4,234 | |
| Axcelis Technologies, Inc.* | | | 4,026 | | | | 4,227 | |
| Numerex Corp. — Class A* | | | 367 | | | | 4,158 | |
| AXT, Inc.* | | | 1,209 | | | | 4,086 | |
| Westell Technologies, Inc. — Class A* | | | 1,817 | | | | 3,888 | |
| Key Tronic Corp.* | | | 390 | | | | 3,869 | |
| Hackett Group, Inc.* | | | 915 | | | | 3,825 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| GSI Technology, Inc.* | | | 770 | | | $ | 3,812 | |
| PC Connection, Inc. | | | 328 | | | | 3,775 | |
| TeleNav, Inc.* | | | 622 | | | | 3,713 | |
| Intermolecular, Inc.* | | | 518 | | | | 3,678 | |
| ANADIGICS, Inc.* | | | 2,629 | | | | 3,654 | |
| Proofpoint, Inc.* | | | 240 | | | | 3,564 | |
| STR Holdings, Inc.* | | | 1,123 | | | | 3,481 | |
| EPAM Systems, Inc.* | | | 178 | | | | 3,371 | |
| TechTarget, Inc.* | | | 569 | | | | 3,363 | |
| Innodata, Inc.* | | | 820 | | | | 3,321 | |
| Marchex, Inc. — Class B | | | 849 | | | | 3,243 | |
| Neonode, Inc.* | | | 840 | | | | 3,167 | |
| QAD, Inc. — Class A* | | | 231 | | | | 3,137 | |
| Radisys Corp.* | | | 853 | | | | 3,071 | |
| Carbonite, Inc.* | | | 419 | | | | 2,937 | |
| M/A-COM Technology Solutions Holdings, Inc.* | | | 230 | | | | 2,921 | |
| AVG Technologies N.V.* | | | 304 | | | | 2,918 | |
| FalconStor Software, Inc.* | | | 1,185 | | | | 2,785 | |
| Aware, Inc. | | | 430 | | | | 2,709 | |
| Spark Networks, Inc.* | | | 430 | | | | 2,632 | |
| Brightcove, Inc.* | | | 222 | | | | 2,593 | |
| Viasystems Group, Inc.* | | | 144 | | | | 2,491 | |
| Mattersight Corp.* | | | 370 | | | | 2,190 | |
| Mattson Technology, Inc.* | | | 2,190 | | | | 2,124 | |
| MeetMe, Inc.* | | | 683 | | | | 1,947 | |
| Synacor, Inc.* | | | 250 | | | | 1,895 | |
| Sapiens International Corporation N.V.* | | | 510 | | | | 1,856 | |
| Audience, Inc.* | | | 230 | | | | 1,426 | |
| Envivio, Inc.* | | | 290 | | | | 638 | |
| Ambient Corp.* | | | 100 | | | | 526 | |
| Total Information Technology | | | | | | | 7,672,688 | |
| Industrials - 8.0% | | | | | | | | |
| Genesee & Wyoming, Inc. — Class A* | | | 1,514 | | | | 101,226 | |
| Acuity Brands, Inc. | | | 1,586 | | | | 100,379 | |
| Alaska Air Group, Inc.* | | | 2,661 | | | | 93,295 | |
| Dollar Thrifty Automotive Group, Inc.* | | | 1,045 | | | | 90,842 | |
| Hexcel Corp.* | | | 3,721 | | | | 89,377 | |
| Woodward, Inc. | | | 2,586 | | | | 87,872 | |
| Teledyne Technologies, Inc.* | | | 1,370 | | | | 86,844 | |
| Robbins & Myers, Inc. | | | 1,438 | | | | 85,706 | |
| CLARCOR, Inc. | | | 1,883 | | | | 84,038 | |
| AO Smith Corp. | | | 1,458 | | | | 83,893 | |
| Watsco, Inc. | | | 1,099 | | | | 83,292 | |
| Chart Industries, Inc.* | | | 1,119 | | | | 82,638 | |
| Middleby Corp.* | | | 703 | | | | 81,295 | |
| Old Dominion Freight Line, Inc.* | | | 2,662 | | | | 80,286 | |
| HEICO Corp. | | | 1,966 | | | | 76,065 | |
| Actuant Corp. — Class A | | | 2,652 | | | | 75,900 | |
| EMCOR Group, Inc. | | | 2,499 | | | | 71,320 | |
| Portfolio Recovery Associates, Inc.* | | | 642 | | | | 67,045 | |
| Corporate Executive Board Co. | | | 1,249 | | | | 66,983 | |
| Applied Industrial Technologies, Inc. | | | 1,574 | | | | 65,211 | |
| Esterline Technologies Corp.* | | | 1,145 | | | | 64,280 | |
| Moog, Inc. — Class A* | | | 1,691 | | | | 64,038 | |
| US Airways Group, Inc.*,1 | | | 6,067 | | | | 63,461 | |
| Geo Group, Inc. | | | 2,293 | | | | 63,448 | |
| EnerSys, Inc.* | | | 1,797 | | | | 63,416 | |
| Belden, Inc. | | | 1,697 | | | | 62,585 | |
| Tetra Tech, Inc.* | | | 2,372 | | | | 62,290 | |
| Advisory Board Co.* | | | 1,278 | | | | 61,126 | |
| Avis Budget Group, Inc.* | | | 3,967 | | | | 61,012 | |
| USG Corp.*,1 | | | 2,775 | | | | 60,911 | |
| Deluxe Corp. | | | 1,900 | | | | 58,063 | |
| Healthcare Services Group, Inc. | | | 2,510 | | | | 57,403 | |
| Curtiss-Wright Corp. | | | 1,750 | | | | 57,225 | |
| Brady Corp. — Class A | | | 1,831 | | | | 53,612 | |
| Franklin Electric Company, Inc. | | | 880 | | | | 53,231 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 984 | | | | 50,804 | |
| Barnes Group, Inc. | | | 2,031 | | | | 50,795 | |
| Acacia Research Corp.* | | | 1,853 | | | | 50,791 | |
| Beacon Roofing Supply, Inc.* | | | 1,748 | | | | 49,818 | |
| Mueller Industries, Inc. | | | 1,006 | | | | 45,743 | |
| Brink’s Co. | | | 1,763 | | | | 45,291 | |
| HNI Corp. | | | 1,701 | | | | 43,393 | |
| MasTec, Inc.* | | | 2,180 | | | | 42,945 | |
| Simpson Manufacturing Company, Inc. | | | 1,493 | | | | 42,730 | |
| Herman Miller, Inc. | | | 2,185 | | | | 42,476 | |
| JetBlue Airways Corp.* | | | 8,743 | | | | 41,879 | |
| Watts Water Technologies, Inc. — Class A | | | 1,107 | | | | 41,878 | |
| FTI Consulting, Inc.* | | | 1,564 | | | | 41,728 | |
| Granite Construction, Inc. | | | 1,447 | | | | 41,558 | |
| Hub Group, Inc. — Class A* | | | 1,389 | | | | 41,226 | |
| Raven Industries, Inc. | | | 1,354 | | | | 39,848 | |
| RBC Bearings, Inc.* | | | 828 | | | | 39,827 | |
| United Stationers, Inc. | | | 1,519 | | | | 39,524 | |
| ESCO Technologies, Inc. | | | 998 | | | | 38,772 | |
| Mine Safety Appliances Co. | | | 1,037 | | | | 38,649 | |
| ABM Industries, Inc. | | | 2,003 | | | | 37,918 | |
| II-VI, Inc.* | | | 1,968 | | | | 37,431 | |
| UniFirst Corp. | | | 538 | | | | 35,933 | |
| TAL International Group, Inc. | | | 1,056 | | | | 35,883 | |
| AZZ, Inc. | | | 944 | | | | 35,853 | |
| Allegiant Travel Co. — Class A* | | | 564 | | | | 35,735 | |
| Kaman Corp. | | | 988 | | | | 35,430 | |
| Werner Enterprises, Inc. | | | 1,648 | | | | 35,218 | |
| Amerco, Inc. | | | 325 | | | | 34,567 | |
| Lindsay Corp. | | | 474 | | | | 34,115 | |
| Briggs & Stratton Corp. | | | 1,807 | | | | 33,737 | |
| Forward Air Corp. | | | 1,084 | | | | 32,964 | |
| Orbital Sciences Corp.* | | | 2,205 | | | | 32,105 | |
| On Assignment, Inc.* | | | 1,602 | | | | 31,912 | |
| Knight Transportation, Inc. | | | 2,168 | | | | 31,002 | |
| Universal Forest Products, Inc. | | | 733 | | | | 30,449 | |
| Tennant Co. | | | 705 | | | | 30,188 | |
| Cubic Corp. | | | 599 | | | | 29,986 | |
| Huron Consulting Group, Inc.* | | | 860 | | | | 29,945 | |
| Trimas Corp.* | | | 1,205 | | | | 29,053 | |
| Interface, Inc. — Class A | | | 2,191 | | | | 28,943 | |
| Mueller Water Products, Inc. — Class A | | | 5,857 | | | | 28,699 | |
| Exponent, Inc.* | | | 501 | | | | 28,602 | |
| 100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Aegion Corp. — Class A* | | | 1,469 | | | $ | 28,146 | |
| Steelcase, Inc. — Class A | | | 2,847 | | | | 28,043 | |
| Titan International, Inc. | | | 1,577 | | | | 27,851 | |
| EnPro Industries, Inc.* | | | 770 | | | | 27,728 | |
| DigitalGlobe, Inc.* | | | 1,349 | | | | 27,506 | |
| ACCO Brands Corp.* | | | 4,225 | | | | 27,420 | |
| Korn/Ferry International* | | | 1,788 | | | | 27,410 | |
| Kaydon Corp. | | | 1,192 | | | | 26,629 | |
| Spirit Airlines, Inc.* | | | 1,552 | | | | 26,508 | |
| Quanex Building Products Corp. | | | 1,371 | | | | 25,830 | |
| Swift Transportation Co. — Class A* | | | 2,954 | | | | 25,463 | |
| Knoll, Inc. | | | 1,787 | | | | 24,929 | |
| Aircastle Ltd. | | | 2,194 | | | | 24,858 | |
| AAR Corp. | | | 1,510 | | | | 24,794 | |
| CIRCOR International, Inc. | | | 650 | | | | 24,538 | |
| McGrath RentCorp | | | 922 | | | | 24,055 | |
| Blount International, Inc.* | | | 1,826 | | | | 24,030 | |
| Rush Enterprises, Inc. — Class A* | | | 1,243 | | | | 23,940 | |
| Heartland Express, Inc. | | | 1,791 | | | | 23,928 | |
| Mobile Mini, Inc.* | | | 1,429 | | | | 23,879 | |
| Astec Industries, Inc.* | | | 753 | | | | 23,802 | |
| Team, Inc.* | | | 746 | | | | 23,761 | |
| TrueBlue, Inc.* | | | 1,508 | | | | 23,706 | |
| Encore Capital Group, Inc.* | | | 820 | | | | 23,173 | |
| Albany International Corp. — Class A | | | 1,036 | | | | 22,761 | |
| Seaboard Corp.* | | | 10 | | | | 22,601 | |
| Ceradyne, Inc. | | | 906 | | | | 22,134 | |
| G&K Services, Inc. — Class A | | | 703 | | | | 22,011 | |
| Insperity, Inc. | | | 853 | | | | 21,521 | |
| American Science & Engineering, Inc. | | | 328 | | | | 21,520 | |
| Navigant Consulting, Inc.* | | | 1,935 | | | | 21,382 | |
| Generac Holdings, Inc. | | | 923 | | | | 21,127 | |
| GenCorp, Inc.* | | | 2,224 | | | | 21,106 | |
| Resources Connection, Inc. | | | 1,587 | | | | 20,806 | |
| Apogee Enterprises, Inc. | | | 1,057 | | | | 20,738 | |
| Encore Wire Corp. | | | 706 | | | | 20,658 | |
| Standex International Corp. | | | 464 | | | | 20,625 | |
| Sun Hydraulics Corp. | | | 769 | | | | 20,432 | |
| SkyWest, Inc. | | | 1,910 | | | | 19,730 | |
| Rexnord Corp.* | | | 1,080 | | | | 19,678 | |
| Sykes Enterprises, Inc.* | | | 1,450 | | | | 19,488 | |
| RailAmerica, Inc.* | | | 706 | | | | 19,394 | |
| Cascade Corp. | | | 345 | | | | 18,885 | |
| Altra Holdings, Inc. | | | 1,003 | | | | 18,255 | |
| Wabash National Corp.* | | | 2,557 | | | | 18,231 | |
| Dycom Industries, Inc.* | | | 1,260 | | | | 18,119 | |
| Trex Company, Inc.* | | | 517 | | | | 17,640 | |
| Sauer-Danfoss, Inc. | | | 435 | | | | 17,491 | |
| John Bean Technologies Corp. | | | 1,067 | | | | 17,424 | |
| Griffon Corp. | | | 1,648 | | | | 16,974 | |
| Great Lakes Dredge & Dock Corp. | | | 2,204 | | | | 16,971 | |
| Ennis, Inc. | | | 975 | | | | 16,000 | |
| Nortek, Inc.* | | | 290 | | | | 15,872 | |
| Quad/Graphics, Inc.1 | | | 932 | | | | 15,807 | |
| Viad Corp. | | | 757 | | | | 15,791 | |
| DXP Enterprises, Inc.* | | | 326 | | | | 15,573 | |
| InnerWorkings, Inc.* | | | 1,184 | | | | 15,416 | |
| MYR Group, Inc.* | | | 770 | | | | 15,362 | |
| Gorman-Rupp Co. | | | 568 | | | | 15,336 | |
| Tutor Perini Corp.* | | | 1,340 | | | | 15,330 | |
| Meritor, Inc.* | | | 3,608 | | | | 15,298 | |
| Comfort Systems USA, Inc. | | | 1,397 | | | | 15,269 | |
| Aerovironment, Inc.* | | | 644 | | | | 15,115 | |
| ICF International, Inc.* | | | 747 | | | | 15,015 | |
| Kimball International, Inc. — Class B | | | 1,222 | | | | 14,933 | |
| US Ecology, Inc. | | | 687 | | | | 14,825 | |
| GeoEye, Inc.* | | | 558 | | | | 14,748 | |
| Federal Signal Corp.* | | | 2,329 | | | | 14,719 | |
| Gibraltar Industries, Inc.* | | | 1,144 | | | | 14,666 | |
| Layne Christensen Co.* | | | 745 | | | | 14,609 | |
| Primoris Services Corp. | | | 1,114 | | | | 14,538 | |
| Textainer Group Holdings Ltd. | | | 455 | | | | 13,900 | |
| Thermon Group Holdings, Inc.* | | | 554 | | | | 13,844 | |
| Greenbrier Companies, Inc.* | | | 852 | | | | 13,751 | |
| AAON, Inc. | | | 692 | | | | 13,625 | |
| Mistras Group, Inc.* | | | 583 | | | | 13,526 | |
| Standard Parking Corp.* | | | 580 | | | | 13,009 | |
| H&E Equipment Services, Inc. | | | 1,070 | | | | 12,968 | |
| National Presto Industries, Inc. | | | 177 | | | | 12,900 | |
| Titan Machinery, Inc.* | | | 634 | | | | 12,858 | |
| Powell Industries, Inc.* | | | 328 | | | | 12,684 | |
| Kforce, Inc.* | | | 1,073 | | | | 12,651 | |
| Kelly Services, Inc. — Class A | | | 1,002 | | | | 12,625 | |
| Taser International, Inc.* | | | 2,075 | | | | 12,512 | |
| Douglas Dynamics, Inc. | | | 822 | | | | 12,157 | |
| Celadon Group, Inc. | | | 750 | | | | 12,053 | |
| Saia, Inc.* | | | 596 | | | | 12,003 | |
| Astronics Corp.* | | | 389 | | | | 11,981 | |
| EnerNOC, Inc.* | | | 921 | | | | 11,955 | |
| Global Power Equipment Group, Inc. | | | 640 | | | | 11,834 | |
| Multi-Color Corp. | | | 510 | | | | 11,812 | |
| Capstone Turbine Corp.* | | | 11,163 | | | | 11,163 | |
| Columbus McKinnon Corp.* | | | 725 | | | | 10,955 | |
| LB Foster Co. — Class A | | | 337 | | | | 10,899 | |
| Hawaiian Holdings, Inc.* | | | 1,908 | | | | 10,666 | |
| GP Strategies Corp.* | | | 551 | | | | 10,645 | |
| Kadant, Inc.* | | | 438 | | | | 10,157 | |
| Marten Transport Ltd. | | | 578 | | | | 10,155 | |
| American Railcar Industries, Inc.* | | | 353 | | | | 10,004 | |
| CAI International, Inc.* | | | 478 | | | | 9,809 | |
| Echo Global Logistics, Inc.* | | | 551 | | | | 9,450 | |
| Aceto Corp. | | | 998 | | | | 9,431 | |
| Wesco Aircraft Holdings, Inc.* | | | 663 | | | | 9,057 | |
| Lydall, Inc.* | | | 638 | | | | 8,989 | |
| Ameresco, Inc. — Class A* | | | 755 | | | | 8,917 | |
| RPX Corp.* | | | 788 | | | | 8,833 | |
| Kratos Defense & Security Solutions, Inc.* | | | 1,502 | | | | 8,772 | |
| Air Transport Services Group, Inc.* | | | 1,992 | | | | 8,765 | |
| KEYW Holding Corp.* | | | 698 | | | | 8,725 | |
| Builders FirstSource, Inc.* | | | 1,681 | | | | 8,724 | |
| CDI Corp. | | | 512 | | | | 8,719 | |
| Northwest Pipe Co.* | | | 352 | | | | 8,677 | |
| Odyssey Marine Exploration, Inc.*,1 | | | 2,736 | | | | 8,646 | |
| Alamo Group, Inc. | | | 254 | | | | 8,580 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| CBIZ, Inc.* | | | 1,423 | | | $ | 8,566 | |
| Heidrick & Struggles International, Inc. | | | 670 | | | | 8,536 | |
| Republic Airways Holdings, Inc.* | | | 1,816 | | | | 8,408 | |
| Accuride Corp.* | | | 1,762 | | | | 8,211 | |
| EnergySolutions, Inc.* | | | 2,965 | | | | 8,094 | |
| XPO Logistics, Inc.* | | | 660 | | | | 8,078 | |
| FreightCar America, Inc. | | | 447 | | | | 7,952 | |
| Furmanite Corp.* | | | 1,385 | | | | 7,867 | |
| Zipcar, Inc.* | | | 1,002 | | | | 7,796 | |
| Insteel Industries, Inc. | | | 664 | | | | 7,789 | |
| Consolidated Graphics, Inc.* | | | 298 | | | | 7,775 | |
| Michael Baker Corp.* | | | 325 | | | | 7,755 | |
| SeaCube Container Leasing Ltd. | | | 413 | | | | 7,744 | |
| Dynamic Materials Corp. | | | 508 | | | | 7,630 | |
| Roadrunner Transportation Systems, Inc.* | | | 471 | | | | 7,621 | |
| Orion Marine Group, Inc.* | | | 1,014 | | | | 7,534 | |
| Arkansas Best Corp. | | | 948 | | | | 7,508 | |
| Quality Distribution, Inc.* | | | 791 | | | | 7,317 | |
| American Woodmark Corp.* | | | 362 | | | | 7,229 | |
| Barrett Business Services, Inc. | | | 266 | | | | 7,209 | |
| Houston Wire & Cable Co. | | | 663 | | | | 7,134 | |
| Park-Ohio Holdings Corp.* | | | 325 | | | | 7,043 | |
| LMI Aerospace, Inc.* | | | 335 | | | | 6,847 | |
| NCI Building Systems, Inc.* | | | 678 | | | | 6,800 | |
| CRA International, Inc.* | | | 392 | | | | 6,774 | |
| Commercial Vehicle Group, Inc.* | | | 910 | | | | 6,689 | |
| Patriot Transportation Holding, Inc.* | | | 239 | | | | 6,663 | |
| Flow International Corp.* | | | 1,791 | | | | 6,627 | |
| Miller Industries, Inc. | | | 409 | | | | 6,564 | |
| Graham Corp. | | | 363 | | | | 6,559 | |
| Pendrell Corp.* | | | 5,794 | | | | 6,547 | |
| Argan, Inc. | | | 367 | | | | 6,404 | |
| Proto Labs, Inc.* | | | 188 | | | | 6,358 | |
| PMFG, Inc.* | | | 777 | | | | 6,286 | |
| Franklin Covey Co.* | | | 512 | | | | 6,144 | |
| Dolan Co.* | | | 1,134 | | | | 6,101 | |
| Sterling Construction Company, Inc.* | | | 610 | | | | 6,088 | |
| American Superconductor Corp.* | | | 1,454 | | | | 6,034 | |
| Acorn Energy, Inc. | | | 670 | | | | 5,976 | |
| Ampco-Pittsburgh Corp. | | | 321 | | | | 5,922 | |
| American Reprographics Co.* | | | 1,365 | | | | 5,829 | |
| Swisher Hygiene, Inc.*,1 | | | 4,217 | | | | 5,819 | |
| Schawk, Inc. — Class A | | | 442 | | | | 5,768 | |
| Twin Disc, Inc. | | | 321 | | | | 5,746 | |
| Heritage-Crystal Clean, Inc.* | | | 284 | | | | 5,637 | |
| Hudson Global, Inc.* | | | 1,246 | | | | 5,557 | |
| Hurco Companies, Inc.* | | | 241 | | | | 5,514 | |
| NN, Inc.* | | | 633 | | | | 5,374 | |
| Pacer International, Inc.* | | | 1,314 | | | | 5,230 | |
| Pike Electric Corp.* | | | 640 | | | | 5,088 | |
| FuelCell Energy, Inc.* | | | 5,655 | | | | 4,976 | |
| Rand Logistics, Inc.* | | | 660 | | | | 4,970 | |
| Met-Pro Corp. | | | 551 | | | | 4,931 | |
| LSI Industries, Inc. | | | 731 | | | | 4,927 | |
| Vicor Corp. | | | 735 | | | | 4,902 | |
| Preformed Line Products Co. | | | 90 | | | | 4,888 | |
| Energy Recovery, Inc.* | | | 1,641 | | | | 4,857 | |
| Courier Corp. | | | 392 | | | | 4,790 | |
| TMS International Corp. — Class A* | | | 472 | | | | 4,673 | |
| Cenveo, Inc.* | | | 2,020 | | | | 4,626 | |
| Hardinge, Inc. | | | 440 | | | | 4,510 | |
| Asset Acceptance Capital Corp.* | | | 590 | | | | 4,401 | |
| Edgen Group, Inc. — Class A* | | | 560 | | | | 4,340 | |
| Eastern Co. | | | 230 | | | | 4,310 | |
| Genco Shipping & Trading Ltd.* | | | 1,167 | | | | 4,295 | |
| TRC Companies, Inc.* | | | 570 | | | | 4,286 | |
| WageWorks, Inc.* | | | 240 | | | | 4,188 | |
| Casella Waste Systems, Inc. — Class A* | | | 973 | | | | 4,164 | |
| Asta Funding, Inc. | | | 410 | | | | 3,850 | |
| Metalico, Inc.* | | | 1,502 | | | | 3,845 | |
| Hill International, Inc.* | | | 853 | | | | 3,719 | |
| VSE Corp. | | | 150 | | | | 3,674 | |
| AT Cross Co. — Class A* | | | 359 | | | | 3,579 | |
| Intersections, Inc. | | | 339 | | | | 3,573 | |
| API Technologies Corp.* | | | 1,210 | | | | 3,473 | |
| Universal Truckload Services, Inc. | | | 203 | | | | 3,242 | |
| International Shipholding Corp. | | | 191 | | | | 3,222 | |
| Coleman Cable, Inc. | | | 322 | | | | 3,104 | |
| Sypris Solutions, Inc. | | | 400 | | | | 2,856 | |
| NL Industries, Inc. | | | 244 | | | | 2,804 | |
| CECO Environmental Corp. | | | 270 | | | | 2,638 | |
| CPI Aerostructures, Inc.* | | | 230 | | | | 2,493 | |
| Willis Lease Finance Corp.* | | | 200 | | | | 2,468 | |
| PGT, Inc.* | | | 720 | | | | 2,362 | |
| Patrick Industries, Inc.* | | | 140 | | | | 2,166 | |
| BlueLinx Holdings, Inc.* | | | 900 | | | | 2,106 | |
| SIFCO Industries, Inc. | | | 90 | | | | 1,638 | |
| Enphase Energy, Inc.* | | | 300 | | | | 1,242 | |
| Omega Flex, Inc.* | | | 107 | | | | 1,135 | |
| A123 Systems, Inc.* | | | 4,131 | | | | 1,033 | |
| Compx International, Inc. | | | 41 | | | | 622 | |
| Total Industrials | | | | | | | 6,597,807 | |
| Consumer Discretionary - 7.6% | | | | | | | | |
| Cabela’s, Inc.* | | | 1,741 | | | | 95,199 | |
| Six Flags Entertainment Corp. | | | 1,479 | | | | 86,964 | |
| Domino’s Pizza, Inc. | | | 2,164 | | | | 81,584 | |
| Wolverine World Wide, Inc. | | | 1,818 | | | | 80,664 | |
| Sotheby’s | | | 2,533 | | | | 79,789 | |
| Warnaco Group, Inc.* | | | 1,537 | | | | 79,771 | |
| Rent-A-Center, Inc. — Class A | | | 2,219 | | | | 77,842 | |
| Vail Resorts, Inc. | | | 1,343 | | | | 77,424 | |
| Brunswick Corp. | | | 3,337 | | | | 75,516 | |
| Pool Corp. | | | 1,776 | | | | 73,846 | |
| Life Time Fitness, Inc.* | | | 1,594 | | | | 72,910 | |
| Cheesecake Factory, Inc. | | | 2,016 | | | | 72,072 | |
| HSN, Inc. | | | 1,422 | | | | 69,749 | |
| ANN, Inc.* | | | 1,822 | | | | 68,745 | |
| Pier 1 Imports, Inc. | | | 3,629 | | | | 68,008 | |
| Dana Holding Corp. | | | 5,521 | | | | 67,908 | |
| Select Comfort Corp.* | | | 2,125 | | | | 67,044 | |
| Men’s Wearhouse, Inc. | | | 1,907 | | | | 65,659 | |
| Vitamin Shoppe, Inc.* | | | 1,104 | | | | 64,386 | |
| Steven Madden Ltd.* | | | 1,464 | | | | 64,006 | |
| 102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Tenneco, Inc.* | | | 2,268 | | | $ | 63,504 | |
| Genesco, Inc.* | | | 917 | | | | 61,192 | |
| Buffalo Wild Wings, Inc.* | | | 693 | | | | 59,418 | |
| Hibbett Sports, Inc.* | | | 989 | | | | 58,796 | |
| MDC Holdings, Inc. | | | 1,427 | | | | 54,953 | |
| Crocs, Inc.* | | | 3,363 | | | | 54,514 | |
| Children’s Place Retail Stores, Inc.* | | | 904 | | | | 54,241 | |
| Coinstar, Inc.*,1 | | | 1,166 | | | | 52,447 | |
| Lumber Liquidators Holdings, Inc.* | | | 1,026 | | | | 51,997 | |
| Fifth & Pacific Companies, Inc.* | | | 4,068 | | | | 51,990 | |
| Group 1 Automotive, Inc. | | | 854 | | | | 51,437 | |
| Jos. A. Bank Clothiers, Inc.* | | | 1,044 | | | | 50,613 | |
| Ryland Group, Inc. | | | 1,669 | | | | 50,070 | |
| New York Times Co. — Class A* | | | 5,098 | | | | 49,757 | |
| Express, Inc.* | | | 3,349 | | | | 49,632 | |
| Collective Brands, Inc.* | | | 2,282 | | | | 49,542 | |
| Lions Gate Entertainment Corp.* | | | 3,168 | | | | 48,376 | |
| Cracker Barrel Old Country Store, Inc. | | | 719 | | | | 48,252 | |
| Penske Automotive Group, Inc. | | | 1,587 | | | | 47,753 | |
| Meredith Corp.1 | | | 1,358 | | | | 47,530 | |
| Buckle, Inc. | | | 1,038 | | | | 47,156 | |
| Iconix Brand Group, Inc.* | | | 2,570 | | | | 46,877 | |
| Jack in the Box, Inc.* | | | 1,657 | | | | 46,578 | |
| Ryman Hospitality Properties* | | | 1,165 | | | | 46,052 | |
| Live Nation Entertainment, Inc.* | | | 5,230 | | | | 45,030 | |
| Cooper Tire & Rubber Co. | | | 2,327 | | | | 44,632 | |
| Finish Line, Inc. — Class A | | | 1,899 | | | | 43,183 | |
| Bob Evans Farms, Inc. | | | 1,086 | | | | 42,495 | |
| Saks, Inc.*,1 | | | 4,108 | | | | 42,353 | |
| Meritage Homes Corp.* | | | 1,108 | | | | 42,137 | |
| BJ’s Restaurants, Inc.* | | | 912 | | | | 41,359 | |
| Shutterfly, Inc.* | | | 1,329 | | | | 41,359 | |
| KB Home | | | 2,876 | | | | 41,271 | |
| Aeropostale, Inc.* | | | 3,042 | | | | 41,158 | |
| Monro Muffler Brake, Inc. | | | 1,155 | | | | 40,644 | |
| Francesca’s Holdings Corp.* | | | 1,297 | | | | 39,857 | |
| Texas Roadhouse, Inc. — Class A | | | 2,329 | | | | 39,826 | |
| Jones Group, Inc. | | | 3,070 | | | | 39,511 | |
| Valassis Communications, Inc.* | | | 1,600 | | | | 39,504 | |
| Regis Corp. | | | 2,148 | | | | 39,480 | |
| Helen of Troy Ltd.* | | | 1,187 | | | | 37,783 | |
| Arbitron, Inc. | | | 990 | | | | 37,522 | |
| Hillenbrand, Inc. | | | 2,061 | | | | 37,490 | |
| Papa John’s International, Inc.* | | | 676 | | | | 36,105 | |
| Peet’s Coffee & Tea, Inc.* | | | 492 | | | | 36,083 | |
| Marriott Vacations Worldwide Corp.* | | | 990 | | | | 35,660 | |
| Sturm Ruger & Company, Inc. | | | 716 | | | | 35,435 | |
| Grand Canyon Education, Inc.* | | | 1,499 | | | | 35,272 | |
| National CineMedia, Inc. | | | 2,093 | | | | 34,262 | |
| WMS Industries, Inc.* | | | 2,060 | | | | 33,742 | |
| Shuffle Master, Inc.* | | | 2,056 | | | | 32,504 | |
| DineEquity, Inc.* | | | 577 | | | | 32,312 | |
| Orient-Express Hotels Ltd. — Class A* | | | 3,623 | | | | 32,245 | |
| Matthews International Corp. — Class A | | | 1,057 | | | | 31,520 | |
| Scholastic Corp. | | | 972 | | | | 30,890 | |
| Cato Corp. — Class A | | | 1,026 | | | | 30,482 | |
| Churchill Downs, Inc. | | | 484 | | | | 30,356 | |
| Oxford Industries, Inc. | | | 527 | | | | 29,749 | |
| International Speedway Corp. — Class A | | | 1,032 | | | | 29,278 | |
| Asbury Automotive Group, Inc.* | | | 1,033 | | | | 28,872 | |
| Dorman Products, Inc.* | | | 916 | | | | 28,863 | |
| Skechers U.S.A., Inc. — Class A* | | | 1,414 | | | | 28,846 | |
| Strayer Education, Inc. | | | 446 | | | | 28,700 | |
| Sonic Automotive, Inc. — Class A | | | 1,510 | | | | 28,660 | |
| Pinnacle Entertainment, Inc.* | | | 2,338 | | | | 28,641 | |
| Ascent Capital Group, Inc. — Class A* | | | 529 | | | | 28,571 | |
| La-Z-Boy, Inc.* | | | 1,933 | | | | 28,279 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 2,498 | | | | 28,152 | |
| Interval Leisure Group, Inc. | | | 1,451 | | | | 27,467 | |
| Standard Pacific Corp.* | | | 4,057 | | | | 27,425 | |
| Belo Corp. — Class A | | | 3,497 | | | | 27,381 | |
| Office Depot, Inc.* | | | 10,616 | | | | 27,177 | |
| Lithia Motors, Inc. — Class A | | | 810 | | | | 26,981 | |
| Smith & Wesson Holding Corp.* | | | 2,422 | | | | 26,666 | |
| Steiner Leisure Ltd.* | | | 571 | | | | 26,580 | |
| Brown Shoe Company, Inc. | | | 1,598 | | | | 25,616 | |
| OfficeMax, Inc. | | | 3,236 | | | | 25,273 | |
| Columbia Sportswear Co. | | | 458 | | | | 24,732 | |
| American Public Education, Inc.* | | | 676 | | | | 24,627 | |
| NACCO Industries, Inc. — Class A | | | 194 | | | | 24,330 | |
| Stage Stores, Inc. | | | 1,148 | | | | 24,177 | |
| Stewart Enterprises, Inc. — Class A | | | 2,799 | | | | 23,498 | |
| iRobot Corp.* | | | 1,032 | | | | 23,488 | |
| Sonic Corp.* | | | 2,264 | | | | 23,251 | |
| Zumiez, Inc.* | | | 820 | | | | 22,739 | |
| AFC Enterprises, Inc.* | | | 909 | | | | 22,361 | |
| G-III Apparel Group Ltd.* | | | 621 | | | | 22,294 | |
| Movado Group, Inc. | | | 659 | | | | 22,221 | |
| American Greetings Corp. — Class A1 | | | 1,310 | | | | 22,008 | |
| Ameristar Casinos, Inc. | | | 1,230 | | | | 21,894 | |
| Drew Industries, Inc.* | | | 719 | | | | 21,721 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 1,886 | | | | 21,141 | |
| Core-Mark Holding Company, Inc. | | | 430 | | | | 20,688 | |
| True Religion Apparel, Inc. | | | 965 | | | | 20,583 | |
| CEC Entertainment, Inc. | | | 680 | | | | 20,482 | |
| Pep Boys-Manny Moe & Jack | | | 1,973 | | | | 20,085 | |
| K12, Inc.* | | | 992 | | | | 20,038 | |
| Ethan Allen Interiors, Inc. | | | 910 | | | | 19,947 | |
| Fred’s, Inc. — Class A | | | 1,378 | | | | 19,608 | |
| Arctic Cat, Inc.* | | | 468 | | | | 19,403 | |
| Tumi Holdings, Inc.* | | | 810 | | | | 19,067 | |
| Blue Nile, Inc.* | | | 510 | | | | 18,916 | |
| rue21, Inc.* | | | 582 | | | | 18,129 | |
| Maidenform Brands, Inc.* | | | 883 | | | | 18,084 | |
| Vera Bradley, Inc.* | | | 754 | | | | 17,983 | |
| Red Robin Gourmet Burgers, Inc.* | | | 552 | | | | 17,973 | |
| Capella Education Co.* | | | 508 | | | | 17,810 | |
| Krispy Kreme Doughnuts, Inc.* | | | 2,223 | | | | 17,628 | |
| Scientific Games Corp. — Class A* | | | 2,117 | | | | 17,508 | |
| Denny’s Corp.* | | | 3,594 | | | | 17,431 | |
| Ruby Tuesday, Inc.* | | | 2,386 | | | | 17,299 | |
| LeapFrog Enterprises, Inc. — Class A* | | | 1,890 | | | | 17,048 | |
| Quiksilver, Inc.* | | | 4,881 | | | | 16,205 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Multimedia Games Holding Company, Inc.* | | | 1,024 | | | $ | 16,108 | |
| Biglari Holdings, Inc.* | | | 42 | | | | 15,333 | |
| Beazer Homes USA, Inc.* | | | 4,281 | | | | 15,198 | |
| Callaway Golf Co. | | | 2,433 | | | | 14,939 | |
| Boyd Gaming Corp.* | | | 2,074 | | | | 14,642 | |
| Superior Industries International, Inc. | | | 855 | | | | 14,612 | |
| JAKKS Pacific, Inc. | | | 975 | | | | 14,206 | |
| Winnebago Industries, Inc.* | | | 1,097 | | | | 13,855 | |
| Standard Motor Products, Inc. | | | 747 | | | | 13,760 | |
| Hot Topic, Inc. | | | 1,576 | | | | 13,711 | |
| Gentherm, Inc.* | | | 1,099 | | | | 13,672 | |
| M/I Homes, Inc.* | | | 703 | | | | 13,596 | |
| America’s Car-Mart, Inc.* | | | 299 | | | | 13,596 | |
| Barnes & Noble, Inc.*,1 | | | 1,058 | | | | 13,521 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 3,733 | | | | 12,916 | |
| Modine Manufacturing Co.* | | | 1,744 | | | | 12,871 | |
| Conn’s, Inc.* | | | 580 | | | | 12,789 | |
| Shoe Carnival, Inc. | | | 533 | | | | 12,541 | |
| Fisher Communications, Inc.* | | | 332 | | | | 12,203 | |
| Libbey, Inc.* | | | 771 | | | | 12,166 | |
| EW Scripps Co. — Class A* | | | 1,113 | | | | 11,853 | |
| Cavco Industries, Inc.* | | | 258 | | | | 11,840 | |
| MDC Partners, Inc. — Class A | | | 957 | | | | 11,809 | |
| Digital Generation, Inc.* | | | 1,036 | | | | 11,769 | |
| Mattress Firm Holding Corp.* | | | 409 | | | | 11,513 | |
| Harte-Hanks, Inc. | | | 1,659 | | | | 11,497 | |
| NutriSystem, Inc. | | | 1,065 | | | | 11,214 | |
| Universal Technical Institute, Inc. | | | 800 | | | | 10,960 | |
| Caribou Coffee Company, Inc.* | | | 784 | | | | 10,764 | |
| Town Sports International Holdings, Inc.* | | | 870 | | | | 10,762 | |
| Wet Seal, Inc. — Class A* | | | 3,383 | | | | 10,656 | |
| Bravo Brio Restaurant Group, Inc.* | | | 726 | | | | 10,563 | |
| Tuesday Morning Corp.* | | | 1,561 | | | | 10,225 | |
| Blyth, Inc. | | | 392 | | | | 10,188 | |
| Haverty Furniture Companies, Inc. | | | 717 | | | | 9,952 | |
| Perry Ellis International, Inc.* | | | 446 | | | | 9,834 | |
| Universal Electronics, Inc.* | | | 554 | | | | 9,740 | |
| Fiesta Restaurant Group, Inc.* | | | 604 | | | | 9,585 | |
| Destination Maternity Corp. | | | 503 | | | | 9,406 | |
| Fuel Systems Solutions, Inc.* | | | 544 | | | | 9,351 | |
| Caesars Entertainment Corp.* | | | 1,367 | | | | 9,296 | |
| Exide Technologies* | | | 2,930 | | | | 9,083 | |
| Central European Media Enterprises Ltd. — Class A* | | | 1,377 | | | | 8,964 | |
| RadioShack Corp.1 | | | 3,720 | | | | 8,854 | |
| Stein Mart, Inc.* | | | 1,023 | | | | 8,706 | |
| Ruth’s Hospitality Group, Inc.* | | | 1,316 | | | | 8,383 | |
| Journal Communications, Inc. — Class A* | | | 1,610 | | | | 8,372 | |
| Skullcandy, Inc.*,1 | | | 603 | | | | 8,291 | |
| World Wrestling Entertainment, Inc. — Class A | | | 1,012 | | | | 8,147 | |
| Marcus Corp. | | | 733 | | | | 8,136 | |
| Zagg, Inc.* | | | 942 | | | | 8,035 | |
| PetMed Express, Inc. | | | 764 | | | | 7,671 | |
| CSS Industries, Inc. | | | 365 | | | | 7,501 | |
| Carmike Cinemas, Inc.* | | | 660 | | | | 7,425 | |
| Career Education Corp.* | | | 1,940 | | | | 7,314 | |
| Casual Male Retail Group, Inc.* | | | 1,562 | | | | 7,232 | |
| Corinthian Colleges, Inc.* | | | 2,923 | | | | 6,957 | |
| Citi Trends, Inc.* | | | 552 | | | | 6,930 | |
| Black Diamond, Inc.* | | | 783 | | | | 6,867 | |
| Speedway Motorsports, Inc. | | | 434 | | | | 6,684 | |
| Unifi, Inc.* | | | 520 | | | | 6,666 | |
| bebe stores, Inc. | | | 1,383 | | | | 6,638 | |
| Bridgepoint Education, Inc.* | | | 651 | | | | 6,608 | |
| Body Central Corp.* | | | 608 | | | | 6,354 | |
| Federal-Mogul Corp.* | | | 690 | | | | 6,314 | |
| Spartan Motors, Inc. | | | 1,262 | | | | 6,310 | |
| MarineMax, Inc.* | | | 760 | | | | 6,300 | |
| Steinway Musical Instruments, Inc.* | | | 258 | | | | 6,285 | |
| Entercom Communications Corp. — Class A* | | | 916 | | | | 6,284 | |
| Tilly’s, Inc. — Class A* | | | 340 | | | | 6,232 | |
| Big 5 Sporting Goods Corp. | | | 613 | | | | 6,099 | |
| West Marine, Inc.* | | | 573 | | | | 6,091 | |
| Mac-Gray Corp. | | | 447 | | | | 5,994 | |
| Weyco Group, Inc. | | | 245 | | | | 5,966 | |
| Rentrak Corp.* | | | 352 | | | | 5,959 | |
| Cumulus Media, Inc. — Class A* | | | 2,098 | | | | 5,749 | |
| Gordmans Stores, Inc.* | | | 311 | | | | 5,738 | |
| Carriage Services, Inc. — Class A | | | 590 | | | | 5,705 | |
| Jamba, Inc.* | | | 2,515 | | | | 5,608 | |
| Vitacost.com, Inc.* | | | 820 | | | | 5,560 | |
| Isle of Capri Casinos, Inc.* | | | 782 | | | | 5,435 | |
| Kirkland’s, Inc.* | | | 542 | | | | 5,382 | |
| Saga Communications, Inc. — Class A* | | | 132 | | | | 5,349 | |
| Morgans Hotel Group Co.* | | | 821 | | | | 5,271 | |
| Bassett Furniture Industries, Inc. | | | 420 | | | | 5,229 | |
| Hooker Furniture Corp. | | | 400 | | | | 5,196 | |
| Stoneridge, Inc.* | | | 1,044 | | | | 5,189 | |
| VOXX International Corp. — Class A* | | | 680 | | | | 5,086 | |
| LIN TV Corp. — Class A* | | | 1,144 | | | | 5,034 | |
| Luby’s, Inc.* | | | 746 | | | | 5,021 | |
| Systemax, Inc.* | | | 414 | | | | 4,889 | |
| McClatchy Co. — Class A* | | | 2,164 | | | | 4,826 | |
| ReachLocal, Inc.* | | | 384 | | | | 4,815 | |
| RG Barry Corp. | | | 326 | | | | 4,805 | |
| Johnson Outdoors, Inc. — Class A* | | | 214 | | | | 4,577 | |
| Global Sources Ltd.* | | | 695 | | | | 4,559 | |
| Cherokee, Inc. | | | 312 | | | | 4,543 | |
| Nexstar Broadcasting Group, Inc. — Class A* | | | 427 | | | | 4,535 | |
| Overstock.com, Inc.* | | | 434 | | | | 4,496 | |
| Bon-Ton Stores, Inc. | | | 465 | | | | 4,418 | |
| Lifetime Brands, Inc. | | | 361 | | | | 4,300 | |
| Teavana Holdings, Inc.* | | | 329 | | | | 4,290 | |
| Winmark Corp. | | | 79 | | | | 4,272 | |
| Sealy Corp.* | | | 1,875 | | | | 4,088 | |
| Einstein Noah Restaurant Group, Inc. | | | 230 | | | | 4,069 | |
| hhgregg, Inc.* | | | 584 | | | | 4,030 | |
| Outdoor Channel Holdings, Inc. | | | 551 | | | | 4,011 | |
| Culp, Inc. | | | 330 | | | | 3,881 | |
| New York & Company, Inc.* | | | 1,025 | | | | 3,844 | |
| Daily Journal Corp.* | | | 40 | | | | 3,751 | |
| 104 | the RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Reading International, Inc. — Class A* | | | 620 | | | $ | 3,658 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 973 | | | | 3,629 | |
| Lincoln Educational Services Corp. | | | 857 | | | | 3,599 | |
| MTR Gaming Group, Inc.* | | | 850 | | | | 3,579 | |
| Delta Apparel, Inc.* | | | 259 | | | | 3,566 | |
| Flexsteel Industries, Inc. | | | 170 | | | | 3,519 | |
| Bluegreen Corp.* | | | 540 | | | | 3,391 | |
| K-Swiss, Inc. — Class A* | | | 985 | | | | 3,379 | |
| Ignite Restaurant Group, Inc.* | | | 240 | | | | 3,346 | |
| Carrols Restaurant Group, Inc.* | | | 574 | | | | 3,306 | |
| Red Lion Hotels Corp.* | | | 515 | | | | 3,219 | |
| Martha Stewart Living Omnimedia — Class A | | | 1,034 | | | | 3,174 | |
| Geeknet, Inc.* | | | 164 | | | | 3,173 | |
| Nathan’s Famous, Inc.* | | | 100 | | | | 3,145 | |
| Education Management Corp.* | | | 954 | | | | 2,967 | |
| Monarch Casino & Resort, Inc.* | | | 325 | | | | 2,831 | |
| Collectors Universe, Inc. | | | 200 | | | | 2,806 | |
| Entravision Communications Corp. — Class A | | | 1,900 | | | | 2,546 | |
| Shiloh Industries, Inc. | | | 220 | | | | 2,468 | |
| Frisch’s Restaurants, Inc. | | | 120 | | | | 2,382 | |
| Marine Products Corp. | | | 386 | | | | 2,301 | |
| Premier Exhibitions, Inc.* | | | 960 | | | | 2,275 | |
| Orbitz Worldwide, Inc.* | | | 864 | | | | 2,203 | |
| Crown Media Holdings, Inc. — Class A* | | | 1,289 | | | | 2,153 | |
| Salem Communications Corp. — Class A | | | 370 | | | | 1,939 | |
| US Auto Parts Network, Inc.* | | | 551 | | | | 1,906 | |
| National American University Holdings, Inc. | | | 376 | | | | 1,880 | |
| Tower International, Inc.* | | | 216 | | | | 1,665 | |
| CafePress, Inc.* | | | 170 | | | | 1,549 | |
| Perfumania Holdings, Inc.* | | | 190 | | | | 1,368 | |
| Orchard Supply Hardware Stores Corp. — Class A* | | | 70 | | | | 1,014 | |
| Beasley Broadcasting Group, Inc. — Class A* | | | 170 | | | | 830 | |
| Value Line, Inc. | | | 53 | | | | 517 | |
| Dial Global, Inc.* | | | 163 | | | | 442 | |
| Total Consumer Discretionary | | | | | | | 6,264,739 | |
| Health Care - 7.3% | | | | | | | | |
| Pharmacyclics, Inc.* | | | 2,034 | | | | 131,192 | |
| athenahealth, Inc.* | | | 1,339 | | | | 122,879 | |
| Cubist Pharmaceuticals, Inc.* | | | 2,367 | | | | 112,859 | |
| HMS Holdings Corp.* | | | 3,211 | | | | 107,345 | |
| Align Technology, Inc.* | | | 2,689 | | | | 99,411 | |
| Seattle Genetics, Inc.*,1 | | | 3,553 | | | | 95,753 | |
| Alkermes plc* | | | 4,576 | | | | 94,952 | |
| Medicis Pharmaceutical Corp. — Class A | | | 2,154 | | | | 93,203 | |
| WellCare Health Plans, Inc.* | | | 1,611 | | | | 91,102 | |
| Jazz Pharmaceuticals plc* | | | 1,550 | | | | 88,365 | |
| HealthSouth Corp.* | | | 3,578 | | | | 86,087 | |
| Cepheid, Inc.* | | | 2,454 | | | | 84,688 | |
| ViroPharma, Inc.* | | | 2,611 | | | | 78,903 | |
| STERIS Corp. | | | 2,157 | | | | 76,509 | |
| Haemonetics Corp.* | | | 944 | | | | 75,709 | |
| Centene Corp.* | | | 1,928 | | | | 72,126 | |
| Owens & Minor, Inc. | | | 2,376 | | | | 70,994 | |
| PAREXEL International Corp.* | | | 2,244 | | | | 69,024 | |
| Par Pharmaceutical Companies, Inc.* | | | 1,376 | | | | 68,771 | |
| West Pharmaceutical Services, Inc. | | | 1,272 | | | | 67,505 | |
| Vivus, Inc.* | | | 3,733 | | | | 66,522 | |
| Impax Laboratories, Inc.* | | | 2,502 | | | | 64,952 | |
| Arena Pharmaceuticals, Inc.* | | | 7,371 | | | | 61,327 | |
| Theravance, Inc.* | | | 2,265 | | | | 58,686 | |
| Volcano Corp.* | | | 1,993 | | | | 56,940 | |
| Air Methods Corp.* | | | 476 | | | | 56,820 | |
| Cyberonics, Inc.* | | | 1,020 | | | | 53,468 | |
| Medicines Co.* | | | 2,063 | | | | 53,246 | |
| Isis Pharmaceuticals, Inc.* | | | 3,749 | | | | 52,748 | |
| Magellan Health Services, Inc.* | | | 1,018 | | | | 52,539 | |
| MWI Veterinary Supply, Inc.* | | | 467 | | | | 49,820 | |
| Chemed Corp. | | | 719 | | | | 49,820 | |
| HeartWare International, Inc.* | | | 521 | | | | 49,229 | |
| Nektar Therapeutics* | | | 4,282 | | | | 45,732 | |
| Masimo Corp.* | | | 1,870 | | | | 45,217 | |
| Immunogen, Inc.*,1 | | | 3,044 | | | | 44,442 | |
| Auxilium Pharmaceuticals, Inc.* | | | 1,808 | | | | 44,224 | |
| PSS World Medical, Inc.* | | | 1,829 | | | | 41,665 | |
| PDL BioPharma, Inc. | | | 5,227 | | | | 40,196 | |
| MedAssets, Inc.* | | | 2,177 | | | | 38,750 | |
| DexCom, Inc.* | | | 2,565 | | | | 38,552 | |
| Insulet Corp.* | | | 1,785 | | | | 38,520 | |
| Acorda Therapeutics, Inc.* | | | 1,500 | | | | 38,415 | |
| Neogen Corp.* | | | 880 | | | | 37,576 | |
| Questcor Pharmaceuticals, Inc.*,1 | | | 2,005 | | | | 37,093 | |
| NuVasive, Inc.* | | | 1,617 | | | | 37,045 | |
| Hanger, Inc.* | | | 1,280 | | | | 36,518 | |
| Analogic Corp. | | | 460 | | | | 35,958 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 2,808 | | | | 35,886 | |
| Medidata Solutions, Inc.* | | | 827 | | | | 34,320 | |
| Amsurg Corp. — Class A* | | | 1,180 | | | | 33,488 | |
| ArthroCare Corp.* | | | 1,025 | | | | 33,210 | |
| Alnylam Pharmaceuticals, Inc.* | | | 1,734 | | | | 32,582 | |
| Wright Medical Group, Inc.* | | | 1,466 | | | | 32,413 | |
| Sunrise Senior Living, Inc.* | | | 2,174 | | | | 31,023 | |
| Dynavax Technologies Corp.* | | | 6,512 | | | | 30,997 | |
| Orthofix International N.V.* | | | 691 | | | | 30,922 | |
| Luminex Corp.* | | | 1,557 | | | | 30,268 | |
| CONMED Corp. | | | 1,062 | | | | 30,267 | |
| Integra LifeSciences Holdings Corp.* | | | 731 | | | | 30,044 | |
| NPS Pharmaceuticals, Inc.* | | | 3,226 | | | | 29,841 | |
| Meridian Bioscience, Inc. | | | 1,540 | | | | 29,537 | |
| Abaxis, Inc.* | | | 813 | | | | 29,203 | |
| Team Health Holdings, Inc.* | | | 1,057 | | | | 28,676 | |
| Endologix, Inc.* | | | 2,070 | | | | 28,607 | |
| Affymax, Inc.* | | | 1,352 | | | | 28,473 | |
| IPC The Hospitalist Company, Inc.* | | | 621 | | | | 28,380 | |
| ICU Medical, Inc.* | | | 468 | | | | 28,305 | |
| Molina Healthcare, Inc.* | | | 1,119 | | | | 28,143 | |
| Akorn, Inc.* | | | 2,122 | | | | 28,053 | |
| Dendreon Corp.*,1 | | | 5,760 | | | | 27,821 | |
| Quality Systems, Inc. | | | 1,476 | | | | 27,380 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Rigel Pharmaceuticals, Inc.* | | | 2,667 | | | $ | 27,337 | |
| Exelixis, Inc.* | | | 5,553 | | | | 26,765 | |
| ABIOMED, Inc.* | | | 1,252 | | | | 26,279 | |
| Bio-Reference Labs, Inc.* | | | 918 | | | | 26,236 | |
| Spectrum Pharmaceuticals, Inc.*,1 | | | 2,227 | | | | 26,056 | |
| Momenta Pharmaceuticals, Inc.* | | | 1,749 | | | | 25,483 | |
| Halozyme Therapeutics, Inc.* | | | 3,352 | | | | 25,341 | |
| Optimer Pharmaceuticals, Inc.* | | | 1,760 | | | | 24,851 | |
| NxStage Medical, Inc.* | | | 1,841 | | | | 24,320 | |
| Emeritus Corp.* | | | 1,145 | | | | 23,976 | |
| Conceptus, Inc.* | | | 1,178 | | | | 23,925 | |
| Merit Medical Systems, Inc.* | | | 1,577 | | | | 23,545 | |
| Exact Sciences Corp.* | | | 2,137 | | | | 23,528 | |
| MAKO Surgical Corp.* | | | 1,351 | | | | 23,521 | |
| Accretive Health, Inc.* | | | 2,106 | | | | 23,503 | |
| Computer Programs & Systems, Inc. | | | 414 | | | | 22,998 | |
| Kindred Healthcare, Inc.* | | | 1,983 | | | | 22,567 | |
| InterMune, Inc.* | | | 2,445 | | | | 21,932 | |
| OraSure Technologies, Inc.* | | | 1,943 | | | | 21,606 | |
| Cantel Medical Corp. | | | 794 | | | | 21,502 | |
| Greatbatch, Inc.* | | | 878 | | | | 21,362 | |
| Landauer, Inc. | | | 353 | | | | 21,081 | |
| HealthStream, Inc.* | | | 732 | | | | 20,833 | |
| Genomic Health, Inc.* | | | 597 | | | | 20,710 | |
| Achillion Pharmaceuticals, Inc.* | | | 1,985 | | | | 20,664 | |
| Acadia Healthcare Company, Inc.* | | | 860 | | | | 20,511 | |
| Quidel Corp.* | | | 1,055 | | | | 19,971 | |
| Neurocrine Biosciences, Inc.* | | | 2,479 | | | | 19,782 | |
| Ensign Group, Inc. | | | 646 | | | | 19,771 | |
| Synageva BioPharma Corp.* | | | 370 | | | | 19,769 | |
| Array BioPharma, Inc.* | | | 3,335 | | | | 19,543 | |
| National Healthcare Corp. | | | 399 | | | | 19,048 | |
| Spectranetics Corp.* | | | 1,282 | | | | 18,910 | |
| Accuray, Inc.* | | | 2,667 | | | | 18,882 | |
| Santarus, Inc.* | | | 2,051 | | | | 18,213 | |
| Omnicell, Inc.* | | | 1,250 | | | | 17,375 | |
| Infinity Pharmaceuticals, Inc.* | | | 731 | | | | 17,215 | |
| Lexicon Pharmaceuticals, Inc.* | | | 7,420 | | | | 17,214 | |
| Invacare Corp. | | | 1,189 | | | | 16,812 | |
| Opko Health, Inc.*,1 | | | 3,998 | | | | 16,712 | |
| ExamWorks Group, Inc.* | | | 1,097 | | | | 16,367 | |
| AVANIR Pharmaceuticals, Inc. — Class A* | | | 5,069 | | | | 16,221 | |
| Amedisys, Inc.* | | | 1,123 | | | | 15,509 | |
| Metropolitan Health Networks, Inc.* | | | 1,652 | | | | 15,430 | |
| XenoPort, Inc.* | | | 1,332 | | | | 15,265 | |
| Triple-S Management Corp. — Class B* | | | 728 | | | | 15,215 | |
| Capital Senior Living Corp.* | | | 1,050 | | | | 15,194 | |
| AVEO Pharmaceuticals, Inc.* | | | 1,453 | | | | 15,126 | |
| Sequenom, Inc.* | | | 4,280 | | | | 15,108 | |
| BioScrip, Inc.* | | | 1,645 | | | | 14,986 | |
| AMN Healthcare Services, Inc.* | | | 1,480 | | | | 14,889 | |
| Antares Pharma, Inc.*,1 | | | 3,407 | | | | 14,855 | |
| Select Medical Holdings Corp.* | | | 1,313 | | | | 14,745 | |
| Vanguard Health Systems, Inc.* | | | 1,187 | | | | 14,683 | |
| Healthways, Inc.* | | | 1,248 | | | | 14,614 | |
| MAP Pharmaceuticals, Inc.* | | | 923 | | | | 14,371 | |
| Natus Medical, Inc.* | | | 1,096 | | | | 14,325 | |
| AMAG Pharmaceuticals, Inc.* | | | 797 | | | | 14,139 | |
| PharMerica Corp.* | | | 1,103 | | | | 13,964 | |
| Celldex Therapeutics, Inc.* | | | 2,199 | | | | 13,854 | |
| Emergent Biosolutions, Inc.* | | | 964 | | | | 13,698 | |
| Symmetry Medical, Inc.* | | | 1,370 | | | | 13,549 | |
| ZIOPHARM Oncology, Inc.* | | | 2,482 | | | | 13,527 | |
| Aegerion Pharmaceuticals, Inc.* | | | 889 | | | | 13,175 | |
| Fluidigm Corp.* | | | 771 | | | | 13,107 | |
| Cambrex Corp.* | | | 1,109 | | | | 13,009 | |
| Universal American Corp.* | | | 1,404 | | | | 12,973 | |
| Gentiva Health Services, Inc.* | | | 1,139 | | | | 12,893 | |
| Hi-Tech Pharmacal Company, Inc.* | | | 389 | | | | 12,880 | |
| Orexigen Therapeutics, Inc.* | | | 2,252 | | | | 12,859 | |
| Idenix Pharmaceuticals, Inc.* | | | 2,793 | | | | 12,764 | |
| Atrion Corp. | | | 56 | | | | 12,404 | |
| Depomed, Inc.* | | | 2,081 | | | | 12,299 | |
| Vical, Inc.* | | | 2,835 | | | | 12,247 | |
| US Physical Therapy, Inc. | | | 443 | | | | 12,240 | |
| Curis, Inc.* | | | 2,952 | | | | 12,221 | |
| Threshold Pharmaceuticals, Inc.* | | | 1,680 | | | | 12,163 | |
| MannKind Corp.*,1 | | | 4,222 | | | | 12,159 | |
| Pacira Pharmaceuticals, Inc.* | | | 689 | | | | 11,989 | |
| Sangamo Biosciences, Inc.* | | | 1,961 | | | | 11,923 | |
| SciClone Pharmaceuticals, Inc.* | | | 2,123 | | | | 11,783 | |
| SurModics, Inc.* | | | 574 | | | | 11,606 | |
| IRIS International, Inc.* | | | 586 | | | | 11,439 | |
| Affymetrix, Inc.*,1 | | | 2,641 | | | | 11,436 | |
| Arqule, Inc.* | | | 2,198 | | | | 11,232 | |
| AngioDynamics, Inc.* | | | 918 | | | | 11,200 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 651 | | | | 11,165 | |
| Endocyte, Inc.* | | | 1,109 | | | | 11,057 | |
| Oncothyreon, Inc.* | | | 2,135 | | | | 10,974 | |
| LHC Group, Inc.* | | | 594 | | | | 10,971 | |
| Enzon Pharmaceuticals, Inc.* | | | 1,575 | | | | 10,962 | |
| Tornier N.V.* | | | 564 | | | | 10,688 | |
| Astex Pharmaceuticals* | | | 3,481 | | | | 10,687 | |
| Synta Pharmaceuticals Corp.* | | | 1,385 | | | | 10,554 | |
| Clovis Oncology, Inc.* | | | 508 | | | | 10,389 | |
| Staar Surgical Co.* | | | 1,363 | | | | 10,304 | |
| Corvel Corp.* | | | 230 | | | | 10,293 | |
| Raptor Pharmaceutical Corp.* | | | 1,828 | | | | 10,164 | |
| Navidea Biopharmaceuticals, Inc.*,1 | | | 3,610 | | | | 9,928 | |
| Dyax Corp.* | | | 3,693 | | | | 9,602 | |
| Cynosure, Inc. — Class A* | | | 360 | | | | 9,497 | |
| XOMA Corp.* | | | 2,550 | | | | 9,410 | |
| Novavax, Inc.* | | | 4,338 | | | | 9,370 | |
| Unilife Corp.*,1 | | | 2,914 | | | | 9,092 | |
| Vascular Solutions, Inc.* | | | 610 | | | | 9,034 | |
| Cytori Therapeutics, Inc.* | | | 2,043 | | | | 9,010 | |
| Cadence Pharmaceuticals, Inc.* | | | 2,237 | | | | 8,769 | |
| RTI Biologics, Inc.* | | | 2,092 | | | | 8,724 | |
| Immunomedics, Inc.* | | | 2,466 | | | | 8,656 | |
| Omeros Corp.* | | | 920 | | | | 8,648 | |
| Obagi Medical Products, Inc.* | | | 692 | | | | 8,588 | |
| Merge Healthcare, Inc.* | | | 2,208 | | | | 8,457 | |
| Geron Corp.* | | | 4,939 | | | | 8,396 | |
| Repros Therapeutics, Inc.* | | | 550 | | | | 8,377 | |
| 106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Five Star Quality Care, Inc.* | | | 1,591 | | | $ | 8,130 | |
| Sun Healthcare Group, Inc.* | | | 958 | | | | 8,109 | |
| Young Innovations, Inc. | | | 204 | | | | 7,976 | |
| Epocrates, Inc.* | | | 672 | | | | 7,829 | |
| BioCryst Pharmaceuticals, Inc.* | | | 1,832 | | | | 7,768 | |
| Vocera Communications, Inc.* | | | 250 | | | | 7,728 | |
| OncoGenex Pharmaceutical, Inc.* | | | 543 | | | | 7,694 | |
| NewLink Genetics Corp.* | | | 470 | | | | 7,628 | |
| Keryx Biopharmaceuticals, Inc.* | | | 2,666 | | | | 7,518 | |
| Synergy Pharmaceuticals, Inc.* | | | 1,530 | | | | 7,313 | |
| Solta Medical, Inc.* | | | 2,304 | | | | 7,235 | |
| Cardiovascular Systems, Inc.* | | | 624 | | | | 7,213 | |
| Pain Therapeutics, Inc.* | | | 1,424 | | | | 7,191 | |
| CryoLife, Inc. | | | 1,030 | | | | 6,922 | |
| Cerus Corp.* | | | 2,029 | | | | 6,899 | |
| PhotoMedex, Inc.* | | | 490 | | | | 6,889 | |
| Repligen Corp.* | | | 1,150 | | | | 6,854 | |
| Palomar Medical Technologies, Inc.* | | | 726 | | | | 6,853 | |
| Osiris Therapeutics, Inc.* | | | 612 | | | | 6,763 | |
| Almost Family, Inc.* | | | 311 | | | | 6,618 | |
| Anika Therapeutics, Inc.* | | | 440 | | | | 6,609 | |
| Pozen, Inc.* | | | 994 | | | | 6,590 | |
| Rockwell Medical Technologies, Inc.* | | | 777 | | | | 6,348 | |
| Providence Service Corp.* | | | 486 | | | | 6,313 | |
| Amicus Therapeutics, Inc.* | | | 1,119 | | | | 5,819 | |
| Exactech, Inc.* | | | 321 | | | | 5,723 | |
| Dusa Pharmaceuticals, Inc.* | | | 840 | | | | 5,704 | |
| Sunesis Pharmaceuticals, Inc.* | | | 1,005 | | | | 5,678 | |
| Sagent Pharmaceuticals, Inc.* | | | 350 | | | | 5,583 | |
| Assisted Living Concepts, Inc. — Class A | | | 725 | | | | 5,532 | |
| Trius Therapeutics, Inc.* | | | 931 | | | | 5,428 | |
| Merrimack Pharmaceuticals, Inc.* | | | 570 | | | | 5,347 | |
| Discovery Laboratories, Inc.* | | | 1,610 | | | | 5,281 | |
| Furiex Pharmaceuticals, Inc.* | | | 272 | | | | 5,190 | |
| BioDelivery Sciences International, Inc.* | | | 790 | | | | 4,993 | |
| Targacept, Inc.* | | | 1,017 | | | | 4,973 | |
| Corcept Therapeutics, Inc.* | | | 1,776 | | | | 4,955 | |
| Greenway Medical Technologies* | | | 288 | | | | 4,925 | |
| Zogenix, Inc.* | | | 1,845 | | | | 4,908 | |
| Cross Country Healthcare, Inc.* | | | 1,017 | | | | 4,800 | |
| Biotime, Inc.* | | | 1,136 | | | | 4,771 | |
| Rochester Medical Corp.* | | | 400 | | | | 4,724 | |
| National Research Corp. | | | 93 | | | | 4,675 | |
| Skilled Healthcare Group, Inc. — Class A* | | | 716 | | | | 4,604 | |
| GTx, Inc.* | | | 990 | | | | 4,534 | |
| Chindex International, Inc.* | | | 430 | | | | 4,442 | |
| Vanda Pharmaceuticals, Inc.* | | | 1,057 | | | | 4,260 | |
| SIGA Technologies, Inc.* | | | 1,315 | | | | 4,208 | |
| ImmunoCellular Therapeutics Ltd.* | | | 1,490 | | | | 4,187 | |
| Utah Medical Products, Inc. | | | 120 | | | | 4,079 | |
| AtriCure, Inc.* | | | 541 | | | | 4,025 | |
| Hansen Medical, Inc.* | | | 2,039 | | | | 3,976 | |
| Agenus, Inc.* | | | 850 | | | | 3,919 | |
| Harvard Bioscience, Inc.* | | | 917 | | | | 3,879 | |
| Biospecifics Technologies Corp.* | | | 189 | | | | 3,670 | |
| Derma Sciences, Inc.* | | | 340 | | | | 3,529 | |
| Anacor Pharmaceuticals, Inc.* | | | 535 | | | | 3,520 | |
| Ampio Pharmaceuticals, Inc.* | | | 902 | | | | 3,518 | |
| Zeltiq Aesthetics, Inc.* | | | 623 | | | | 3,514 | |
| EnteroMedics, Inc.* | | | 950 | | | | 3,468 | |
| Alphatec Holdings, Inc.* | | | 2,048 | | | | 3,379 | |
| Progenics Pharmaceuticals, Inc.* | | | 1,127 | | | | 3,234 | |
| Coronado Biosciences, Inc.* | | | 600 | | | | 3,120 | |
| Codexis, Inc.* | | | 979 | | | | 2,966 | |
| PDI, Inc.* | | | 370 | | | | 2,949 | |
| Mediware Information Systems* | | | 130 | | | | 2,848 | |
| Cumberland Pharmaceuticals, Inc.* | | | 440 | | | | 2,842 | |
| Lannett Company, Inc.* | | | 587 | | | | 2,835 | |
| Maxygen, Inc. | | | 1,037 | | | | 2,738 | |
| Horizon Pharma, Inc.* | | | 782 | | | | 2,714 | |
| Pacific Biosciences of California, Inc.* | | | 1,388 | | | | 2,540 | |
| Transcept Pharmaceuticals, Inc.* | | | 475 | | | | 2,522 | |
| Pernix Therapeutics Holdings* | | | 334 | | | | 2,488 | |
| ChemoCentryx, Inc.* | | | 208 | | | | 2,419 | |
| Verastem, Inc.* | | | 232 | | | | 2,178 | |
| Sucampo Pharmaceuticals, Inc. — Class A* | | | 406 | | | | 2,042 | |
| Ventrus Biosciences, Inc.* | | | 460 | | | | 1,647 | |
| Cornerstone Therapeutics, Inc.* | | | 320 | | | | 1,642 | |
| BG Medicine, Inc.* | | | 394 | | | | 1,450 | |
| Supernus Pharmaceuticals, Inc.* | | | 120 | | | | 1,386 | |
| Cempra, Inc.* | | | 158 | | | | 1,177 | |
| Acura Pharmaceuticals, Inc.* | | | 458 | | | | 797 | |
| Biolase, Inc.* | | | 1 | | | | 2 | |
| Total Health Care | | | | | | | 5,995,532 | |
| Energy - 3.3% | | | | | | | | |
| Dril-Quip, Inc.* | | | 1,505 | | | | 108,180 | |
| Energy XXI Bermuda Ltd. | | | 2,946 | | | | 102,964 | |
| Rosetta Resources, Inc.* | | | 1,983 | | | | 94,987 | |
| Kodiak Oil & Gas Corp.* | | | 9,857 | | | | 92,262 | |
| Oasis Petroleum, Inc.* | | | 2,984 | | | | 87,938 | |
| Berry Petroleum Co. — Class A | | | 1,958 | | | | 79,554 | |
| Helix Energy Solutions Group, Inc.* | | | 3,950 | | | | 72,168 | |
| Bristow Group, Inc. | | | 1,340 | | | | 67,737 | |
| Lufkin Industries, Inc. | | | 1,255 | | | | 67,544 | |
| Gulfport Energy Corp.* | | | 2,082 | | | | 65,083 | |
| SemGroup Corp. — Class A* | | | 1,559 | | | | 57,449 | |
| Western Refining, Inc. | | | 2,146 | | | | 56,181 | |
| Targa Resources Corp. | | | 1,085 | | | | 54,619 | |
| Arch Coal, Inc. | | | 7,940 | | | | 50,261 | |
| Exterran Holdings, Inc.* | | | 2,428 | | | | 49,240 | |
| Hornbeck Offshore Services, Inc.* | | | 1,319 | | | | 48,341 | |
| Stone Energy Corp.* | | | 1,854 | | | | 46,572 | |
| McMoRan Exploration Co.* | | | 3,799 | | | | 44,638 | |
| Bill Barrett Corp.* | | | 1,791 | | | | 44,363 | |
| Cloud Peak Energy, Inc.* | | | 2,279 | | | | 41,251 | |
| Northern Oil and Gas, Inc.* | | | 2,372 | | | | 40,300 | |
| Key Energy Services, Inc.* | | | 5,642 | | | | 39,494 | |
| Forest Oil Corp.* | | | 4,400 | | | | 37,180 | |
| Carrizo Oil & Gas, Inc.* | | | 1,479 | | | | 36,990 | |
| PDC Energy, Inc.* | | | 1,119 | | | | 35,394 | |
| ION Geophysical Corp.* | | | 4,935 | | | | 34,249 | |
| Swift Energy Co.* | | | 1,600 | | | | 33,408 | |
| Gulfmark Offshore, Inc. — Class A* | | | 1,006 | | | | 33,238 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Comstock Resources, Inc.* | | | 1,803 | | | $ | 33,139 | |
| C&J Energy Services, Inc.* | | | 1,659 | | | | 33,014 | |
| Clean Energy Fuels Corp.* | | | 2,475 | | | | 32,596 | |
| Approach Resources, Inc.* | | | 1,081 | | | | 32,571 | |
| Halcon Resources Corp.* | | | 4,158 | | | | 30,478 | |
| Hercules Offshore, Inc.* | | | 5,924 | | | | 28,908 | |
| Geospace Technologies Corp.* | | | 234 | | | | 28,644 | |
| Ship Finance International Ltd. | | | 1,683 | | | | 26,457 | |
| Newpark Resources, Inc.* | | | 3,350 | | | | 24,824 | |
| Magnum Hunter Resources Corp.* | | | 5,512 | | | | 24,473 | |
| W&T Offshore, Inc. | | | 1,297 | | | | 24,358 | |
| Contango Oil & Gas Co.* | | | 478 | | | | 23,489 | |
| CVR Energy, Inc.* | | | 619 | | | | 22,748 | |
| Rex Energy Corp.* | | | 1,618 | | | | 21,600 | |
| Crosstex Energy, Inc. | | | 1,523 | | | | 21,368 | |
| EPL Oil & Gas, Inc.* | | | 1,042 | | | | 21,142 | |
| Rentech, Inc.* | | | 8,545 | | | | 21,021 | |
| Heckmann Corp.*,1 | | | 5,001 | | | | 21,004 | |
| Forum Energy Technologies, Inc.* | | | 820 | | | | 19,942 | |
| Nordic American Tankers Ltd. | | | 1,975 | | | | 19,908 | |
| Parker Drilling Co.* | | | 4,394 | | | | 18,587 | |
| Vaalco Energy, Inc.* | | | 2,164 | | | | 18,502 | |
| Pioneer Energy Services Corp.* | | | 2,310 | | | | 17,995 | |
| Quicksilver Resources, Inc.* | | | 4,390 | | | | 17,955 | |
| TETRA Technologies, Inc.* | | | 2,905 | | | | 17,575 | |
| Resolute Energy Corp.* | | | 1,805 | | | | 16,010 | |
| Delek US Holdings, Inc. | | | 628 | | | | 16,008 | |
| Endeavour International Corp.* | | | 1,619 | | | | 15,656 | |
| PHI, Inc.* | | | 492 | | | | 15,478 | |
| Gulf Island Fabrication, Inc. | | | 538 | | | | 14,994 | |
| FX Energy, Inc.* | | | 1,984 | | | | 14,801 | |
| Petroquest Energy, Inc.* | | | 2,118 | | | | 14,212 | |
| Solazyme, Inc.* | | | 1,217 | | | | 13,971 | |
| Vantage Drilling Co.*,1 | | | 7,164 | | | | 13,182 | |
| Venoco, Inc.* | | | 1,098 | | | | 13,044 | |
| Basic Energy Services, Inc.* | | | 1,152 | | | | 12,925 | |
| Harvest Natural Resources, Inc.* | | | 1,397 | | | | 12,461 | |
| Goodrich Petroleum Corp.*,1 | | | 972 | | | | 12,286 | |
| Tesco Corp.* | | | 1,137 | | | | 12,143 | |
| Triangle Petroleum Corp.* | | | 1,649 | | | | 11,807 | |
| Clayton Williams Energy, Inc.* | | | 216 | | | | 11,208 | |
| BPZ Resources, Inc.* | | | 3,911 | | | | 11,185 | |
| Penn Virginia Corp. | | | 1,716 | | | | 10,639 | |
| GasLog Ltd.* | | | 880 | | | | 10,190 | |
| Matrix Service Co.* | | | 962 | | | | 10,168 | |
| KiOR, Inc. — Class A* | | | 988 | | | | 9,188 | |
| Callon Petroleum Co.* | | | 1,471 | | | | 9,047 | |
| Sanchez Energy Corp.* | | | 434 | | | | 8,867 | |
| Bonanza Creek Energy, Inc.* | | | 374 | | | | 8,811 | |
| Teekay Tankers Ltd. — Class A1 | | | 2,353 | | | | 8,800 | |
| RigNet, Inc.* | | | 458 | | | | 8,473 | |
| Scorpio Tankers, Inc.* | | | 1,405 | | | | 8,430 | |
| Uranium Energy Corp.*,1 | | | 3,163 | | | | 8,255 | |
| Warren Resources, Inc.* | | | 2,685 | | | | 8,162 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 258 | | | | 7,913 | |
| Willbros Group, Inc.* | | | 1,456 | | | | 7,819 | |
| Midstates Petroleum Company, Inc.* | | | 900 | | | | 7,785 | |
| Mitcham Industries, Inc.* | | | 474 | | | | 7,551 | |
| Dawson Geophysical Co.* | | | 298 | | | | 7,527 | |
| Frontline Ltd. | | | 1,926 | | | | 7,396 | |
| Abraxas Petroleum Corp.* | | | 3,086 | | | | 7,098 | |
| Natural Gas Services Group, Inc.* | | | 458 | | | | 6,847 | |
| Synergy Resources Corp.* | | | 1,460 | | | | 6,088 | |
| Overseas Shipholding Group, Inc. | | | 922 | | | | 6,085 | |
| Knightsbridge Tankers Ltd. | | | 909 | | | | 5,954 | |
| Miller Energy Resources, Inc.* | | | 1,098 | | | | 5,523 | |
| Cal Dive International, Inc.* | | | 3,595 | | | | 5,500 | |
| Apco Oil and Gas International, Inc. | | | 340 | | | | 5,471 | |
| Green Plains Renewable Energy, Inc.* | | | 928 | | | | 5,438 | |
| Matador Resources Co.* | | | 515 | | | | 5,351 | |
| Evolution Petroleum Corp.* | | | 618 | | | | 4,993 | |
| Alon USA Energy, Inc. | | | 355 | | | | 4,864 | |
| Isramco, Inc.* | | | 40 | | | | 4,640 | |
| Bolt Technology Corp. | | | 320 | | | | 4,602 | |
| Westmoreland Coal Co.* | | | 408 | | | | 4,051 | |
| Uranerz Energy Corp.* | | | 2,472 | | | | 4,029 | |
| Global Geophysical Services, Inc.* | | | 728 | | | | 4,011 | |
| Saratoga Resources, Inc.* | | | 720 | | | | 3,946 | |
| Amyris, Inc.* | | | 1,135 | | | | 3,904 | |
| REX American Resources Corp.* | | | 216 | | | | 3,890 | |
| TGC Industries, Inc.* | | | 540 | | | | 3,888 | |
| Gastar Exploration Ltd.* | | | 2,199 | | | | 3,650 | |
| CREDO Petroleum Corp.* | | | 250 | | | | 3,623 | |
| Crimson Exploration, Inc.* | | | 799 | | | | 3,412 | |
| Union Drilling, Inc.* | | | 516 | | | | 3,349 | |
| ZaZa Energy Corp.* | | | 920 | | | | 2,732 | |
| Adams Resources & Energy, Inc. | | | 80 | | | | 2,440 | |
| Gevo, Inc.* | | | 1,032 | | | | 2,198 | |
| Hallador Energy Co. | | | 238 | | | | 1,983 | |
| Forbes Energy Services Ltd.* | | | 550 | | | | 1,925 | |
| Renewable Energy Group, Inc.* | | | 267 | | | | 1,776 | |
| Emerald Oil, Inc.* | | | 1,798 | | | | 1,492 | |
| Ceres, Inc.* | | | 218 | | | | 1,238 | |
| Total Energy | | | | | | | 2,746,266 | |
| Materials - 2.7% | | | | | | | | |
| Coeur d’Alene Mines Corp.* | | | 3,358 | | | | 96,811 | |
| Eagle Materials, Inc. | | | 1,691 | | | | 78,226 | |
| Hecla Mining Co. | | | 10,671 | | | | 69,895 | |
| Sensient Technologies Corp. | | | 1,868 | | | | 68,667 | |
| Olin Corp. | | | 3,000 | | | | 65,190 | |
| Louisiana-Pacific Corp.* | | | 5,146 | | | | 64,325 | |
| Chemtura Corp.* | | | 3,685 | | | | 63,456 | |
| HB Fuller Co. | | | 1,866 | | | | 57,249 | |
| PolyOne Corp. | | | 3,349 | | | | 55,493 | |
| Stillwater Mining Co.* | | | 4,332 | | | | 51,074 | |
| Buckeye Technologies, Inc. | | | 1,472 | | | | 47,193 | |
| Minerals Technologies, Inc. | | | 664 | | | | 47,098 | |
| Georgia Gulf Corp. | | | 1,284 | | | | 46,507 | |
| Kaiser Aluminum Corp. | | | 725 | | | | 42,333 | |
| Worthington Industries, Inc. | | | 1,953 | | | | 42,301 | |
| SunCoke Energy, Inc.* | | | 2,623 | | | | 42,283 | |
| Balchem Corp. | | | 1,094 | | | | 40,183 | |
| Innophos Holdings, Inc. | | | 816 | | | | 39,568 | |
| Resolute Forest Products* | | | 3,030 | | | | 39,390 | |
| 108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Schweitzer-Mauduit International, Inc. | | | 1,166 | | | $ | 38,466 | |
| Graphic Packaging Holding Co.* | | | 6,262 | | | | 36,382 | |
| Clearwater Paper Corp.* | | | 875 | | | | 36,146 | |
| American Vanguard Corp. | | | 1,038 | | | | 36,122 | |
| Globe Specialty Metals, Inc. | | | 2,293 | | | | 34,899 | |
| Texas Industries, Inc. | | | 842 | | | | 34,227 | |
| KapStone Paper and Packaging Corp.* | | | 1,516 | | | | 33,943 | |
| McEwen Mining, Inc.* | | | 7,375 | | | | 33,851 | |
| Boise, Inc. | | | 3,755 | | | | 32,894 | |
| AMCOL International Corp. | | | 948 | | | | 32,118 | |
| Kraton Performance Polymers, Inc.* | | | 1,207 | | | | 31,503 | |
| LSB Industries, Inc.* | | | 705 | | | | 30,928 | |
| Calgon Carbon Corp.* | | | 2,126 | | | | 30,423 | |
| Stepan Co. | | | 315 | | | | 30,278 | |
| Innospec, Inc.* | | | 866 | | | | 29,375 | |
| PH Glatfelter Co. | | | 1,600 | | | | 28,496 | |
| RTI International Metals, Inc.* | | | 1,133 | | | | 27,124 | |
| Koppers Holdings, Inc. | | | 772 | | | | 26,966 | |
| Deltic Timber Corp. | | | 411 | | | | 26,822 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 940 | | | | 26,461 | |
| A. Schulman, Inc. | | | 1,100 | | | | 26,202 | |
| Gold Resource Corp. | | | 1,115 | | | | 23,917 | |
| Haynes International, Inc. | | | 458 | | | | 23,885 | |
| Flotek Industries, Inc.* | | | 1,855 | | | | 23,503 | |
| Quaker Chemical Corp. | | | 481 | | | | 22,448 | |
| OM Group, Inc.* | | | 1,210 | | | | 22,433 | |
| TPC Group, Inc.* | | | 487 | | | | 19,874 | |
| AK Steel Holding Corp. | | | 4,130 | | | | 19,824 | |
| Myers Industries, Inc. | | | 1,251 | | | | 19,541 | |
| Golden Star Resources Ltd.*,1 | | | 9,679 | | | | 19,068 | |
| Materion Corp. | | | 758 | | | | 18,040 | |
| Neenah Paper, Inc. | | | 588 | | | | 16,840 | |
| Tredegar Corp. | | | 899 | | | | 15,948 | |
| Horsehead Holding Corp.* | | | 1,639 | | | | 15,308 | |
| Wausau Paper Corp. | | | 1,653 | | | | 15,307 | |
| Headwaters, Inc.* | | | 2,287 | | | | 15,048 | |
| Hawkins, Inc. | | | 347 | | | | 14,418 | |
| Century Aluminum Co.* | | | 1,926 | | | | 13,771 | |
| OMNOVA Solutions, Inc.* | | | 1,730 | | | | 13,096 | |
| Paramount Gold and Silver Corp.*,1 | | | 4,880 | | | | 12,981 | |
| Zep, Inc. | | | 827 | | | | 12,504 | |
| Ferro Corp.* | | | 3,241 | | | | 11,117 | |
| Landec Corp.* | | | 951 | | | | 10,889 | |
| Universal Stainless & Alloy* | | | 257 | | | | 9,548 | |
| AEP Industries, Inc.* | | | 148 | | | | 8,967 | |
| FutureFuel Corp. | | | 723 | | | | 8,756 | |
| Noranda Aluminum Holding Corp. | | | 1,247 | | | | 8,342 | |
| ADA-ES, Inc.* | | | 340 | | | | 8,027 | |
| General Moly, Inc.* | | | 2,509 | | | | 7,954 | |
| Zoltek Companies, Inc.* | | | 1,027 | | | | 7,898 | |
| Vista Gold Corp.* | | | 2,171 | | | | 7,881 | |
| AM Castle & Co.* | | | 624 | | | | 7,794 | |
| Midway Gold Corp.* | | | 4,585 | | | | 7,519 | |
| Arabian American Development Co.* | | | 750 | | | | 7,343 | |
| Gold Reserve, Inc. — Class A* | | | 1,960 | | | | 6,350 | |
| Spartech Corp.* | | | 1,141 | | | | 6,104 | |
| US Silica Holdings, Inc.* | | | 435 | | | | 5,899 | |
| Metals USA Holdings Corp.* | | | 431 | | | | 5,762 | |
| Olympic Steel, Inc. | | | 337 | | | | 5,689 | |
| Golden Minerals Co.* | | | 1,071 | | | | 5,591 | |
| KMG Chemicals, Inc. | | | 282 | | | | 5,217 | |
| Chase Corp. | | | 241 | | | | 4,427 | |
| US Antimony Corp.*,1 | | | 2,000 | | | | 3,900 | |
| UFP Technologies, Inc.* | | | 210 | | | | 3,694 | |
| Revett Minerals, Inc.* | | | 957 | | | | 3,407 | |
| United States Lime & Minerals, Inc.* | | | 67 | | | | 3,230 | |
| Handy & Harman Ltd.* | | | 193 | | | | 2,853 | |
| GSE Holding, Inc.* | | | 299 | | | | 2,347 | |
| Total Materials | | | | | | | 2,255,127 | |
| Utilities - 2.0% | | | | | | | | |
| Cleco Corp. | | | 2,280 | | | | 95,715 | |
| Piedmont Natural Gas Company, Inc.1 | | | 2,680 | | | | 87,046 | |
| IDACORP, Inc. | | | 1,874 | | | | 81,089 | |
| WGL Holdings, Inc. | | | 1,932 | | | | 77,763 | |
| Portland General Electric Co. | | | 2,819 | | | | 76,226 | |
| Southwest Gas Corp. | | | 1,724 | | | | 76,201 | |
| GenOn Energy, Inc.* | | | 28,900 | | | | 73,117 | |
| New Jersey Resources Corp. | | | 1,554 | | | | 71,049 | |
| UIL Holdings Corp. | | | 1,890 | | | | 67,775 | |
| Atlantic Power Corp. | | | 4,248 | | | | 63,550 | |
| UNS Energy Corp. | | | 1,505 | | | | 62,999 | |
| PNM Resources, Inc. | | | 2,979 | | | | 62,648 | |
| South Jersey Industries, Inc. | | | 1,134 | | | | 60,023 | |
| ALLETE, Inc. | | | 1,421 | | | | 59,313 | |
| Black Hills Corp. | | | 1,647 | | | | 58,584 | |
| Avista Corp. | | | 2,194 | | | | 56,474 | |
| El Paso Electric Co. | | | 1,493 | | | | 51,135 | |
| Northwest Natural Gas Co. | | | 1,002 | | | | 49,338 | |
| NorthWestern Corp. | | | 1,358 | | | | 49,200 | |
| MGE Energy, Inc. | | | 862 | | | | 45,677 | |
| CH Energy Group, Inc. | | | 556 | | | | 36,257 | |
| Laclede Group, Inc. | | | 833 | | | | 35,819 | |
| Empire District Electric Co. | | | 1,568 | | | | 33,790 | |
| Otter Tail Corp. | | | 1,348 | | | | 32,163 | |
| American States Water Co. | | | 708 | | | | 31,455 | |
| California Water Service Group | | | 1,558 | | | | 29,057 | |
| Chesapeake Utilities Corp. | | | 358 | | | | 16,955 | |
| Unitil Corp. | | | 519 | | | | 14,127 | |
| SJW Corp. | | | 518 | | | | 13,136 | |
| Ormat Technologies, Inc. | | | 664 | | | | 12,450 | |
| Middlesex Water Co. | | | 586 | | | | 11,228 | |
| Connecticut Water Service, Inc. | | | 325 | | | | 10,368 | |
| York Water Co. | | | 480 | | | | 8,803 | |
| Artesian Resources Corp. — Class A | | | 281 | | | | 6,528 | |
| Delta Natural Gas Company, Inc. | | | 250 | | | | 4,840 | |
| Cadiz, Inc.* | | | 484 | | | | 4,700 | |
| Consolidated Water Company Ltd. | | | 547 | | | | 4,524 | |
| Genie Energy Ltd. — Class B | | | 565 | | | | 4,051 | |
| American DG Energy, Inc.* | | | 910 | | | | 2,357 | |
| Total Utilities | | | | | | | 1,637,530 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| | | Shares | | | Value | |
| Consumer Staples - 2.0% | | | | | | | | |
| United Natural Foods, Inc.* | | | 1,829 | | | $ | 106,906 | |
| Hain Celestial Group, Inc.* | | | 1,378 | | | | 86,813 | |
| Casey’s General Stores, Inc. | | | 1,427 | | | | 81,539 | |
| Darling International, Inc.* | | | 4,394 | | | | 80,366 | |
| TreeHouse Foods, Inc.* | | | 1,347 | | | | 70,718 | |
| Harris Teeter Supermarkets, Inc. | | | 1,641 | | | | 63,736 | |
| B&G Foods, Inc. — Class A | | | 1,810 | | | | 54,861 | |
| PriceSmart, Inc. | | | 682 | | | | 51,641 | |
| Lancaster Colony Corp. | | | 691 | | | | 50,616 | |
| Universal Corp. | | | 874 | | | | 44,504 | |
| Elizabeth Arden, Inc.* | | | 938 | | | | 44,312 | |
| Snyders-Lance, Inc. | | | 1,653 | | | | 41,325 | |
| Sanderson Farms, Inc. | | | 857 | | | | 38,025 | |
| Fresh Del Monte Produce, Inc. | | | 1,427 | | | | 36,531 | |
| Vector Group Ltd. | | | 2,073 | | | | 34,386 | |
| Spectrum Brands Holdings, Inc. | | | 854 | | | | 34,169 | |
| Boston Beer Company, Inc. — Class A* | | | 296 | | | | 33,143 | |
| J&J Snack Foods Corp. | | | 559 | | | | 32,047 | |
| Prestige Brands Holdings, Inc.* | | | 1,880 | | | | 31,885 | |
| WD-40 Co. | | | 593 | | | | 31,216 | |
| Post Holdings, Inc.* | | | 1,030 | | | | 30,962 | |
| Rite Aid Corp.* | | | 24,676 | | | | 28,871 | |
| Smart Balance, Inc.* | | | 2,201 | | | | 26,588 | |
| Andersons, Inc. | | | 696 | | | | 26,211 | |
| Cal-Maine Foods, Inc. | | | 545 | | | | 24,492 | |
| Tootsie Roll Industries, Inc.1 | | | 882 | | | | 23,796 | |
| SUPERVALU, Inc.1 | | | 7,940 | | | | 19,135 | |
| Star Scientific, Inc.* | | | 5,450 | | | | 18,857 | |
| Dole Food Company, Inc.*,1 | | | 1,339 | | | | 18,786 | |
| Central Garden and Pet Co. — Class A* | | | 1,439 | | | | 17,383 | |
| Weis Markets, Inc. | | | 407 | | | | 17,228 | |
| Diamond Foods, Inc. | | | 822 | | | | 15,470 | |
| Susser Holdings Corp.* | | | 419 | | | | 15,155 | |
| Medifast, Inc.* | | | 514 | | | | 13,441 | |
| Chiquita Brands International, Inc.* | | | 1,718 | | | | 13,126 | |
| Harbinger Group, Inc.* | | | 1,541 | | | | 12,991 | |
| Pantry, Inc.* | | | 874 | | | | 12,717 | |
| Spartan Stores, Inc. | | | 813 | | | | 12,447 | |
| Schiff Nutrition International, Inc.* | | | 500 | | | | 12,095 | |
| Coca-Cola Bottling Company Consolidated | | | 170 | | | | 11,577 | |
| Pilgrim’s Pride Corp.* | | | 2,259 | | | | 11,543 | |
| Village Super Market, Inc. — Class A | | | 314 | | | | 11,543 | |
| Inter Parfums, Inc. | | | 611 | | | | 11,181 | |
| Calavo Growers, Inc. | | | 447 | | | | 11,175 | |
| Alliance One International, Inc.* | | | 3,265 | | | | 10,546 | |
| USANA Health Sciences, Inc.* | | | 218 | | | | 10,130 | |
| Seneca Foods Corp. — Class A* | | | 339 | | | | 10,123 | |
| Nash Finch Co. | | | 458 | | | | 9,352 | |
| Annie’s, Inc.* | | | 190 | | | | 8,520 | |
| Ingles Markets, Inc. — Class A | | | 474 | | | | 7,750 | |
| Central European Distribution Corp.*,1 | | | 2,467 | | | | 7,031 | |
| Nature’s Sunshine Products, Inc. | | | 421 | | | | 6,879 | |
| Chefs’ Warehouse, Inc.* | | | 408 | | | | 6,683 | |
| Revlon, Inc. — Class A* | | | 427 | | | | 6,593 | |
| National Beverage Corp.* | | | 421 | | | | 6,382 | |
| Limoneira Co. | | | 309 | | | | 5,695 | |
| Nutraceutical International Corp.* | | | 325 | | | | 5,122 | |
| Female Health Co. | | | 712 | | | | 5,091 | |
| Omega Protein Corp.* | | | 737 | | | | 5,056 | |
| Roundy’s, Inc. | | | 744 | | | | 4,501 | |
| Alico, Inc. | | | 134 | | | | 4,185 | |
| Oil-Dri Corporation of America | | | 178 | | | | 4,119 | |
| Arden Group, Inc. — Class A | | | 41 | | | | 3,978 | |
| John B Sanfilippo & Son, Inc.* | | | 300 | | | | 3,906 | |
| Orchids Paper Products Co. | | | 210 | | | | 3,788 | |
| Griffin Land & Nurseries, Inc. | | | 108 | | | | 3,643 | |
| Craft Brew Alliance, Inc.* | | | 392 | | | | 3,077 | |
| Synutra International, Inc.* | | | 650 | | | | 3,003 | |
| Inventure Foods, Inc.* | | | 490 | | | | 2,788 | |
| Westway Group, Inc.* | | | 450 | | | | 2,786 | |
| Farmer Bros Co.* | | | 255 | | | | 2,425 | |
| Lifeway Foods, Inc. | | | 170 | | | | 1,615 | |
| Total Consumer Staples | | | | | | | 1,620,276 | |
| Telecommunication Services - 0.4% | | | | | | | | |
| Cincinnati Bell, Inc.* | | | 7,375 | | | | 42,037 | |
| Cogent Communications Group, Inc. | | | 1,750 | | | | 40,233 | |
| Consolidated Communications | | | | | | | | |
| Holdings, Inc. | | | 1,496 | | | | 25,716 | |
| Premiere Global Services, Inc.* | | | 1,871 | | | | 17,494 | |
| 8x8, Inc.* | | | 2,637 | | | | 17,299 | |
| Shenandoah Telecommunications Co. | | | 890 | | | | 15,663 | |
| Atlantic Tele-Network, Inc. | | | 338 | | | | 14,527 | |
| Leap Wireless International, Inc.* | | | 2,019 | | | | 13,770 | |
| magicJack VocalTec Ltd.* | | | 560 | | | | 13,737 | |
| Vonage Holdings Corp.* | | | 5,952 | | | | 13,571 | |
| Iridium Communications, Inc.* | | | 1,853 | | | | 13,564 | |
| General Communication, Inc. — Class A* | | | 1,368 | | | | 13,406 | |
| Cbeyond, Inc.* | | | 1,016 | | | | 10,018 | |
| Neutral Tandem, Inc.* | | | 1,046 | | | | 9,811 | |
| USA Mobility, Inc. | | | 824 | | | | 9,781 | |
| NTELOS Holdings Corp. | | | 556 | | | | 9,658 | |
| inContact, Inc.* | | | 1,165 | | | | 7,596 | |
| Towerstream Corp.* | | | 1,772 | | | | 7,194 | |
| Primus Telecommunications Group, Inc. | | | 450 | | | | 6,872 | |
| Hawaiian Telcom Holdco, Inc.* | | | 380 | | | | 6,737 | |
| Fairpoint Communications, Inc.* | | | 773 | | | | 5,844 | |
| IDT Corp. — Class B | | | 565 | | | | 5,803 | |
| HickoryTech Corp. | | | 502 | | | | 5,311 | |
| ORBCOMM, Inc.* | | | 1,337 | | | | 5,000 | |
| Boingo Wireless, Inc.* | | | 588 | | | | 4,669 | |
| Lumos Networks Corp. | | | 568 | | | | 4,464 | |
| Total Telecommunication Services | | | | | | | 339,775 | |
| Total Common Stocks | | | | | | | | |
| (Cost $40,735,341) | | | | | | | 44,731,154 | |
| WARRANT†† - 0.0% | | | | | | | | |
| Magnum Hunter Resources Corp. | | | | | | | | |
| $10.50, 08/16/13 | | | 17 | | | | — | |
| Total Warrant | | | | | | | | |
| (Cost $–) | | | | | | | — | |
| 110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| | | Shares | | | Value | |
| RIGHTS†† - 0.0% | | | | | | | | |
| Hampton Roads Bankshares, Inc. | | | | | | | | |
| Expires 09/30/12* | | | 108 | | | $ | 86 | |
| Green Bankshares, Inc. | | | | | | | | |
| Expires 09/30/20* | | | 460 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $134) | | | | | | | 86 | |
| CLOSED-END FUND† - 0.0% | | | | | | | | |
| Firsthand Technology Value Fund, Inc.* | | | 320 | | | | 5,581 | |
| Total Closed-End Fund | | | | | | | | |
| (Cost $5,499) | | | | | | | 5,581 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 45.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 18,762,492 | | | | 18,762,492 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 10,795,190 | | | | 10,795,190 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 6,158,367 | | | | 6,158,367 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 1,734,717 | | | | 1,734,717 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $37,450,766) | | | | | | | 37,450,766 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.6% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 232,034 | | | | 232,034 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 228,351 | | | | 228,351 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $460,385) | | | | | | | 460,385 | |
| Total Investments - 100.1% | | | | | | | | |
| (Cost $78,652,125) | | | | | | $ | 82,647,972 | |
| Other Assets & Liabilities, net - (0.1)% | | | | | | | (59,554 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 82,588,418 | |
| | | | | | | | | |
| | | | | | | | Unrealized | |
| | | | Contracts | | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Russell 2000 Index Mini | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $917,620) | | | 11 | | | $ | (4,276 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/29/125 | | | | | | | | |
| (Notional Value $2,801,598) | | | 3,345 | | | $ | 12,105 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $7,426,529) | | | 8,868 | | | | (53,862 | ) |
| Barclays Bank plc | | | | | | | | |
| October 2012 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $26,494,680) | | | 31,637 | | | | (191,859 | ) |
| (Total Notional Value | | | | | | | | |
| $36,722,807) | | | | | | $ | (233,616 | ) |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | 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 FUNDS SEMI-ANNUAL REPORT | 111 |
| RUSSELL 2000® FUND |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $436,646 of securities loaned | | | | |
| (cost $41,201,359) | | $ | 45,197,206 | |
| Repurchase agreements, at value | | | | |
| (cost $37,450,766) | | | 37,450,766 | |
| Total investments | | | | |
| (cost $78,652,125) | | | 82,647,972 | |
| Foreign currency, at value | | | | |
| (cost $414) | | | 414 | |
| Segregated cash with broker | | | 2,736,000 | |
| Unrealized appreciation on swap agreements | | | 12,105 | |
| Cash | | | 2,054 | |
| Receivables: | | | | |
| Fund shares sold | | | 165,135 | |
| Dividends | | | 52,379 | |
| Interest | | | 789 | |
| Total assets | | | 85,616,848 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 245,721 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,178,037 | |
| Payable upon return of securities loaned | | | 460,385 | |
| Management fees | | | 50,249 | |
| Distribution and service fees | | | 18,368 | |
| Transfer agent and administrative fees | | | 16,750 | |
| Swap settlement | | | 15,271 | |
| Variation margin | | | 7,040 | |
| Portfolio accounting fees | | | 6,700 | |
| Miscellaneous | | | 29,909 | |
| Total liabilities | | | 3,028,430 | |
| Net assets | | $ | 82,588,418 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 84,371,495 | |
| Accumulated net investment loss | | | (349,476 | ) |
| Accumulated net realized loss on investments | | | (5,191,559 | ) |
| Net unrealized appreciation on investments | | | 3,757,958 | |
| Net assets | | $ | 82,588,418 | |
| A-Class: | | | | |
| Net assets | | $ | 855,912 | |
| Capital shares outstanding | | | 30,098 | |
| Net asset value per share | | $ | 28.44 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 29.86 | |
| C-Class: | | | | |
| Net assets | | $ | 2,650,974 | |
| Capital shares outstanding | | | 98,144 | |
| Net asset value per share | | $ | 27.01 | |
| H-Class: | | | | |
| Net assets | | $ | 79,081,532 | |
| Capital shares outstanding | | | 2,782,738 | |
| Net asset value per share | | $ | 28.42 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $335) | | $ | 244,430 | |
| Interest | | | 15,280 | |
| Income from securities lending, net | | | 288 | |
| Total investment income | | | 259,998 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 221,580 | |
| Transfer agent and administrative fees | | | 73,860 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,865 | |
| C-Class | | | 24,010 | |
| H-Class | | | 65,993 | |
| Portfolio accounting fees | | | 29,544 | |
| Custodian fees | | | 5,372 | |
| Trustees’ fees* | | | 3,179 | |
| Miscellaneous | | | 30,461 | |
| Total expenses | | | 455,864 | |
| Net investment loss | | | (195,866 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (686,399 | ) |
| Swap agreements | | | (253,275 | ) |
| Futures contracts | | | (172,042 | ) |
| Net realized loss | | | (1,111,716 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (637,332 | ) |
| Swap agreements | | | (190,225 | ) |
| Futures contracts | | | (38,624 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (866,181 | ) |
| Net realized and unrealized loss | | | (1,977,897 | ) |
| Net decrease in net assets resulting from operations | | $ | (2,173,763 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (195,866 | ) | | $ | (433,519 | ) |
| Net realized gain (loss) on investments | | | (1,111,716 | ) | | | 6,304,933 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (866,181 | ) | | | 2,862,358 | |
| Net increase (decrease) in net assets resulting from operations | | | (2,173,763 | ) | | | 8,733,772 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 14,291,089 | | | | 35,603,617 | |
| C-Class | | | 22,204,443 | | | | 83,457,886 | |
| H-Class | | | 194,087,254 | | | | 364,847,623 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (14,388,246 | ) | | | (38,744,977 | ) |
| C-Class | | | (25,683,501 | ) | | | (84,349,313 | ) |
| H-Class | | | (176,150,783 | ) | | | (339,357,813 | ) |
| Net increase from capital share transactions | | | 14,360,256 | | | | 21,457,023 | |
| Net increase in net assets | | | 12,186,493 | | | | 30,190,795 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 70,401,925 | | | | 40,211,130 | |
| End of period | | $ | 82,588,418 | | | $ | 70,401,925 | |
| Accumulated net investment loss at end of period | | $ | (349,476 | ) | | $ | (153,610 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 504,999 | | | | 1,467,841 | |
| C-Class | | | 858,962 | | | | 3,373,536 | |
| H-Class | | | 7,134,973 | | | | 14,071,385 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (498,646 | ) | | | (1,470,535 | ) |
| C-Class | | | (994,487 | ) | | | (3,397,242 | ) |
| H-Class | | | (6,604,995 | ) | | | (12,954,131 | ) |
| Net increase in shares | | | 400,806 | | | | 1,090,854 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
| russell 2000® fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 28.54 | | | $ | 22.96 | | | $ | 14.31 | | | $ | 23.57 | | | $ | 27.64 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.08 | ) | | | (.23 | ) | | | (.24 | ) | | | (.15 | ) | | | (.02 | ) | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | .32 | | | | (.11 | ) | | | 5.82 | | | | 8.80 | | | | (9.24 | ) | | | (4.21 | ) |
| Total from investment operations | | | .24 | | | | (.34 | ) | | | 5.58 | | | | 8.65 | | | | (9.26 | ) | | | (3.87 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Net asset value, end of period | | $ | 28.44 | | | $ | 28.20 | | | $ | 28.54 | | | $ | 22.96 | | | $ | 14.31 | | | $ | 23.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.85 | % | | | (1.19 | %) | | | 24.30 | % | | | 60.45 | % | | | (39.29 | %) | | | (14.08 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 856 | | | $ | 670 | | | $ | 755 | | | $ | 1,313 | | | $ | 2,309 | | | $ | 909 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.60 | %) | | | (0.89 | %) | | | (1.01 | %) | | | (0.81 | %) | | | (0.13 | %) | | | 1.26 | % |
| Total expenses | | | 1.50 | % | | | 1.58 | % | | | 1.56 | % | | | 1.57 | % | | | 1.56 | % | | | 1.51 | % |
| Portfolio turnover rate | | | 120 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % | | | 535 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.90 | | | $ | 27.46 | | | $ | 22.29 | | | $ | 14.00 | | | $ | 23.28 | | | $ | 27.48 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.18 | ) | | | (.46 | ) | | | (.47 | ) | | | (.34 | ) | | | (.15 | ) | | | .23 | |
| Net gain (loss) on investments (realized and unrealized) | | | .29 | | | | (.10 | ) | | | 5.64 | | | | 8.63 | | | | (9.13 | ) | | | (4.23 | ) |
| Total from investment operations | | | .11 | | | | (.56 | ) | | | 5.17 | | | | 8.29 | | | | (9.28 | ) | | | (4.00 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Net asset value, end of period | | $ | 27.01 | | | $ | 26.90 | | | $ | 27.46 | | | $ | 22.29 | | | $ | 14.00 | | | $ | 23.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.41 | % | | | (2.04 | %) | | | 23.25 | % | | | 59.21 | % | | | (39.86 | %) | | | (14.63 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,651 | | | $ | 6,285 | | | $ | 7,068 | | | $ | 2,860 | | | $ | 2,123 | | | $ | 678 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.40 | %) | | | (1.83 | %) | | | (1.87 | %) | | | (1.56 | %) | | | (0.82 | %) | | | 0.85 | % |
| Total expenses | | | 2.28 | % | | | 2.34 | % | | | 2.31 | % | | | 2.30 | % | | | 2.29 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 120 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % | | | 535 | % |
| 114 | the RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.16 | | | $ | 28.52 | | | $ | 22.93 | | | $ | 14.31 | | | $ | 23.57 | | | $ | 27.64 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.08 | ) | | | (.22 | ) | | | (.27 | ) | | | (.16 | ) | | | (.02 | ) | | | .51 | |
| Net gain (loss) on investments (realized and unrealized) | | | .34 | | | | (.14 | ) | | | 5.86 | | | | 8.78 | | | | (9.24 | ) | | | (4.38 | ) |
| Total from investment operations | | | .26 | | | | (.36 | ) | | | 5.59 | | | | 8.62 | | | | (9.26 | ) | | | (3.87 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.20 | ) |
| Net asset value, end of period | | $ | 28.42 | | | $ | 28.16 | | | $ | 28.52 | | | $ | 22.93 | | | $ | 14.31 | | | $ | 23.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.92 | % | | | (1.26 | %) | | | 24.32 | % | | | 60.24 | % | | | (39.29 | %) | | | (14.08 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 79,082 | | | $ | 63,447 | | | $ | 32,389 | | | $ | 32,790 | | | $ | 19,847 | | | $ | 4,327 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.60 | %) | | | (0.83 | %) | | | (1.09 | %) | | | (0.83 | %) | | | (0.09 | %) | | | 1.86 | % |
| Total expenses | | | 1.48 | % | | | 1.58 | % | | | 1.57 | % | | | 1.56 | % | | | 1.55 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 120 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % | | | 535 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| 116 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INVERSE russell 2000® strategy FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 92.4% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 6,284,045 | | | $ | 6,284,045 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 3,615,589 | | | | 3,615,589 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 2,062,597 | | | | 2,062,597 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 816,624 | | | | 816,624 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $12,778,855) | | | | | | | 12,778,855 | |
| Total Investments - 92.4% | | | | | | | | |
| (Cost $12,778,855) | | | | | | $ | 12,778,855 | |
| Other Assets & Liabilities, net - 7.6% | | | | | | | 1,043,879 | |
| Total Net Assets - 100.0% | | | | | | $ | 13,822,734 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 Russell 2000 | | | | | | | | |
| Index Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $9,343,040) | | | 112 | | | $ | 71,264 | |
| | | | | | | | | |
| | | | Units | | | | | |
| | | | | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Credit Suisse Capital, LLC | | | | | | | | |
| October 2012 Russell 2000 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $3,188,692) | | | 3,808 | | | $ | 21,680 | |
| Barclays Bank plc | | | | | | | | |
| October 2012 Russell 2000 Index | | | | | | | | |
| Swap, Terminating 10/31/123 | | | | | | | | |
| (Notional Value $681,457) | | | 814 | | | | 4,958 | |
| Goldman Sachs International | | | | | | | | |
| October 2012 Russell 2000 Index | | | | | | | | |
| Swap, Terminating 10/29/123 | | | | | | | | |
| (Notional Value $572,898) | | | 684 | | | | (2,492 | ) |
| (Total Notional Value | | | | | | | | |
| $4,443,047) | | | | | | $ | 24,146 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. |
| | plc — Public Limited Company | | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
| INVERSE russell 2000® strategy FUND | |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $12,778,855) | | $ | 12,778,855 | |
| Segregated cash with broker | | | 972,000 | |
| Unrealized appreciation on swap agreements | | | 26,638 | |
| Receivables: | | | | |
| Variation margin | | | 71,680 | |
| Fund shares sold | | | 44,515 | |
| Interest | | | 169 | |
| Total assets | | | 13,893,857 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 2,492 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 37,647 | |
| Management fees | | | 9,629 | |
| Distribution and service fees | | | 3,100 | |
| Transfer agent and administrative fees | | | 2,675 | |
| Swap settlement | | | 2,278 | |
| Portfolio accounting fees | | | 1,070 | |
| Miscellaneous | | | 12,232 | |
| Total liabilities | | | 71,123 | |
| Net assets | | $ | 13,822,734 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 70,015,525 | |
| Accumulated net investment loss | | | (314,119 | ) |
| Accumulated net realized loss on investments | | | (55,974,082 | ) |
| Net unrealized appreciation on investments | | | 95,410 | |
| Net assets | | $ | 13,822,734 | |
| A-Class: | | | | |
| Net assets | | $ | 839,978 | |
| Capital shares outstanding | | | 50,135 | |
| Net asset value per share | | $ | 16.75 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 17.59 | |
| C-Class: | | | | |
| Net assets | | $ | 738,258 | |
| Capital shares outstanding | | | 47,065 | |
| Net asset value per share | | $ | 15.69 | |
| H-Class: | | | | |
| Net assets | | $ | 12,244,498 | |
| Capital shares outstanding | | | 729,749 | |
| Net asset value per share | | $ | 16.78 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Interest | | $ | 18,425 | |
| Total investment income | | | 18,425 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 132,686 | |
| Transfer agent and administrative fees | | | 36,857 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,154 | |
| C-Class | | | 4,194 | |
| H-Class | | | 34,655 | |
| Portfolio accounting fees | | | 14,743 | |
| Licensing fees | | | 17,783 | |
| Custodian fees | | | 2,565 | |
| Trustees’ fees* | | | 1,501 | |
| Miscellaneous | | | 15,664 | |
| Total expenses | | | 261,802 | |
| Net investment loss | | | (243,377 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (1,712,020 | ) |
| Futures contracts | | | (697,081 | ) |
| Net realized loss | | | (2,409,101 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (20,962 | ) |
| Futures contracts | | | 182,626 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 161,664 | |
| Net realized and unrealized loss | | | (2,247,437 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (2,490,814 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 118 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE russell 2000® strategy FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (243,377 | ) | | $ | (344,345 | ) |
| Net realized loss on investments | | | (2,409,101 | ) | | | (2,486,068 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 161,664 | | | | 198,814 | |
| Net decrease in net assets resulting from operations | | | (2,490,814 | ) | | | (2,631,599 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 2,215,680 | | | | 7,173,118 | |
| C-Class | | | 1,735,566 | | | | 6,283,582 | |
| H-Class | | | 85,153,506 | | | | 201,994,386 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,866,117 | ) | | | (7,494,667 | ) |
| C-Class | | | (1,785,462 | ) | | | (6,502,435 | ) |
| H-Class | | | (87,871,260 | ) | | | (191,935,153 | ) |
| Net increase (decrease) from capital share transactions | | | (2,418,087 | ) | | | 9,518,831 | |
| Net increase (decrease) in net assets | | | (4,908,901 | ) | | | 6,887,232 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 18,731,635 | | | | 11,844,403 | |
| End of period | | $ | 13,822,734 | | | $ | 18,731,635 | |
| Accumulated net investment loss at end of period | | $ | (314,119 | ) | | $ | (70,742 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 120,414 | | | | 336,649 | |
| C-Class | | | 102,894 | | | | 310,758 | |
| H-Class | | | 4,643,502 | | | | 9,760,842 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (105,348 | ) | | | (357,933 | ) |
| C-Class | | | (106,817 | ) | | | (321,668 | ) |
| H-Class | | | (4,902,810 | ) | | | (9,255,491 | ) |
| Net increase (decrease) in shares | | | (248,165 | ) | | | 473,157 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
| INVERSE russell 2000® strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.46 | | | $ | 19.77 | | | $ | 27.00 | | | $ | 48.02 | | | $ | 39.05 | | | $ | 35.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.14 | ) | | | (.34 | ) | | | (.38 | ) | | | (.54 | ) | | | (.21 | ) | | | 1.06 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.57 | ) | | | (1.97 | ) | | | (6.85 | ) | | | (20.48 | ) | | | 9.57 | | | | 4.40 | |
| Total from investment operations | | | (.71 | ) | | | (2.31 | ) | | | (7.23 | ) | | | (21.02 | ) | | | 9.36 | | | | 5.46 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Net asset value, end of period | | $ | 16.75 | | | $ | 17.46 | | | $ | 19.77 | | | $ | 27.00 | | | $ | 48.02 | | | $ | 39.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.07 | %) | | | (11.68 | %) | | | (26.78 | %) | | | (43.77 | %) | | | 23.91 | % | | | 16.11 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 840 | | | $ | 612 | | | $ | 1,114 | | | $ | 1,765 | | | $ | 2,299 | | | $ | 6,816 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.60 | %) | | | (1.66 | %) | | | (1.53 | %) | | | (1.58 | %) | | | (0.50 | %) | | | 2.96 | % |
| Total expenses | | | 1.72 | % | | | 1.75 | % | | | 1.71 | % | | | 1.71 | % | | | 1.96 | % | | | 1.89 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.41 | | | $ | 18.71 | | | $ | 25.75 | | | $ | 46.15 | | | $ | 37.80 | | | $ | 34.18 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.20 | ) | | | (.47 | ) | | | (.55 | ) | | | (.76 | ) | | | (.40 | ) | | | .76 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.52 | ) | | | (1.83 | ) | | | (6.49 | ) | | | (19.64 | ) | | | 9.14 | | | | 4.27 | |
| Total from investment operations | | | (.72 | ) | | | (2.30 | ) | | | (7.04 | ) | | | (20.40 | ) | | | 8.74 | | | | 5.03 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Net asset value, end of period | | $ | 15.69 | | | $ | 16.41 | | | $ | 18.71 | | | $ | 25.75 | | | $ | 46.15 | | | $ | 37.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.39 | %) | | | (12.29 | %) | | | (27.34 | %) | | | (44.20 | %) | | | 23.06 | % | | | 15.22 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 738 | | | $ | 837 | | | $ | 1,158 | | | $ | 2,003 | | | $ | 2,199 | | | $ | 6,136 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.36 | %) | | | (2.43 | %) | | | (2.28 | %) | | | (2.34 | %) | | | (1.03 | %) | | | 2.17 | % |
| Total expenses | | | 2.48 | % | | | 2.51 | % | | | 2.46 | % | | | 2.46 | % | | | 2.76 | % | | | 2.67 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % | | | — | |
| 120 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE russell 2000® strategy FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.47 | | | $ | 19.79 | | | $ | 27.01 | | | $ | 48.05 | | | $ | 39.07 | | | $ | 35.02 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.15 | ) | | | (.35 | ) | | | (.38 | ) | | | (.53 | ) | | | (.19 | ) | | | 1.05 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.54 | ) | | | (1.97 | ) | | | (6.84 | ) | | | (20.51 | ) | | | 9.56 | | | | 4.41 | |
| Total from investment operations | | | (.69 | ) | | | (2.32 | ) | | | (7.22 | ) | | | (21.04 | ) | | | 9.37 | | | | 5.46 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.41 | ) |
| Net asset value, end of period | | $ | 16.78 | | | $ | 17.47 | | | $ | 19.79 | | | $ | 27.01 | | | $ | 48.05 | | | $ | 39.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.95 | %) | | | (11.72 | %) | | | (26.73 | %) | | | (43.79 | %) | | | 23.93 | % | | | 16.10 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,244 | | | $ | 17,283 | | | $ | 9,572 | | | $ | 25,924 | | | $ | 30,131 | | | $ | 42,554 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.63 | %) | | | (1.70 | %) | | | (1.53 | %) | | | (1.58 | %) | | | (0.45 | %) | | | 2.93 | % |
| Total expenses | | | 1.76 | % | | | 1.77 | % | | | 1.71 | % | | | 1.71 | % | | | 1.97 | % | | | 1.89 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P 500 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Apple, Inc. | | | 2.0 | % |
| Alexion Pharmaceuticals, Inc. | | | 1.8 | % |
| Visa, Inc. — Class A | | | 1.5 | % |
| Gilead Sciences, Inc. | | | 1.4 | % |
| Biogen Idec, Inc. | | | 1.4 | % |
| Google, Inc. — Class A | | | 1.3 | % |
| Ross Stores, Inc. | | | 1.3 | % |
| Discovery Communications, | | | | |
| Inc. — Class A | | | 1.3 | % |
| Amazon.com, Inc. | | | 1.3 | % |
| Express Scripts Holding Co. | | | 1.3 | % |
| Top Ten Total | | | 14.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 122 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P 500 PURE growth FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 100.2% | | | | | | | | |
| | | | | | | | | |
| Health Care - 24.6% | | | | | | | | |
| Alexion Pharmaceuticals, Inc.* | | | 13,880 | | | $ | 1,587,872 | |
| Gilead Sciences, Inc.* | | | 18,559 | | | | 1,231,018 | |
| Biogen Idec, Inc.* | | | 8,029 | | | | 1,198,168 | |
| Express Scripts Holding Co.* | | | 17,894 | | | | 1,121,418 | |
| Celgene Corp.* | | | 14,341 | | | | 1,095,652 | |
| Intuitive Surgical, Inc.* | | | 2,071 | | | | 1,026,450 | |
| Edwards Lifesciences Corp.* | | | 9,330 | | | | 1,001,762 | |
| Mylan, Inc.* | | | 40,750 | | | | 994,299 | |
| Perrigo Co. | | | 8,209 | | | | 953,640 | |
| CR Bard, Inc. | | | 7,340 | | | | 768,131 | |
| Abbott Laboratories | | | 11,200 | | | | 767,872 | |
| Amgen, Inc. | | | 8,940 | | | | 753,821 | |
| UnitedHealth Group, Inc. | | | 13,320 | | | | 738,061 | |
| Laboratory Corporation of America Holdings* | | | 7,892 | | | | 729,773 | |
| DaVita, Inc.* | | | 6,990 | | | | 724,234 | |
| Zimmer Holdings, Inc. | | | 9,130 | | | | 617,371 | |
| Watson Pharmaceuticals, Inc.* | | | 6,980 | | | | 594,417 | |
| Life Technologies Corp.* | | | 11,863 | | | | 579,864 | |
| Varian Medical Systems, Inc.* | | | 9,590 | | | | 578,469 | |
| Baxter International, Inc. | | | 9,540 | | | | 574,880 | |
| Cerner Corp.* | | | 7,282 | | | | 563,700 | |
| Quest Diagnostics, Inc. | | | 8,680 | | | | 550,572 | |
| Stryker Corp. | | | 9,850 | | | | 548,251 | |
| Waters Corp.* | | | 6,337 | | | | 528,062 | |
| Becton Dickinson and Co. | | | 6,490 | | | | 509,854 | |
| St. Jude Medical, Inc. | | | 11,841 | | | | 498,861 | |
| Allergan, Inc. | | | 5,036 | | | | 461,197 | |
| Johnson & Johnson | | | 5,470 | | | | 376,938 | |
| Total Health Care | | | | | | | 21,674,607 | |
| Consumer Discretionary - 22.9% | | | | | | | | |
| Ross Stores, Inc. | | | 17,543 | | | | 1,133,278 | |
| Discovery Communications, Inc. — Class A* | | | 18,923 | | | | 1,128,378 | |
| Amazon.com, Inc.* | | | 4,416 | | | | 1,123,078 | |
| Priceline.com, Inc.* | | | 1,741 | | | | 1,077,209 | |
| AutoZone, Inc.* | | | 2,718 | | | | 1,004,763 | |
| Dollar Tree, Inc.* | | | 20,562 | | | | 992,630 | |
| Scripps Networks Interactive, Inc. — Class A | | | 15,494 | | | | 948,697 | |
| O’Reilly Automotive, Inc.* | | | 11,211 | | | | 937,464 | |
| DIRECTV* | | | 17,497 | | | | 917,893 | |
| TJX Companies, Inc. | | | 19,218 | | | | 860,774 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 2,617 | | | | 831,002 | |
| Family Dollar Stores, Inc. | | | 11,735 | | | | 778,031 | |
| Coach, Inc. | | | 13,287 | | | | 744,338 | |
| Netflix, Inc.*,1 | | | 12,865 | | | | 700,371 | |
| Sherwin-Williams Co. | | | 4,330 | | | | 644,780 | |
| Fossil, Inc.* | | | 7,190 | | | | 608,993 | |
| Bed Bath & Beyond, Inc.* | | | 9,083 | | | | 572,229 | |
| Wynn Resorts Ltd. | | | 4,801 | | | | 554,227 | |
| Yum! Brands, Inc. | | | 8,037 | | | | 533,175 | |
| Ralph Lauren Corp. — Class A | | | 3,405 | | | | 514,938 | |
| Apollo Group, Inc. — Class A* | | | 17,712 | | | | 514,534 | |
| Viacom, Inc. — Class B | | | 9,558 | | | | 512,213 | |
| DeVry, Inc. | | | 22,320 | | | | 508,003 | |
| McDonald’s Corp. | | | 5,099 | | | | 467,833 | |
| NIKE, Inc. — Class B | | | 4,410 | | | | 418,553 | |
| VF Corp. | | | 2,360 | | | | 376,090 | |
| Tiffany & Co. | | | 5,456 | | | | 337,617 | |
| Starbucks Corp. | | | 6,276 | | | | 318,507 | |
| Total Consumer Discretionary | | | | | | | 20,059,598 | |
| Information Technology - 21.7% | | | | | | | | |
| Apple, Inc. | | | 2,589 | | | | 1,727,536 | |
| Visa, Inc. — Class A | | | 9,859 | | | | 1,323,866 | |
| Google, Inc. — Class A* | | | 1,519 | | | | 1,146,086 | |
| Salesforce.com, Inc.* | | | 7,015 | | | | 1,071,121 | |
| Red Hat, Inc.* | | | 16,738 | | | | 953,062 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 12,765 | | | | 892,529 | |
| Mastercard, Inc. — Class A | | | 1,815 | | | | 819,436 | |
| F5 Networks, Inc.* | | | 7,808 | | | | 817,498 | |
| Teradata Corp.* | | | 9,535 | | | | 719,034 | |
| Broadcom Corp. — Class A | | | 19,713 | | | | 681,676 | |
| Intuit, Inc. | | | 11,363 | | | | 669,053 | |
| Altera Corp. | | | 19,267 | | | | 654,789 | |
| KLA-Tencor Corp. | | | 13,609 | | | | 649,217 | |
| QUALCOMM, Inc. | | | 10,239 | | | | 639,835 | |
| Citrix Systems, Inc.* | | | 7,786 | | | | 596,174 | |
| SanDisk Corp.* | | | 13,703 | | | | 595,121 | |
| Amphenol Corp. — Class A | | | 10,038 | | | | 591,037 | |
| Lam Research Corp.* | | | 18,560 | | | | 589,930 | |
| Fiserv, Inc.* | | | 7,790 | | | | 576,694 | |
| Microchip Technology, Inc. | | | 16,066 | | | | 526,001 | |
| Oracle Corp. | | | 16,082 | | | | 506,422 | |
| Automatic Data Processing, Inc. | | | 8,420 | | | | 493,917 | |
| NetApp, Inc.* | | | 14,233 | | | | 467,981 | |
| International Business Machines Corp. | | | 2,177 | | | | 451,619 | |
| Akamai Technologies, Inc.* | | | 11,639 | | | | 445,308 | |
| Xilinx, Inc. | | | 12,589 | | | | 420,598 | |
| Total Information Technology | | | | | | | 19,025,540 | |
| Industrials - 7.4% | | | | | | | | |
| Stericycle, Inc.* | | | 10,659 | | | �� | 964,853 | |
| WW Grainger, Inc. | | | 3,015 | | | | 628,236 | |
| Lockheed Martin Corp. | | | 6,230 | | | | 581,757 | |
| First Solar, Inc.* | | | 23,285 | | | | 515,645 | |
| Deere & Co. | | | 6,172 | | | | 509,128 | |
| Dun & Bradstreet Corp. | | | 6,380 | | | | 507,976 | |
| Union Pacific Corp. | | | 4,060 | | | | 481,922 | |
| Pall Corp. | | | 7,590 | | | | 481,889 | |
| CH Robinson Worldwide, Inc. | | | 8,060 | | | | 471,913 | |
| Roper Industries, Inc. | | | 3,820 | | | | 419,780 | |
| United Parcel Service, Inc. — Class B | | | 5,780 | | | | 413,675 | |
| Rockwell Automation, Inc. | | | 4,467 | | | | 310,680 | |
| Joy Global, Inc. | | | 3,900 | | | | 218,634 | |
| Total Industrials | | | | | | | 6,506,088 | |
| Consumer Staples - 6.9% | | | | | | | | |
| PepsiCo, Inc. | | | 11,370 | | | | 804,655 | |
| Philip Morris International, Inc. | | | 8,342 | | | | 750,279 | |
| Monster Beverage Corp.* | | | 12,850 | | | | 695,956 | |
| Coca-Cola Co. | | | 16,700 | | | | 633,431 | |
| Hershey Co. | | | 7,760 | | | | 550,106 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P 500 PURE growth FUND | |
| | | Shares | | | Value | |
| Colgate-Palmolive Co. | | | 4,810 | | | $ | 515,729 | |
| Kimberly-Clark Corp. | | | 5,780 | | | | 495,808 | |
| Mead Johnson Nutrition | | | | | | | | |
| Co. — Class A | | | 5,610 | | | | 411,101 | |
| Brown-Forman Corp. — Class B | | | 6,241 | | | | 407,225 | |
| Estee Lauder Companies, | | | | | | | | |
| Inc. — Class A | | | 6,454 | | | | 397,373 | |
| Kellogg Co. | | | 6,880 | | | | 355,421 | |
| Total Consumer Staples | | | | | | | 6,017,084 | |
| Materials - 6.2% | | | | | | | | |
| Newmont Mining Corp. | | | 15,955 | | | | 893,640 | |
| CF Industries Holdings, Inc. | | | 2,990 | | | | 664,498 | |
| FMC Corp. | | | 11,538 | | | | 638,974 | |
| PPG Industries, Inc. | | | 5,000 | | | | 574,200 | |
| International Flavors & Fragrances, Inc. | | | 9,275 | | | | 552,605 | |
| Sigma-Aldrich Corp. | | | 7,154 | | | | 514,873 | |
| Ecolab, Inc. | | | 7,920 | | | | 513,295 | |
| Praxair, Inc. | | | 3,580 | | | | 371,890 | |
| Cliffs Natural Resources, Inc. | | | 9,280 | | | | 363,126 | |
| Monsanto Co. | | | 3,900 | | | | 354,978 | |
| Total Materials | | | | | | | 5,442,079 | |
| Financials - 4.9% | | | | | | | | |
| IntercontinentalExchange, Inc.* | | | 7,184 | | | | 958,417 | |
| American Tower Corp. — Class A | | | 11,261 | | | | 803,923 | |
| Franklin Resources, Inc. | | | 5,250 | | | | 656,617 | |
| Aflac, Inc. | | | 13,310 | | | | 637,283 | |
| BlackRock, Inc. — Class A | | | 2,850 | | | | 508,155 | |
| T. Rowe Price Group, Inc. | | | 5,720 | | | | 362,076 | |
| Ventas, Inc. | | | 5,366 | | | | 334,034 | |
| Total Financials | | | | | | | 4,260,505 | |
| Energy - 4.5% | | | | | | | | |
| Southwestern Energy Co.* | | | 18,028 | | | | 627,013 | |
| Diamond Offshore Drilling, Inc. | | | 9,049 | | | | 595,515 | |
| EOG Resources, Inc. | | | 4,870 | | | | 545,684 | |
| Cameron International Corp.* | | | 7,931 | | | | 444,691 | |
| Pioneer Natural Resources Co. | | | 4,138 | | | | 432,007 | |
| Helmerich & Payne, Inc. | | | 7,400 | | | | 352,314 | |
| Peabody Energy Corp. | | | 15,193 | | | | 338,652 | |
| Cabot Oil & Gas Corp. | | | 7,250 | | | | 325,525 | |
| Schlumberger Ltd. | | | 4,350 | | | | 314,636 | |
| Total Energy | | | | | | | 3,976,037 | |
| Telecommunication Services - 1.1% | | | | | | | | |
| Crown Castle International Corp.* | | | 15,130 | | | | 969,833 | |
| Total Common Stocks | | | | | | | | |
| (Cost $69,867,360) | | | | | | | 87,931,371 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 138,652 | | | | 138,652 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 79,775 | | | | 79,775 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 45,510 | | | | 45,510 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $263,937) | | | | | | | 263,937 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.1% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 62,924 | | | | 62,924 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 61,926 | | | | 61,926 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $124,850) | | | | | | | 124,850 | |
| Total Investments - 100.6% | | | | | | | | |
| (Cost $70,256,147) | | | | | | $ | 88,320,158 | |
| Other Assets & Liabilities, net - (0.6)% | | | | | | | (563,649 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 87,756,509 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| 124 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $119,768 of securities loaned | | | | |
| (cost $69,992,210) | | $ | 88,056,221 | |
| Repurchase agreements, | | | | |
| at value (cost $263,937) | | | 263,937 | |
| Total investments | | | | |
| (cost $70,256,147) | | | 88,320,158 | |
| Receivables: | | | | |
| Fund shares sold | | | 105,855 | |
| Dividends | | | 69,629 | |
| Interest | | | 432 | |
| Total assets | | | 88,496,074 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 478,130 | |
| Payable upon return of securities loaned | | | 124,850 | |
| Management fees | | | 49,763 | |
| Distribution and service fees | | | 22,373 | |
| Transfer agent and administrative fees | | | 16,588 | |
| Portfolio accounting fees | | | 6,635 | |
| Miscellaneous | | | 41,226 | |
| Total liabilities | | | 739,565 | |
| Net assets | | $ | 87,756,509 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 84,288,367 | |
| Accumulated net investment loss | | | (322,827 | ) |
| Accumulated net realized loss on investments | | | (14,273,042 | ) |
| Net unrealized appreciation on investments | | | 18,064,011 | |
| Net assets | | $ | 87,756,509 | |
| A-Class: | | | | |
| Net assets | | $ | 8,255,134 | |
| Capital shares outstanding | | | 240,050 | |
| Net asset value per share | | $ | 34.39 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 36.10 | |
| C-Class: | | | | |
| Net assets | | $ | 10,056,968 | |
| Capital shares outstanding | | | 312,165 | |
| Net asset value per share | | $ | 32.22 | |
| H-Class: | | | | |
| Net assets | | $ | 69,444,407 | |
| Capital shares outstanding | | | 2,020,215 | |
| Net asset value per share | | $ | 34.37 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 | | | | |
| | | | | |
| Investment Income: | | | | |
| Dividends | | $ | 446,866 | |
| Income from securities lending, net | | | 428 | |
| Interest | | | 332 | |
| Total investment income | | | 447,626 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 326,666 | |
| Transfer agent and administrative fees | | | 108,889 | |
| Distribution and service fees: | | | | |
| A-Class | | | 7,807 | |
| C-Class | | | 51,894 | |
| H-Class | | | 88,108 | |
| Portfolio accounting fees | | | 43,555 | |
| Custodian fees | | | 7,611 | |
| Trustees’ fees* | | | 3,810 | |
| Miscellaneous | | | 49,407 | |
| Total expenses | | | 687,747 | |
| Net investment loss | | | (240,121 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (4,154,150 | ) |
| Net realized loss | | | (4,154,150 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 5,614,047 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 5,614,047 | |
| Net realized and unrealized gain | | | 1,459,897 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 1,219,776 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
| S&P 500 PURE growth FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (240,121 | ) | | $ | (379,329 | ) |
| Net realized loss on investments | | | (4,154,150 | ) | | | (3,533,260 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 5,614,047 | | | | 151,421 | |
| Net increase (decrease) in net assets resulting from operations | | | 1,219,776 | | | | (3,761,168 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | — | | | | (25,990 | ) |
| C-Class | | | — | | | | (71,516 | ) |
| H-Class | | | — | | | | (538,834 | ) |
| Total distributions to shareholders | | | — | | | | (636,340 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 17,895,763 | | | | 29,481,857 | |
| C-Class | | | 3,561,036 | | | | 8,753,921 | |
| H-Class | | | 265,623,156 | | | | 317,543,098 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | – | | | | 24,625 | |
| C-Class | | | – | | | | 69,727 | |
| H-Class | | | – | | | | 519,152 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (12,301,680 | ) | | | (28,735,214 | ) |
| C-Class | | | (4,950,098 | ) | | | (6,108,124 | ) |
| H-Class | | | (234,387,264 | ) | | | (315,975,426 | ) |
| Net increase from capital share transactions | | | 35,440,913 | | | | 5,573,616 | |
| Net increase in net assets | | | 36,660,689 | | | | 1,176,108 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 51,095,820 | | | | 49,919,712 | |
| End of period | | $ | 87,756,509 | | | $ | 51,095,820 | |
| Accumulated net investment loss at end of period | | $ | (322,827 | ) | | $ | (82,706 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 535,044 | | | | 902,644 | |
| C-Class | | | 114,556 | | | | 293,533 | |
| H-Class | | | 8,099,904 | | | | 9,949,737 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 794 | |
| C-Class | | | — | | | | 2,385 | |
| H-Class | | | — | | | | 16,752 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (377,377 | ) | | | (902,622 | ) |
| C-Class | | | (160,285 | ) | | | (204,848 | ) |
| H-Class | | | (7,140,658 | ) | | | (10,077,462 | ) |
| Net increase (decrease) in shares | | | 1,071,184 | | | | (19,087 | ) |
| 126 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.54 | | | $ | 33.15 | | | $ | 26.51 | | | $ | 15.82 | | | $ | 25.11 | | | $ | 27.17 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.07 | ) | | | (.20 | ) | | | (.18 | ) | | | (.18 | ) | | | (.11 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.08 | ) | | | 1.82 | | | | 6.82 | | | | 10.87 | | | | (9.18 | ) | | | (1.52 | ) |
| Total from investment operations | | | (.15 | ) | | | 1.62 | | | | 6.64 | | | | 10.69 | | | | (9.29 | ) | | | (1.67 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 34.39 | | | $ | 34.54 | | | $ | 33.15 | | | $ | 26.51 | | | $ | 15.82 | | | $ | 25.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.43 | %) | | | 4.96 | % | | | 25.05 | % | | | 67.57 | % | | | (37.00 | %) | | | (6.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,255 | | | $ | 2,846 | | | $ | 2,704 | | | $ | 1,774 | | | $ | 2,346 | | | $ | 5,443 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.45 | %) | | | (0.62 | %) | | | (0.65 | %) | | | (0.81 | %) | | | (0.46 | %) | | | (0.53 | %) |
| Total expenses | | | 1.49 | % | | | 1.52 | % | | | 1.53 | % | | | 1.52 | % | | | 1.53 | % | | | 1.51 | % |
| Portfolio turnover rate | | | 230 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % | | | 450 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.48 | | | $ | 31.42 | | | $ | 25.32 | | | $ | 15.23 | | | $ | 24.35 | | | $ | 26.57 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.19 | ) | | | (.41 | ) | | | (.41 | ) | | | (.30 | ) | | | (.23 | ) | | | (.32 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.07 | ) | | | 1.70 | | | | 6.51 | | | | 10.39 | | | | (8.89 | ) | | | (1.51 | ) |
| Total from investment operations | | | (.26 | ) | | | 1.29 | | | | 6.10 | | | | 10.09 | | | | (9.12 | ) | | | (1.83 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 32.22 | | | $ | 32.48 | | | $ | 31.42 | | | $ | 25.32 | | | $ | 15.23 | | | $ | 24.35 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.77 | %) | | | 4.15 | % | | | 24.09 | % | | | 66.25 | % | | | (37.45 | %) | | | (7.02 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,057 | | | $ | 11,623 | | | $ | 8,384 | | | $ | 6,494 | | | $ | 2,111 | | | $ | 4,453 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.22 | %) | | | (1.35 | %) | | | (1.53 | %) | | | (1.40 | %) | | | (1.13 | %) | | | (1.21 | %) |
| Total expenses | | | 2.24 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 230 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % | | | 450 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
| S&P 500 PURE growth FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.52 | | | $ | 33.13 | | | $ | 26.50 | | | $ | 15.81 | | | $ | 25.10 | | | $ | 27.16 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.08 | ) | | | (.19 | ) | | | (.26 | ) | | | (.14 | ) | | | (.09 | ) | | | (.17 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.07 | ) | | | 1.81 | | | | 6.89 | | | | 10.83 | | | | (9.20 | ) | | | (1.50 | ) |
| Total from investment operations | | | (.15 | ) | | | 1.62 | | | | 6.63 | | | | 10.69 | | | | (9.29 | ) | | | (1.67 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 34.37 | | | $ | 34.52 | | | $ | 33.13 | | | $ | 26.50 | | | $ | 15.81 | | | $ | 25.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.43 | %) | | | 4.96 | % | | | 25.02 | % | | | 67.62 | % | | | (37.01 | %) | | | (6.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 69,444 | | | $ | 36,627 | | | $ | 38,831 | | | $ | 15,874 | | | $ | 12,512 | | | $ | 11,937 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.46 | %) | | | (0.59 | %) | | | (0.89 | %) | | | (0.60 | %) | | | (0.41 | %) | | | (0.62 | %) |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.55 | % | | | 1.53 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 230 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % | | | 450 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 128 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P 500 PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| American International Group, Inc. | | | 2.9 | % |
| Whirlpool Corp. | | | 2.8 | % |
| Computer Sciences Corp. | | | 2.7 | % |
| Valero Energy Corp. | | | 2.3 | % |
| Tesoro Corp. | | | 2.1 | % |
| Hartford Financial Services Group, Inc. | | | 1.9 | % |
| Dean Foods Co. | | | 1.9 | % |
| Marathon Petroleum Corp. | | | 1.8 | % |
| Sprint Nextel Corp. | | | 1.8 | % |
| Tenet Healthcare Corp. | | | 1.8 | % |
| Top Ten Total | | | 22.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P 500 PURE value FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 100.6% | | | | | | | | |
| | | | | | | | | |
| Financials - 38.4% | | | | | | | | |
| American International Group, Inc.* | | | 69,802 | | �� | $ | 2,288,807 | |
| Hartford Financial Services Group, Inc. | | | 77,917 | | | | 1,514,706 | |
| Bank of America Corp. | | | 149,410 | | | | 1,319,291 | |
| Lincoln National Corp. | | | 54,440 | | | | 1,316,903 | |
| Allstate Corp. | | | 33,093 | | | | 1,310,813 | |
| Hudson City Bancorp, Inc. | | | 161,364 | | | | 1,284,457 | |
| Citigroup, Inc. | | | 35,628 | | | | 1,165,748 | |
| Morgan Stanley | | | 68,206 | | | | 1,141,768 | |
| MetLife, Inc. | | | 32,146 | | | | 1,107,751 | |
| SunTrust Banks, Inc. | | | 36,350 | | | | 1,027,614 | |
| Genworth Financial, Inc. — Class A* | | | 193,729 | | | | 1,013,203 | |
| Prudential Financial, Inc. | | | 17,012 | | | | 927,324 | |
| XL Group plc — Class A | | | 37,990 | | | | 912,900 | |
| JPMorgan Chase & Co. | | | 21,779 | | | | 881,614 | |
| Capital One Financial Corp. | | | 14,777 | | | | 842,437 | |
| Goldman Sachs Group, Inc. | | | 7,250 | | | | 824,180 | |
| Regions Financial Corp. | | | 100,747 | | | | 726,386 | |
| Assurant, Inc. | | | 18,935 | | | | 706,276 | |
| Bank of New York Mellon Corp. | | | 30,500 | | | | 689,910 | |
| Principal Financial Group, Inc. | | | 25,400 | | | | 684,276 | |
| Unum Group | | | 34,717 | | | | 667,261 | |
| E*TRADE Financial Corp.* | | | 74,162 | | | | 653,367 | |
| KeyCorp | | | 71,900 | | | | 628,406 | |
| Legg Mason, Inc. | | | 21,578 | | | | 532,545 | |
| Loews Corp. | | | 12,880 | | | | 531,429 | |
| Cincinnati Financial Corp. | | | 13,286 | | | | 503,407 | |
| Ameriprise Financial, Inc. | | | 8,030 | | | | 455,221 | |
| ACE Ltd. | | | 5,920 | | | | 447,552 | |
| Comerica, Inc. | | | 14,410 | | | | 447,430 | |
| PNC Financial Services Group, Inc. | | | 6,873 | | | | 433,686 | |
| Leucadia National Corp. | | | 18,670 | | | | 424,743 | |
| Fifth Third Bancorp | | | 26,715 | | | | 414,350 | |
| BB&T Corp. | | | 11,736 | | | | 389,166 | |
| Huntington Bancshares, Inc. | | | 52,090 | | | | 359,421 | |
| Wells Fargo & Co. | | | 10,350 | | | | 357,386 | |
| CME Group, Inc. — Class A | | | 5,520 | | | | 316,296 | |
| First Horizon National Corp. | | | 32,070 | | | | 308,834 | |
| Torchmark Corp. | | | 5,902 | | | | 303,068 | |
| SLM Corp. | | | 18,346 | | | | 288,399 | |
| NASDAQ OMX Group, Inc. | | | 12,372 | | | | 288,206 | |
| NYSE Euronext | | | 9,369 | | | | 230,946 | |
| Total Financials | | | | | | | 30,667,483 | |
| Energy - 12.3% | | | | | | | | |
| Valero Energy Corp. | | | 57,911 | | | | 1,834,621 | |
| Tesoro Corp. | | | 39,886 | | | | 1,671,224 | |
| Marathon Petroleum Corp. | | | 26,438 | | | | 1,443,250 | |
| Marathon Oil Corp. | | | 44,716 | | | | 1,322,252 | |
| Sunoco, Inc.1 | | | 27,515 | | | | 1,288,527 | |
| Murphy Oil Corp. | | | 10,430 | | | | 559,987 | |
| Hess Corp. | | | 9,815 | | | | 527,262 | |
| ConocoPhillips | | | 8,566 | | | | 489,804 | |
| Phillips 66 | | | 8,233 | | | | 381,764 | |
| Nabors Industries Ltd.* | | | 13,308 | | | | 186,711 | |
| Alpha Natural Resources, Inc.* | | | 14,167 | | | | 93,077 | |
| Total Energy | | | | | | | 9,798,479 | |
| Consumer Discretionary - 9.3% | | | | | | | | |
| Whirlpool Corp. | | | 27,169 | | | | 2,252,581 | |
| Gannett Company, Inc. | | | 51,526 | | | | 914,586 | |
| GameStop Corp. — Class A1 | | | 36,975 | | | | 776,475 | |
| Best Buy Company, Inc. | | | 36,550 | | | | 628,295 | |
| Washington Post Co. — Class B | | | 1,636 | | | | 593,917 | |
| Ford Motor Co. | | | 57,880 | | | | 570,697 | |
| Staples, Inc. | | | 40,380 | | | | 465,178 | |
| JC Penney Company, Inc. | | | 15,821 | | | | 384,292 | |
| AutoNation, Inc.* | | | 7,205 | | | | 314,642 | |
| Johnson Controls, Inc. | | | 10,990 | | | | 301,126 | |
| Goodyear Tire & Rubber Co.* | | | 20,282 | | | | 247,238 | |
| Total Consumer Discretionary | | | | | | | 7,449,027 | |
| Information Technology - 8.6% | | | | | | | | |
| Computer Sciences Corp. | | | 66,840 | | | | 2,152,916 | |
| Jabil Circuit, Inc. | | | 41,202 | | | | 771,301 | |
| Micron Technology, Inc.* | | | 113,980 | | | | 682,170 | |
| SAIC, Inc. | | | 50,090 | | | | 603,084 | |
| Western Digital Corp. | | | 15,440 | | | | 597,991 | |
| Xerox Corp. | | | 78,726 | | | | 577,849 | |
| Harris Corp. | | | 9,272 | | | | 474,912 | |
| Hewlett-Packard Co. | | | 21,490 | | | | 366,619 | |
| Corning, Inc. | | | 20,670 | | | | 271,811 | |
| Lexmark International, Inc. — Class A | | | 11,430 | | | | 254,318 | |
| Dell, Inc. | | | 15,514 | | | | 152,968 | |
| Total Information Technology | | | | | | | 6,905,939 | |
| Consumer Staples - 8.4% | | | | | | | | |
| Dean Foods Co.* | | | 90,573 | | | | 1,480,869 | |
| Archer-Daniels-Midland Co. | | | 40,490 | | | | 1,100,518 | |
| Tyson Foods, Inc. — Class A | | | 53,103 | | | | 850,710 | |
| Kroger Co. | | | 32,560 | | | | 766,462 | |
| Safeway, Inc.1 | | | 46,978 | | | | 755,876 | |
| CVS Caremark Corp. | | | 11,133 | | | | 539,060 | |
| Walgreen Co. | | | 14,094 | | | | 513,585 | |
| Molson Coors Brewing Co. — Class B | | | 7,658 | | | | 344,993 | |
| Sysco Corp. | | | 10,402 | | | | 325,271 | |
| Total Consumer Staples | | | | | | | 6,677,344 | |
| Health Care - 6.9% | | | | | | | | |
| Tenet Healthcare Corp.* | | | 227,290 | | | | 1,425,108 | |
| Coventry Health Care, Inc. | | | 24,274 | | | | 1,011,983 | |
| McKesson Corp. | | | 8,773 | | | | 754,741 | |
| AmerisourceBergen Corp. — Class A | | | 19,400 | | | | 750,974 | |
| Cardinal Health, Inc. | | | 18,110 | | | | 705,747 | |
| Cigna Corp. | | | 10,080 | | | | 475,474 | |
| PerkinElmer, Inc. | | | 12,470 | | | | 367,491 | |
| Total Health Care | | | | | | | 5,491,518 | |
| Industrials - 6.2% | | | | | | | | |
| L-3 Communications Holdings, Inc. | | | 11,818 | | | | 847,469 | |
| Northrop Grumman Corp. | | | 12,027 | | | | 798,954 | |
| 130 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P 500 PURE value FUND |
| | | Shares | | | Value | |
| Avery Dennison Corp. | | | 22,160 | | | $ | 705,131 | |
| Southwest Airlines Co. | | | 76,520 | | | | 671,080 | |
| RR Donnelley & Sons Co.1 | | | 55,756 | | | | 591,014 | |
| Ingersoll-Rand plc | | | 9,410 | | | | 421,756 | |
| Jacobs Engineering Group, Inc.* | | | 9,625 | | | | 389,139 | |
| Textron, Inc. | | | 12,800 | | | | 334,976 | |
| Ryder System, Inc. | | | 5,273 | | | | 205,963 | |
| Total Industrials | | | | | | | 4,965,482 | |
| Materials - 4.2% | | | | | | | | |
| Alcoa, Inc. | | | 77,161 | | | | 682,875 | |
| International Paper Co. | | | 12,480 | | | | 453,274 | |
| Sealed Air Corp. | | | 28,256 | | | | 436,838 | |
| United States Steel Corp.1 | | | 22,091 | | | | 421,275 | |
| Weyerhaeuser Co. | | | 15,322 | | | | 400,517 | |
| Owens-Illinois, Inc.* | | | 21,300 | | | | 399,588 | |
| Dow Chemical Co. | | | 10,599 | | | | 306,947 | |
| Bemis Company, Inc. | | | 8,769 | | | | 275,960 | |
| Total Materials | | | | | | | 3,377,274 | |
| Utilities - 3.2% | | | | | | | | |
| NRG Energy, Inc. | | | 55,510 | | | | 1,187,359 | |
| Edison International | | | 9,070 | | | | 414,408 | |
| Pepco Holdings, Inc. | | | 21,362 | | | | 403,742 | |
| Integrys Energy Group, Inc. | | | 5,317 | | | | 277,548 | |
| DTE Energy Co. | | | 4,576 | | | | 274,285 | |
| Total Utilities | | | | | | | 2,557,342 | |
| Telecommunication Services - 3.1% | | | | | | | | |
| Sprint Nextel Corp.* | | | 258,985 | | | | 1,429,597 | |
| MetroPCS Communications, Inc.* | | | 45,730 | | | | 535,498 | |
| CenturyLink, Inc. | | | 6,600 | | | | 266,640 | |
| Frontier Communications Corp.1 | | | 50,401 | | | | 246,965 | |
| Total Telecommunication Services | | | | | | | 2,478,700 | |
| Total Common Stocks | | | | | | | | |
| (Cost $75,140,492) | | | | | | | 80,368,588 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.6% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 246,142 | | | | 246,142 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 141,621 | | | | 141,621 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 80,791 | | | | 80,791 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $468,554) | | | | | | | 468,554 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 2.5% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 987,095 | | | | 987,095 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 971,430 | | | | 971,430 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,958,525) | | | | | | | 1,958,525 | |
| Total Investments - 103.7% | | | | | | | | |
| (Cost $77,567,571) | | | | | | $ | 82,795,667 | |
| Other Assets & Liabilities, net - (3.7)% | | | | | | | (2,958,213 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 79,837,454 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11.
plc — Public Limited Company |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
| S&P 500 PURE value FUND |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $1,907,437 of securities loaned | | | | |
| (cost $77,099,017) | | $ | 82,327,113 | |
| Repurchase agreements, at value | | | | |
| (cost $468,554) | | | 468,554 | |
| Total investments | | | | |
| (cost $77,567,571) | | | 82,795,667 | |
| Cash | | | 1,041 | |
| Receivables: | | | | |
| Fund shares sold | | | 264,956 | |
| Dividends | | | 91,473 | |
| Interest | | | 205 | |
| Total assets | | | 83,153,342 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 1,958,525 | |
| Fund shares redeemed | | | 1,277,923 | |
| Management fees | | | 34,850 | |
| Distribution and service fees | | | 12,451 | |
| Transfer agent and administrative fees | | | 11,617 | |
| Portfolio accounting fees | | | 4,646 | |
| Miscellaneous | | | 15,876 | |
| Total liabilities | | | 3,315,888 | |
| Net assets | | $ | 79,837,454 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 82,403,709 | |
| Undistributed net investment income | | | 178,859 | |
| Accumulated net realized loss on investments | | | (7,973,210 | ) |
| Net unrealized appreciation on investments | | | 5,228,096 | |
| Net assets | | $ | 79,837,454 | |
| A-Class: | | | | |
| Net assets | | $ | 1,095,109 | |
| Capital shares outstanding | | | 11,919 | |
| Net asset value per share | | $ | 91.88 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 96.46 | |
| C-Class: | | | | |
| Net assets | | $ | 1,376,526 | |
| Capital shares outstanding | | | 16,268 | |
| Net asset value per share | | $ | 84.61 | |
| H-Class: | | | | |
| Net assets | | $ | 77,365,819 | |
| Capital shares outstanding | | | 839,208 | |
| Net asset value per share | | $ | 92.19 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 323,996 | |
| Income from securities lending, net | | | 199 | |
| Interest | | | 79 | |
| Total investment income | | | 324,274 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 111,598 | |
| Transfer agent and administrative fees | | | 37,199 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,377 | |
| C-Class | | | 7,209 | |
| H-Class | | | 34,020 | |
| Portfolio accounting fees | | | 14,880 | |
| Custodian fees | | | 2,856 | |
| Trustees’ fees* | | | 1,826 | |
| Miscellaneous | | | 16,184 | |
| Total expenses | | | 227,149 | |
| Net investment income | | | 97,125 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (2,051,700 | ) |
| Net realized loss | | | (2,051,700 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 2,128,898 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 2,128,898 | |
| Net realized and unrealized gain | | | 77,198 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 174,323 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 132 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| S&P 500 PURE value FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 97,125 | | | $ | 81,734 | |
| Net realized gain (loss) on investments | | | (2,051,700 | ) | | | 238,143 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,128,898 | | | | (2,958,416 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 174,323 | | | | (2,638,539 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 227,530 | | | | 9,200,693 | |
| C-Class | | | 602,571 | | | | 4,609,920 | |
| H-Class | | | 110,414,907 | | | | 315,392,630 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (912,716 | ) | | | (9,753,404 | ) |
| C-Class | | | (1,253,213 | ) | | | (7,654,634 | ) |
| H-Class | | | (102,276,314 | ) | | | (271,168,176 | ) |
| Net increase from capital share transactions | | | 6,802,765 | | | | 40,627,029 | |
| Net increase in net assets | | | 6,977,088 | | | | 37,988,490 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 72,860,366 | | | | 34,871,876 | |
| End of period | | $ | 79,837,454 | | | $ | 72,860,366 | |
| Undistributed net investment income at end of period | | $ | 178,859 | | | $ | 81,734 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,595 | | | | 99,586 | |
| C-Class | | | 7,453 | | | | 56,030 | |
| H-Class | | | 1,238,130 | | | | 3,557,929 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (10,424 | ) | | | (105,660 | ) |
| C-Class | | | (15,813 | ) | | | (99,149 | ) |
| H-Class | | | (1,133,282 | ) | | | (3,120,293 | ) |
| Net increase in shares | | | 88,659 | | | | 388,443 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
| S&P 500 PURE value FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 93.49 | | | $ | 90.21 | | | $ | 79.66 | | | $ | 35.58 | | | $ | 100.00 | | | $ | 167.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .17 | | | | .30 | | | | .01 | | | | .26 | | | | 1.95 | | | | 2.45 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.78 | ) | | | 2.98 | | | | 11.87 | | | | 44.60 | | | | (57.52 | ) | | | (30.50 | |
| Total from investment operations | | | (1.61 | ) | | | 3.28 | | | | 11.88 | | | | 44.86 | | | | (55.57 | ) | | | (28.05 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) | | | (9.95 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) | | | (29.30 | ) |
| Total distributions | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) | | | (39.25 | ) |
| Net asset value, end of period | | $ | 91.88 | | | $ | 93.49 | | | $ | 90.21 | | | $ | 79.66 | | | $ | 35.58 | | | $ | 100.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (1.72 | %) | | | 3.64 | % | | | 15.14 | % | | | 126.37 | % | | | (57.28 | %) | | | (19.98 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,095 | | | $ | 1,846 | | | $ | 2,329 | | | $ | 8,156 | | | $ | 203 | | | $ | 4,269 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.40 | % | | | 0.34 | % | | | 0.01 | % | | | 0.39 | % | | | 2.16 | % | | | 1.67 | % |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.54 | % | | | 1.52 | % | | | 1.53 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 239 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % | | | 289 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 86.42 | | | $ | 83.99 | | | $ | 74.81 | | | $ | 33.66 | | | $ | 96.00 | | | $ | 163.40 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.12 | ) | | | (.36 | ) | | | (.51 | ) | | | (.02 | ) | | | 1.40 | | | | .70 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.69 | ) | | | 2.79 | | | | 11.02 | | | | 41.95 | | | | (54.89 | ) | | | (28.85 | ) |
| Total from investment operations | | | (1.81 | ) | | | 2.43 | | | | 10.51 | | | | 41.93 | | | | (53.49 | ) | | | (28.15 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) | | | (9.95 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) | | | (29.30 | ) |
| Total distributions | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) | | | (39.25 | ) |
| Net asset value, end of period | | $ | 84.61 | | | $ | 86.42 | | | $ | 83.99 | | | $ | 74.81 | | | $ | 33.66 | | | $ | 96.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.08 | %) | | | 2.88 | % | | | 14.28 | % | | | 124.86 | % | | | (57.55 | %) | | | (20.57 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,377 | | | $ | 2,128 | | | $ | 5,690 | | | $ | 4,876 | | | $ | 1,129 | | | $ | 1,838 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.31 | %) | | | (0.45 | %) | | | (0.68 | %) | | | (0.03 | %) | | | 2.44 | % | | | 0.48 | % |
| Total expenses | | | 2.24 | % | | | 2.27 | % | | | 2.29 | % | | | 2.27 | % | | | 2.29 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 239 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % | | | 289 | % |
| 134 | the RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 93.80 | | | $ | 90.50 | | | $ | 79.91 | | | $ | 35.67 | | | $ | 100.00 | | | $ | 167.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .32 | | | | .33 | | | | (.02 | ) | | | .32 | | | | 1.40 | | | | 1.80 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.93 | ) | | | 2.97 | | | | 11.94 | | | | 44.70 | | | | (56.88 | ) | | | (29.85 | ) |
| Total from investment operations | | | (1.61 | ) | | | 3.30 | | | | 11.92 | | | | 45.02 | | | | (55.48 | ) | | | (28.05 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) | | | (9.95 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) | | | (29.30 | ) |
| Total distributions | | | — | | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) | | | (39.25 | ) |
| Net asset value, end of period | | $ | 92.19 | | | $ | 93.80 | | | $ | 90.50 | | | $ | 79.91 | | | $ | 35.67 | | | $ | 100.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (1.72 | %) | | | 3.65 | % | | | 15.14 | % | | | 126.50 | % | | | (57.23 | %) | | | (19.98 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 77,366 | | | $ | 68,886 | | | $ | 26,852 | | | $ | 148,578 | | | $ | 4,558 | | | $ | 18,459 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.71 | % | | | 0.38 | % | | | (0.03 | %) | | | 0.47 | % | | | 2.36 | % | | | 1.11 | % |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.54 | % | | | 1.54 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 239 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % | | | 289 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Reverse share split — Per share amounts for the period March 31, 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 FUNDS SEMI-ANNUAL REPORT | 135 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P MIDCAP 400 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| A-Class | | | September 1, 2004 |
| C-Class | | | February 20, 2004 |
| H-Class | | | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | | |
| Regeneron Pharmaceuticals, Inc. | | | 4.1 | % |
| Equinix, Inc. | | | 2.9 | % |
| AMERIGROUP Corp. | | | 2.5 | % |
| Royal Gold, Inc. | | | 2.3 | % |
| Alliance Data Systems Corp. | | | 2.0 | % |
| Under Armour, Inc. — Class A | | | 1.9 | % |
| Rackspace Hosting, Inc. | | | 1.8 | % |
| United Therapeutics Corp. | | | 1.7 | % |
| NewMarket Corp. | | | 1.7 | % |
| Tractor Supply Co. | | | 1.6 | % |
| Top Ten Total | | | 22.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 136 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P MIDcap 400 PURE growth FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.6% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 23.8% | | | | | | | | |
| Equinix, Inc.* | | | 39,280 | | | $ | 8,093,644 | |
| Alliance Data Systems Corp.* | | | 39,439 | | | | 5,598,366 | |
| Rackspace Hosting, Inc.* | | | 77,035 | | | | 5,091,243 | |
| Wright Express Corp.* | | | 55,969 | | | | 3,902,159 | |
| SolarWinds, Inc.* | | | 66,200 | | | | 3,689,989 | |
| Concur Technologies, Inc.* | | | 45,215 | | | | 3,333,703 | |
| ANSYS, Inc.* | | | 44,338 | | | | 3,254,409 | |
| Silicon Laboratories, Inc.* | | | 81,066 | | | | 2,979,986 | |
| FactSet Research Systems, Inc.1 | | | 30,484 | | | | 2,939,267 | |
| Global Payments, Inc. | | | 64,935 | | | | 2,716,231 | |
| Informatica Corp.* | | | 77,056 | | | | 2,682,319 | |
| Semtech Corp.* | | | 85,180 | | | | 2,142,277 | |
| Solera Holdings, Inc. | | | 48,425 | | | | 2,124,405 | |
| Riverbed Technology, Inc.* | | | 77,575 | | | | 1,805,170 | |
| VeriFone Systems, Inc.* | | | 64,205 | | | | 1,788,109 | |
| ACI Worldwide, Inc.* | | | 41,859 | | | | 1,768,961 | |
| Jack Henry & Associates, Inc. | | | 45,109 | | | | 1,709,631 | |
| Zebra Technologies Corp. — | | | | | | | | |
| Class A* | | | 45,005 | | | | 1,689,488 | |
| MICROS Systems, Inc.* | | | 32,957 | | | | 1,618,848 | |
| Rovi Corp.* | | | 99,466 | | | | 1,443,252 | |
| Gartner, Inc.* | | | 31,248 | | | | 1,440,220 | |
| NeuStar, Inc. — Class A* | | | 35,756 | | | | 1,431,313 | |
| Trimble Navigation Ltd.* | | | 23,087 | | | | 1,100,326 | |
| ADTRAN, Inc.1 | | | 54,647 | | | | 944,300 | |
| Advent Software, Inc.* | | | 38,433 | | | | 944,299 | |
| Total Information Technology | | | | | | | 66,231,915 | |
| Health Care - 22.2% | | | | | | | | |
| Regeneron Pharmaceuticals, Inc.* | | | 74,407 | | | | 11,358,972 | |
| AMERIGROUP Corp.* | | | 74,700 | | | | 6,829,821 | |
| United Therapeutics Corp.* | | | 85,692 | | | | 4,788,469 | |
| MEDNAX, Inc.* | | | 59,315 | | | | 4,416,002 | |
| IDEXX Laboratories, Inc.* | | | 35,998 | | | | 3,576,402 | |
| Bio-Rad Laboratories, Inc. — | | | | | | | | |
| Class A* | | | 31,674 | | | | 3,380,248 | |
| Henry Schein, Inc.* | | | 40,700 | | | | 3,226,289 | |
| Cooper Companies, Inc. | | | 33,369 | | | | 3,152,036 | |
| ResMed, Inc. | | | 73,358 | | | | 2,968,798 | |
| Medicis Pharmaceutical Corp. — | | | | | | | | |
| Class A | | | 63,817 | | | | 2,761,362 | |
| Mettler-Toledo International, Inc.* | | | 15,753 | | | | 2,689,667 | |
| Endo Health Solutions, Inc.* | | | 80,617 | | | | 2,557,171 | |
| HMS Holdings Corp.* | | | 75,800 | | | | 2,533,994 | |
| Techne Corp. | | | 34,171 | | | | 2,458,262 | |
| Thoratec Corp.* | | | 70,825 | | | | 2,450,545 | |
| Covance, Inc.* | | | 36,071 | | | | 1,684,155 | |
| Allscripts Healthcare Solutions, Inc.* | | | 82,960 | | | | 1,031,193 | |
| Total Health Care | | | | | | | 61,863,386 | |
| Consumer Discretionary - 19.2% | | | | | | | | |
| Under Armour, Inc. — Class A* | | | 95,620 | | | | 5,338,464 | |
| Tractor Supply Co. | | | 45,744 | | | | 4,523,624 | |
| PVH Corp. | | | 47,990 | | | | 4,497,623 | |
| Carter’s, Inc.* | | | 80,828 | | | | 4,351,780 | |
| Panera Bread Co. — Class A* | | | 25,160 | | | | 4,299,592 | |
| PetSmart, Inc. | | | 54,044 | | | | 3,727,955 | |
| Advance Auto Parts, Inc. | | | 51,299 | | | | 3,510,904 | |
| ITT Educational Services, Inc.*,1 | | | 96,127 | | | | 3,098,173 | |
| Polaris Industries, Inc. | | | 38,153 | | | | 3,085,433 | |
| LKQ Corp.* | | | 163,450 | | | | 3,023,825 | |
| Strayer Education, Inc.1 | | | 46,145 | | | | 2,969,431 | |
| Warnaco Group, Inc.* | | | 51,117 | | | | 2,652,972 | |
| Life Time Fitness, Inc.* | | | 48,833 | | | | 2,233,621 | |
| Tupperware Brands Corp. | | | 40,567 | | | | 2,173,986 | |
| Tempur-Pedic International, Inc.* | | | 62,479 | | | | 1,867,497 | |
| Deckers Outdoor Corp.*,1 | | | 40,965 | | | | 1,500,958 | |
| Gentex Corp. | | | 34,166 | | | | 581,164 | |
| Total Consumer Discretionary | | | | | | | 53,437,002 | |
| Industrials - 12.3% | | | | | | | | |
| Triumph Group, Inc. | | | 71,178 | | | | 4,450,760 | |
| Valmont Industries, Inc. | | | 30,103 | | | | 3,958,545 | |
| Watsco, Inc. | | | 46,052 | | | | 3,490,281 | |
| Alaska Air Group, Inc.* | | | 84,731 | | | | 2,970,669 | |
| Copart, Inc.* | | | 96,500 | | | | 2,675,945 | |
| Clean Harbors, Inc.* | | | 52,273 | | | | 2,553,536 | |
| Wabtec Corp. | | | 29,400 | | | | 2,360,526 | |
| MSC Industrial Direct Company, | | | | | | | | |
| Inc. — Class A | | | 31,200 | | | | 2,104,752 | |
| J.B. Hunt Transport Services, Inc. | | | 37,700 | | | | 1,961,908 | |
| AMETEK, Inc. | | | 53,125 | | | | 1,883,281 | |
| Donaldson Company, Inc. | | | 52,400 | | | | 1,818,804 | |
| Woodward, Inc. | | | 48,216 | | | | 1,638,380 | |
| FTI Consulting, Inc.* | | | 45,557 | | | | 1,215,461 | |
| Gardner Denver, Inc. | | | 18,389 | | | | 1,110,879 | |
| Total Industrials | | | | | | | 34,193,727 | |
| Materials - 8.5% | | | | | | | | |
| Royal Gold, Inc. | | | 64,700 | | | | 6,460,942 | |
| NewMarket Corp. | | | 19,287 | | | | 4,753,860 | |
| Rock-Tenn Co. — Class A | | | 55,634 | | | | 4,015,662 | |
| Compass Minerals International, Inc. | | | 36,620 | | | | 2,731,486 | |
| Aptargroup, Inc. | | | 40,300 | | | | 2,083,913 | |
| Albemarle Corp. | | | 34,984 | | | | 1,842,957 | |
| Intrepid Potash, Inc.* | | | 80,000 | | | | 1,718,400 | |
| Total Materials | | | | | | | 23,607,220 | |
| Energy - 6.6% | | | | | | | | |
| Dresser-Rand Group, Inc.* | | | 46,413 | | | | 2,557,821 | |
| Bill Barrett Corp.* | | | 87,121 | | | | 2,157,987 | |
| Dril-Quip, Inc.* | | | 29,020 | | | | 2,085,958 | |
| Rosetta Resources, Inc.* | | | 42,300 | | | | 2,026,170 | |
| Oil States International, Inc.* | | | 24,529 | | | | 1,949,074 | |
| Oceaneering International, Inc. | | | 34,085 | | | | 1,883,196 | |
| Cimarex Energy Co. | | | 31,902 | | | | 1,867,862 | |
| CARBO Ceramics, Inc.1 | | | 25,245 | | | | 1,588,415 | |
| Northern Oil and Gas, Inc.* | | | 77,546 | | | | 1,317,507 | |
| SM Energy Co. | | | 15,885 | | | | 859,537 | |
| Total Energy | | | | | | | 18,293,527 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P MIDcap 400 PURE growth FUND |
| | | Shares | | | Value | |
| Financials - 3.9% | | | | | | | | |
| Signature Bank* | | | 42,901 | | | $ | 2,877,799 | |
| Taubman Centers, Inc. | | | 24,520 | | | | 1,881,420 | |
| Federal Realty Investment Trust | | | 17,827 | | | | 1,877,183 | |
| MSCI, Inc. — Class A* | | | 49,489 | | | | 1,771,211 | |
| Home Properties, Inc. | | | 20,500 | | | | 1,256,035 | |
| Essex Property Trust, Inc. | | | 8,192 | | | | 1,214,382 | |
| Total Financials | | | | | | | 10,878,030 | |
| Consumer Staples - 3.1% | | | | | | | | |
| Lancaster Colony Corp. | | | 36,300 | | | | 2,658,974 | |
| Ingredion, Inc. | | | 46,454 | | | | 2,562,403 | |
| Green Mountain Coffee Roasters, Inc.*,1 | | | 72,432 | | | | 1,720,260 | |
| Church & Dwight Company, Inc. | | | 30,550 | | | | 1,649,395 | |
| Total Consumer Staples | | | | | | | 8,591,032 | |
| Total Common Stocks | | | | | | | | |
| (Cost $221,199,977) | | | | | | | 277,095,839 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 1,029,567 | | | | 1,029,567 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 592,371 | | | | 592,371 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 337,932 | | | | 337,932 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,959,870) | | | | | | | 1,959,870 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.6% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 2,216,382 | | | | 2,216,382 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 2,181,211 | | | | 2,181,211 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $4,397,593) | | | | | | | 4,397,593 | |
| Total Investments - 101.9% | | | | | | | | |
| (Cost $227,557,440) | | | | | | $ | 283,453,302 | |
| Other Assets & Liabilities, net - (1.9)% | | | | | | | (5,149,825 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 278,303,477 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| 138 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDcap 400 PURE growth FUND |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $4,201,247 of | | | | |
| securities loaned | | | | |
| (cost $225,597,570) | | $ | 281,493,432 | |
| Repurchase agreements, at value | | | | |
| (cost $1,959,870) | | | 1,959,870 | |
| Total investments | | | | |
| (cost $227,557,440) | | | 283,453,302 | |
| Receivables: | | | | |
| Fund shares sold | | | 196,755 | |
| Dividends | | | 78,048 | |
| Interest | | | 1,799 | |
| Total assets | | | 283,729,904 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 4,397,593 | |
| Fund shares redeemed | | | 621,068 | |
| Management fees | | | 162,215 | |
| Distribution and service fees | | | 62,677 | |
| Transfer agent and administrative fees | | | 54,072 | |
| Portfolio accounting fees | | | 20,832 | |
| Miscellaneous | | | 107,970 | |
| Total liabilities | | | 5,426,427 | |
| Net assets | | $ | 278,303,477 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 255,848,605 | |
| Accumulated net investment loss | | | (2,345,292 | ) |
| Accumulated net realized loss on investments | | | (31,095,698 | ) |
| Net unrealized appreciation on investments | | | 55,895,862 | |
| Net assets | | $ | 278,303,477 | |
| A-Class: | | | | |
| Net assets | | $ | 37,882,444 | |
| Capital shares outstanding | | | 863,016 | |
| Net asset value per share | | $ | 43.90 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 46.09 | |
| C-Class: | | | | |
| Net assets | | $ | 15,669,112 | |
| Capital shares outstanding | | | 381,497 | |
| Net asset value per share | | $ | 41.07 | |
| H-Class: | | | | |
| Net assets | | $ | 224,751,921 | |
| Capital shares outstanding | | | 5,116,126 | |
| Net asset value per share | | $ | 43.93 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 728,311 | |
| Income from securities lending, net | | | 1,772 | |
| Interest | | | 1,056 | |
| Total investment income | | | 731,139 | |
| Expenses: | | | | |
| Management fees | | | 1,077,541 | |
| Transfer agent and administrative fees | | | 359,180 | |
| Distribution and service fees: | | | | |
| A-Class | | | 46,770 | |
| C-Class | | | 73,831 | |
| H-Class | | | 293,953 | |
| Portfolio accounting fees | | | 138,515 | |
| Custodian fees | | | 26,084 | |
| Trustees’ fees* | | | 18,539 | |
| Miscellaneous | | | 152,695 | |
| Total expenses | | | 2,187,108 | |
| Net investment loss | | | (1,455,969 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 9,592,587 | |
| Net realized gain | | | 9,592,587 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (14,823,424 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (14,823,424 | ) |
| Net realized and unrealized loss | | | (5,230,837 | ) |
| Net decrease in net assets resulting from operations | | $ | (6,686,806 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
| S&P MIDcap 400 PURE growth FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (1,455,969 | ) | | $ | (3,059,001 | ) |
| Net realized gain (loss) on investments | | | 9,592,587 | | | | (31,284,272 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (14,823,424 | ) | | | 33,096,261 | |
| Net decrease in net assets resulting from operations | | | (6,686,806 | ) | | | (1,247,012 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 20,042,239 | | | | 97,480,590 | |
| C-Class | | | 4,112,139 | | | | 17,194,237 | |
| H-Class | | | 219,263,408 | | | | 771,690,633 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (17,984,477 | ) | | | (84,908,346 | ) |
| C-Class | | | (4,559,817 | ) | | | (11,282,635 | ) |
| H-Class | | | (300,672,898 | ) | | | (672,131,177 | ) |
| Net increase (decrease) from capital share transactions | | | (79,799,406 | ) | | | 118,043,302 | |
| Net increase (decrease) in net assets | | | (86,486,212 | ) | | | 116,796,290 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 364,789,689 | | | | 247,993,399 | |
| End of period | | $ | 278,303,477 | | | $ | 364,789,689 | |
| Accumulated net investment loss at end of period | | $ | (2,345,292 | ) | | $ | (889,323 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 471,941 | | | | 2,352,695 | |
| C-Class | | | 103,258 | | | | 436,239 | |
| H-Class | | | 5,176,684 | | | | 18,455,166 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (426,287 | ) | | | (2,125,511 | ) |
| C-Class | | | (113,478 | ) | | | (294,141 | ) |
| H-Class | | | (7,139,823 | ) | | | (16,343,786 | ) |
| Net increase (decrease) in shares | | | (1,927,705 | ) | | | 2,480,662 | |
| 140 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDcap 400 PURE growth FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.11 | | | $ | 42.76 | | | $ | 32.21 | | | $ | 18.19 | | | $ | 26.65 | | | $ | 30.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.20 | ) | | | (.45 | ) | | | (.38 | ) | | | (.28 | ) | | | (.24 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.01 | ) | | | 1.80 | | | | 10.93 | | | | 14.30 | | | | (8.22 | ) | | | (1.42 | ) |
| Total from investment operations | | | (.21 | ) | | | 1.35 | | | | 10.55 | | | | 14.02 | | | | (8.46 | ) | | | (1.69 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Net asset value, end of period | | $ | 43.90 | | | $ | 44.11 | | | $ | 42.76 | | | $ | 32.21 | | | $ | 18.19 | | | $ | 26.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.48 | %) | | | 3.16 | % | | | 32.75 | % | | | 77.08 | % | | | (31.74 | %) | | | (6.26 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 37,882 | | | $ | 36,052 | | | $ | 25,237 | | | $ | 2,242 | | | $ | 723 | | | $ | 3,863 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.96 | %) | | | (1.09 | %) | | | (1.04 | %) | | | (1.03 | %) | | | (0.93 | %) | | | (0.88 | %) |
| Total expenses | | | 1.48 | % | | | 1.50 | % | | | 1.54 | % | | | 1.53 | % | | | 1.58 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 70 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % | | | 736 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.43 | | | $ | 40.47 | | | $ | 30.71 | | | $ | 17.48 | | | $ | 25.79 | | | $ | 30.01 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.34 | ) | | | (.71 | ) | | | (.63 | ) | | | (.44 | ) | | | (.42 | ) | | | (.50 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.02 | ) | | | 1.67 | | | | 10.39 | | | | 13.67 | | | | (7.89 | ) | | | (1.34 | ) |
| Total from investment operations | | | (.36 | ) | | | .96 | | | | 9.76 | | | | 13.23 | | | | (8.31 | ) | | | (1.84 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Net asset value, end of period | | $ | 41.07 | | | $ | 41.43 | | | $ | 40.47 | | | $ | 30.71 | | | $ | 17.48 | | | $ | 25.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.85 | %) | | | 2.35 | % | | | 31.78 | % | | | 75.69 | % | | | (32.22 | %) | | | (6.92 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,669 | | | $ | 16,228 | | | $ | 10,102 | | | $ | 3,780 | | | $ | 3,477 | | | $ | 1,426 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.72 | %) | | | (1.83 | %) | | | (1.83 | %) | | | (1.77 | %) | | | (1.72 | %) | | | (1.69 | %) |
| Total expenses | | | 2.23 | % | | | 2.25 | % | | | 2.29 | % | | | 2.28 | % | | | 2.32 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 70 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % | | | 736 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
| S&P MIDcap 400 PURE growth FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.14 | | | $ | 42.81 | | | $ | 32.25 | | | $ | 18.21 | | | $ | 26.68 | | | $ | 30.75 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.21 | ) | | | (.44 | ) | | | (.38 | ) | | | (.26 | ) | | | (.22 | ) | | | (.28 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | — | | | | 1.77 | | | | 10.94 | | | | 14.30 | | | | (8.25 | ) | | | (1.41 | ) |
| Total from investment operations | | | (.21 | ) | | | 1.33 | | | | 10.56 | | | | 14.04 | | | | (8.47 | ) | | | (1.69 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (2.38 | ) |
| Net asset value, end of period | | $ | 43.93 | | | $ | 44.14 | | | $ | 42.81 | | | $ | 32.25 | | | $ | 18.21 | | | $ | 26.68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.48 | %) | | | 3.11 | % | | | 32.74 | % | | | 77.10 | % | | | (31.75 | %) | | | (6.25 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 224,752 | | | $ | 312,510 | | | $ | 212,654 | | | $ | 64,449 | | | $ | 15,591 | | | $ | 14,158 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.98 | %) | | | (1.08 | %) | | | (1.02 | %) | | | (0.99 | %) | | | (0.95 | %) | | | (0.92 | %) |
| Total expenses | | | 1.48 | % | | | 1.50 | % | | | 1.55 | % | | | 1.54 | % | | | 1.55 | % | | | 1.51 | % |
| Portfolio turnover rate | | | 70 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % | | | 736 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 142 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
| S&P MIDCAP 400 PURE VALUE FUND |
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| A-Class | | | September 1, 2004 |
| C-Class | | | February 20, 2004 |
| H-Class | | | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| First American Financial Corp. | | | 3.9 | % |
| Community Health Systems, Inc. | | | 3.2 | % |
| Exelis, Inc. | | | 2.7 | % |
| Collective Brands, Inc. | | | 2.7 | % |
| ITT Corp. | | | 2.6 | % |
| Oshkosh Corp. | | | 2.3 | % |
| Huntington Ingalls Industries, Inc. | | | 2.1 | % |
| Protective Life Corp. | | | 1.9 | % |
| JetBlue Airways Corp. | | | 1.9 | % |
| URS Corp. | | | 1.9 | % |
| Top Ten Total | | | 25.2 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P MIDCAP 400 PURE value FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.6% | | | | | | | | |
| | | | | | | | | |
| Financials - 30.0% | | | | | | | | |
| First American Financial Corp. | | | 21,276 | | | $ | 461,050 | |
| Protective Life Corp. | | | 8,649 | | | | 226,691 | |
| Astoria Financial Corp. | | | 22,062 | | | | 217,972 | |
| Reinsurance Group of America, | | | | | | | | |
| Inc. — Class A | | | 3,553 | | | | 205,612 | |
| Aspen Insurance Holdings Ltd. | | | 6,446 | | | | 196,539 | |
| Hanover Insurance Group, Inc. | | | 5,130 | | | | 191,144 | |
| Old Republic International Corp. | | | 19,044 | | | | 177,109 | |
| Kemper Corp. | | | 5,091 | | | | 156,345 | |
| Everest Re Group Ltd. | | | 1,427 | | | | 152,632 | |
| BancorpSouth, Inc. | | | 10,287 | | | | 151,631 | |
| Fidelity National Financial, | | | | | | | | |
| Inc. — Class A | | | 6,771 | | | | 144,832 | |
| Jefferies Group, Inc. | | | 9,589 | | | | 131,273 | |
| American Financial Group, Inc. | | | 3,147 | | | | 119,271 | |
| StanCorp Financial Group, Inc. | | | 3,802 | | | | 118,774 | |
| Janus Capital Group, Inc. | | | 11,451 | | | | 108,097 | |
| TCF Financial Corp. | | | 8,804 | | | | 105,120 | |
| HCC Insurance Holdings, Inc. | | | 3,070 | | | | 104,042 | |
| Washington Federal, Inc. | | | 6,216 | | | | 103,683 | |
| Apollo Investment Corp. | | | 13,111 | | | | 103,184 | |
| First Niagara Financial Group, Inc. | | | 12,146 | | | | 98,261 | |
| Associated Banc-Corp. | | | 5,696 | | | | 75,016 | |
| New York Community Bancorp, Inc. | | | 5,291 | | | | 74,921 | |
| International Bancshares Corp. | | | 3,427 | | | | 65,284 | |
| WR Berkley Corp. | | | 1,428 | | | | 53,536 | |
| Fulton Financial Corp. | | | 4,463 | | | | 44,005 | |
| Total Financials | | | | | | | 3,586,024 | |
| Industrials - 21.9% | | | | | | | | |
| Exelis, Inc. | | | 31,190 | | | | 322,505 | |
| ITT Corp. | | | 15,471 | | | | 311,740 | |
| Oshkosh Corp.* | | | 9,809 | | | | 269,061 | |
| Huntington Ingalls Industries, Inc.* | | | 5,808 | | | | 244,226 | |
| JetBlue Airways Corp.* | | | 46,412 | | | | 222,313 | |
| URS Corp. | | | 6,287 | | | | 221,995 | |
| General Cable Corp.* | | | 7,184 | | | | 211,066 | |
| AECOM Technology Corp.* | | | 6,774 | | | | 143,338 | |
| Terex Corp.* | | | 4,790 | | | | 108,158 | |
| Manpower, Inc. | | | 2,805 | | | | 103,224 | |
| UTI Worldwide, Inc. | | | 7,001 | | | | 94,303 | |
| Con-way, Inc. | | | 3,319 | | | | 90,841 | |
| KBR, Inc. | | | 2,588 | | | | 77,174 | |
| Brink’s Co. | | | 2,910 | | | | 74,758 | |
| Harsco Corp. | | | 2,894 | | | | 59,414 | |
| AGCO Corp.* | | | 1,035 | | | | 49,142 | |
| Total Industrials | | | | | | | 2,603,258 | |
| Consumer Discretionary - 13.5% | | | | | | | | |
| Collective Brands, Inc.* | | | 14,723 | | | | 319,636 | |
| KB Home1 | | | 9,325 | | | | 133,814 | |
| Regis Corp. | | | 7,110 | | | | 130,682 | |
| Office Depot, Inc.* | | | 48,896 | | | | 125,174 | |
| Valassis Communications, Inc.* | | | 5,053 | | | | 124,759 | |
| New York Times Co. — Class A* | | | 12,666 | | | | 123,620 | |
| Thor Industries, Inc. | | | 3,361 | | | | 122,072 | |
| Scholastic Corp. | | | 3,682 | | | | 117,014 | |
| Barnes & Noble, Inc.*,1 | | | 7,289 | | | | 93,153 | |
| Mohawk Industries, Inc.* | | | 1,109 | | | | 88,742 | |
| Saks, Inc.*,1 | | | 6,820 | | | | 70,314 | |
| Bob Evans Farms, Inc. | | | 1,606 | | | | 62,843 | |
| Wendy’s Co. | | | 12,597 | | | | 57,316 | |
| RadioShack Corp.1 | | | 14,234 | | | | 33,877 | |
| Total Consumer Discretionary | | | | | | | 1,603,016 | |
| Information Technology - 12.5% | | | | | | | | |
| Ingram Micro, Inc. — Class A* | | | 13,216 | | | | 201,280 | |
| Avnet, Inc.* | | | 6,754 | | | | 196,474 | |
| Tech Data Corp.* | | | 4,021 | | | | 182,151 | |
| Arrow Electronics, Inc.* | | | 5,355 | | | | 180,517 | |
| MEMC Electronic Materials, Inc.* | | | 46,948 | | | | 129,107 | |
| Itron, Inc.* | | | 2,642 | | | | 114,002 | |
| CoreLogic, Inc.* | | | 4,184 | | | | 111,002 | |
| Tellabs, Inc. | | | 31,260 | | | | 110,660 | |
| Vishay Intertechnology, Inc.* | | | 10,696 | | | | 105,142 | |
| International Rectifier Corp.* | | | 3,391 | | | | 56,596 | |
| Fairchild Semiconductor International, | | | | | | | | |
| Inc. — Class A* | | | 3,718 | | | | 48,780 | |
| Monster Worldwide, Inc.* | | | 6,486 | | | | 47,542 | |
| Total Information Technology | | | | | | | 1,483,253 | |
| Health Care - 7.2% | | | | | | | | |
| Community Health Systems, Inc.* | | | 13,008 | | | | 379,053 | |
| Owens & Minor, Inc. | | | 4,575 | | | | 136,701 | |
| Health Net, Inc.* | | | 5,059 | | | | 113,878 | |
| LifePoint Hospitals, Inc.* | | | 2,360 | | | | 100,961 | |
| Health Management Associates, | | | | | | | | |
| Inc. — Class A* | | | 7,877 | | | | 66,088 | |
| Omnicare, Inc. | | | 1,625 | | | | 55,201 | |
| Total Health Care | | | | | | | 851,882 | |
| Materials - 5.6% | | | | | | | | |
| Ashland, Inc. | | | 1,302 | | | | 93,224 | |
| Commercial Metals Co. | | | 6,913 | | | | 91,251 | |
| Louisiana-Pacific Corp.* | | | 6,896 | | | | 86,200 | |
| Worthington Industries, Inc. | | | 3,751 | | | | 81,247 | |
| Reliance Steel & Aluminum Co. | | | 1,389 | | | | 72,714 | |
| Steel Dynamics, Inc. | | | 6,356 | | | | 71,378 | |
| Cytec Industries, Inc. | | | 929 | | | | 60,868 | |
| Greif, Inc. — Class A | | | 1,317 | | | | 58,185 | |
| Cabot Corp. | | | 1,341 | | | | 49,040 | |
| Total Materials | | | | | | | 664,107 | |
| Consumer Staples - 3.0% | | | | | | | | |
| Universal Corp. | | | 3,124 | | | | 159,074 | |
| Smithfield Foods, Inc.* | | | 6,827 | | | | 134,151 | |
| Harris Teeter Supermarkets, Inc. | | | 1,500 | | | | 58,260 | |
| Total Consumer Staples | | | | | | | 351,485 | |
| 144 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P MIDCAP 400 PURE value FUND |
| | | Shares | | | Value | |
| Energy - 2.6% | | | | | | | | |
| HollyFrontier Corp. | | | 3,747 | | | $ | 154,639 | |
| World Fuel Services Corp. | | | 3,017 | | | | 107,435 | |
| Quicksilver Resources, Inc.* | | | 5,733 | | | | 23,448 | |
| Arch Coal, Inc. | | | 3,461 | | | | 21,908 | |
| Total Energy | | | | | | | 307,430 | |
| Utilities - 2.1% | | | | | | | | |
| UGI Corp. | | | 2,144 | | | | 68,072 | |
| Great Plains Energy, Inc. | | | 2,894 | | | | 64,421 | |
| N.V. Energy, Inc. | | | 3,414 | | | | 61,486 | |
| Atmos Energy Corp. | | | 1,647 | | | | 58,946 | |
| Total Utilities | | | | | | | 252,925 | |
| Telecommunication Services - 1.2% | | | | | | | | |
| Telephone & Data Systems, Inc. | | | 5,644 | | | | 144,543 | |
| Total Common Stocks | | | | | | | | |
| (Cost $9,958,339) | | | | | | | 11,847,923 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 25,092 | | | | 25,092 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 14,437 | | | | 14,437 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 8,236 | | | | 8,236 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $47,765) | | | | | | | 47,765 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.9% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 53,635 | | | | 53,635 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 52,784 | | | | 52,784 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $106,419) | | | | | | | 106,419 | |
| Total Investments - 100.9% | | | | | | | | |
| (Cost $10,112,523) | | | | | | $ | 12,002,107 | |
| Other Assets & Liabilities, net - (0.9)% | | | | | | | (105,497 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 11,896,610 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
| S&P MIDCAP 400 PURE value FUND |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $102,148 of | | | | |
| securities loaned | | | | |
| (cost $10,064,758) | | $ | 11,954,342 | |
| Repurchase agreements, at value | | | | |
| (cost $47,765) | | | 47,765 | |
| Total investments | | | | |
| (cost $10,112,523) | | | 12,002,107 | |
| Receivables: | | | | |
| Dividends | | | 18,495 | |
| Interest | | | 58 | |
| Total assets | | | 12,020,660 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 106,419 | |
| Management fees | | | 6,682 | |
| Distribution and service fees | | | 2,832 | |
| Transfer agent and administrative fees | | | 2,227 | |
| Portfolio accounting fees | | | 891 | |
| Miscellaneous | | | 4,999 | |
| Total liabilities | | | 124,050 | |
| Net assets | | $ | 11,896,610 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 19,619,841 | |
| Undistributed net investment income | | | 8,482 | |
| Accumulated net realized loss on investments | | | (9,621,297 | ) |
| Net unrealized appreciation on investments | | | 1,889,584 | |
| Net assets | | $ | 11,896,610 | |
| A-Class: | | | | |
| Net assets | | $ | 520,443 | |
| Capital shares outstanding | | | 17,498 | |
| Net asset value per share | | $ | 29.74 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 31.22 | |
| C-Class: | | | | |
| Net assets | | $ | 1,237,333 | |
| Capital shares outstanding | | | 44,814 | |
| Net asset value per share | | $ | 27.61 | |
| H-Class: | | | | |
| Net assets | | $ | 10,138,834 | |
| Capital shares outstanding | | | 341,182 | |
| Net asset value per share | | $ | 29.72 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 92,208 | |
| Income from securities lending, net | | | 57 | |
| Interest | | | 34 | |
| Total investment income | | | 92,299 | |
| Expenses: | | | | |
| Management fees | | | 40,111 | |
| Transfer agent and administrative fees | | | 13,370 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,216 | |
| C-Class | | | 5,704 | |
| H-Class | | | 10,728 | |
| Portfolio accounting fees | | | 5,348 | |
| Registration fees | | | 7,335 | |
| Trustees’ fees* | | | 1,714 | |
| Custodian fees | | | 1,027 | |
| Miscellaneous | | | (2,736 | ) |
| Total expenses | | | 83,817 | |
| Net investment income | | | 8,482 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 507,553 | |
| Net realized gain | | | 507,553 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (958,485 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (958,485 | ) |
| Net realized and unrealized loss | | | (450,932 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (442,450 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 146 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDCAP 400 PURE value FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 8,482 | | | $ | (2,928 | ) |
| Net realized gain (loss) on investments | | | 507,553 | | | | (4,788,943 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (958,485 | ) | | | (3,979,874 | ) |
| Net decrease in net assets resulting from operations | | | (442,450 | ) | | | (8,771,745 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 361,935 | | | | 16,598,230 | |
| C-Class | | | 739,665 | | | | 4,792,154 | |
| H-Class | | | 26,984,071 | | | | 201,968,886 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (6,483,245 | ) | | | (10,504,241 | ) |
| C-Class | | | (1,581,177 | ) | | | (4,830,228 | ) |
| H-Class | | | (35,530,959 | ) | | | (228,706,063 | ) |
| Net decrease from capital share transactions | | | (15,509,710 | ) | | | (20,681,262 | ) |
| Net decrease in net assets | | | (15,952,160 | ) | | | (29,453,007 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 27,848,770 | | | | 57,301,777 | |
| End of period | | $ | 11,896,610 | | | $ | 27,848,770 | |
| Undistributed net investment income at end of period | | $ | 8,482 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 12,277 | | | | 542,524 | |
| C-Class | | | 26,410 | | | | 184,166 | |
| H-Class | | | 943,575 | | | | 7,008,305 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (215,516 | ) | | | (346,750 | ) |
| C-Class | | | (57,817 | ) | | | (186,183 | ) |
| H-Class | | | (1,212,743 | ) | | | (8,123,063 | ) |
| Net decrease in shares | | | (503,814 | ) | | | (921,001 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
| S&P MIDCAP 400 PURE value FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.88 | | | $ | 31.43 | | | $ | 30.45 | | | $ | 13.68 | | | $ | 29.72 | | | $ | 36.58 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .01 | | | | .06 | | | | .02 | | | | .12 | | | | .47 | | | | .44 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.15 | ) | | | (.61 | ) | | | 3.64 | | | | 16.75 | | | | (16.51 | ) | | | (6.37 | ) |
| Total from investment operations | | | (1.14 | ) | | | (.55 | ) | | | 3.66 | | | | 16.87 | | | | (16.04 | ) | | | (5.93 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 29.74 | | | $ | 30.88 | | | $ | 31.43 | | | $ | 30.45 | | | $ | 13.68 | | | $ | 29.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.69 | %) | | | (1.75 | %) | | | 12.81 | % | | | 123.41 | % | | | (53.97 | %) | | | (16.45 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 520 | | | $ | 6,817 | | | $ | 785 | | | $ | 10,888 | | | $ | 100 | | | $ | 2,797 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.07 | % | | | 0.22 | % | | | 0.08 | % | | | 0.43 | % | | | 1.66 | % | | | 1.25 | % |
| Total expenses | | | 1.48 | % | | | 1.49 | % | | | 1.53 | % | | | 1.52 | % | | | 1.54 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 201 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % | | | 297 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.78 | | | $ | 29.53 | | | $ | 28.96 | | | $ | 13.12 | | | $ | 28.78 | | | $ | 35.75 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.08 | ) | | | (.16 | ) | | | (.23 | ) | | | (.06 | ) | | | .39 | | | | .30 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.09 | ) | | | (.59 | ) | | | 3.48 | | | | 16.00 | | | | (16.05 | ) | | | (6.34 | ) |
| Total from investment operations | | | (1.17 | ) | | | (.75 | ) | | | 3.25 | | | | 15.94 | | | | (15.66 | ) | | | (6.04 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 27.61 | | | $ | 28.78 | | | $ | 29.53 | | | $ | 28.96 | | | $ | 13.12 | | | $ | 28.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (4.07 | %) | | | (2.54 | %) | | | 12.03 | % | | | 121.59 | % | | | (54.41 | %) | | | (17.15 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,237 | | | $ | 2,194 | | | $ | 2,311 | | | $ | 2,478 | | | $ | 627 | | | $ | 1,082 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.60 | %) | | | (0.60 | %) | | | (0.83 | %) | | | (0.24 | %) | | | 1.58 | % | | | 0.88 | % |
| Total expenses | | | 2.24 | % | | | 2.26 | % | | | 2.30 | % | | | 2.29 | % | | | 2.29 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 201 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % | | | 297 | % |
| 148 | the RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.86 | | | $ | 31.42 | | | $ | 30.43 | | | $ | 13.67 | | | $ | 29.71 | | | $ | 36.58 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .04 | | | | .01 | | | | (.06 | ) | | | .10 | | | | .47 | | | | .35 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.18 | ) | | | (.57 | ) | | | 3.73 | | | | 16.76 | | | | (16.51 | ) | | | (6.29 | ) |
| Total from investment operations | | | (1.14 | ) | | | (.56 | ) | | | 3.67 | | | | 16.86 | | | | (16.04 | ) | | | (5.94 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 29.72 | | | $ | 30.86 | | | $ | 31.42 | | | $ | 30.43 | | | $ | 13.67 | | | $ | 29.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.69 | %) | | | (1.78 | %) | | | 12.85 | % | | | 123.43 | % | | | (53.99 | %) | | | (16.48 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,139 | | | $ | 18,838 | | | $ | 54,206 | | | $ | 199,458 | | | $ | 3,985 | | | $ | 6,512 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.27 | % | | | 0.02 | % | | | (0.19 | %) | | | 0.37 | % | | | 2.01 | % | | | 0.96 | % |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.54 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 201 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % | | | 297 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P SMALLCAP 600 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | September 1, 2004 | |
| C-Class | | February 20, 2004 | |
| H-Class | | February 20, 2004 | |
| | | | |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Cirrus Logic, Inc. | | | 2.0 | % |
| MWI Veterinary Supply, Inc. | | | 1.6 | % |
| Medidata Solutions, Inc. | | | 1.5 | % |
| Portfolio Recovery Associates, Inc. | | | 1.4 | % |
| Buffalo Wild Wings, Inc. | | | 1.4 | % |
| NuVasive, Inc. | | | 1.3 | % |
| Allegiant Travel Co. — Class A | | | 1.3 | % |
| Veeco Instruments, Inc. | | | 1.2 | % |
| ICU Medical, Inc. | | | 1.2 | % |
| Air Methods Corp. | | | 1.1 | % |
| Top Ten Total | | | 14.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P SMALLCAP 600 PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 102.5% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 29.1% | | | | | | | | |
| Cirrus Logic, Inc.* | | | 6,599 | | | $ | 253,336 | |
| Veeco Instruments, Inc.* | | | 5,280 | | | | 158,506 | |
| Sourcefire, Inc.* | | | 2,949 | | | | 144,590 | |
| CommVault Systems, Inc.* | | | 2,406 | | | | 141,232 | |
| Blucora, Inc.* | | | 7,705 | | | | 137,225 | |
| Hittite Microwave Corp.* | | | 2,387 | | | | 132,407 | |
| MAXIMUS, Inc. | | | 2,167 | | | | 129,414 | |
| Exar Corp.* | | | 13,817 | | | | 110,536 | |
| Kulicke & Soffa Industries, Inc.* | | | 10,547 | | | | 109,689 | |
| OpenTable, Inc.*,1 | | | 2,631 | | | | 109,450 | |
| MicroStrategy, Inc. — Class A* | | | 805 | | | | 107,925 | |
| CACI International, Inc. — Class A* | | | 2,080 | | | | 107,723 | |
| Tyler Technologies, Inc.* | | | 2,263 | | | | 99,617 | |
| Littelfuse, Inc. | | | 1,615 | | | | 91,312 | |
| Entropic Communications, Inc.* | | | 15,028 | | | | 87,463 | |
| OSI Systems, Inc.* | | | 1,110 | | | | 86,401 | |
| Ebix, Inc. | | | 3,647 | | | | 86,106 | |
| Power Integrations, Inc. | | | 2,734 | | | | 83,196 | |
| Rubicon Technology, Inc.* | | | 8,386 | | | | 80,338 | |
| Cognex Corp. | | | 2,120 | | | | 73,310 | |
| Volterra Semiconductor Corp.* | | | 3,345 | | | | 73,155 | |
| MTS Systems Corp. | | | 1,341 | | | | 71,811 | |
| NetScout Systems, Inc.* | | | 2,813 | | | | 71,760 | |
| Cymer, Inc.* | | | 1,390 | | | | 70,973 | |
| Synaptics, Inc.* | | | 2,825 | | | | 67,857 | |
| DTS, Inc.* | | | 2,862 | | | | 66,627 | |
| Manhattan Associates, Inc.* | | | 1,140 | | | | 65,288 | |
| Interactive Intelligence Group, Inc.* | | | 2,158 | | | | 64,848 | |
| Opnet Technologies, Inc. | | | 1,843 | | | | 62,791 | |
| LivePerson, Inc.* | | | 3,406 | | | | 61,683 | |
| LogMeIn, Inc.* | | | 2,590 | | | | 58,094 | |
| NETGEAR, Inc.* | | | 1,417 | | | | 54,045 | |
| j2 Global, Inc. | | | 1,610 | | | | 52,840 | |
| Cabot Microelectronics Corp. | | | 1,493 | | | | 52,464 | |
| JDA Software Group, Inc.* | | | 1,595 | | | | 50,689 | |
| Websense, Inc.* | | | 3,031 | | | | 47,435 | |
| GT Advanced Technologies, Inc.*,1 | | | 8,662 | | | | 47,208 | |
| Higher One Holdings, Inc.* | | | 3,352 | | | | 45,185 | |
| Stamps.com, Inc.* | | | 1,947 | | | | 45,054 | |
| Liquidity Services, Inc.* | | | 896 | | | | 44,988 | |
| ViaSat, Inc.* | | | 1,114 | | | | 41,641 | |
| comScore, Inc.* | | | 2,391 | | | | 36,463 | |
| Forrester Research, Inc. | | | 1,237 | | | | 35,588 | |
| FARO Technologies, Inc.* | | | 852 | | | | 35,205 | |
| Blackbaud, Inc. | | | 1,447 | | | | 34,612 | |
| Synchronoss Technologies, Inc.* | | | 1,415 | | | | 32,404 | |
| Ceva, Inc.* | | | 1,480 | | | | 21,282 | |
| Total Information Technology | | | | | | | 3,741,766 | |
| Health Care - 24.3% | | | | | | | | |
| MWI Veterinary Supply, Inc.* | | | 1,909 | | | | 203,652 | |
| Medidata Solutions, Inc.* | | | 4,771 | | | | 197,996 | |
| NuVasive, Inc.* | | | 7,069 | | | | 161,950 | |
| ICU Medical, Inc.* | | | 2,465 | | | | 149,082 | |
| Air Methods Corp.* | | | 1,219 | | | | 145,513 | |
| Cyberonics, Inc.* | | | 2,706 | | | | 141,849 | |
| Haemonetics Corp.* | | | 1,723 | | | | 138,185 | |
| Magellan Health Services, Inc.* | | | 2,560 | | | | 132,122 | |
| Cubist Pharmaceuticals, Inc.* | | | 2,709 | | | | 129,166 | |
| Chemed Corp. | | | 1,805 | | | | 125,068 | |
| Medicines Co.* | | | 4,822 | | | | 124,455 | |
| IPC The Hospitalist Company, Inc.* | | | 2,638 | | | | 120,557 | |
| Hi-Tech Pharmacal Company, Inc.* | | | 3,411 | | | | 112,938 | |
| Momenta Pharmaceuticals, Inc.* | | | 7,685 | | | | 111,970 | |
| Neogen Corp.* | | | 2,598 | | | | 110,935 | |
| Analogic Corp. | | | 1,388 | | | | 108,500 | |
| Computer Programs & Systems, Inc. | | | 1,930 | | | | 107,212 | |
| Corvel Corp.* | | | 2,243 | | | | 100,374 | |
| Landauer, Inc. | | | 1,646 | | | | 98,299 | |
| Ensign Group, Inc. | | | 2,966 | | | | 90,774 | |
| ViroPharma, Inc.* | | | 2,903 | | | | 87,729 | |
| Spectrum Pharmaceuticals, Inc.*,1 | | | 5,399 | | | | 63,168 | |
| Abaxis, Inc.* | | | 1,750 | | | | 62,860 | |
| Arqule, Inc.* | | | 11,072 | | | | 56,578 | |
| Luminex Corp.* | | | 2,881 | | | | 56,007 | |
| Akorn, Inc.* | | | 4,170 | | | | 55,127 | |
| Quality Systems, Inc. | | | 2,588 | | | | 48,007 | |
| Questcor Pharmaceuticals, Inc.*,1 | | | 2,449 | | | | 45,307 | |
| Salix Pharmaceuticals Ltd.* | | | 970 | | | | 41,070 | |
| Total Health Care | | | | | | | 3,126,450 | |
| Consumer Discretionary - 19.1% | | | | | | | | |
| Buffalo Wild Wings, Inc.* | | | 2,043 | | | | 175,168 | |
| Sturm Ruger & Company, Inc. | | | 2,702 | | | | 133,722 | |
| Peet’s Coffee & Tea, Inc.* | | | 1,754 | | | | 128,638 | |
| Coinstar, Inc.* | | | 2,859 | | | | 128,598 | |
| DineEquity, Inc.* | | | 2,275 | | | | 127,400 | |
| Steven Madden Ltd.* | | | 2,804 | | | | 122,590 | |
| Hibbett Sports, Inc.* | | | 1,969 | | | | 117,057 | |
| Capella Education Co.* | | | 3,211 | | | | 112,577 | |
| Buckle, Inc. | | | 2,415 | | | | 109,713 | |
| BJ’s Restaurants, Inc.* | | | 2,365 | | | | 107,253 | |
| Vitamin Shoppe, Inc.* | | | 1,813 | | | | 105,734 | |
| Jos. A. Bank Clothiers, Inc.* | | | 2,138 | | | | 103,650 | |
| Biglari Holdings, Inc.* | | | 283 | | | | 103,312 | |
| rue21, Inc.* | | | 3,306 | | | | 102,982 | |
| American Public Education, Inc.* | | | 2,785 | | | | 101,458 | |
| Genesco, Inc.* | | | 1,431 | | | | 95,491 | |
| Papa John’s International, Inc.* | | | 1,495 | | | | 79,848 | |
| Monro Muffler Brake, Inc. | | | 2,192 | | | | 77,136 | |
| Children’s Place Retail Stores, Inc.* | | | 1,246 | | | | 74,760 | |
| CEC Entertainment, Inc. | | | 2,458 | | | | 74,035 | |
| Arbitron, Inc. | | | 1,615 | | | | 61,209 | |
| iRobot Corp.* | | | 2,512 | | | | 57,173 | |
| True Religion Apparel, Inc. | | | 2,645 | | | | 56,418 | |
| Wolverine World Wide, Inc. | | | 1,180 | | | | 52,357 | |
| Blue Nile, Inc.* | | | 1,205 | | | | 44,693 | |
| Total Consumer Discretionary | | | | | | | 2,452,972 | |
| Industrials - 10.4% | | | | | | | | |
| Portfolio Recovery Associates, Inc.* | | | 1,787 | | | | 186,616 | |
| Allegiant Travel Co. — Class A* | | | 2,551 | | | | 161,631 | |
| American Science & Engineering, Inc. | | | 1,900 | | | | 124,659 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P SMALLCAP 600 PURE GROWTH FUND | |
| | | Shares | | | Value | |
| Cubic Corp. | | | 2,331 | | | $ | 116,690 | |
| AZZ, Inc. | | | 2,645 | | | | 100,457 | |
| Exponent, Inc.* | | | 1,698 | | | | 96,939 | |
| Franklin Electric Company, Inc. | | | 1,514 | | | | 91,582 | |
| Toro Co. | | | 2,100 | | | | 83,538 | |
| Lindsay Corp. | | | 953 | | | | 68,587 | |
| Teledyne Technologies, Inc.* | | | 1,069 | | | | 67,764 | |
| National Presto Industries, Inc. | | | 892 | | | | 65,009 | |
| Dolan Co.* | | | 10,578 | | | | 56,910 | |
| II-VI, Inc.* | | | 2,651 | | | | 50,422 | |
| Forward Air Corp. | | | 1,200 | | | | 36,492 | |
| Aerovironment, Inc.* | | | 1,372 | | | | 32,201 | |
| Total Industrials | | | | | | | 1,339,497 | |
| Financials - 6.3% | | | | | | | | |
| World Acceptance Corp.* | | | 1,814 | | | | 122,355 | |
| Infinity Property & Casualty Corp. | | | 1,784 | | | | 107,735 | |
| Financial Engines, Inc.* | | | 3,480 | | | | 82,928 | |
| Cash America International, Inc. | | | 2,046 | | | | 78,914 | |
| ProAssurance Corp. | | | 870 | | | | 78,683 | |
| EZCORP, Inc. — Class A* | | | 2,850 | | | | 65,351 | |
| First Cash Financial Services, Inc.* | | | 1,394 | | | | 64,138 | |
| PS Business Parks, Inc. | | | 880 | | | | 58,802 | |
| Mid-America Apartment Communities, Inc. | | | 824 | | | | 53,815 | |
| RLI Corp. | | | 765 | | | | 50,995 | |
| EastGroup Properties, Inc. | | | 879 | | | | 46,763 | |
| Total Financials | | | | | | | 810,479 | |
| Consumer Staples - 5.4% | | | | | | | | |
| Medifast, Inc.* | | | 4,982 | | | | 130,279 | |
| Casey’s General Stores, Inc. | | | 2,062 | | | | 117,823 | |
| Boston Beer Company, Inc. — Class A* | | | 1,051 | | | | 117,680 | |
| Sanderson Farms, Inc. | | | 2,128 | | | | 94,420 | |
| J&J Snack Foods Corp. | | | 1,610 | | | | 92,301 | |
| TreeHouse Foods, Inc.* | | | 1,643 | | | | 86,258 | |
| WD-40 Co. | | | 1,096 | | | | 57,693 | |
| Total Consumer Staples | | | | | | | 696,454 | |
| Materials - 3.2% | | | | | | | | |
| Innophos Holdings, Inc. | | | 2,070 | | | | 100,375 | |
| Hawkins, Inc. | | | 2,373 | | | | 98,598 | |
| Deltic Timber Corp. | | | 1,155 | | | | 75,375 | |
| Balchem Corp. | | | 1,936 | | | | 71,109 | |
| Schweitzer-Mauduit International, Inc. | | | 1,948 | | | | 64,265 | |
| Total Materials | | | | | | | 409,722 | |
| Energy - 3.0% | | | | | | | | |
| SEACOR Holdings, Inc.* | | | 1,472 | | | | 122,705 | |
| Contango Oil & Gas Co.* | | | 1,883 | | | | 92,531 | |
| Geospace Technologies Corp.* | | | 585 | | | | 71,610 | |
| Approach Resources, Inc.* | | | 1,655 | | | | 49,865 | |
| Lufkin Industries, Inc. | | | 867 | | | | 46,662 | |
| Total Energy | | | | | | | 383,373 | |
| Utilities - 0.9% | | | | | | | | |
| American States Water Co. | | | 1,381 | | | | 61,358 | |
| South Jersey Industries, Inc. | | | 996 | | | | 52,718 | |
| Total Utilities | | | | | | | 114,076 | |
| Telecommunication Services - 0.8% | | | | | | | | |
| Atlantic Tele-Network, Inc. | | | 2,437 | | | | 104,742 | |
| Total Common Stocks | | | | | | | | |
| (Cost $9,467,115) | | | | | | | 13,179,531 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 33,576 | | | | 33,576 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 19,318 | | | | 19,318 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 11,021 | �� | | | 11,021 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $63,915) | | | | | | | 63,915 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.0% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 66,855 | | | | 66,855 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 65,795 | | | | 65,795 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $132,650) | | | | | | | 132,650 | |
| Total Investments - 104.0% | | | | | | | | |
| (Cost $9,663,680) | | | | | | $ | 13,376,096 | |
| Other Assets & Liabilities, net - (4.0)% | | | | | | | (517,793 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 12,858,303 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| 152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600 PURE GROWTH FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $130,135 of | | | | |
| securities loaned | | | | |
| (cost $9,599,765) | | $ | 13,312,181 | |
| Repurchase agreements, at value | | | | |
| (cost $63,915) | | | 63,915 | |
| Total investments | | | | |
| (cost $9,663,680) | | | 13,376,096 | |
| Receivables: | | | | |
| Dividends | | | 5,491 | |
| Fund shares sold | | | 3,245 | |
| Interest | | | 44 | |
| Total assets | | | 13,384,876 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 370,329 | |
| Payable upon return of securities loaned | | | 132,650 | |
| Management fees | | | 7,145 | |
| Distribution and service fees | | | 3,335 | |
| Transfer agent and administrative fees | | | 2,382 | |
| Portfolio accounting fees | | | 953 | |
| Miscellaneous | | | 9,779 | |
| Total liabilities | | | 526,573 | |
| Net assets | | $ | 12,858,303 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 22,532,547 | |
| Accumulated net investment loss | | | (124,844 | ) |
| Accumulated net realized loss on investments | | | (13,261,816 | ) |
| Net unrealized appreciation on investments | | | 3,712,416 | |
| Net assets | | $ | 12,858,303 | |
| A-Class: | | | | |
| Net assets | | $ | 1,071,248 | |
| Capital shares outstanding | | | 27,933 | |
| Net asset value per share | | $ | 38.35 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 40.26 | |
| C-Class: | | | | |
| Net assets | | $ | 1,694,491 | |
| Capital shares outstanding | | | 47,051 | |
| Net asset value per share | | $ | 36.01 | |
| H-Class: | | | | |
| Net assets | | $ | 10,092,564 | |
| Capital shares outstanding | | | 263,132 | |
| Net asset value per share | | $ | 38.36 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 49,013 | |
| Interest | | | 81 | |
| Income from securities lending, net | | | 43 | |
| Total investment income | | | 49,137 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 79,482 | |
| Transfer agent and administrative fees | | | 26,494 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,209 | |
| C-Class | | | 9,105 | |
| H-Class | | | 23,009 | |
| Portfolio accounting fees | | | 10,598 | |
| Registration fees | | | 13,161 | |
| Trustees’ fees* | | | 3,069 | |
| Custodian fees | | | 1,987 | |
| Miscellaneous | | | (3,847 | ) |
| Total expenses | | | 164,267 | |
| Net investment loss | | | (115,130 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 530,264 | |
| Net realized gain | | | 530,264 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,562,960 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,562,960 | ) |
| Net realized and unrealized loss | | | (1,032,696 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (1,147,826 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
| S&P SMALLCAP 600 PURE GROWTH FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (115,130 | ) | | $ | (626,990 | ) |
| Net realized gain (loss) on investments | | | 530,264 | | | | (3,318,234 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,562,960 | ) | | | (9,577,483 | ) |
| Net decrease in net assets resulting from operations | | | (1,147,826 | ) | | | (13,522,707 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 206,683 | | | | 29,768,714 | |
| C-Class | | | 523,853 | | | | 6,213,193 | |
| H-Class | | | 59,188,748 | | | | 307,332,512 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (163,256 | ) | | | (31,305,259 | ) |
| C-Class | | | (1,370,660 | ) | | | (6,576,491 | ) |
| H-Class | | | (77,179,085 | ) | | | (356,380,909 | ) |
| Net decrease from capital share transactions | | | (18,793,717 | ) | | | (50,948,240 | ) |
| Net decrease in net assets | | | (19,941,543 | ) | | | (64,470,947 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 32,799,846 | | | | 97,270,793 | |
| End of period | | $ | 12,858,303 | | | $ | 32,799,846 | |
| Accumulated net investment loss at end of period | | $ | (124,844 | ) | | $ | (9,714 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 5,552 | | | | 911,948 | |
| C-Class | | | 14,941 | | | | 183,065 | |
| H-Class | | | 1,601,623 | | | | 8,576,270 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (4,426 | ) | | | (943,812 | ) |
| C-Class | | | (39,634 | ) | | | (201,004 | ) |
| H-Class | | | (2,107,843 | ) | | | (10,359,949 | ) |
| Net decrease in shares | | | (529,787 | ) | | | (1,833,482 | ) |
| 154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P smallcap 600 PURE growth FUND |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.97 | | | $ | 36.06 | | | $ | 28.49 | | | $ | 16.93 | | | $ | 27.43 | | | $ | 32.61 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.18 | ) | | | (.35 | ) | | | (.34 | ) | | | (.28 | ) | | | (.19 | ) | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .56 | | | | 2.26 | | | | 7.91 | | | | 11.84 | | | | (10.31 | ) | | | (3.72 | ) |
| Total from investment operations | | | .38 | | | | 1.91 | | | | 7.57 | | | | 11.56 | | | | (10.50 | ) | | | (3.85 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Net asset value, end of period | | $ | 38.35 | | | $ | 37.97 | | | $ | 36.06 | | | $ | 28.49 | | | $ | 16.93 | | | $ | 27.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.00 | % | | | 5.30 | % | | | 26.57 | % | | | 68.28 | % | | | (33.28 | %) | | | (12.27 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,071 | | | $ | 1,018 | | | $ | 2,115 | | | $ | 750 | | | $ | 117 | | | $ | 1,938 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.96 | %) | | | (1.00 | %) | | | (1.15 | %) | | | (1.15 | %) | | | (0.73 | %) | | | (0.40 | %) |
| Total expenses | | | 1.49 | % | | | 1.52 | % | | | 1.54 | % | | | 1.54 | % | | | 1.54 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 231 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % | | | 834 | % |
| | | | | | | | | | | | | | | | | | | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 35.79 | | | $ | 34.25 | | | $ | 27.25 | | | $ | 16.32 | | | $ | 26.65 | | | $ | 31.94 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.30 | ) | | | (.57 | ) | | | (.54 | ) | | | (.42 | ) | | | (.32 | ) | | | (.51 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .52 | | | | 2.11 | | | | 7.54 | | | | 11.35 | | | | (10.01 | ) | | | (3.45 | ) |
| Total from investment operations | | | .22 | | | | 1.54 | | | | 7.00 | | | | 10.93 | | | | (10.33 | ) | | | (3.96 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Net asset value, end of period | | $ | 36.01 | | | $ | 35.79 | | | $ | 34.25 | | | $ | 27.25 | | | $ | 16.32 | | | $ | 26.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.61 | % | | | 4.50 | % | | | 25.69 | % | | | 66.97 | % | | | (38.76 | %) | | | (12.88 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,694 | | | $ | 2,568 | | | $ | 3,072 | | | $ | 1,658 | | | $ | 369 | | | $ | 1,980 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.73 | %) | | | (1.71 | %) | | | (1.80 | %) | | | (1.82 | %) | | | (1.28 | %) | | | (1.57 | %) |
| Total expenses | | | 2.24 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 231 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % | | | 834 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
| S&P SMALLCAP 600 PURE GROWTH FUND |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.97 | | | $ | 36.07 | | | $ | 28.48 | | | $ | 16.94 | | | $ | 27.45 | | | $ | 32.62 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.19 | ) | | | (.39 | ) | | | (.34 | ) | | | (.25 | ) | | | (.13 | ) | | | (.26 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .58 | | | | 2.29 | | | | 7.93 | | | | 11.79 | | | | (10.38 | ) | | | (3.58 | ) |
| Total from investment operations | | | .39 | | | | 1.90 | | | | 7.59 | | | | 11.54 | | | | (10.51 | ) | | | (3.84 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.33 | ) |
| Net asset value, end of period | | $ | 38.36 | | | $ | 37.97 | | | $ | 36.07 | | | $ | 28.48 | | | $ | 16.94 | | | $ | 27.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.03 | % | | | 5.27 | % | | | 26.65 | % | | | 68.12 | % | | | (38.29 | %) | | | (12.23 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,093 | | | $ | 29,214 | | | $ | 92,084 | | | $ | 10,072 | | | $ | 9,795 | | | $ | 6,259 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.03 | %) | | | (1.10 | %) | | | (1.07 | %) | | | (1.05 | %) | | | (0.55 | %) | | | (0.79 | %) |
| Total expenses | | | 1.49 | % | | | 1.52 | % | | | 1.55 | % | | | 1.53 | % | | | 1.56 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 231 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % | | | 834 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
S&P SMALLCAP 600 PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | September 1, 2004 | |
| C-Class | | February 20, 2004 | |
| H-Class | | February 20, 2004 | |
| | | | |
| Ten Largest Holdings(% of Total Net Assets) |
| | | | |
| Tuesday Morning Corp. | | | 2.7 | % |
| Gentiva Health Services, Inc. | | | 2.5 | % |
| Marriott Vacations Worldwide Corp. | | | 2.3 | % |
| Healthways, Inc. | | | 2.2 | % |
| Perry Ellis International, Inc. | | | 1.9 | % |
| OfficeMax, Inc. | | | 1.8 | % |
| Brown Shoe Company, Inc. | | | 1.8 | % |
| Stewart Information Services Corp. | | | 1.8 | % |
| Skechers U.S.A., Inc. — Class A | | | 1.6 | % |
| Amedisys, Inc. | | | 1.6 | % |
| Top Ten Total | | | 20.2 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| S&P SMALLCAP 600 PURE value FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.4% | | | | | | | | |
| | | | | | | | | |
| Consumer Discretionary - 37.3% | | | | | | | | |
| Tuesday Morning Corp.* | | | 71,649 | | | $ | 469,301 | |
| Marriott Vacations Worldwide Corp.* | | | 10,996 | | | | 396,076 | |
| Perry Ellis International, Inc.* | | | 14,540 | | | | 320,607 | |
| OfficeMax, Inc. | | | 40,381 | | | | 315,375 | |
| Brown Shoe Company, Inc. | | | 19,225 | | | | 308,176 | |
| Skechers U.S.A., Inc. — Class A* | | | 13,729 | | | | 280,072 | |
| VOXX International Corp. — Class A* | | | 28,414 | | | | 212,537 | |
| MarineMax, Inc.* | | | 25,151 | | | | 208,502 | |
| Stage Stores, Inc. | | | 9,849 | | | | 207,420 | |
| Boyd Gaming Corp.* | | | 28,359 | | | | 200,215 | |
| Stein Mart, Inc.* | | | 22,824 | | | | 194,232 | |
| Sonic Automotive, Inc. — Class A | | | 8,430 | | | | 160,002 | |
| M/I Homes, Inc.* | | | 7,943 | | | | 153,618 | |
| American Greetings Corp. — Class A1 | | | 9,120 | | | | 153,216 | |
| Standard Pacific Corp.* | | | 22,515 | | | | 152,201 | |
| Big 5 Sporting Goods Corp. | | | 14,365 | | | | 142,932 | |
| Ruby Tuesday, Inc.* | | | 19,659 | | | | 142,528 | |
| Zale Corp.* | | | 20,443 | | | | 141,057 | |
| Quiksilver, Inc.* | | | 41,062 | | | | 136,326 | |
| Group 1 Automotive, Inc. | | | 2,187 | | | | 131,723 | |
| Callaway Golf Co. | | | 20,101 | | | | 123,421 | |
| Lithia Motors, Inc. — Class A | | | 3,682 | | | | 122,647 | |
| Fred’s, Inc. — Class A | | | 8,518 | | | | 121,211 | |
| Winnebago Industries, Inc.* | | | 9,567 | | | | 120,831 | |
| Christopher & Banks Corp. | | | 33,462 | | | | 117,452 | |
| Spartan Motors, Inc. | | | 22,887 | | | | 114,435 | |
| Career Education Corp.* | | | 30,156 | | | | 113,688 | |
| Lincoln Educational Services Corp. | | | 26,487 | | | | 111,245 | |
| Pep Boys-Manny Moe & Jack | | | 10,213 | | | | 103,968 | |
| Digital Generation, Inc.* | | | 7,838 | | | | 89,040 | |
| Haverty Furniture Companies, Inc. | | | 6,166 | | | | 85,584 | |
| EW Scripps Co. — Class A* | | | 7,762 | | | | 82,665 | |
| Corinthian Colleges, Inc.* | | | 33,776 | | | | 80,387 | |
| Superior Industries International, Inc. | | | 4,630 | | | | 79,127 | |
| Cabela’s, Inc.* | | | 1,382 | | | | 75,568 | |
| La-Z-Boy, Inc.* | | | 4,622 | | | | 67,620 | |
| Coldwater Creek, Inc.* | | | 79,722 | | | | 66,169 | |
| Ruth’s Hospitality Group, Inc.* | | | 8,313 | | | | 52,954 | |
| Universal Electronics, Inc.* | | | 2,864 | | | | 50,349 | |
| Jack in the Box, Inc.* | | | 1,728 | | | | 48,574 | |
| Red Robin Gourmet Burgers, Inc.* | | | 1,352 | | | | 44,021 | |
| Live Nation Entertainment, Inc.* | | | 5,092 | | | | 43,842 | |
| JAKKS Pacific, Inc. | | | 2,457 | | | | 35,798 | |
| Harte-Hanks, Inc. | | | 4,855 | | | | 33,645 | |
| Total Consumer Discretionary | | | | | | | 6,410,357 | |
| | | | | | | | | |
| Industrials - 12.9% | | | | | | | | |
| SkyWest, Inc. | | | 18,398 | | | | 190,051 | |
| Orion Marine Group, Inc.* | | | 25,120 | | | | 186,643 | |
| Universal Forest Products, Inc. | | | 4,369 | | | | 181,489 | |
| Kelly Services, Inc. — Class A | | | 11,408 | | | | 143,740 | |
| CDI Corp. | | | 8,219 | | | | 139,970 | |
| Griffon Corp. | | | 11,740 | | | | 120,922 | |
| AAR Corp. | | | 7,198 | | | | 118,191 | |
| Lydall, Inc.* | | | 8,085 | | | | 113,917 | |
| Briggs & Stratton Corp. | | | 6,013 | | | | 112,263 | |
| Aegion Corp. — Class A* | | | 4,783 | | | | 91,642 | |
| EnerSys, Inc.* | | | 2,322 | | | | 81,944 | |
| Comfort Systems USA, Inc. | | | 7,197 | | | | 78,663 | |
| ABM Industries, Inc. | | | 3,983 | | | | 75,398 | |
| Apogee Enterprises, Inc. | | | 3,823 | | | | 75,007 | |
| Viad Corp. | | | 3,531 | | | | 73,657 | |
| Geo Group, Inc. | | | 2,282 | | | | 63,143 | |
| United Stationers, Inc. | | | 2,364 | | | | 61,511 | |
| G&K Services, Inc. — Class A | | | 1,701 | | | | 53,258 | |
| Standex International Corp. | | | 1,118 | | | | 49,695 | |
| EMCOR Group, Inc. | | | 1,693 | | | | 48,318 | |
| Powell Industries, Inc.* | | | 1,223 | | | | 47,293 | |
| Lawson Products, Inc. | | | 6,330 | | | | 43,804 | |
| Insperity, Inc. | | | 1,481 | | | | 37,366 | |
| Arkansas Best Corp. | | | 4,258 | | | | 33,723 | |
| Total Industrials | | | | | | | 2,221,608 | |
| | | | | | | | | |
| Health Care - 12.8% | | | | | | | | |
| Gentiva Health Services, Inc.* | | | 37,402 | | | | 423,391 | |
| Healthways, Inc.* | | | 31,561 | | | | 369,579 | |
| Amedisys, Inc.* | | | 20,215 | | | | 279,169 | |
| Kindred Healthcare, Inc.* | | | 18,113 | | | | 206,126 | |
| Almost Family, Inc.* | | | 9,633 | | | | 204,990 | |
| LHC Group, Inc.* | | | 8,805 | | | | 162,628 | |
| Molina Healthcare, Inc.* | | | 5,610 | | | | 141,092 | |
| Cross Country Healthcare, Inc.* | | | 26,023 | | | | 122,829 | |
| PharMerica Corp.* | | | 7,982 | | | | 101,052 | |
| Symmetry Medical, Inc.* | | | 6,571 | | | | 64,987 | |
| Natus Medical, Inc.* | | | 4,705 | | | | 61,494 | |
| Invacare Corp. | | | 4,321 | | | | 61,099 | |
| Total Health Care | | | | | | | 2,198,436 | |
| | | | | | | | | |
| Financials - 12.5% | | | | | | | | |
| Stewart Information Services Corp. | | | 15,078 | | | | 303,671 | |
| Horace Mann Educators Corp. | | | 12,147 | | | | 219,982 | |
| Piper Jaffray Cos.* | | | 6,009 | | | | 152,928 | |
| Presidential Life Corp. | | | 9,966 | | | | 138,826 | |
| United Fire Group, Inc. | | | 4,388 | | | | 110,227 | |
| First Commonwealth Financial Corp. | | | 15,020 | | | | 105,892 | |
| Selective Insurance Group, Inc. | | | 5,530 | | | | 105,015 | |
| Susquehanna Bancshares, Inc. | | | 9,643 | | | | 100,866 | |
| Tower Group, Inc. | | | 4,852 | | | | 94,080 | |
| First BanCorp* | | | 20,081 | | | | 88,758 | |
| Wintrust Financial Corp. | | | 2,219 | | | | 83,368 | |
| Investment Technology Group, Inc.* | | | 9,565 | | | | 83,216 | |
| Parkway Properties, Inc. | | | 5,422 | | | | 72,492 | |
| PrivateBancorp, Inc. — Class A | | | 4,352 | | | | 69,588 | |
| Cedar Realty Trust, Inc. | | | 13,032 | | | | 68,809 | |
| SWS Group, Inc.* | | | 9,617 | | | | 58,760 | |
| Safety Insurance Group, Inc. | | | 1,243 | | | | 57,029 | |
| United Community Banks, Inc.* | | | 6,619 | | | | 55,533 | |
| Meadowbrook Insurance Group, Inc. | | | 6,686 | | | | 51,415 | |
| National Financial Partners Corp.* | | | 2,792 | | | | 47,185 | |
| Prospect Capital Corp. | | | 3,954 | | | | 45,550 | |
| Calamos Asset Management, Inc. — Class A | | | 3,567 | | | | 41,520 | |
| Total Financials | | | | | | | 2,154,710 | |
| 158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| S&P SMALLCAP 600 PURE VALUE FUND |
| | | Shares | | | Value | |
| INFORMATION TECHNOLOGY - 11.4% | | | | | | | | |
| SYNNEX Corp.* | | | 5,423 | | | $ | 176,681 | |
| Benchmark Electronics, Inc.* | | | 10,961 | | | | 167,374 | |
| Insight Enterprises, Inc.* | | | 9,298 | | | | 162,529 | |
| Black Box Corp. | | | 5,035 | | | | 128,443 | |
| Sigma Designs, Inc.* | | | 16,784 | | | | 110,942 | |
| United Online, Inc. | | | 18,122 | | | | 100,033 | |
| NCI, Inc. — Class A* | | | 12,410 | | | | 85,381 | |
| Radisys Corp.* | | | 23,541 | | | | 84,748 | |
| CTS Corp. | | | 8,121 | | | | 81,778 | |
| Intevac, Inc.* | | | 12,434 | | | | 75,972 | |
| Brightpoint, Inc.* | | | 8,364 | | | | 75,109 | |
| ScanSource, Inc.* | | | 2,303 | | | | 73,742 | |
| Pericom Semiconductor Corp.* | | | 7,749 | | | | 67,300 | |
| Cohu, Inc. | | | 7,163 | | | | 67,260 | |
| Avid Technology, Inc.* | | | 6,734 | | | | 63,704 | |
| Plexus Corp.* | | | 1,949 | | | | 59,035 | |
| Checkpoint Systems, Inc.* | | | 6,946 | | | | 57,513 | |
| Advanced Energy Industries, Inc.* | | | 4,668 | | | | 57,510 | |
| Bel Fuse, Inc. — Class B | | | 2,915 | | | | 54,452 | |
| CIBER, Inc.* | | | 13,734 | | | | 47,657 | |
| Anixter International, Inc. | | | 799 | | | | 45,911 | |
| TTM Technologies, Inc.* | | | 4,771 | | | | 44,991 | |
| Novatel Wireless, Inc.* | | | 21,140 | | | | 41,857 | |
| DSP Group, Inc.* | | | 6,373 | | | | 37,856 | |
| Total Information Technology | | | | | | | 1,967,778 | |
| MATERIALS - 5.4% | | | | | | | | |
| A. Schulman, Inc. | | | 5,579 | | | | 132,891 | |
| OM Group, Inc.* | | | 6,593 | | | | 122,234 | |
| PolyOne Corp. | | | 6,843 | | | | 113,389 | |
| Wausau Paper Corp. | | | 11,430 | | | | 105,841 | |
| Neenah Paper, Inc. | | | 3,226 | | | | 92,393 | |
| Materion Corp. | | | 3,701 | | | | 88,084 | |
| AM Castle & Co.* | | | 6,906 | | | | 86,256 | |
| Olympic Steel, Inc. | | | 3,955 | | | | 66,760 | |
| Century Aluminum Co.* | | | 7,411 | | | | 52,989 | |
| SunCoke Energy, Inc.* | | | 2,765 | | | | 44,572 | |
| AK Steel Holding Corp. | | | 4,836 | | | | 23,213 | |
| Total Materials | | | | | | | 928,622 | |
| CONSUMER STAPLES - 4.6% | | | | | | | | |
| Seneca Foods Corp. — Class A* | | | 7,681 | | | | 229,354 | |
| Central Garden and Pet Co. — Class A* | | | 14,444 | | | | 174,484 | |
| Nash Finch Co. | | | 6,119 | | | | 124,950 | |
| Spartan Stores, Inc. | | | 7,198 | | | | 110,201 | |
| Andersons, Inc. | | | 2,652 | | | | 99,874 | |
| Alliance One International, Inc.* | | | 14,333 | | | | 46,296 | |
| Total Consumer Staples | | | | | | | 785,159 | |
| ENERGY - 2.2% | | | | | | | | |
| Exterran Holdings, Inc.* | | | 11,852 | | | | 240,359 | |
| Matrix Service Co.* | | | 9,623 | | | | 101,715 | |
| Overseas Shipholding Group, Inc. | | | 6,155 | | | | 40,623 | |
| Total Energy | | | | | | | 382,697 | |
| UTILITIES - 0.3% | | | | | | | | |
| Laclede Group, Inc. | | | 1,010 | | | | 43,430 | |
| Total Common Stocks | | | | | | | | |
| (Cost $13,340,944) | | | | | | | 17,092,797 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 65,121 | | | | 65,121 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 37,468 | | | | 37,468 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 21,375 | | | | 21,375 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $123,964) | | | | | | | 123,964 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.5% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 39,778 | | | | 39,778 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 39,147 | | | | 39,147 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $78,925) | | | | | | | 78,925 | |
| Total Investments - 100.6% | | | | | | | | |
| (Cost $13,543,833) | | | | | | $ | 17,295,686 | |
| Other Assets & Liabilities, net - (0.6)% | | | | | | | (96,612 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 17,199,074 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
| S&P SMALLCAP 600 PURE VALUE FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value - including $75,768 of | | | | |
| securities loaned | | | | |
| (cost $13,419,869) | | $ | 17,171,722 | |
| Repurchase agreements, at value | | | | |
| (cost $123,964) | | | 123,964 | |
| Total investments | | | | |
| (cost $13,543,833) | | | 17,295,686 | |
| Receivables: | | | | |
| Dividends | | | 10,894 | |
| Interest | | | 99 | |
| Total assets | | | 17,306,679 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 78,925 | |
| Management fees | | | 12,344 | |
| Distribution and service fees | | | 5,399 | |
| Transfer agent and administrative fees | | | 4,114 | |
| Portfolio accounting fees | | | 1,646 | |
| Miscellaneous | | | 5,177 | |
| Total liabilities | | | 107,605 | |
| Net assets | | $ | 17,199,074 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 49,627,876 | |
| Accumulated net investment loss | | | (172,741 | ) |
| Accumulated net realized loss on investments | | | (36,007,914 | ) |
| Net unrealized appreciation on investments | | | 3,751,853 | |
| Net assets | | $ | 17,199,074 | |
| A-Class: | | | | |
| Net assets | | $ | 776,743 | |
| Capital shares outstanding | | | 45,366 | |
| Net asset value per share | | $ | 17.12 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 17.97 | |
| C-Class: | | | | |
| Net assets | | $ | 2,710,259 | |
| Capital shares outstanding | | | 176,074 | |
| Net asset value per share | | $ | 15.39 | |
| H-Class: | | | | |
| Net assets | | $ | 13,712,072 | |
| Capital shares outstanding | | | 804,340 | |
| Net asset value per share | | $ | 17.05 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends | | $ | 106,326 | |
| Income from securities lending, net | | | 97 | |
| Interest | | | 69 | |
| Total investment income | | | 106,492 | |
| Expenses: | | | | |
| Management fees | | | 74,352 | |
| Transfer agent and administrative fees | | | 24,784 | |
| Distribution and service fees: | | | | |
| A-Class | | | 948 | |
| C-Class | | | 10,307 | |
| H-Class | | | 21,259 | |
| Portfolio accounting fees | | | 9,913 | |
| Registration fees | | | 7,791 | |
| Trustees’ fees* | | | 1,940 | |
| Custodian fees | | | 1,936 | |
| Miscellaneous | | | 1,880 | |
| Total expenses | | | 155,110 | |
| Net investment loss | | | (48,618 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 263,016 | |
| Net realized gain | | | 263,016 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (2,569,537 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (2,569,537 | ) |
| Net realized and unrealized loss | | | (2,306,521 | ) |
| Net decrease in net assets resulting from operations | | $ | (2,355,139 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600 PURE VALUE FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | | | | | |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (48,618 | ) | | $ | (211,950 | ) |
| Net realized gain on investments | | | 263,016 | | | | 801,799 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,569,537 | ) | | | 1,398,357 | |
| Net increase (decrease) in net assets resulting from operations | | | (2,355,139 | ) | | | 1,988,206 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 275,840 | | | | 1,607,485 | |
| C-Class | | | 1,655,937 | | | | 3,511,546 | |
| H-Class | | | 94,765,537 | | | | 235,758,088 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (454,113 | ) | | | (8,919,019 | ) |
| C-Class | | | (881,332 | ) | | | (3,810,568 | ) |
| H-Class | | | (103,021,159 | ) | | | (229,990,161 | ) |
| Net decrease from capital share transactions | | | (7,659,290 | ) | | | (1,842,629 | ) |
| Net increase (decrease) in net assets | | | (10,014,429 | ) | | | 145,577 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 27,213,503 | | | | 27,067,926 | |
| End of period | | $ | 17,199,074 | | | $ | 27,213,503 | |
| Accumulated net investment loss at end of period | | $ | (172,741 | ) | | $ | (124,123 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 18,415 | | | | 93,288 | |
| C-Class | | | 110,403 | | | | 248,404 | |
| H-Class | | | 5,939,445 | | | | 15,003,556 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (29,375 | ) | | | (544,754 | ) |
| C-Class | | | (61,239 | ) | | | (262,957 | ) |
| H-Class | | | (6,564,291 | ) | | | (14,494,039 | ) |
| Net increase (decrease) in shares | | | (586,642 | ) | | | 43,498 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
| S&P SMALLCAP 600 PURE VALUE FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.07 | | | $ | 17.42 | | | $ | 19.60 | | | $ | 11.08 | | | $ | 26.56 | | | $ | 35.54 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.03 | ) | | | (.12 | ) | | | (.13 | ) | | | (.13 | ) | | | .50 | | | | .26 | |
| Net gain (loss) on investments (realized and unrealized) | | | .08 | | | | (.23 | ) | | | 1.20 | | | | 15.44 | | | | (15.61 | ) | | | (8.97 | ) |
| Total from investment operations | | | .05 | | | | (.35 | ) | | | 1.07 | | | | 15.31 | | | | (15.11 | ) | | | (8.71 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) | | | (.27 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 17.12 | | | $ | 17.07 | | | $ | 17.42 | | | $ | 19.60 | | | $ | 11.08 | | | $ | 26.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.29 | % | | | (2.01 | %) | | | 6.98 | % | | | 150.09 | % | | | (57.21 | %) | | | (24.54 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 777 | | | $ | 961 | | | $ | 8,845 | | | $ | 5,529 | | | $ | 78 | | | $ | 2,945 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.42 | %) | | | (0.71 | %) | | | (0.73 | %) | | | (0.62 | %) | | | 2.04 | % | | | 0.82 | % |
| Total expenses | | | 1.49 | % | | | 1.53 | % | | | 1.53 | % | | | 1.53 | % | | | 1.54 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 350 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % | | | 566 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.40 | | | $ | 15.85 | | | $ | 18.27 | | | $ | 10.62 | | | $ | 25.71 | | | $ | 34.68 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.09 | ) | | | (.20 | ) | | | (.23 | ) | | | (.27 | ) | | | .04 | | | | .28 | |
| Net gain (loss) on investments (realized and unrealized) | | | .08 | | | | (.25 | ) | | | 1.06 | | | | 14.71 | | | | (14.76 | ) | | | (8.98 | ) |
| Total from investment operations | | | (.01 | ) | | | (.45 | ) | | | .83 | | | | 14.44 | | | | (14.72 | ) | | | (8.70 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) | | | (.27 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 15.39 | | | $ | 15.40 | | | $ | 15.85 | | | $ | 18.27 | | | $ | 10.62 | | | $ | 25.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.06 | %) | | | (2.84 | %) | | | 6.12 | % | | | 148.23 | % | | | (57.59 | %) | | | (25.12 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,710 | | | $ | 1,955 | | | $ | 2,243 | | | $ | 8,999 | | | $ | 691 | | | $ | 14,040 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.19 | %) | | | (1.39 | %) | | | (1.37 | %) | | | (1.39 | %) | | | 0.21 | % | | | 0.99 | % |
| Total expenses | | | 2.24 | % | | | 2.26 | % | | | 2.28 | % | | | 2.28 | % | | | 2.32 | % | | | 2.26 | % |
| Portfolio turnover rate | | | 350 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % | | | 566 | % |
| 162 | THE RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.00 | | | $ | 17.38 | | | $ | 19.57 | | | $ | 11.07 | | | $ | 26.53 | | | $ | 35.51 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.03 | ) | | | (.11 | ) | | | (.11 | ) | | | (.12 | ) | | | .27 | | | | .33 | |
| Net gain (loss) on investments (realized and unrealized) | | | .08 | | | | (.27 | ) | | | 1.17 | | | | 15.41 | | | | (15.36 | ) | | | (9.04 | ) |
| Total from investment operations | | | .05 | | | | (.38 | ) | | | 1.06 | | | | 15.29 | | | | (15.09 | ) | | | (8.71 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) | | | (.27 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 17.05 | | | $ | 17.00 | | | $ | 17.38 | | | $ | 19.57 | | | $ | 11.07 | | | $ | 26.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.29 | % | | | (2.19 | %) | | | 6.94 | % | | | 150.07 | % | | | (57.20 | %) | | | (24.56 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 13,712 | | | $ | 24,298 | | | $ | 15,980 | | | $ | 216,500 | | | $ | 21,489 | | | $ | 51,563 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.41 | %) | | | (0.69 | %) | | | (0.56 | %) | | | 0.62 | % | | | 1.40 | % | | | 1.04 | % |
| Total expenses | | | 1.49 | % | | | 1.49 | % | | | 1.54 | % | | | 1.54 | % | | | 1.55 | % | | | 1.48 | % |
| Portfolio turnover rate | | | 350 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % | | | 566 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX 50® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | March 31, 2004 |
| C-Class | May 10, 2001 |
| H-Class | May 8, 2000 |
| Ten Largest Holdings (% of Total Net Assets) | |
| Nestle S.A. ADR | 6.5% |
| Novartis AG ADR | 4.9% |
| Vodafone Group plc ADR | 4.0% |
| HSBC Holdings plc ADR | 3.9% |
| Roche Holding AG ADR | 3.8% |
| GlaxoSmithKline plc ADR | 3.7% |
| Royal Dutch Shell plc ADR | 3.7% |
| BP plc ADR | 3.6% |
| Total S.A. ADR | 3.5% |
| British American Tobacco plc ADR | 3.4% |
| Top Ten Total | 41.0% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| EUROPE 1.25x STRATEGY FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 83.9% | | | | | | | | |
| FINANCIALS - 17.9% | | | | | | | | |
| HSBC Holdings plc ADR | | | 32,606 | | | $ | 1,514,875 | |
| Allianz SE ADR | | | 108,817 | | | | 1,291,658 | |
| Deutsche Bank AG | | | 23,901 | | | | 947,674 | |
| Banco Santander S.A. ADR | | | 110,521 | | | | 824,487 | |
| UBS AG | | | 52,382 | | | | 638,013 | |
| ING Groep N.V. ADR* | | | 73,436 | | | | 579,410 | |
| Barclays plc ADR | | | 41,197 | | | | 571,402 | |
| Banco Bilbao Vizcaya Argentaria S.A. ADR | | | 64,329 | | | | 498,550 | |
| Total Financials | | | | | | | 6,866,069 | |
| HEALTH CARE - 17.7% | | | | | | | | |
| Novartis AG ADR | | | 31,111 | | | | 1,905,861 | |
| Roche Holding AG ADR | | | 31,053 | | | | 1,459,180 | |
| GlaxoSmithKline plc ADR | | | 30,654 | | | | 1,417,441 | |
| Sanofi ADR | | | 30,689 | | | | 1,321,468 | |
| AstraZeneca plc ADR | | | 15,318 | | | | 733,119 | |
| Total Health Care | | | | | | | 6,837,069 | |
| CONSUMER STAPLES - 14.8% | | | | | | | | |
| Nestle S.A. ADR | | | 39,776 | | | | 2,514,241 | |
| British American Tobacco plc ADR | | | 12,891 | | | | 1,323,132 | |
| Diageo plc ADR | | | 9,232 | | | | 1,040,723 | |
| Unilever N.V. | | | 23,097 | | | | 819,482 | |
| Total Consumer Staples | | | | | | | 5,697,578 | |
| ENERGY - 12.6% | | | | | | | | |
| Royal Dutch Shell plc ADR | | | 20,294 | | | | 1,408,606 | |
| BP plc ADR | | | 33,098 | | | | 1,402,031 | |
| Total S.A. ADR | | | 26,829 | | | | 1,344,133 | |
| Eni SpA ADR | | | 15,959 | | | | 699,643 | |
| Total Energy | | | | | | | 4,854,413 | |
| TELECOMMUNICATION SERVICES - 7.7% | | | | | | | | |
| Vodafone Group plc ADR | | | 54,194 | | | | 1,544,258 | |
| Telefonica S.A. ADR | | | 43,324 | | | | 575,343 | |
| Deutsche Telekom AG ADR | | | 41,334 | | | | 509,648 | |
| France Telecom S.A. ADR | | | 28,679 | | | | 350,457 | |
| Total Telecommunication Services | | | | | | | 2,979,706 | |
| MATERIALS - 4.4% | | | | | | | | |
| BHP Billiton Ltd. ADR | | | 10,106 | | | | 693,372 | |
| Rio Tinto plc ADR1 | | | 13,314 | | | | 622,563 | |
| Anglo American plc ADR | | | 25,241 | | | | 369,781 | |
| Total Materials | | | | | | | 1,685,716 | |
| INDUSTRIALS - 4.2% | | | | | | | | |
| Siemens AG ADR | | | 11,496 | | | | 1,151,325 | |
| ABB Ltd. ADR | | | 25,926 | | | | 484,816 | |
| Total Industrials | | | | | | | 1,636,141 | |
| INFORMATION TECHNOLOGY - 3.0% | | | | | | | | |
| SAP AG ADR | | | 11,324 | | | | 807,741 | |
| Telefonaktiebolaget LM Ericsson — | | | | | | | | |
| Class B ADR | | | 38,540 | | | | 351,870 | |
| Total Information Technology | | | | | | | 1,159,611 | |
| CONSUMER DISCRETIONARY - 1.6% | | | | | | | | |
| Daimler AG | | | 13,037 | | | | 634,798 | |
| Total Common Stocks | | | | | | | | |
| (Cost $31,680,354) | | | | | | | 32,351,101 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 13.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 $ | | $ | 2,700,156 | | | | 2,700,156 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 1,553,563 | | | | 1,553,563 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 886,266 | | | | 886,266 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $5,139,985) | | | | | | | 5,139,985 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.7% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 140,767 | | | | 140,767 | |
| Merrill Lynch, Pierce, | | | | | | | | |
| Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 138,533 | | | | 138,533 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $279,300) | | | | | | | 279,300 | |
| Total Investments - 97.9% | | | | | | | | |
| (Cost $37,099,639) | | | | | | $ | 37,770,386 | |
| Other Assets & Liabilities, net - 2.1% | | | | | | | 804,941 | |
| Total Net Assets - 100.0% | | | | | | $ | 38,575,327 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| EUROPE 1.25x STRATEGY FUND |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Euro FX Currency | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $15,754,725) | | | 98 | | | $ | (169,549 | ) |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 STOXX 50 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,934,588) | | | 60 | | | $ | (6,269 | ) |
| December 2012 EURO STOXX 50 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $13,890,523) | | | 441 | | | | (579,843 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $15,825,111) | | | | | | $ | (586,112 | ) |
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 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
ADR — American Depositary Receipt
plc — Public Limited Company
| 166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EUROPE 1.25x STRATEGY FUND |
| STATEMENT OF ASSETS | | | |
| AND LIABILITIES (Unaudited) | | | |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Investments, at value - including $266,532 of | | | | |
| securities loaned | | | | |
| (cost $31,959,654) | | $ | 32,630,401 | |
| Repurchase agreements, at value | | | | |
| (cost $5,139,985) | | | 5,139,985 | |
| Total investments | | | | |
| (cost $37,099,639) | | | 37,770,386 | |
| Segregated cash with broker | | | 1,507,601 | |
| Cash | | | 341,281 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,223,386 | |
| Dividends | | | 54,829 | |
| Foreign taxes reclaim | | | 9,835 | |
| Interest | | | 92 | |
| Total assets | | | 40,907,410 | |
| Liabilities: | | | | |
| Foreign currency, at value | | | | |
| (cost $330,429) | | | 330,429 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,285,133 | |
| Variation margin | | | 391,536 | |
| Payable upon return of securities loaned | | | 279,300 | |
| Management fees | | | 21,691 | |
| Distribution and service fees | | | 6,490 | |
| Transfer agent and administrative fees | | | 6,025 | |
| Portfolio accounting fees | | | 2,410 | |
| Miscellaneous | | | 9,069 | |
| Total liabilities | | | 2,332,083 | |
| Net assets | | $ | 38,575,327 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 56,124,036 | |
| Undistributed net investment income | | | 170,123 | |
| Accumulated net realized loss on investments | | | (17,634,668 | ) |
| Net unrealized depreciation on investments | | | (84,164 | ) |
| Net assets | | $ | 38,575,327 | |
| A-Class: | | | | |
| Net assets | | $ | 15,377,858 | |
| Capital shares outstanding | | | 1,199,161 | |
| Net asset value per share | | $ | 12.82 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.46 | |
| C-Class: | | | | |
| Net assets | | $ | 836,365 | |
| Capital shares outstanding | | | 71,410 | |
| Net asset value per share | | $ | 11.71 | |
| H-Class: | | | | |
| Net assets | | $ | 22,361,104 | |
| Capital shares outstanding | | | 1,740,470 | |
| Net asset value per share | | $ | 12.85 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $12,703) | | $ | 158,756 | |
| Interest | | | 2,653 | |
| Income from securities lending, net | | | 23 | |
| Total investment income | | | 161,432 | |
| Expenses: | | | | |
| Management fees | | | 60,659 | |
| Transfer agent and administrative fees | | | 16,849 | |
| Distribution and service fees: | | | | |
| A-Class | | | 6,253 | |
| C-Class | | | 2,104 | |
| H-Class | | | 10,071 | |
| Portfolio accounting fees | | | 6,740 | |
| Custodian fees | | | 1,174 | |
| Trustees’ fees* | | | 756 | |
| Miscellaneous | | | 8,051 | |
| Total expenses | | | 112,657 | |
| Net investment income | | | 48,775 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (703,361 | ) |
| Futures contracts | | | (8,547 | ) |
| Foreign currency | | | (6,283 | ) |
| Net realized loss | | | (718,191 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 596,857 | |
| Futures contracts | | | (630,719 | ) |
| Foreign currency | | | 1,129 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (32,733 | ) |
| Net realized and unrealized loss | | | (750,924 | ) |
| Net decrease in net assets resulting from operations | | $ | (702,149 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 167 |
| EUROPE 1.25x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | | | | | |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 48,775 | | | $ | 156,975 | |
| Net realized gain (loss) on investments | | | (718,191 | ) | | | 600,098 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (32,733 | ) | | | (2,515,876 | ) |
| Net decrease in net assets resulting from operations | | | (702,149 | ) | | | (1,758,803 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 50,463,790 | | | | 9,432,391 | |
| C-Class | | | 3,596,851 | | | | 14,386,018 | |
| H-Class | | | 98,772,978 | | | | 171,570,269 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (35,910,858 | ) | | | (8,804,569 | ) |
| C-Class | | | (3,200,114 | ) | | | (14,574,700 | ) |
| H-Class | | | (83,337,626 | ) | | | (185,689,568 | ) |
| Net increase (decrease) from capital share transactions | | | 30,385,021 | | | | (13,680,159 | ) |
| Net increase (decrease) in net assets | | | 29,682,872 | | | | (15,438,962 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 8,892,455 | | | | 24,331,417 | |
| End of period | | $ | 38,575,327 | | | $ | 8,892,455 | |
| Undistributed net investment income at end of period | | $ | 170,123 | | | $ | 121,348 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 4,019,860 | | | | 714,987 | |
| C-Class | | | 325,934 | | | | 1,264,090 | |
| H-Class | | | 8,105,068 | | | | 13,533,222 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (2,875,938 | ) | | | (692,132 | ) |
| C-Class | | | (292,614 | ) | | | (1,275,181 | ) |
| H-Class | | | (6,981,037 | ) | | | (14,569,374 | ) |
| Net increase (decrease) in shares | | | 2,301,273 | | | | (1,024,388 | ) |
| 168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EUROPE 1.25x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.57 | | | $ | 14.06 | | | $ | 14.18 | | | $ | 8.36 | | | $ | 22.25 | | | $ | 24.13 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .03 | | | | .10 | | | | .08 | | | | .04 | | | | .18 | | | | .62 | |
| Net gain (loss) on investments (realized and unrealized) | | | .22 | | | | (1.59 | ) | | | (.20 | ) | | | 5.78 | | | | (14.07 | ) | | | (1.57 | ) |
| Total from investment operations | | | .25 | | | | (1.49 | ) | | | (.12 | ) | | | 5.82 | | | | (13.89 | ) | | | (.95 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.23 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.70 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 12.82 | | | $ | 12.57 | | | $ | 14.06 | | | $ | 14.18 | | | $ | 8.36 | | | $ | 22.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.99 | % | | | (10.60 | %) | | | (0.85 | %) | | | 69.62 | % | | | (62.43 | %) | | | (4.60 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,378 | | | $ | 694 | | | $ | 455 | | | $ | 463 | | | $ | 316 | | | $ | 1,750 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.52 | % | | | 0.77 | % | | | 0.66 | % | | | 0.33 | % | | | 1.05 | % | | | 2.42 | % |
| Total expenses | | | 1.65 | % | | | 1.67 | % | | | 1.69 | % | | | 1.66 | % | | | 1.68 | % | | | 1.69 | % |
| Portfolio turnover rate | | | 339 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % | | | 320 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | �� | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 11.53 | | | $ | 12.97 | | | $ | 13.17 | | | $ | 7.83 | | | $ | 21.00 | | | $ | 22.98 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | — | d | | | — | d | | | .03 | | | | (.04 | ) | | | .07 | | | | .31 | |
| Net gain (loss) on investments (realized and unrealized) | | | .18 | | | | (1.44 | ) | | | (.23 | ) | | | 5.38 | | | | (13.24 | ) | | | (1.36 | ) |
| Total from investment operations | | | .18 | | | | (1.44 | ) | | | (.20 | ) | | | 5.34 | | | | (13.17 | ) | | | (1.05 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.23 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.07 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 11.71 | | | $ | 11.53 | | | $ | 12.97 | | | $ | 13.17 | | | $ | 7.83 | | | $ | 21.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.56 | % | | | (11.10 | %) | | | (1.52 | %) | | | 68.20 | % | | | (62.71 | %) | | | (5.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 836 | | | $ | 439 | | | $ | 638 | | | $ | 2,111 | | | $ | 754 | | | $ | 6,149 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.03 | % | | | 0.03 | % | | | 0.22 | % | | | (0.36 | %) | | | 0.42 | % | | | 1.27 | % |
| Total expenses | | | 2.40 | % | | | 2.43 | % | | | 2.43 | % | | | 2.42 | % | | | 2.43 | % | | | 2.40 | % |
| Portfolio turnover rate | | | 339 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % | | | 320 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
| EUROPE 1.25x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.59 | | | $ | 14.06 | | | $ | 14.20 | | | $ | 8.36 | | | $ | 22.26 | | | $ | 24.14 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .05 | | | | .16 | | | | .09 | | | | .03 | | | | .21 | | | | .57 | |
| Net gain (loss) on investments (realized and unrealized) | | | .21 | | | | (1.63 | ) | | | (.23 | ) | | | 5.81 | | | | (14.11 | ) | | | (1.52 | ) |
| Total from investment operations | | | .26 | | | | (1.47 | ) | | | (.14 | ) | | | 5.84 | | | | (13.90 | ) | | | (.95 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.23 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.07 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Net asset value, end of period | | $ | 12.85 | | | $ | 12.59 | | | $ | 14.06 | | | $ | 14.20 | | | $ | 8.36 | | | $ | 22.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.07 | % | | | (10.46 | %) | | | (0.99 | %) | | | 69.86 | % | | | (62.44 | %) | | | (4.60 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 22,361 | | | $ | 7,759 | | | $ | 23,238 | | | $ | 6,989 | | | $ | 4,739 | | | $ | 21,670 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.88 | % | | | 1.22 | % | | | 0.70 | % | | | 0.21 | % | | | 1.22 | % | | | 2.20 | % |
| Total expenses | | | 1.65 | % | | | 1.68 | % | | | 1.69 | % | | | 1.70 | % | | | 1.71 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 339 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % | | | 320 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Net investment income is less than $0.01 per share. |
| 170 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei 225 Stock Average Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 171 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| JAPAN 2x STRATEGY FUND |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 89.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 914,477 | | | $ | 914,477 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 526,153 | | | | 526,153 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 300,156 | | | | 300,156 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,740,786) | | | | | | | 1,740,786 | |
| Total Investments - 89.7% | | | | | | | | |
| (Cost $1,740,786) | | | | | | $ | 1,740,786 | |
| Other Assets & Liabilities, net - 10.3% | | | | | | | 199,931 | |
| Total Net Assets - 100.0% | | | | | | $ | 1,940,717 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Nikkei 225 (CME) | | | | | | | | |
| Index Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,860,625) | | | 87 | | | $ | 45,375 | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Japanese Yen | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,847,200) | | | 24 | | | $ | (5,979 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $1,740,786) | | $ | 1,740,786 | |
| Segregated cash with broker | | | 267,750 | |
| Receivables: | | | | |
| Fund shares sold | | | 9,509 | |
| Interest | | | 24 | |
| Total assets | | | 2,018,069 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Variation margin | | | 62,325 | |
| Fund shares redeemed | | | 10,497 | |
| Management fees | | | 1,869 | |
| Distribution and service fees | | | 665 | |
| Transfer agent and administrative fees | | | 623 | |
| Portfolio accounting fees | | | 249 | |
| Miscellaneous | | | 1,124 | |
| Total liabilities | | | 77,352 | |
| Net assets | | $ | 1,940,717 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 5,125,390 | |
| Accumulated net investment loss | | | (43,331 | ) |
| Accumulated net realized loss on investments | | | (3,180,738 | ) |
| Net unrealized appreciation on investments | | | 39,396 | |
| Net assets | | $ | 1,940,717 | |
| A-Class: | | | | |
| Net assets | | $ | 570,715 | |
| Capital shares outstanding | | | 43,597 | |
| Net asset value per share | | $ | 13.09 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.74 | |
| C-Class: | | | | |
| Net assets | | $ | 66,536 | |
| Capital shares outstanding | | | 5,259 | |
| Net asset value per share | | $ | 12.65 | |
| H-Class: | | | | |
| Net assets | | $ | 1,303,466 | |
| Capital shares outstanding | | | 99,358 | |
| Net asset value per share | | $ | 13.12 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Interest | | $ | 2,233 | |
| Total investment income | | | 2,233 | |
| Expenses: | | | | |
| Management fees | | | 15,827 | |
| Transfer agent and administrative fees | | | 5,276 | |
| Distribution and service fees: | | | | |
| A-Class | | | 880 | |
| C-Class | | | 574 | |
| H-Class | | | 4,252 | |
| Portfolio accounting fees | | | 2,110 | |
| Registration fees | | | 1,704 | |
| Trustees’ fees* | | | 406 | |
| Custodian fees | | | 379 | |
| Miscellaneous | | | 266 | |
| Total expenses | | | 31,674 | |
| Net investment loss | | | (29,441 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Futures contracts | | | (352,322 | ) |
| Net realized loss | | | (352,322 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Futures contracts | | | (653,306 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (653,306 | ) |
| Net realized and unrealized loss | | | (1,005,628 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,035,069 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
| JAPAN 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | | | | | |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (29,441 | ) | | $ | (105,948 | ) |
| Net realized loss on investments | | | (352,322 | ) | | | (1,311,288 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (653,306 | ) | | | 149,144 | |
| Net decrease in net assets resulting from operations | | | (1,035,069 | ) | | | (1,268,092 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 133,391 | | | | 6,900,436 | |
| C-Class | | | 469,540 | | | | 1,962,446 | |
| H-Class | | | 18,824,019 | | | | 59,130,720 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (776,357 | ) | | | (11,634,483 | ) |
| C-Class | | | (497,349 | ) | | | (1,938,876 | ) |
| H-Class | | | (21,320,124 | ) | | | (58,485,850 | ) |
| Net decrease from capital share transactions | | | (3,166,880 | ) | | | (4,065,607 | ) |
| Net decrease in net assets | | | (4,201,949 | ) | | | (5,333,699 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 6,142,666 | | | | 11,476,365 | |
| End of period | | $ | 1,940,717 | | | $ | 6,142,666 | |
| Accumulated net investment loss at end of period | | $ | (43,331 | ) | | $ | (13,890 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 9,624 | | | | 480,177 | |
| C-Class | | | 37,054 | | | | 143,517 | |
| H-Class | | | 1,433,339 | | | | 3,972,584 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (58,469 | ) | | | (784,460 | ) |
| C-Class | | | (41,145 | ) | | | (147,120 | ) |
| H-Class | | | (1,629,315 | ) | | | (4,034,878 | ) |
| Net decrease in shares | | | (248,912 | ) | | | (370,180 | ) |
| 174 | THE RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.45 | | | $ | 14.95 | | | $ | 16.49 | | | $ | 9.01 | | | $ | 25.12 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossc | | | (.09 | ) | | | (.22 | ) | | | (.24 | ) | | | (.19 | ) | | | (.06 | ) | | | (— | )d |
| Net gain (loss) on investments (realized and unrealized) | | | (2.27 | ) | | | .72 | | | | (1.30 | ) | | | 7.67 | | | | (16.24 | ) | | | .12 | |
| Total from investment operations | | | (2.36 | ) | | | .50 | | | | (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 | | $ | 13.09 | | | $ | 15.45 | | | $ | 14.95 | | | $ | 16.49 | | | $ | 9.01 | | | $ | 25.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnf | | | (15.28 | %) | | | 3.34 | % | | | (9.34 | %) | | | 83.02 | % | | | (64.10 | %)e | | | 0.48 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 571 | | | $ | 1,428 | | | $ | 5,931 | | | $ | 2,234 | | | $ | 299 | | | $ | 636 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.37 | %) | | | (1.49 | %) | | | (1.45 | %) | | | (1.42 | %) | | | (0.42 | %) | | | (0.12 | %) |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.55 | % | | | 1.53 | % | | | 1.53 | % | | | 1.25 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.99 | | | $ | 14.60 | | | $ | 16.23 | | | $ | 8.94 | | | $ | 25.10 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossc | | | (.13 | ) | | | (.31 | ) | | | (.31 | ) | | | (.31 | ) | | | (.17 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.21 | ) | | | .70 | | | | (1.32 | ) | | | 7.60 | | | | (16.18 | ) | | | .12 | |
| Total from investment operations | | | (2.34 | ) | | | .39 | | | | (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 | | $ | 12.65 | | | $ | 14.99 | | | $ | 14.60 | | | $ | 16.23 | | | $ | 8.94 | | | $ | 25.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnf | | | (15.61 | %) | | | 2.67 | % | | | (10.04 | %) | | | 81.54 | % | | | (64.35 | %)e | | | 0.40 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 67 | | | $ | 140 | | | $ | 189 | | | $ | 432 | | | $ | 879 | | | $ | 240 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.12 | %) | | | (2.23 | %) | | | (2.18 | %) | | | (2.20 | %) | | | (0.98 | %) | | | (0.74 | %) |
| Total expenses | | | 2.23 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.26 | % | | | 2.21 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 175 |
| JAPAN 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.49 | | | $ | 14.98 | | | $ | 16.48 | | | $ | 9.01 | | | $ | 25.12 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.09 | ) | | | (.22 | ) | | | (.23 | ) | | | (.21 | ) | | | (.08 | ) | | | —d | |
| Net gain (loss) on investments (realized and unrealized) | | | (2.28 | ) | | | .73 | | | | (1.27 | ) | | | 7.68 | | | | (16.22 | ) | | | .12 | |
| Total from investment operations | | | (2.37 | ) | | | .51 | | | | (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 | | $ | 13.12 | | | $ | 15.49 | | | $ | 14.98 | | | $ | 16.48 | | | $ | 9.01 | | | $ | 25.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnf | | | (15.30 | %) | | | 3.40 | % | | | (9.10 | %) | | | 82.91 | % | | | (64.10 | %)e | | | 0.48 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,303 | | | $ | 4,575 | | | $ | 5,356 | | | $ | 5,414 | | | $ | 6,531 | | | $ | 5,243 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.37 | %) | | | (1.48 | %) | | | (1.44 | %) | | | (1.44 | %) | | | (0.55 | %) | | | 0.17 | % |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.52 | % | | | 1.44 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: February 22, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| d | Net investment income is 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. |
| 176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 81.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 12,732,387 | | | $ | 12,732,387 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 7,325,709 | | | | 7,325,709 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 4,179,121 | | | | 4,179,121 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 1,915,685 | | | | 1,915,685 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $26,152,902) | | | | | | | 26,152,902 | |
| Total Investments - 81.9% | | | | | | | | |
| (Cost $26,152,902) | | | | | | $ | 26,152,902 | |
| Other Assets & Liabilities, net - 18.1% | | | | | | | 5,779,355 | |
| Total Net Assets - 100.0% | | | | | | $ | 31,932,257 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Dollar Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $38,179,080) | | | 477 | | | $ | 97,149 | |
| | | | | | | | | |
| | | Units | | | | | |
| CURRENCY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| December 2012 U.S. Dollar Index Swap, | | | | | | | | |
| Terminating 12/03/123 | | | | | | | | |
| (Notional Value $25,691,911) | | | 320,756 | | | $ | (82,791 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2012. |
| 3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
| 178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| Strengthening DOLLAR 2x STRATEGY fund |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $26,152,902) | | $ | 26,152,902 | |
| Segregated cash with broker | | | 627,120 | |
| Receivables: | | | | |
| Fund shares sold | | | 5,667,707 | |
| Variation margin | | | 179,567 | |
| Interest | | | 345 | |
| Total assets | | | 32,627,641 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 82,791 | |
| Payable for: | | | | |
| Swap settlement | | | 321,151 | |
| Fund shares redeemed | | | 224,764 | |
| Management fees | | | 19,301 | |
| Distribution and service fees | | | 8,326 | |
| Transfer agent and administrative fees | | | 5,361 | |
| Portfolio accounting fees | | | 2,145 | |
| Miscellaneous | | | 31,545 | |
| Total liabilities | | | 695,384 | |
| Net assets | | $ | 31,932,257 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 53,985,777 | |
| Accumulated net investment loss | | | (621,134 | ) |
| Accumulated net realized loss on investments | | | (21,446,744 | ) |
| Net unrealized appreciation on investments | | | 14,358 | |
| Net assets | | $ | 31,932,257 | |
| A-Class: | | | | |
| Net assets | | $ | 10,506,870 | |
| Capital shares outstanding | | | 782,236 | |
| Net asset value per share | | $ | 13.43 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 14.10 | |
| C-Class: | | | | |
| Net assets | | $ | 5,866,132 | |
| Capital shares outstanding | | | 463,580 | |
| Net asset value per share | | $ | 12.65 | |
| H-Class: | | | | |
| Net assets | | $ | 15,559,255 | |
| Capital shares outstanding | | | 1,162,943 | |
| Net asset value per share | | $ | 13.38 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Interest | | $ | 28,559 | |
| Total investment income | | | 28,559 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 206,675 | |
| Transfer agent and administrative fees | | | 57,410 | |
| Distribution and service fees: | | | | |
| A-Class | | | 9,489 | |
| C-Class | | | 19,682 | |
| H-Class | | | 43,000 | |
| Portfolio accounting fees | | | 22,964 | |
| Trustees’ fees* | | | 4,033 | |
| Custodian fees | | | 4,023 | |
| Miscellaneous | | | 21,829 | |
| Total expenses | | | 389,105 | |
| Net investment loss | | | (360,546 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | 557,751 | |
| Futures contracts | | | 1,070,621 | |
| Net realized gain | | | 1,628,372 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (31,820 | ) |
| Futures contracts | | | 792,002 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 760,182 | |
| Net realized and unrealized gain | | | 2,388,554 | |
| Net increase in net assets resulting from operations | | $ | 2,028,008 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 179 |
| Strengthening DOLLAR 2x STRATEGY fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | | | | | |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (360,546 | ) | | $ | (973,517 | ) |
| Net realized gain (loss) on investments | | | 1,628,372 | | | | (1,112,209 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 760,182 | | | | (261,118 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 2,028,008 | | | | (2,346,844 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 27,911,650 | | | | 111,171,758 | |
| C-Class | | | 21,541,630 | | | | 55,468,750 | |
| H-Class | | | 137,933,114 | | | | 392,571,353 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (24,475,878 | ) | | | (109,893,869 | ) |
| C-Class | | | (19,750,552 | ) | | | (55,198,150 | ) |
| H-Class | | | (146,202,547 | ) | | | (389,702,612 | ) |
| Net increase (decrease) from capital share transactions | | | (3,042,583 | ) | | | 4,417,230 | |
| Net increase (decrease) in net assets | | | (1,014,575 | ) | | | 2,070,386 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 32,946,832 | | | | 30,876,446 | |
| End of period | | $ | 31,932,257 | | | $ | 32,946,832 | |
| Accumulated net investment loss at end of period | | $ | (621,134 | ) | | $ | (260,588 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,016,690 | | | | 8,200,309 | |
| C-Class | | | 1,618,769 | | | | 4,391,001 | |
| H-Class | | | 9,856,228 | | | | 29,359,395 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,745,572 | ) | | | (8,143,418 | ) |
| C-Class | | | (1,476,976 | ) | | | (4,383,207 | ) |
| H-Class | | | (10,334,827 | ) | | | (29,265,128 | ) |
| Net increase (decrease) in shares | | | (65,688 | ) | | | 158,952 | |
| 180 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STRENGTHENING DOLLAR 2x STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.45 | | | $ | 13.46 | | | $ | 16.38 | | | $ | 19.64 | | | $ | 19.85 | | | $ | 25.35 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.10 | ) | | | (.22 | ) | | | (.25 | ) | | | (.25 | ) | | | .02 | | | | .39 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .08 | | | | .21 | | | | (2.67 | ) | | | (3.01 | ) | | | 6.50 | | | | (5.89 | ) |
| Total from investment operations | | | (.02 | ) | | | (.01 | ) | | | (2.92 | ) | | | (3.26 | ) | | | 6.52 | | | | (5.50 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Net asset value, end of period | | $ | 13.43 | | | $ | 13.45 | | | $ | 13.46 | | | $ | 16.38 | | | $ | 19.64 | | | $ | 19.85 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.15 | %) | | | (0.07 | %) | | | (17.83 | %) | | | (16.60 | %) | | | 30.59 | % | | | (21.70 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,507 | | | $ | 6,875 | | | $ | 6,115 | | | $ | 16,833 | | | $ | 7,314 | | | $ | 2,795 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.49 | %) | | | (1.62 | %) | | | (1.55 | %) | | | (1.57 | %) | | | 0.07 | % | | | 1.73 | % |
| Total expenses | | | 1.61 | % | | | 1.68 | % | | | 1.71 | % | | | 1.67 | % | | | 1.69 | % | | | 1.66 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.71 | | | $ | 12.83 | | | $ | 15.74 | | | $ | 19.01 | | | $ | 19.42 | | | $ | 24.99 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.15 | ) | | | (.30 | ) | | | (.35 | ) | | | (.36 | ) | | | (.14 | ) | | | .42 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .09 | | | | .18 | | | | (2.56 | ) | | | (2.91 | ) | | | 6.46 | | | | (5.99 | ) |
| Total from investment operations | | | (.06 | ) | | | (.12 | ) | | | (2.91 | ) | | | (3.27 | ) | | | 6.32 | | | | (5.57 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Net asset value, end of period | | $ | 12.65 | | | $ | 12.71 | | | $ | 12.83 | | | $ | 15.74 | | | $ | 19.01 | | | $ | 19.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.47 | %) | | | (0.94 | %) | | | (18.49 | %) | | | (17.20 | %) | | | 30.36 | % | | | (22.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,866 | | | $ | 4,091 | | | $ | 4,028 | | | $ | 10,594 | | | $ | 5,728 | | | $ | 6,131 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.23 | %) | | | (2.36 | %) | | | (2.29 | %) | | | (2.31 | %) | | | (0.66 | %) | | | 1.84 | % |
| Total expenses | | | 2.36 | % | | | 2.44 | % | | | 2.46 | % | | | 2.42 | % | | | 2.44 | % | | | 2.40 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 181 |
| Strengthening DOLLAR 2x STRATEGY fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
| |
| This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented. |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.39 | | | $ | 13.40 | | | $ | 16.31 | | | $ | 19.56 | | | $ | 19.83 | | | $ | 25.33 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.11 | ) | | | (.22 | ) | | | (.25 | ) | | | (.25 | ) | | | .02 | | | | .57 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | .10 | | | | .21 | | | | (2.66 | ) | | | (3.00 | ) | | | 6.44 | | | | (6.07 | ) |
| Total from investment operations | | | (.01 | ) | | | (.01 | ) | | | (2.91 | ) | | | (3.25 | ) | | | 6.46 | | | | (5.50 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) | | | — | |
| Net asset value, end of period | | $ | 13.38 | | | $ | 13.39 | | | $ | 13.40 | | | $ | 16.31 | | | $ | 19.56 | | | $ | 19.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.07 | %) | | | (0.07 | %) | | | (17.84 | %) | | | (16.62 | %) | | | 30.25 | % | | | (21.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,559 | | | $ | 21,982 | | | $ | 20,733 | | | $ | 60,944 | | | $ | 22,147 | | | $ | 29,011 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.51 | %) | | | (1.62 | %) | | | (1.55 | %) | | | (1.57 | %) | | | 0.08 | % | | | 2.44 | % |
| Total expenses | | | 1.64 | % | | | 1.69 | % | | | 1.72 | % | | | 1.67 | % | | | 1.69 | % | | | 1.66 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 182 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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 swap agreements and futures contracts.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 183 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| weakening DOLLAR 2x STRATEGY fund |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 85.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 7,950,242 | | | $ | 7,950,242 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 4,574,253 | | | | 4,574,253 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 2,609,489 | | | | 2,609,489 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 1,893,552 | | | | 1,893,552 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $17,027,536) | | | | | | | 17,027,536 | |
| Total Investments - 85.3% | | | | | | | | |
| (Cost $17,027,536) | | | | | | $ | 17,027,536 | |
| Other Assets & Liabilities, net - 14.7% | | | | | | | 2,942,485 | |
| Total Net Assets - 100.0% | | | | | | $ | 19,970,021 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| CURRENCY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 U.S. Dollar Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $12,326,160) | | | 154 | | | $ | (51,218 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| CURRENCY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| December 2012 U.S. Dollar Index Swap, | | | | | | | | |
| Terminating 12/03/123 | | | | | | | | |
| (Notional Value $27,744,478) | | | 346,382 | | | $ | 510,950 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2012. |
| 3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
| 184 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $17,027,536) | | $ | 17,027,536 | |
| Unrealized appreciation on swap agreements | | | 510,950 | |
| Segregated cash with broker | | | 240,240 | |
| Receivable for swap settlement | | | 82,224 | |
| Receivables: | | | | |
| Fund shares sold | | | 2,265,018 | |
| Interest | | | 222 | |
| Total assets | | | 20,126,190 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Variation margin | | | 68,992 | |
| Fund shares redeemed | | | 54,598 | |
| Management fees | | | 12,595 | |
| Distribution and service fees | | | 4,639 | |
| Transfer agent and administrative fees | | | 3,499 | |
| Portfolio accounting fees | | | 1,399 | |
| Miscellaneous | | | 10,447 | |
| Total liabilities | | | 156,169 | |
| Net Assets | | $ | 19,970,021 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 34,457,272 | |
| Accumulated net investment loss | | | (227,918 | ) |
| Accumulated net realized loss on investments | | | (14,719,065 | ) |
| Net unrealized appreciation on investments | | | 459,732 | |
| Net assets | | $ | 19,970,021 | |
| A-Class: | | | | |
| Net assets | | $ | 1,926,468 | |
| Capital shares outstanding | | | 104,446 | |
| Net asset value per share | | $ | 18.44 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 19.36 | |
| C-Class: | | | | |
| Net assets | | $ | 2,315,026 | |
| Capital shares outstanding | | | 134,201 | |
| Net asset value per share | | $ | 17.25 | |
| H-Class: | | | | |
| Net assets | | $ | 15,728,527 | |
| Capital shares outstanding | | | 853,717 | |
| Net asset value per share | | $ | 18.42 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Interest | | $ | 11,087 | |
| Total investment income | | | 11,087 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 80,511 | |
| Transfer agent and administrative fees | | | 22,364 | |
| Distribution and service fees: | | | | |
| A-Class | | | 3,580 | |
| C-Class | | | 10,347 | |
| H-Class | | | 16,197 | |
| Portfolio accounting fees | | | 8,946 | |
| Registration fees | | | 7,790 | |
| Trustees’ fees* | | | 1,882 | |
| Custodian fees | | | 1,592 | |
| Miscellaneous | | | (4,673 | ) |
| Total expenses | | | 148,536 | |
| Net investment loss | | | (137,449 | ) |
| | | | | |
| Net Realized And Unrealized Gain (Loss): | | | | |
| Net realized gain (loss)on: | | | | |
| Swap agreements | | | (338,798 | ) |
| Futures contracts | | | (163,786 | ) |
| Net realized loss | | | (502,584 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | 384,751 | |
| Futures contracts | | | (401,522 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (16,771 | ) |
| Net realized and unrealized loss | | | (519,355 | ) |
| Net decrease in net assets resulting from operations | | $ | (656,804 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 185 |
| WEAKENING DOLLAR 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (137,449 | ) | | $ | (513,901 | ) |
| Net realized loss on investments | | | (502,584 | ) | | | (3,045,119 | ) |
| Net change in unrealized appreciation | | | | | | | | |
| (depreciation) on investments | | | (16,771 | ) | | | (76,395 | ) |
| Net decrease in net assets resulting from operations | | | (656,804 | ) | | | (3,635,415 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 15,757,374 | | | | 16,758,536 | |
| C-Class | | | 1,594,506 | | | | 10,391,984 | |
| H-Class | | | 36,090,360 | | | | 130,852,185 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (16,532,262 | ) | | | (18,584,771 | ) |
| C-Class | | | (2,003,392 | ) | | | (11,302,405 | ) |
| H-Class | | | (33,537,852 | ) | | | (138,192,645 | ) |
| Net increase (decrease) from capital share transactions | | | 1,368,734 | | | | (10,077,116 | ) |
| Net increase (decrease) in net assets | | | 711,930 | | | | (13,712,531 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 19,258,091 | | | | 32,970,622 | |
| End of period | | $ | 19,970,021 | | | $ | 19,258,091 | |
| Accumulated net investment loss at end of period | | $ | (227,918 | ) | | $ | (90,469 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 855,228 | | | | 825,070 | |
| C-Class | | | 92,570 | | | | 540,579 | |
| H-Class | | | 2,004,706 | | | | 6,509,852 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (902,755 | ) | | | (947,230 | ) |
| C-Class | | | (117,237 | ) | | | (587,844 | ) |
| H-Class | | | (1,866,777 | ) | | | (6,947,445 | ) |
| Net increase (decrease) in shares | | | 65,735 | | | | (607,018 | ) |
| 186 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| WEAKENING DOLLAR 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.95 | | | $ | 20.34 | | | $ | 17.98 | | | $ | 16.38 | | | $ | 29.27 | | | $ | 26.18 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.13 | ) | | | (.33 | ) | | | (.28 | ) | | | (.30 | ) | | | (.07 | ) | | | .70 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.38 | ) | | | (1.06 | ) | | | 2.64 | | | | 1.90 | | | | (8.77 | ) | | | 7.17 | |
| Total from investment operations | | | (.51 | ) | | | (1.39 | ) | | | 2.36 | | | | 1.60 | | | | (8.84 | ) | | | 7.87 | |
| 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 | | $ | 18.44 | | | $ | 18.95 | | | $ | 20.34 | | | $ | 17.98 | | | $ | 16.38 | | | $ | 29.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (2.69 | %) | | | (6.83 | %) | | | 13.13 | % | | | 9.77 | % | | | (29.87 | %) | | | 32.49 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,926 | | | $ | 2,881 | | | $ | 5,576 | | | $ | 6,753 | | | $ | 17,642 | | | $ | 22,148 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.48 | %) | | | (1.62 | %) | | | (1.54 | %) | | | (1.57 | %) | | | (0.30 | %) | | | 2.51 | % |
| Total expenses | | | 1.60 | % | | | 1.70 | % | | | 1.71 | % | | | 1.68 | % | | | 1.69 | % | | | 1.67 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.79 | | | $ | 19.23 | | | $ | 17.12 | | | $ | 15.73 | | | $ | 28.53 | | | $ | 25.81 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.18 | ) | | | (.44 | ) | | | (.39 | ) | | | (.43 | ) | | | (.21 | ) | | | .43 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.36 | ) | | | (1.00 | ) | | | 2.50 | | | | 1.82 | | | | (8.54 | ) | | | 7.07 | |
| Total from investment operations | | | (.54 | ) | | | (1.44 | ) | | | 2.11 | | | | 1.39 | | | | (8.75 | ) | | | 7.50 | |
| 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 | | $ | 17.25 | | | $ | 17.79 | | | $ | 19.23 | | | $ | 17.12 | | | $ | 15.73 | | | $ | 28.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (3.04 | %) | | | (7.49 | %) | | | 12.32 | % | | | 8.84 | % | | | (30.37 | %) | | | 31.47 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,315 | | | $ | 2,826 | | | $ | 3,963 | | | $ | 5,314 | | | $ | 8,687 | | | $ | 21,604 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.20 | %) | | | (2.36 | %) | | | (2.29 | %) | | | (2.32 | %) | | | (0.93 | %) | | | 1.57 | % |
| Total expenses | | | 2.33 | % | | | 2.44 | % | | | 2.46 | % | | | 2.43 | % | | | 2.45 | % | | | 2.41 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 187 |
| WEAKENING DOLLAR 2x STRATEGY FUND |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.93 | | | $ | 20.32 | | | $ | 17.96 | | | $ | 16.37 | | | $ | 29.25 | | | $ | 26.18 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.13 | ) | | | (.32 | ) | | | (.28 | ) | | | (.30 | ) | | | (.03 | ) | | | .68 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.38 | ) | | | (1.07 | ) | | | 2.64 | | | | 1.89 | | | | (8.80 | ) | | | 7.17 | |
| Total from investment operations | | | (.51 | ) | | | (1.39 | ) | | | 2.36 | | | | 1.59 | | | | (8.83 | ) | | | 7.85 | |
| 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 | | $ | 18.42 | | | $ | 18.93 | | | $ | 20.32 | | | $ | 17.96 | | | $ | 16.37 | | | $ | 29.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (2.69 | %) | | | (6.84 | %) | | | 13.14 | % | | | 9.71 | % | | | (29.86 | %) | | | 32.41 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,729 | | | $ | 13,551 | | | $ | 23,432 | | | $ | 30,036 | | | $ | 60,249 | | | $ | 103,867 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.44 | %) | | | (1.61 | %) | | | (1.54 | %) | | | (1.57 | %) | | | (0.13 | %) | | | 2.45 | % |
| Total expenses | | | 1.57 | % | | | 1.69 | % | | | 1.71 | % | | | 1.68 | % | | | 1.70 | % | | | 1.67 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Distributions from realized gains are less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 188 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception 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. | | | 3.5 | % |
| American Tower Corp. — Class A | | | 2.8 | % |
| Public Storage | | | 2.6 | % |
| HCP, Inc. | | | 2.2 | % |
| Ventas, Inc. | | | 2.2 | % |
| General Growth Properties, Inc. | | | 2.2 | % |
| Equity Residential | | | 2.2 | % |
| Boston Properties, Inc. | | | 2.1 | % |
| Prologis, Inc. | | | 2.1 | % |
| Annaly Capital Management, Inc. | | | 2.1 | % |
| Top Ten Total | | | 24.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 189 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| | | Shares | | | Value | |
| COMMON STOCKS† - 104.9% | | | | | | | | |
| | | | | | | | | |
| REAL ESTATE INVESTMENT TRUSTS (REITs) - 98.7% | | | | | | | | |
| SPECIALIZED REITs - 28.4% | | | | | | | | |
| American Tower Corp. — Class A | | | 16,820 | | | $ | 1,200,779 | |
| Public Storage | | | 8,055 | | | | 1,121,014 | |
| HCP, Inc. | | | 22,001 | | | | 978,604 | |
| Ventas, Inc. | | | 15,464 | | | | 962,634 | |
| Health Care REIT, Inc. | | | 15,164 | | | | 875,721 | |
| Weyerhaeuser Co. | | | 31,839 | | | | 832,271 | |
| Host Hotels & Resorts, Inc. | | | 47,097 | | | | 755,907 | |
| Plum Creek Timber Company, Inc. | | | 13,586 | | | | 595,610 | |
| Rayonier, Inc. | | | 11,158 | | | | 546,854 | |
| Senior Housing Properties Trust | | | 20,121 | | | | 438,235 | |
| Extra Space Storage, Inc. | | | 12,596 | | | | 418,817 | |
| Hospitality Properties Trust | | | 16,062 | | | | 381,954 | |
| Omega Healthcare Investors, Inc. | | | 15,352 | | | | 348,951 | |
| LaSalle Hotel Properties | | | 12,736 | | | | 339,924 | |
| Entertainment Properties Trust | | | 7,176 | | | | 318,830 | |
| DiamondRock Hospitality Co. | | | 31,613 | | | | 304,433 | |
| Sovran Self Storage, Inc. | | | 5,120 | | | | 296,192 | |
| Healthcare Realty Trust, Inc. | | | 12,813 | | | | 295,340 | |
| CubeSmart | | | 21,881 | | | | 281,608 | |
| Potlatch Corp. | | | 7,359 | | | | 275,006 | |
| Sunstone Hotel Investors, Inc.* | | | 24,691 | | | | 271,601 | |
| Medical Properties Trust, Inc. | | | 25,517 | | | | 266,653 | |
| Strategic Hotels & Resorts, Inc.* | | | 40,160 | | | | 241,362 | |
| Total Specialized REITs | | | | | | | 12,348,300 | |
| RETAIL REITs - 19.6% | | | | | | | | |
| Simon Property Group, Inc. | | | 10,062 | | | | 1,527,511 | |
| General Growth Properties, Inc. | | | 49,098 | | | | 956,429 | |
| Kimco Realty Corp. | | | 31,651 | | | | 641,566 | |
| Macerich Co. | | | 10,690 | | | | 611,789 | |
| Federal Realty Investment Trust | | | 5,541 | | | | 583,467 | |
| Realty Income Corp.1 | | | 12,835 | | | | 524,823 | |
| Taubman Centers, Inc. | | | 6,319 | | | | 484,857 | |
| DDR Corp. | | | 31,557 | | | | 484,716 | |
| Regency Centers Corp. | | | 9,677 | | | | 471,560 | |
| Weingarten Realty Investors | | | 14,720 | | | | 413,779 | |
| CBL & Associates Properties, Inc. | | | 19,161 | | | | 408,896 | |
| National Retail Properties, Inc. | | | 13,378 | | | | 408,029 | |
| Tanger Factory Outlet Centers | | | 12,157 | | | | 393,036 | |
| Equity One, Inc. | | | 16,943 | | | | 356,820 | |
| Glimcher Realty Trust | | | 25,393 | | | | 268,404 | |
| Total Retail REITs | | | | | | | 8,535,682 | |
| RESIDENTIAL REITs - 15.4% | | | | | | | | |
| Equity Residential | | | 16,386 | | | | 942,686 | |
| AvalonBay Communities, Inc. | | | 5,965 | | | | 811,180 | |
| UDR, Inc. | | | 22,588 | | | | 560,634 | |
| Essex Property Trust, Inc. | | | 3,505 | | | | 519,581 | |
| Camden Property Trust | | | 8,018 | | | | 517,081 | |
| American Campus Communities, Inc. | | | 10,283 | | | | 451,218 | |
| Apartment Investment & | | | | | | | | |
| Management Co. — Class A | | | 16,854 | | | | 438,035 | |
| BRE Properties, Inc. | | | 9,115 | | | | 427,402 | |
| Home Properties, Inc. | | | 6,329 | | | | 387,778 | |
| Equity Lifestyle Properties, Inc. | | | 5,513 | | | | 375,546 | |
| Mid-America Apartment | | | | | | | | |
| Communities, Inc. | | | 5,634 | | | | 367,957 | |
| Post Properties, Inc. | | | 7,533 | | | | 361,283 | |
| Colonial Properties Trust | | | 14,551 | | | | 306,299 | |
| Education Realty Trust, Inc. | | | 22,780 | | | | 248,302 | |
| Total Residential REITs | | | | | | | 6,714,982 | |
| OFFICE REITs - 14.5% | | | | | | | | |
| Boston Properties, Inc. | | | 8,235 | | | | 910,874 | |
| Digital Realty Trust, Inc. | | | 9,438 | | | | 659,245 | |
| SL Green Realty Corp. | | | 7,586 | | | | 607,412 | |
| Alexandria Real Estate Equities, Inc. | | | 6,531 | | | | 480,159 | |
| Kilroy Realty Corp. | | | 8,996 | | | | 402,841 | |
| Douglas Emmett, Inc. | | | 17,390 | | | | 401,187 | |
| Piedmont Office Realty Trust, | | | | | | | | |
| Inc. — Class A | | | 21,886 | | | | 379,503 | |
| BioMed Realty Trust, Inc. | | | 20,210 | | | | 378,331 | |
| Highwoods Properties, Inc. | | | 10,890 | | | | 355,232 | |
| Mack-Cali Realty Corp. | | | 12,794 | | | | 340,320 | |
| Brandywine Realty Trust | | | 24,339 | | | | 296,692 | |
| Corporate Office Properties Trust | | | 12,164 | | | | 291,571 | |
| DuPont Fabros Technology, Inc. | | | 11,229 | | | | 283,532 | |
| Lexington Realty Trust1 | | | 27,993 | | | | 270,412 | |
| CommonWealth REIT | | | 16,882 | | | | 245,802 | |
| Total Office REITs | | | | | | | 6,303,113 | |
| MORTGAGE REITs - 12.0% | | | | | | | | |
| Annaly Capital Management, Inc. | | | 53,364 | | | | 898,649 | |
| American Capital Agency Corp. | | | 22,203 | | | | 768,001 | |
| Two Harbors Investment Corp. | | | 34,785 | | | | 408,723 | |
| MFA Financial, Inc. | | | 46,293 | | | | 393,491 | |
| Hatteras Financial Corp. | | | 13,017 | | | | 366,949 | |
| Starwood Property Trust, Inc. | | | 15,582 | | | | 362,593 | |
| ARMOUR Residential REIT, Inc. | | | 44,980 | | | | 344,547 | |
| Invesco Mortgage Capital, Inc. | | | 16,889 | | | | 339,976 | |
| CYS Investments, Inc. | | | 24,006 | | | | 338,245 | |
| PennyMac Mortgage Investment | | | | | | | | |
| Trust | | | 11,350 | | | | 265,250 | |
| Capstead Mortgage Corp. | | | 18,585 | | | | 250,712 | |
| Newcastle Investment Corp. | | | 33,000 | | | | 248,490 | |
| American Capital Mortgage | | | | | | | | |
| Investment Corp. | | | 8,520 | | | | 214,108 | |
| Total Mortgage REITs | | | | | | | 5,199,734 | |
| DIVERSIFIED REITs - 5.4% | | | | | | | | |
| Vornado Realty Trust | | | 10,691 | | | | 866,506 | |
| Liberty Property Trust | | | 12,598 | | | | 456,552 | |
| Duke Realty Corp. | | | 29,933 | | | | 440,015 | |
| American Realty Capital Trust, Inc. | | | 26,140 | | | | 306,622 | |
| Washington Real Estate Investment | | | | | | | | |
| Trust | | | 10,981 | | | | 294,510 | |
| Total Diversified REITs | | | | | | | 2,364,205 | |
| 190 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| REAL ESTATE fund |
| | | Shares | | | Value | |
| Industrial REITs - 3.4% | | | | | | | | |
| Prologis, Inc. | | | 25,729 | | | $ | 901,287 | |
| DCT Industrial Trust, Inc. | | | 45,490 | | | | 294,320 | |
| EastGroup Properties, Inc. | | | 5,271 | | | | 280,417 | |
| Total Industrial REITs | | | | | | | 1,476,024 | |
| Total Real Estate Investment Trusts (REITs) | | | | | | | 42,942,040 | |
| | | | | | | | | |
| Real Estate Management & Development - 6.2% | | | | | | | | |
| Real Estate Services - 2.8% | | | | | | | | |
| CBRE Group, Inc. — Class A* | | | 29,172 | | | | 537,057 | |
| Jones Lang LaSalle, Inc. | | | 5,258 | | | | 401,448 | |
| Zillow, Inc. — Class A*,1 | | | 6,110 | | | | 257,720 | |
| Total Real Estate Services | | | | | | | 1,196,225 | |
| Real Estate Operating Companies - 1.8% | | | | | | | | |
| Brookfield Office Properties, Inc. | | | 25,726 | | | | 426,023 | |
| Forest City Enterprises, Inc. — Class A* | | | 23,085 | | | | 365,897 | |
| Total Real Estate Operating Companies | | | | | | | 791,920 | |
| Diversified Real Estate Activities - 1.6% | | | | | | | | |
| Brookfield Asset Management, | | | | | | | | |
| Inc. — Class A | | | 11,510 | | | | 397,210 | |
| St. Joe Co.* | | | 14,918 | | | | 290,901 | |
| Total Diversified Real Estate Activities | | | | | | | 688,111 | |
| Total Real Estate Management & Development | | | | | | | 2,676,256 | |
| Total Common Stocks | | | | | | | | |
| (Cost $38,592,697) | | | | | | | 45,618,296 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.4% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 172,883 | | | | 172,883 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $172,883) | | | | | | | 172,883 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 0.9% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 200,188 | | | | 200,188 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 197,012 | | | | 197,012 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $397,200) | | | | | | | 397,200 | |
| Total Investments - 106.2% | | | | | | | | |
| (Cost $39,162,780) | | | | | | $ | 46,188,379 | |
| Other Assets & Liabilities, net - (6.2)% | | | | | | | (2,686,679 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 43,501,700 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 11.
REIT — Real Estate Investment Trust |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 191 |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $388,914 of | | | | |
| securities loaned | | | | |
| (cost $38,989,897) | | $ | 46,015,496 | |
| Repurchase agreements, at value | | | | |
| (cost $172,883) | | | 172,883 | |
| Total investments | | | | |
| (cost $39,162,780) | | | 46,188,379 | |
| Cash | | | 7,718 | |
| Receivables: | | | | |
| Fund shares sold | | | 2,023,566 | |
| Dividends | | | 199,021 | |
| Interest | | | 23 | |
| Total assets | | | 48,418,707 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 4,455,493 | |
| Payable upon return of securities loaned | | | 397,200 | |
| Management fees | | | 26,593 | |
| Distribution and service fees | | | 9,298 | |
| Transfer agent and administrative fees | | | 7,822 | |
| Portfolio accounting fees | | | 3,129 | |
| Miscellaneous | | | 17,472 | |
| Total liabilities | | | 4,917,007 | |
| Net assets | | $ | 43,501,700 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 57,398,512 | |
| Undistributed net investment income | | | 399,320 | |
| Accumulated net realized loss on investments | | | (21,321,731 | ) |
| Net unrealized appreciation on investments | | | 7,025,599 | |
| Net assets | | $ | 43,501,700 | |
| A-Class: | | | | |
| Net assets | | $ | 1,994,889 | |
| Capital shares outstanding | | | 62,872 | |
| Net asset value per share | | $ | 31.73 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 33.31 | |
| C-Class: | | | | |
| Net assets | | $ | 3,055,944 | |
| Capital shares outstanding | | | 103,437 | |
| Net asset value per share | | $ | 29.54 | |
| H-Class: | | | | |
| Net assets | | $ | 38,450,867 | |
| Capital shares outstanding | | | 1,213,387 | |
| Net asset value per share | | $ | 31.69 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,821) | | $ | 552,751 | |
| Interest | | | 80 | |
| Income from securities lending, net | | | 22 | |
| Total investment income | | | 552,853 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 160,273 | |
| Transfer agent and administrative fees | | | 47,139 | |
| Distribution and service fees: | | | | |
| A-Class | | | 8,464 | |
| C-Class | | | 12,063 | |
| H-Class | | | 35,660 | |
| Portfolio accounting fees | | | 18,855 | |
| Custodian fees | | | 3,238 | |
| Trustees’ fees* | | | 1,308 | |
| Miscellaneous | | | 23,205 | |
| Total expenses | | | 310,205 | |
| Net investment income | | | 242,648 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (2,045,224 | ) |
| Net realized loss | | | (2,045,224 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 878,192 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 878,192 | |
| Net realized and unrealized loss | | | (1,167,032 | ) |
| Net decrease in net assets resulting from operations | | $ | (924,384 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 192 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| REAL ESTATE fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 242,648 | | | $ | 265,144 | |
| Net realized loss on investments | | | (2,045,224 | ) | | | (6,951,187 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 878,192 | | | | (2,024,497 | ) |
| Net decrease in net assets resulting from operations | | | (924,384 | ) | | | (8,710,540 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (13,842 | ) |
| C-Class | | | — | | | | (19,533 | ) |
| H-Class | | | — | | | | (77,240 | ) |
| Total distributions to shareholders | | | — | | | | (110,615 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 40,225,218 | | | | 13,167,117 | |
| C-Class | | | 24,033,005 | | | | 67,554,814 | |
| H-Class | | | 133,522,813 | | | | 222,385,631 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 13,078 | |
| C-Class | | | — | | | | 18,741 | |
| H-Class | | | — | | | | 76,349 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (39,141,918 | ) | | | (14,286,238 | ) |
| C-Class | | | (22,860,775 | ) | | | (68,113,410 | ) |
| H-Class | | | (109,024,170 | ) | | | (222,715,004 | ) |
| Net increase (decrease) from capital share transactions | | | 26,754,173 | | | | (1,898,922 | ) |
| Net increase (decrease) in net assets | | | 25,829,789 | | | | (10,720,077 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 17,671,911 | | | | 28,391,988 | |
| End of period | | $ | 43,501,700 | | | $ | 17,671,911 | |
| Undistributed net investment income at end of period | | $ | 399,320 | | | $ | 156,672 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,278,892 | | | | 458,395 | |
| C-Class | | | 834,360 | | | | 2,537,675 | |
| H-Class | | | 4,310,835 | | | | 7,867,436 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 521 | |
| C-Class | | | — | | | | 797 | |
| H-Class | | | — | | | | 3,047 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,294,119 | ) | | | (518,172 | ) |
| C-Class | | | (794,464 | ) | | | (2,560,890 | ) |
| H-Class | | | (3,544,407 | ) | | | (8,183,044 | ) |
| Net increase (decrease) in shares | | | 791,097 | | | | (394,235 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 193 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.27 | | | $ | 29.06 | | | $ | 24.24 | | | $ | 12.83 | | | $ | 32.42 | | | $ | 42.16 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .12 | | | | .45 | | | | .27 | | | | .44 | | | | .74 | | | | .54 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.34 | | | | 1.07 | | | | 5.17 | | | | 11.11 | | | | (19.43 | ) | | | (10.05 | ) |
| Total from investment operations | | | 1.46 | | | | 1.52 | | | | 5.44 | | | | 11.55 | | | | (18.69 | ) | | | (9.51 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Total distributions | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Net asset value, end of period | | $ | 31.73 | | | $ | 30.27 | | | $ | 29.06 | | | $ | 24.24 | | | $ | 12.83 | | | $ | 32.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.86 | % | | | 5.42 | % | | | 22.72 | % | | | 90.16 | % | | | (58.00 | %) | | | (22.59 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,995 | | | $ | 2,364 | | | $ | 3,991 | | | $ | 4,303 | | | $ | 1,554 | | | $ | 2,866 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.77 | % | | | 1.59 | % | | | 1.07 | % | | | 2.15 | % | | | 2.81 | % | | | 1.45 | % |
| Total expenses | | | 1.59 | % | | | 1.61 | % | | | 1.63 | % | | | 1.65 | % | | | 1.68 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 312 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % | | | 832 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.29 | | | $ | 27.41 | | | $ | 23.11 | | | $ | 12.33 | | | $ | 31.44 | | | $ | 41.22 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .10 | | | | .22 | | | | .10 | | | | .40 | | | | .66 | | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.15 | | | | .97 | | | | 4.82 | | | | 10.52 | | | | (18.87 | ) | | | (9.84 | ) |
| Total from investment operations | | | 1.25 | | | | 1.19 | | | | 4.92 | | | | 10.92 | | | | (18.21 | ) | | | (9.55 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Total distributions | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Net asset value, end of period | | $ | 29.54 | | | $ | 28.29 | | | $ | 27.41 | | | $ | 23.11 | | | $ | 12.33 | | | $ | 31.44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.42 | % | | | 4.57 | % | | | 21.58 | % | | | 88.70 | % | | | (58.28 | %) | | | (23.21 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,056 | | | $ | 1,798 | | | $ | 2,356 | | | $ | 2,143 | | | $ | 1,075 | | | $ | 2,290 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.66 | % | | | 0.83 | % | | | 0.42 | % | | | 2.06 | % | | | 2.62 | % | | | 0.78 | % |
| Total expenses | | | 2.34 | % | | | 2.36 | % | | | 2.39 | % | | | 2.41 | % | | | 2.42 | % | | | 2.39 | % |
| Portfolio turnover rate | | | 312 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % | | | 832 | % |
| 194 | the RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.23 | | | $ | 29.02 | | | $ | 24.22 | | | $ | 12.82 | | | $ | 32.40 | | | $ | 42.14 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .23 | | | | .42 | | | | .29 | | | | .50 | | | | .61 | | | | .53 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.23 | | | | 1.10 | | | | 5.13 | | | | 11.04 | | | | (19.29 | ) | | | (10.04 | ) |
| Total from investment operations | | | 1.46 | | | | 1.52 | | | | 5.42 | | | | 11.54 | | | | (18.68 | ) | | | (9.51 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Total distributions | | | — | | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) | | | (.23 | ) |
| Net asset value, end of period | | $ | 31.69 | | | $ | 30.23 | | | $ | 29.02 | | | $ | 24.22 | | | $ | 12.82 | | | $ | 32.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.83 | % | | | 5.42 | % | | | 22.70 | % | | | 90.15 | % | | | (58.01 | %) | | | (22.60 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 38,451 | | | $ | 13,511 | | | $ | 22,045 | | | $ | 34,926 | | | $ | 1,757 | | | $ | 14,140 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.46 | % | | | 1.48 | % | | | 1.13 | % | | | 2.41 | % | | | 2.14 | % | | | 1.43 | % |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.63 | % | | | 1.68 | % | | | 1.64 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 312 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % | | | 832 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 195 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“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.
| 196 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | | September 30, 2012 |
| GOVERNMENT LONG BOND 1.2x strategy FUND | | | |
| | | Face | | | | |
| | | Amount | | | Value | |
| U.S. GOVERNMENT SECURITIES† - 92.9% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 2.75% due 08/15/42 | | $ | 119,055,000 | | | $ | 117,287,778 | |
| Total U.S. Government Securities | | | | | | | | |
| (Cost $115,399,510) | | | | | | | 117,287,778 | |
| REPURCHASE AGREEMENTS††,1 - 1.4% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 906,257 | | | | 906,257 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 521,424 | | | | 521,424 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 297,458 | | | | 297,458 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,725,139) | | | | | | | 1,725,139 | |
| Total Investments - 94.3% | | | | | | | | |
| (Cost $117,124,649) | | | | | | $ | 119,012,917 | |
| Other Assets & Liabilities, net - 5.7% | | | | | | | 7,160,487 | |
| Total Net Assets - 100.0% | | | | | | $ | 126,173,404 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Treasury Ultra Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $40,539,844) | | | 245 | | | $ | 416,441 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 197 |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $115,399,510) | | $ | 117,287,778 | |
| Repurchase agreements, at value | | | | |
| (cost $1,725,139) | | | 1,725,139 | |
| Total investments | | | | |
| (cost $117,124,649) | | | 119,012,917 | |
| Segregated cash with broker | | | 722,500 | |
| Receivables: | | | | |
| Fund shares sold | | | 28,176,107 | |
| Interest | | | 354,600 | |
| Variation margin | | | 3,875 | |
| Total assets | | | 148,269,999 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 17,831,328 | |
| Fund shares redeemed | | | 4,068,835 | |
| Management fees | | | 44,372 | |
| Transfer agent and administrative fees | | | 17,749 | |
| Distribution and service fees | | | 10,498 | |
| Portfolio accounting fees | | | 8,874 | |
| Miscellaneous | | | 114,939 | |
| Total liabilities | | | 22,096,595 | |
| Net assets | | $ | 126,173,404 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 112,083,701 | |
| Undistributed net investment income | | | 154,686 | |
| Accumulated net realized gain on investments | | | 11,630,308 | |
| Net unrealized appreciation on investments | | | 2,304,709 | |
| Net assets | | $ | 126,173,404 | |
| Investor Class: | | | | |
| Net assets | | $ | 93,025,987 | |
| Capital shares outstanding | | | 5,401,801 | |
| Net asset value per share | | $ | 17.22 | |
| Advisor Class: | | | | |
| Net assets | | $ | 17,155,591 | |
| Capital shares outstanding | | | 1,003,803 | |
| Net asset value per share | | $ | 17.09 | |
| A-Class: | | | | |
| Net assets | | $ | 10,377,073 | |
| Capital shares outstanding | | | 601,406 | |
| Net asset value per share | | $ | 17.25 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.11 | |
| C-Class: | | | | |
| Net assets | | $ | 5,614,753 | |
| Capital shares outstanding | | | 326,641 | |
| Net asset value per share | | $ | 17.19 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Interest | | $ | 3,327,324 | |
| Total investment income | | | 3,327,324 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 751,391 | |
| Transfer agent and administrative fees | | | 300,557 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 300,753 | |
| A-Class | | | 7,127 | |
| C-Class | | | 27,097 | |
| Portfolio accounting fees | | | 138,396 | |
| Custodian fees | | | 24,746 | |
| Trustees’ fees* | | | 13,721 | |
| Miscellaneous | | | 162,131 | |
| Total expenses | | | 1,725,919 | |
| Net investment income | | | 1,601,405 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 24,448,743 | |
| Futures contracts | | | 18,151,953 | |
| Net realized gain | | | 42,600,696 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 1,744,643 | |
| Futures contracts | | | 203,717 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 1,948,360 | |
| Net realized and unrealized gain | | | 44,549,056 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 46,150,461 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 198 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 1,601,405 | | | $ | 3,518,295 | |
| Net realized gain on investments | | | 42,600,696 | | | | 37,622,236 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,948,360 | | | | (1,174,151 | ) |
| Net increase in net assets resulting from operations | | | 46,150,461 | | | | 39,966,380 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (1,114,780 | ) | | | (1,811,096 | ) |
| Advisor Class | | | (453,466 | ) | | | (1,508,473 | ) |
| A-Class | | | (32,519 | ) | | | (113,166 | ) |
| C-Class | | | (10,051 | ) | | | (78,463 | ) |
| Total distributions to shareholders | | | (1,610,816 | ) | | | (3,511,198 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 1,734,462,089 | | | | 1,675,880,698 | |
| Advisor Class | | | 1,478,982,424 | | | | 2,528,532,134 | |
| A-Class | | | 77,029,784 | | | | 51,950,833 | |
| C-Class | | | 36,739,262 | | | | 81,980,435 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 1,081,275 | | | | 1,774,830 | |
| Advisor Class | | | 448,981 | | | | 1,506,029 | |
| A-Class | | | 23,997 | | | | 75,151 | |
| C-Class | | | 9,143 | | | | 71,194 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (1,704,527,880 | ) | | | (1,691,477,174 | ) |
| Advisor Class | | | (1,498,716,922 | ) | | | (2,570,913,999 | ) |
| A-Class | | | (78,250,511 | ) | | | (45,216,771 | ) |
| C-Class | | | (36,292,481 | ) | | | (84,944,406 | ) |
| Net increase (decrease) from capital share transactions | | | 10,989,161 | | | | (50,781,046 | ) |
| Net increase (decrease) in net assets | | | 55,528,806 | | | | (14,325,864 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 70,644,598 | | | | 84,970,462 | |
| End of period | | $ | 126,173,404 | | | $ | 70,644,598 | |
| Undistributed net investment income at end of period | | $ | 154,686 | | | $ | 164,097 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 101,761,136 | | | | 113,773,929 | |
| Advisor Class | | | 90,744,217 | | | | 180,330,851 | |
| A-Class | | | 4,690,940 | | | | 3,367,899 | |
| C-Class | | | 2,162,678 | | | | 5,659,684 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 61,620 | | | | 124,695 | |
| Advisor Class | | | 26,113 | | | | 107,513 | |
| A-Class | | | 1,404 | | | | 5,334 | |
| C-Class | | | 533 | | | | 5,263 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (99,352,334 | ) | | | (114,879,517 | ) |
| Advisor Class | | | (90,551,444 | ) | | | (182,419,554 | ) |
| A-Class | | | (4,820,374 | ) | | | (2,884,296 | ) |
| C-Class | | | (2,135,732 | ) | | | (5,899,279 | ) |
| Net increase (decrease) in shares | | | 2,588,757 | | | | (2,707,478 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 199 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
| This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented. |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.91 | | | $ | 11.43 | | | $ | 10.96 | | | $ | 13.74 | | | $ | 11.78 | | | $ | 10.59 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .11 | | | | .32 | | | | .36 | | | | .36 | | | | .36 | | | | .40 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.32 | | | | 3.48 | | | | .47 | | | | (2.78 | ) | | | 1.97 | | | | 1.19 | |
| Total from investment operations | | | 2.43 | | | | 3.80 | | | | .83 | | | | (2.42 | ) | | | 2.33 | | | | 1.59 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.12 | ) | | | (.32 | ) | | | (.36 | ) | | | (.36 | ) | | | (.37 | ) | | | (.40 | ) |
| Total distributions | | | (.12 | ) | | | (.32 | ) | | | (.36 | ) | | | (.36 | ) | | | (.37 | ) | | | (.40 | ) |
| Net asset value, end of period | | $ | 17.22 | | | $ | 14.91 | | | $ | 11.43 | | | $ | 10.96 | | | $ | 13.74 | | | $ | 11.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.34 | % | | | 33.38 | % | | | 7.42 | % | | | (17.71 | %) | | | 20.17 | % | | | 15.43 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 93,026 | | | $ | 43,709 | | | $ | 44,707 | | | $ | 282,388 | | | $ | 43,237 | | | $ | 30,695 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.31 | % | | | 2.24 | % | | | 3.03 | % | | | 3.16 | % | | | 2.79 | % | | | 3.75 | % |
| Total expenses | | | 0.93 | % | | | 0.95 | % | | | 0.98 | % | | | 0.98 | % | | | 0.98 | % | | | 0.97 | % |
| Portfolio turnover rate | | | 761 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % | | | 1,142 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.78 | | | $ | 11.36 | | | $ | 10.88 | | | $ | 13.66 | | | $ | 11.72 | | | $ | 10.54 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .06 | | | | .25 | | | | .31 | | | | .32 | | | | .31 | | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.32 | | | | 3.42 | | | | .47 | | | | (2.80 | ) | | | 1.93 | | | | 1.19 | |
| Total from investment operations | | | 2.38 | | | | 3.67 | | | | .78 | | | | (2.48 | ) | | | 2.24 | | | | 1.53 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | (.25 | ) | | | (.30 | ) | | | (.30 | ) | | | (.30 | ) | | | (.35 | ) |
| Total distributions | | | (.07 | ) | | | (.25 | ) | | | (.30 | ) | | | (.30 | ) | | | (.30 | ) | | | (.35 | ) |
| Net asset value, end of period | | $ | 17.09 | | | $ | 14.78 | | | $ | 11.36 | | | $ | 10.88 | | | $ | 13.66 | | | $ | 11.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.04 | % | | | 32.56 | % | | | 7.03 | % | | | (18.18 | %) | | | 19.49 | % | | | 14.82 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 17,156 | | | $ | 11,600 | | | $ | 31,420 | | | $ | 28,990 | | | $ | 7,867 | | | $ | 25,181 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.75 | % | | | 1.77 | % | | | 2.46 | % | | | 2.76 | % | | | 2.49 | % | | | 3.13 | % |
| Total expenses | | | 1.43 | % | | | 1.45 | % | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % | | | 1.47 | % |
| Portfolio turnover rate | | | 761 | % | �� | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % | | | 1,142 | % |
| 200 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| 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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.92 | | | $ | 11.45 | | | $ | 10.96 | | | $ | 13.75 | | | $ | 11.79 | | | $ | 10.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .09 | | | | .29 | | | | .33 | | | | .33 | | | | .34 | | | | .38 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.34 | | | | 3.47 | | | | .49 | | | | (2.79 | ) | | | 1.95 | | | | 1.19 | |
| Total from investment operations | | | 2.43 | | | | 3.76 | | | | .82 | | | | (2.46 | ) | | | 2.29 | | | | 1.57 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.29 | ) | | | (.33 | ) | | | (.33 | ) | | | (.33 | ) | | | (.38 | ) |
| Total distributions | | | (.10 | ) | | | (.29 | ) | | | (.33 | ) | | | (.33 | ) | | | (.33 | ) | | | (.38 | ) |
| Net asset value, end of period | | $ | 17.25 | | | $ | 14.92 | | | $ | 11.45 | | | $ | 10.96 | | | $ | 13.75 | | | $ | 11.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.25 | % | | | 33.00 | % | | | 7.35 | % | | | (17.98 | %) | | | 19.84 | % | | | 15.13 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,377 | | | $ | 10,885 | | | $ | 2,753 | | | $ | 5,576 | | | $ | 11,119 | | | $ | 20,374 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.12 | % | | | 2.02 | % | | | 2.75 | % | | | 2.84 | % | | | 2.74 | % | | | 3.44 | % |
| Total expenses | | | 1.17 | % | | | 1.20 | % | | | 1.23 | % | | | 1.24 | % | | | 1.23 | % | | | 1.22 | % |
| Portfolio turnover rate | | | 761 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % | | | 1,142 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.88 | | | $ | 11.42 | | | $ | 10.94 | | | $ | 13.72 | | | $ | 11.77 | | | $ | 10.59 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .03 | | | | .19 | | | | .24 | | | | .25 | | | | .25 | | | | .30 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.31 | | | | 3.45 | | | | .48 | | | | (2.78 | ) | | | 1.94 | | | | 1.18 | |
| Total from investment operations | | | 2.34 | | | | 3.64 | | | | .72 | | | | (2.53 | ) | | | 2.19 | | | | 1.48 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | (.18 | ) | | | (.24 | ) | | | (.25 | ) | | | (.24 | ) | | | (.30 | ) |
| Total distributions | | | (.03 | ) | | | (.18 | ) | | | (.24 | ) | | | (.25 | ) | | | (.24 | ) | | | (.30 | ) |
| Net asset value, end of period | | $ | 17.19 | | | $ | 14.88 | | | $ | 11.42 | | | $ | 10.94 | | | $ | 13.72 | | | $ | 11.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 15.73 | % | | | 32.01 | % | | | 6.47 | % | | | (18.56 | %) | | | 18.90 | % | | | 14.20 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,615 | | | $ | 4,451 | | | $ | 6,091 | | | $ | 12,695 | | | $ | 5,502 | | | $ | 6,239 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.37 | % | | | 1.32 | % | | | 1.93 | % | | | 2.17 | % | | | 2.00 | % | | | 2.80 | % |
| Total expenses | | | 1.93 | % | | | 1.95 | % | | | 1.97 | % | | | 2.00 | % | | | 1.97 | % | | | 1.98 | % |
| Portfolio turnover rate | | | 761 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % | | | 1,142 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 201 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“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.
| 202 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INVERSE GOVERNMENT LONG BOND strategy FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 33.8% | | | | | | | | |
| Farmer Mac1 | | | | | | | | |
| 0.01% due 10/01/12 | | $ | 100,000,000 | | | $ | 100,000,000 | |
| 0.16% due 02/01/13 | | | 15,000,000 | | | | 14,996,415 | |
| Total Farmer Mac | | | | | | | 114,996,415 | |
| Federal Home Loan Bank1 | | | | | | | | |
| 0.15% due 10/03/12 | | | 25,000,000 | | | | 24,999,975 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $139,991,592) | | | | | | | 139,996,390 | |
| REPURCHASE AGREEMENTS†† - 120.7% | | | | | | | | |
| Individual Repurchase Agreement3 | | | | | | | | |
| Barclays Capital issued 09/28/12 | | | | | | | | |
| at 0.15% due 10/01/12 | | | | | | | | |
| (secured by a U.S. Treasury | | | | | | | | |
| Bond, at a rate of 2.75% and | | | | | | | | |
| maturing 08/15/42 as | | | | | | | | |
| collateral, with a value | | | | | | | | |
| of $209,404,988) to be | | | | | | | | |
| repurchased at $205,301,573 | | | 205,299,007 | | | | 205,299,007 | |
| Joint Repurchase Agreements2 | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 155,110,190 | | | | 155,110,190 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 89,244,221 | | | | 89,244,221 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 50,911,441 | | | | 50,911,441 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $500,564,859) | | | | | | | 500,564,859 | |
| Total Long Investments - 154.5% | | | | | | | | |
| (Cost $640,556,451) | | | | | | $ | 640,561,249 | |
| U.S. Government Securities Sold Short† - (46.7)% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 2.75% due 08/15/42 | | | 196,422,000 | | | | (193,506,361 | ) |
| Total U.S. Government Securities Sold Short | | | | | | | | |
| (Proceeds $192,169,056) | | | | | | | (193,506,361 | ) |
| Other Assets & Liabilities, net - (7.8)% | | | | | | | (32,306,638 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 414,748,250 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 U.S. Treasury Ultra Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $265,411,875) | | | 1,604 | | | $ | 1,776,315 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or portion of this security is pledged as short collateral at September 30, 2012. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 203 |
| INVERSE GOVERNMENT LONG BOND strategy FUND | |
| STATEMENT OF ASSETS | | | |
| AND LIABILITIES (Unaudited) | | | |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $139,991,592) | | $ | 139,996,390 | |
| Repurchase agreements, at value | | | | |
| (cost $500,564,859) | | | 500,564,859 | |
| Total investments | | | | |
| (cost $640,556,451) | | | 640,561,249 | |
| Segregated cash with broker | | | 7,135,750 | |
| Receivables: | | | | |
| Fund shares sold | | | 5,120,063 | |
| Interest | | | 6,537 | |
| Total assets | | | 652,823,599 | |
| Liabilities: | | | | |
| Securities sold short, at value | | | | |
| (proceeds $192,169,056) | | | 193,506,361 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 29,134,109 | |
| Securities purchased | | | 14,087,735 | |
| Management fees | | | 286,936 | |
| Transfer agent and administrative fees | | | 79,704 | |
| Distribution and service fees | | | 71,498 | |
| Variation margin | | | 53,906 | |
| Portfolio accounting fees | | | 28,462 | |
| Miscellaneous | | | 826,638 | |
| Total liabilities | | | 238,075,349 | |
| Net assets | | $ | 414,748,250 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 944,533,541 | |
| Accumulated net investment loss | | | (9,806,065 | ) |
| Accumulated net realized loss on investments | | | (520,423,034 | ) |
| Net unrealized appreciation on investments | | | 443,808 | |
| Net assets | | $ | 414,748,250 | |
| Investor Class: | | | | |
| Net assets | | $ | 271,279,693 | |
| Capital shares outstanding | | | 32,216,614 | |
| Net asset value per share | | $ | 8.42 | |
| Advisor Class: | | | | |
| Net assets | | $ | 57,061,691 | |
| Capital shares outstanding | | | 7,113,863 | |
| Net asset value per share | | $ | 8.02 | |
| A-Class: | | | | |
| Net assets | | $ | 29,882,358 | |
| Capital shares outstanding | | | 3,641,089 | |
| Net asset value per share | | $ | 8.21 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 8.62 | |
| C-Class: | | | | |
| Net assets | | $ | 56,524,508 | |
| Capital shares outstanding | | | 7,540,822 | |
| Net asset value per share | | $ | 7.50 | |
| STATEMENT OF | | | |
| OPERATIONS (Unaudited) | | | |
| Period Ended September 30, 2012 | | | |
| | | | |
| Investment Income: | | | | |
| Interest | | $ | 319,831 | |
| Total investment income | | | 319,831 | |
| Expenses: | | | | |
| Management fees | | | 1,593,959 | |
| Transfer agent and administrative fees | | | 442,766 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 134,578 | |
| A-Class | | | 39,210 | |
| C-Class | | | 303,825 | |
| Portfolio accounting fees | | | 162,629 | |
| Custodian fees | | | 31,887 | |
| Trustees’ fees* | | | 29,732 | |
| Interest expense | | | 3,097,864 | |
| Miscellaneous | | | 173,656 | |
| Total expenses | | | 6,010,106 | |
| Net investment loss | | | (5,690,275 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Futures contracts | | | (1,028,537 | ) |
| Securities sold short | | | (18,945,984 | ) |
| Net realized loss | | | (19,974,521 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (29,218 | ) |
| Securities sold short | | | (17,830,364 | ) |
| Futures contracts | | | (4,695,233 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (22,554,815 | ) |
| Net realized and unrealized loss | | | (42,529,336 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (48,219,611 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 204 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE GOVERNMENT LONG BOND strategy FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (5,690,275 | ) | | $ | (20,138,267 | ) |
| Net realized loss on investments | | | (19,974,521 | ) | | | (172,237,958 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (22,554,815 | ) | | | 33,194,914 | |
| Net decrease in net assets resulting from operations | | | (48,219,611 | ) | | | (159,181,311 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 1,332,182,420 | | | | 1,308,403,784 | |
| Advisor Class | | | 1,212,535,270 | | | | 2,192,757,950 | |
| A-Class | | | 47,637,022 | | | | 22,252,450 | |
| C-Class | | | 10,786,220 | | | | 43,128,478 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (1,282,676,133 | ) | | | (1,366,228,209 | ) |
| Advisor Class | | | (1,345,898,513 | ) | | | (2,029,756,332 | ) |
| A-Class | | | (50,873,019 | ) | | | (39,208,507 | ) |
| C-Class | | | (14,395,888 | ) | | | (57,271,653 | ) |
| Net increase (decrease) from capital share transactions | | | (90,702,621 | ) | | | 74,077,961 | |
| Net decrease in net assets | | | (138,922,232 | ) | | | (85,103,350 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 553,670,482 | | | | 638,773,832 | |
| End of period | | $ | 414,748,250 | | | $ | 553,670,482 | |
| Accumulated net investment loss at end of period | | $ | (9,806,065 | ) | | $ | (4,115,790 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 155,894,214 | | | | 131,857,730 | |
| Advisor Class | | | 144,588,215 | | | | 224,370,362 | |
| A-Class | | | 5,532,189 | | | | 2,217,179 | |
| C-Class | | | 1,396,969 | | | | 4,392,197 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (149,276,296 | ) | | | (137,294,023 | ) |
| Advisor Class | | | (159,042,016 | ) | | | (206,359,255 | ) |
| A-Class | | | (5,876,227 | ) | | | (3,972,717 | ) |
| C-Class | | | (1,888,471 | ) | | | (6,045,734 | ) |
| Net increase (decrease) in shares | | | (8,671,423 | ) | | | 9,165,739 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 205 |
| INVERSE GOVERNMENT LONG BOND strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.67 | | | $ | 13.08 | | | $ | 14.65 | | | $ | 13.32 | | | $ | 16.81 | | | $ | 19.37 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.12 | ) | | | (.43 | ) | | | (.62 | ) | | | (.33 | ) | | | (.11 | ) | | | .49 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.13 | ) | | | (2.98 | ) | | | (.95 | ) | | | 1.66 | | | | (3.38 | ) | | | (2.39 | ) |
| Total from investment operations | | | (1.25 | ) | | | (3.41 | ) | | | (1.57 | ) | | | 1.33 | | | | (3.49 | ) | | | (1.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Net asset value, end of period | | $ | 8.42 | | | $ | 9.67 | | | $ | 13.08 | | | $ | 14.65 | | | $ | 13.32 | | | $ | 16.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (12.93 | %) | | | (26.07 | %) | | | (10.72 | %) | | | 9.98 | % | | | (20.76 | %) | | | (9.98 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 271,280 | | | $ | 247,454 | | | $ | 406,031 | | | $ | 376,574 | | | $ | 269,155 | | | $ | 237,900 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (2.90 | %) | | | (3.99 | %) | | | (4.78 | %) | | | (2.23 | %) | | | (0.72 | %) | | | 2.56 | % |
| Total expensesd | | | 3.08 | % | | | 4.13 | % | | | 5.06 | % | | | 2.53 | % | | | 2.80 | % | | | 3.45 | % |
| Portfolio turnover rate | | | 648 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % | | | 550 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.23 | | | $ | 12.60 | | | $ | 14.17 | | | $ | 12.95 | | | $ | 16.41 | | | $ | 19.01 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.14 | ) | | | (.41 | ) | | | (.66 | ) | | | (.39 | ) | | | (.18 | ) | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.07 | ) | | | (2.96 | ) | | | (.91 | ) | | | 1.61 | | | | (3.28 | ) | | | (2.28 | ) |
| Total from investment operations | | | (1.21 | ) | | | (3.37 | ) | | | (1.57 | ) | | | 1.22 | | | | (3.46 | ) | | | (1.94 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Net asset value, end of period | | $ | 8.02 | | | $ | 9.23 | | | $ | 12.60 | | | $ | 14.17 | | | $ | 12.95 | | | $ | 16.41 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (13.11 | %) | | | (26.75 | %) | | | (11.08 | %) | | | 9.42 | % | | | (21.08 | %) | | | (10.39 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 57,062 | | | $ | 199,137 | | | $ | 44,798 | | | $ | 66,668 | | | $ | 35,153 | | | $ | 24,891 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (3.42 | %) | | | (4.22 | %) | | | (5.28 | %) | | | (2.79 | %) | | | (1.19 | %) | | | 1.84 | % |
| Total expensesd | | | 3.59 | % | | | 4.38 | % | | | 5.56 | % | | | 3.09 | % | | | 3.36 | % | | | 4.10 | % |
| Portfolio turnover rate | | | 648 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % | | | 550 | % |
| 206 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| 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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.44 | | | $ | 12.80 | | | $ | 14.36 | | | $ | 13.10 | | | $ | 16.57 | | | $ | 19.16 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.14 | ) | | | (.45 | ) | | | (.64 | ) | | | (.35 | ) | | | (.15 | ) | | | .44 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.09 | ) | | | (2.91 | ) | | | (.92 | ) | | | 1.61 | | | | (3.32 | ) | | | (2.37 | ) |
| Total from investment operations | | | (1.23 | ) | | | (3.36 | ) | | | (1.56 | ) | | | 1.26 | | | | (3.47 | ) | | | (1.93 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Net asset value, end of period | | $ | 8.21 | | | $ | 9.44 | | | $ | 12.80 | | | $ | 14.36 | | | $ | 13.10 | | | $ | 16.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (13.03 | %) | | | (26.25 | %) | | | (10.86 | %) | | | 9.62 | % | | | (20.94 | %) | | | (10.25 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 29,882 | | | $ | 37,607 | | | $ | 73,475 | | | $ | 80,151 | | | $ | 54,574 | | | $ | 37,256 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (3.29 | %) | | | (4.24 | %) | | | (5.03 | %) | | | (2.47 | %) | | | (0.94 | %) | | | 2.37 | % |
| Total expensesd | | | 3.47 | % | | | 4.38 | % | | | 5.31 | % | | | 2.77 | % | | | 3.00 | % | | | 3.86 | % |
| Portfolio turnover rate | | | 648 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % | | | 550 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 8.65 | | | $ | 11.82 | | | $ | 13.36 | | | $ | 12.28 | | | $ | 15.65 | | | $ | 18.26 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.16 | ) | | | (.48 | ) | | | (.68 | ) | | | (.43 | ) | | | (.25 | ) | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.99 | ) | | | (2.69 | ) | | | (.86 | ) | | | 1.51 | | | | (3.12 | ) | | | (2.24 | ) |
| Total from investment operations | | | (1.15 | ) | | | (3.17 | ) | | | (1.54 | ) | | | 1.08 | | | | (3.37 | ) | | | (1.95 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) |
| Net asset value, end of period | | $ | 7.50 | | | $ | 8.65 | | | $ | 11.82 | | | $ | 13.36 | | | $ | 12.28 | | | $ | 15.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (13.29 | %) | | | (26.82 | %) | | | (11.53 | %) | | | 8.79 | % | | | (21.53 | %) | | | (10.87 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 56,525 | | | $ | 69,472 | | | $ | 114,470 | | | $ | 140,451 | | | $ | 123,413 | | | $ | 124,572 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (4.05 | %) | | | (4.98 | %) | | | (5.78 | %) | | | (3.17 | %) | | | (1.70 | %) | | | 1.62 | % |
| Total expensesd | | | 4.23 | % | | | 5.12 | % | | | 6.06 | % | | | 3.47 | % | | | 3.81 | % | | | 4.44 | % |
| Portfolio turnover rate | | | 648 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % | | | 550 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | May include interest or dividend expense. Excluding interest or dividend expense, the operating expense ratio for the current period would be 1.70%, 1.72%, 1.84 and 1.85% lower for the Investor Class, Advisor Class, A-Class and C-Class, respectively. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 207 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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.
| 208 | the RYDEX FUNDS SEMI-ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| High Yield strategy FUND | |
| | | Shares | | | Value | |
| EXCHANGE TRADED FUND† - 5.7% | | | | | | | | |
| iShares iBoxx $ High Yield | | | | | | | | |
| Corporate Bond Fund1 | | | 262,662 | | | $ | 24,262,088 | |
| Total Exchange Traded Fund | | | | | | | | |
| (Cost $23,720,119) | | | | | | | 24,262,088 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 85.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 185,936,450 | | | | 185,936,450 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 106,980,422 | | | | 106,980,422 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 61,029,469 | | | | 61,029,469 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 12,030,576 | | | | 12,030,576 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $365,976,917) | | | | | | | 365,976,917 | |
| SECURITIES LENDING COLLATERAL††,4 - 1.8% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 3,939,697 | | | | 3,939,697 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 3,877,178 | | | | 3,877,178 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $7,816,875) | | | | | | | 7,816,875 | |
| Total Investments - 93.3% | | | | | | | | |
| (Cost $397,513,911) | | | | | | $ | 398,055,880 | |
| Other Assets & Liabilities, net - 6.7% | | | | | | | 28,377,183 | |
| Total Net Assets - 100.0% | | | | | | $ | 426,433,063 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $323,587,344) | | | 2,596 | | | $ | 1,160,484 | |
| CREDIT DEFAULT SWAP AGREEMENT PROTECTION SOLD††,5 |
| | | | | Protection | | | | | | | | | | | | Upfront | | | | |
| | | | | Premium | | | Maturity | | | Notional | | | Notional | | | Premiums | | | Unrealized | |
| Index | | Counterparty | | Rate | | | Date | | | Principal | | | Value | | | Paid | | | Appreciation | |
| CDX.NA.HY-19 Index | | Goldman Sachs International | | | 5.00 | % | | | 12/20/17 | | | $ | 4,800,000 | | | $ | (4,790,500 | ) | | $ | (29,953 | ) | | $ | 20,453 | |
| CDX.NA.HY-19 Index | | Credit Suisse International | | | 5.00 | % | | | 12/20/17 | | | | 87,900,000 | | | | (87,726,028 | ) | | | (493,660 | ) | | | 319,689 | |
| CDX.NA.HY-19 Index | | Barclays Bank plc | | | 5.00 | % | | | 12/20/17 | | | | 303,400,000 | | | | (302,799,511 | ) | | | (1,459,703 | ) | | | 859,213 | |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as credit default swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 11. |
| 5 | Credit Default Swaps — See Note 6. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 209 |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Investments, at value - including $7,620,525 of | | | | |
| securities loaned | | | | |
| (cost $31,536,994) | | $ | 32,078,963 | |
| Repurchase agreements, at value | | | | |
| (cost $365,976,917) | | | 365,976,917 | |
| Total investments | | | | |
| (cost $397,513,911) | | | 398,055,880 | |
| Segregated cash with broker | | | 31,525,800 | |
| Unrealized appreciation on swap agreements | | | 1,199,355 | |
| Receivables: | | | | |
| Fund shares sold | | | 3,889,689 | |
| Securities sold | | | 2,827,814 | |
| Interest | | | 1,670,005 | |
| Variation margin | | | 119,419 | |
| Total assets | | | 439,287,962 | |
| Liabilities: | | | | |
| Unamortized upfront premiums received on | | | | |
| credit default swaps | | | 1,983,316 | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 7,816,875 | |
| Fund shares redeemed | | | 1,415,212 | |
| Management fees | | | 252,475 | |
| Distribution and service fees | | | 88,571 | |
| Transfer agent and administrative fees | | | 84,158 | |
| Portfolio accounting fees | | | 29,858 | |
| Securities purchased | | | 6,188 | |
| Miscellaneous | | | 1,178,246 | |
| Total liabilities | | | 12,854,899 | |
| Net assets | | $ | 426,433,063 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 408,231,055 | |
| Accumulated net investment loss | | | (1,765,213 | ) |
| Accumulated net realized gain on investments | | | 17,065,413 | |
| Net unrealized appreciation on investments | | | 2,901,808 | |
| Net assets | | $ | 426,433,063 | |
| A-Class: | | | | |
| Net assets | | $ | 11,519,519 | |
| Capital shares outstanding | | | 472,496 | |
| Net asset value per share | | $ | 24.38 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 25.60 | |
| C-Class: | | | | |
| Net assets | | $ | 10,695,317 | |
| Capital shares outstanding | | | 460,736 | |
| Net asset value per share | | $ | 23.21 | |
| H-Class: | | | | |
| Net assets | | $ | 404,218,227 | |
| Capital shares outstanding | | | 16,604,768 | |
| Net asset value per share | | $ | 24.34 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 | | | |
| | | | |
| Investment Income: | | | | |
| Dividends | | $ | 471,509 | |
| Interest | | | 153,736 | |
| Income from securities lending, net | | | 187 | |
| Total investment income | | | 625,432 | |
| Expenses: | | | | |
| Management fees | | | 1,023,994 | |
| Transfer agent and administrative fees | | | 341,331 | |
| Distribution and service fees: | | | | |
| A-Class | | | 26,839 | |
| C-Class | | | 38,912 | |
| H-Class | | | 304,764 | |
| Portfolio accounting fees | | | 127,371 | |
| Custodian fees | | | 24,796 | |
| Trustees’ fees* | | | 14,436 | |
| Miscellaneous | | | 191,775 | |
| Total expenses | | | 2,094,218 | |
| Net investment loss | | | (1,468,786 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (548,725 | ) |
| Swap agreements | | | 10,611,436 | |
| Futures contracts | | | 1,819,874 | |
| Net realized gain | | | 11,882,585 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 244,479 | |
| Swap agreements | | | 2,744,896 | |
| Futures contracts | | | 1,966,091 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 4,955,466 | |
| Net realized and unrealized gain | | | 16,838,051 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 15,369,265 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 210 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| High Yield strategy FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (1,468,786 | ) | | $ | (2,834,352 | ) |
| Net realized gain on investments | | | 11,882,585 | | | | 17,921,727 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,955,466 | | | | (2,032,176 | ) |
| Net increase in net assets resulting from operations | | | 15,369,265 | | | | 13,055,199 | |
| | | | �� | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (547,032 | ) |
| C-Class | | | — | | | | (168,804 | ) |
| H-Class | | | — | | | | (6,784,948 | ) |
| Total distributions to shareholders | | | — | | | | (7,500,784 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 86,641,508 | | | | 125,538,758 | |
| C-Class | | | 34,570,645 | | | | 77,987,615 | |
| H-Class | | | 611,898,473 | | | | 1,220,509,361 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 131,423 | |
| C-Class | | | — | | | | 153,755 | |
| H-Class | | | — | | | | 6,728,875 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (88,516,307 | ) | | | (127,439,479 | ) |
| C-Class | | | (31,617,207 | ) | | | (77,109,524 | ) |
| H-Class | | | (488,095,151 | ) | | | (1,082,668,489 | ) |
| Net increase from capital share transactions | | | 124,881,961 | | | | 143,832,295 | |
| Net increase in net assets | | | 140,251,226 | | | | 149,386,710 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 286,181,837 | | | | 136,795,127 | |
| End of period | | $ | 426,433,063 | | | $ | 286,181,837 | |
| Accumulated net investment loss at end of period | | $ | (1,765,213 | ) | | $ | (296,427 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 3,742,655 | | | | 5,627,710 | |
| C-Class | | | 1,555,186 | | | | 3,669,955 | |
| H-Class | | | 26,397,179 | | | | 54,935,323 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 6,020 | |
| C-Class | | | — | | | | 7,350 | |
| H-Class | | | — | | | | 308,664 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (3,788,721 | ) | | | (5,777,601 | ) |
| C-Class | | | (1,429,395 | ) | | | (3,631,647 | ) |
| H-Class | | | (21,449,649 | ) | | | (48,876,797 | ) |
| Net increase in shares | | | 5,027,255 | | | | 6,268,977 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 211 |
| High Yield strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.93 | | | $ | 21.98 | | | $ | 20.42 | | | $ | 16.64 | | | $ | 24.31 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.10 | ) | | | (.27 | ) | | | (.30 | ) | | | (.26 | ) | | | (.16 | ) | | | .69 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.55 | | | | 1.77 | | | | 3.37 | | | | 5.39 | | | | (3.51 | ) | | | (1.31 | ) |
| Total from investment operations | | | 1.45 | | | | 1.50 | | | | 3.07 | | | | 5.13 | | | | (3.67 | ) | | | (.62 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Total distributions | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Net asset value, end of period | | $ | 24.38 | | | $ | 22.93 | | | $ | 21.98 | | | $ | 20.42 | | | $ | 16.64 | | | $ | 24.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 6.32 | % | | | 6.94 | % | | | 15.21 | % | | | 31.07 | % | | | (16.15 | %) | | | (2.49 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,520 | | | $ | 11,890 | | | $ | 14,561 | | | $ | 4,800 | | | $ | 5,748 | | | $ | 10,530 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.83 | %) | | | (1.21 | %) | | | (1.40 | %) | | | (1.37 | %) | | | (0.71 | %) | | | 2.79 | % |
| Total expensese | | | 1.49 | % | | | 1.49 | % | | | 1.54 | % | | | 1.54 | % | | | 1.57 | % | | | 1.50 | % |
| Portfolio turnover rate | | | 115 | % | | | 583 | % | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.92 | | | $ | 21.19 | | | $ | 19.87 | | | $ | 16.33 | | | $ | 24.12 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.18 | ) | | | (.45 | ) | | | (.45 | ) | | | (.40 | ) | | | (.25 | ) | | | .46 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.47 | | | | 1.73 | | | | 3.28 | | | | 5.29 | | | | (3.54 | ) | | | (1.27 | ) |
| Total from investment operations | | | 1.29 | | | | 1.28 | | | | 2.83 | | | | 4.89 | | | | (3.79 | ) | | | (.81 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Total distributions | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Net asset value, end of period | | $ | 23.21 | | | $ | 21.92 | | | $ | 21.19 | | | $ | 19.87 | | | $ | 16.33 | | | $ | 24.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 5.88 | % | | | 6.16 | % | | | 14.40 | % | | | 30.17 | % | | | (16.83 | %) | | | (3.25 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,695 | | | $ | 7,343 | | | $ | 6,129 | | | $ | 3,351 | | | $ | 1,773 | | | $ | 1,001 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.60 | %) | | | (2.10 | %) | | | (2.13 | %) | | | (2.13 | %) | | | (1.21 | %) | | | 1.90 | % |
| Total expensese | | | 2.28 | % | | | 2.25 | % | | | 2.28 | % | | | 2.29 | % | | | 2.32 | % | | | 2.22 | % |
| Portfolio turnover rate | | | 115 | % | | | 583 | % | | | — | | | | — | | | | — | | | | — | |
| 212 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| High Yield strategy FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.90 | | | $ | 21.95 | | | $ | 20.38 | | | $ | 16.61 | | | $ | 24.28 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.13 | ) | | | (.28 | ) | | | (.30 | ) | | | (.26 | ) | | | (.04 | ) | | | .62 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.57 | | | | 1.78 | | | | 3.38 | | | | 5.38 | | | | (3.63 | ) | | | (1.27 | ) |
| Total from investment operations | | | 1.44 | | | | 1.50 | | | | 3.08 | | | | 5.12 | | | | (3.67 | ) | | | (.65 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Total distributions | | | — | | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) | | | (.07 | ) |
| Net asset value, end of period | | $ | 24.34 | | | $ | 22.90 | | | $ | 21.95 | | | $ | 20.38 | | | $ | 16.61 | | | $ | 24.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 6.29 | % | | | 6.95 | % | | | 15.29 | % | | | 31.07 | % | | | (16.16 | %) | | | (2.61 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 404,218 | | | $ | 266,950 | | | $ | 116,106 | | | $ | 16,368 | | | $ | 239,528 | | | $ | 64,290 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.08 | %) | | | (1.26 | %) | | | (1.38 | %) | | | (1.37 | %) | | | (0.20 | %) | | | 2.55 | % |
| Total expensese | | | 1.51 | % | | | 1.49 | % | | | 1.53 | % | | | 1.53 | % | | | 1.56 | % | | | 1.49 | % |
| Portfolio turnover rate | | | 115 | % | | | 583 | % | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: April 16, 2007. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| 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 | Does not include expenses of the underlying funds in which the Fund invests. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 213 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
| | |
| INVERSE HIGH YIELD STRATEGY FUND | |
OBJECTIVE: Seeks to provide investment results that inversely correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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.
| 214 | the RYDEX FUNDS SEMI-ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INVERSE HIGH YIELD STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 67.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 7,252,159 | | | $ | 7,252,159 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 4,172,603 | | | | 4,172,603 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 2,380,358 | | | | 2,380,358 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 501,121 | | | | 501,121 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $14,306,241) | | | | | | | 14,306,241 | |
| Total Investments - 67.7% | | | | | | | | |
| (Cost $14,306,241) | | | | | | $ | 14,306,241 | |
| Other Assets & Liabilities, net - 32.3% | | | | | | | 6,820,703 | |
| Total Net Assets - 100.0% | | | | | | $ | 21,126,944 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $16,952,188) | | | 136 | | | $ | (37,317 | ) |
| CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††,3 |
| | | | | Protection | | | | | | | | | | | | Upfront | | | | |
| | | | | Premium | | | Maturity | | | Notional | | | Notional | | | Premiums | | | Unrealized | |
| Index | | Counterparty | | Rate | | | Date | | | Principal | | | Value | | | Paid | | | Depreciation | |
| CDX.NA.HY-19 Index | | Barclays Bank plc | | | 5.00 | % | | | 12/20/17 | | | $ | 18,900,000 | | | $ | 18,862,592 | | | $ | 94,351 | | | $ | (56,945 | ) |
| CDX.NA.HY-19 Index | | Credit Suisse International | | | 5.00 | % | | | 12/20/17 | | | | 1,900,000 | | | | 1,896,240 | | | | 10,671 | | | | (6,910 | ) |
| CDX.NA.HY-19 Index | | Goldman Sachs International | | | 5.00 | % | | | 12/20/17 | | | | 800,000 | | | | 798,417 | | | | 4,992 | | | | (3,409 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as credit default swap collateral at September 30, 2012. |
| 3 | Credit Default Swaps — See Note 6. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 215 |
| inverse High Yield strategy FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 | | | | |
| | | | | |
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $14,306,241) | | $ | 14,306,241 | |
| Segregated cash with broker | | | 7,507,550 | |
| Unamortized upfront premiums paid on | | | | |
| credit default swaps | | | 110,014 | |
| Receivables: | | | | |
| Interest | | | 43,004 | |
| Securities sold | | | 33,413 | |
| Fund shares sold | | | 9,777 | |
| Total assets | | | 22,009,999 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 67,264 | |
| Payable for: | | | | |
| Securities purchased | | | 564,451 | |
| Interest | | | 160,960 | |
| Fund shares redeemed | | | 36,619 | |
| Management fees | | | 22,345 | |
| Distribution and service fees | | | 8,842 | |
| Transfer agent and administrative fees | | | 7,448 | |
| Variation margin | | | 6,661 | |
| Portfolio accounting fees | | | 2,979 | |
| Miscellaneous | | | 5,486 | |
| Total liabilities | | | 883,055 | |
| Net assets | | $ | 21,126,944 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 33,521,598 | |
| Accumulated net investment loss | | | (134,624 | ) |
| Accumulated net realized loss on investments | | | (12,155,449 | ) |
| Net unrealized depreciation on investments | | | (104,581 | ) |
| Net assets | | $ | 21,126,944 | |
| A-Class: | | | | |
| Net assets | | $ | 334,834 | |
| Capital shares outstanding | | | 12,928 | |
| Net asset value per share | | $ | 25.90 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 27.19 | |
| C-Class: | | | | |
| Net assets | | $ | 650,152 | |
| Capital shares outstanding | | | 26,069 | |
| Net asset value per share | | $ | 24.94 | |
| H-Class: | | | | |
| Net assets | | $ | 20,141,958 | |
| Capital shares outstanding | | | 775,661 | |
| Net asset value per share | | $ | 25.97 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 | | | | |
| | | | | |
| Investment Income: | | | | |
| Interest | | $ | 11,932 | |
| Total investment income | | | 11,932 | |
| Expenses: | | | | |
| Management fees | | | 72,212 | |
| Transfer agent and administrative fees | | | 24,071 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,873 | |
| C-Class | | | 5,240 | |
| H-Class | | | 20,888 | |
| Portfolio accounting fees | | | 9,628 | |
| Custodian fees | | | 1,893 | |
| Trustees’ fees* | | | 1,460 | |
| Miscellaneous | | | 9,291 | |
| Total expenses | | | 146,556 | |
| Net investment loss | | | (134,624 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (243,230 | ) |
| Futures contracts | | | (504,666 | ) |
| Net realized loss | | | (747,896 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (143,223 | ) |
| Futures contracts | | | (36,692 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (179,915 | ) |
| Net realized and unrealized loss | | | (927,811 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (1,062,435 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 216 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| inverse High Yield strategy FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (134,624 | ) | | $ | (316,240 | ) |
| Net realized loss on investments | | | (747,896 | ) | | | (3,594,796 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (179,915 | ) | | | (104,030 | ) |
| Net decrease in net assets resulting from operations | | | (1,062,435 | ) | | | (4,015,066 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 23,019,419 | | | | 71,981,360 | |
| C-Class | | | 2,754,201 | | | | 8,812,685 | |
| H-Class | | | 254,769,439 | | | | 333,685,614 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (22,966,543 | ) | | | (72,478,567 | ) |
| C-Class | | | (2,668,624 | ) | | | (10,566,693 | ) |
| H-Class | | | (247,324,410 | ) | | | (326,559,879 | ) |
| Net increase from capital share transactions | | | 7,583,482 | | | | 4,874,520 | |
| Net increase in net assets | | | 6,521,047 | | | | 859,454 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 14,605,897 | | | | 13,746,443 | |
| End of period | | $ | 21,126,944 | | | $ | 14,605,897 | |
| Accumulated net investment income (loss) at end of period | | $ | (134,624 | ) | | $ | — | |
| | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 804,587 | | | | 2,353,360 | |
| C-Class | | | 106,112 | | | | 299,399 | |
| H-Class | | | 9,377,029 | | | | 10,932,156 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (811,409 | ) | | | (2,380,877 | ) |
| C-Class | | | (105,508 | ) | | | (355,403 | ) |
| H-Class | | | (9,074,672 | ) | | | (10,761,580 | ) |
| Net increase in shares | | | 296,139 | | | | 87,055 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 217 |
| inverse High Yield strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.15 | | | $ | 31.99 | | | $ | 38.51 | | | $ | 55.13 | | | $ | 51.26 | | | $ | 50.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.19 | ) | | | (.43 | ) | | | (.47 | ) | | | (.63 | ) | | | (.10 | ) | | | .54 | |
| Net gain (loss) on investments (realized and unrealized) | | | (2.06 | ) | | | (3.41 | ) | | | (6.05 | ) | | | (15.60 | ) | | | 5.29 | | | | .72 | |
| Total from investment operations | | | (2.25 | ) | | | (3.84 | ) | | | (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 | | $ | 25.90 | | | $ | 28.15 | | | $ | 31.99 | | | $ | 38.51 | | | $ | 55.13 | | | $ | 51.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.99 | %) | | | (11.98 | %) | | | (16.96 | %) | | | 29.47 | % | | | 10.17 | % | | | 2.52 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 335 | | | $ | 556 | | | $ | 1,512 | | | $ | 2,269 | | | $ | 2,278 | | | $ | 1,673 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.36 | %) | | | (1.39 | %) | | | (1.39 | %) | | | (1.43 | %) | | | (0.19 | %) | | | 1.09 | % |
| Total expenses | | | 1.47 | % | | | 1.51 | % | | | 1.53 | % | | | 1.54 | % | | | 1.52 | % | | | 1.52 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.21 | | | $ | 31.12 | | | $ | 37.77 | | | $ | 54.49 | | | $ | 51.06 | | | $ | 50.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossc | | | (.27 | ) | | | (.55 | ) | | | (.72 | ) | | | (.95 | ) | | | (.52 | ) | | | (.62 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.00 | ) | | | (3.36 | ) | | | (5.93 | ) | | | (15.38 | ) | | | 5.27 | | | | 1.68 | |
| Total from investment operations | | | (2.27 | ) | | | (3.91 | ) | | | (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 | | $ | 24.94 | | | $ | 27.21 | | | $ | 31.12 | | | $ | 37.77 | | | $ | 54.49 | | | $ | 51.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (8.31 | %) | | | (12.60 | %) | | | (17.61 | %) | | | (30.00 | %) | | | 9.34 | % | | | 2.12 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 650 | | | $ | 693 | | | $ | 2,535 | | | $ | 2,055 | | | $ | 869 | | | $ | 2,958 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.11 | %) | | | (1.87 | %) | | | (2.13 | %) | | | (2.18 | %) | | | (1.00 | %) | | | (1.25 | %) |
| Total expenses | | | 2.23 | % | | | 2.26 | % | | | 2.28 | % | | | 2.29 | % | | | 2.28 | % | | | 2.26 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| 218 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| inverse High Yield strategy FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008b | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.22 | | | $ | 32.04 | | | $ | 38.60 | | | $ | 55.26 | | | $ | 51.38 | | | $ | 50.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)c | | | (.19 | ) | | | (.47 | ) | | | (.50 | ) | | | (.61 | ) | | | (.29 | ) | | | 1.44 | |
| Net gain (loss) on investments (realized and unrealized) | | | (2.06 | ) | | | (3.35 | ) | | | (6.06 | ) | | | (15.66 | ) | | | 5.49 | | | | (.06 | ) |
| Total from investment operations | | | (2.25 | ) | | | (3.82 | ) | | | (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 | | $ | 25.97 | | | $ | 28.22 | | | $ | 32.04 | | | $ | 38.60 | | | $ | 55.26 | | | $ | 51.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.97 | %) | | | (11.92 | %) | | | (16.99 | %) | | | (29.47 | %) | | | 10.17 | % | | | 2.76 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 20,142 | | | $ | 13,357 | | | $ | 9,699 | | | $ | 27,954 | | | $ | 13,799 | | | $ | 6,536 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.36 | %) | | | (1.51 | %) | | | (1.38 | %) | | | (1.43 | %) | | | (0.55 | %) | | | 2.84 | % |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.53 | % | | | 1.53 | % | | | 1.53 | % | | | 1.52 | % |
| Portfolio turnover rate | | | — | | | | — | �� | | | — | | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: April 16, 2007. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| 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 FUNDS SEMI-ANNUAL REPORT | 219 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
FADN — Federal Agency Discount Notes
FAN — Federal Agency Notes
| Inception Date: | December 1, 1993 |
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.
| 220 | the RYDEX FUNDS SEMI-ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| u.s. government money market FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| FEDERAL AGENCY NOTES†† - 13.7% | | | | | | | | |
| Federal Home Loan Bank1 | | | | | | | | |
| 0.17% due 02/08/13 | | $ | 16,700,000 | | | $ | 16,697,992 | |
| 0.22% due 04/25/13 | | | 15,000,000 | | | | 14,999,745 | |
| 0.18% due 12/28/12 | | | 15,000,000 | | | | 14,999,580 | |
| 0.20% due 04/30/13 | | | 15,000,000 | | | | 14,998,955 | |
| 0.75% due 12/28/12 | | | 14,200,000 | | | | 14,220,566 | |
| 0.20% due 01/11/13 | | | 10,000,000 | | | | 10,000,000 | |
| 0.20% due 12/28/12 | | | 10,000,000 | | | | 9,999,908 | |
| 0.16% due 01/24/13 | | | 10,000,000 | | | | 9,998,782 | |
| 0.15% due 02/06/13 | | | 7,500,000 | | | | 7,498,593 | |
| Total Federal Home Loan Bank | | | | | | | 113,414,121 | |
| Fannie Mae2 | | | | | | | | |
| 0.75% due 02/26/13 | | | 10,000,000 | | | | 10,021,454 | |
| Federal Farm Credit Bank1 | | | | | | | | |
| 0.22% due 03/27/13 | | | 10,000,000 | | | | 10,000,361 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $133,435,936) | | | | | | | 133,435,936 | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 12.8% | | | | | | | | |
| Farmer Mac1 | | | | | | | | |
| 0.18% due 11/27/12 | | | 25,000,000 | | | | 24,992,875 | |
| 0.16% due 03/15/13 | | | 25,000,000 | | | | 24,981,667 | |
| 0.17% due 03/08/13 | | | 25,000,000 | | | | 24,981,347 | |
| 0.19% due 04/02/13 | | | 25,000,000 | | | | 24,975,854 | |
| Total Farmer Mac | | | | | | | 99,931,743 | |
| Freddie Mac2 | | | | | | | | |
| 0.15% due 04/23/13 | | | 15,000,000 | | | | 14,987,250 | |
| Federal Home Loan Banks | | | | | | | | |
| 0.01% due 06/21/13 | | | 10,000,000 | | | | 9,999,133 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $124,918,126) | | | | | | | 124,918,126 | |
| COMMERCIAL PAPER†† - 11.2% | | | | | | | | |
| Caterpillar Financial Service Corp. | | | | | | | | |
| 0.15% due 10/16/12 | | | 10,000,000 | | | | 9,999,375 | |
| General RE Corp. | | | | | | | | |
| 0.18% due 11/08/12 | | | 10,000,000 | | | | 9,998,100 | |
| Societe Generale North America, Inc. | | | | | | | | |
| 0.36% due 11/01/12 | | | 10,000,000 | | | | 9,996,900 | |
| Prudential plc | | | | | | | | |
| 0.37% due 11/01/12 | | | 10,000,000 | | | | 9,996,814 | |
| 0.40% due 11/01/12 | | | 10,000,000 | | | | 9,996,556 | |
| Jupiter Securitization Company LLC | | | | | | | | |
| 0.21% due 12/05/12 | | | 10,000,000 | | | | 9,996,208 | |
| Coca-Cola Co. | | | | | | | | |
| 0.25% due 12/03/12 | | | 5,000,000 | | | | 4,997,813 | |
| 0.26% due 02/01/13 | | | 5,000,000 | | | | 4,995,558 | |
| Total Coca-Cola Co. | | | | | | | 9,993,371 | |
| Nestle Capital Corp. | | | | | | | | |
| 0.21% due 10/12/12 | | | 5,000,000 | | | | 4,999,679 | |
| 0.24% due 05/20/13 | | | 5,000,000 | | | | 4,992,300 | |
| Total Nestle Capital Corp. | | | | | | | 9,991,979 | |
| Toyota Motor Credit Corp | | | | | | | | |
| 0.30% due 04/08/13 | | | 10,000,000 | | | | 9,984,250 | |
| Barclays Funding LLC | | | | | | | | |
| 0.73% due 02/21/13 | | | 10,000,000 | | | | 9,971,003 | |
| UBS Finance LLC | | | | | | | | |
| 0.54% due 04/19/13 | | | 10,000,000 | | | | 9,970,000 | |
| Total Commercial Paper | | | | | | | | |
| (Cost $109,894,556) | | | | | | | 109,894,556 | |
| REPURCHASE AGREEMENTS†† - 68.7% | | | | | | | | |
| Individual Repurchase Agreement | | | | | | | | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 secured by: | | | | | | | | |
| U.S. Treasury Notes, | | | | | | | | |
| 1.75% 05/31/16 | | | | | | | | |
| with a value of $130,989,423 | | | | | | | | |
| and U.S. Treasury Bills, | | | | | | | | |
| 0.00% 07/25/13 | | | | | | | | |
| with a value of $44,464,803, | | | | | | | | |
| to be repurchased at | | | | | | | | |
| $172,016,334 | | | 172,013,897 | | | | 172,013,897 | |
| Joint Repurchase Agreements3 | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 262,517,446 | | | | 262,517,446 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 151,042,075 | | | | 151,042,075 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 86,165,464 | | | | 86,165,464 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $671,738,882) | | | | | | | 671,738,882 | |
| Total Investments - 106.4% | | | | | | | | |
| (Cost $1,039,987,500) | | | | | | $ | 1,039,987,500 | |
| Other Assets & Liabilities, net - (6.4)% | | | | | | | (62,512,559 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 977,474,941 | |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
| 3 | Repurchase Agreements — See Note 5.
plc — Public Limited Company |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 221 |
| u.s. government money market FUND |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 | | | | |
| | | | | |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $368,248,618) | | $ | 368,248,618 | |
| Repurchase agreements, at value | | | | |
| (cost $671,738,882) | | | 671,738,882 | |
| Total investments | | | | |
| (cost $1,039,987,500) | | | 1,039,987,500 | |
| Receivables: | | | | |
| Fund shares sold | | | 24,385,911 | |
| Interest | | | 96,688 | |
| Total assets | | | 1,064,470,099 | |
| Liabilities: | | | | |
| Overdraft due to custodian bank | | | 246 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 86,699,774 | |
| Portfolio accounting fees | | | 37,706 | |
| Transfer agent and administrative fees | | | 1,031 | |
| Miscellaneous | | | 256,401 | |
| Total liabilities | | | 86,995,158 | |
| Net assets | | $ | 977,474,941 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 977,440,470 | |
| Undistributed net investment income | | | 945 | |
| Accumulated net realized gain on investments | | | 33,526 | |
| Net unrealized appreciation on investments | | | — | |
| Net assets | | $ | 977,474,941 | |
| Capital shares outstanding | | | 978,051,439 | |
| Net asset value per share | | $ | 1.00 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 | | | | |
| | | | | |
| Investment Income: | | | | |
| Interest | | $ | 892,784 | |
| Other income | | | 47 | |
| Total investment income | | | 892,831 | |
| Expenses: | | | | |
| Management fees | | | 2,549,364 | |
| Transfer agent and administrative fees | | | 1,019,749 | |
| Distribution and service fees | | | 406,011 | |
| Portfolio accounting fees | | | 321,712 | |
| Registration fees | | | 316,497 | |
| Custodian fees | | | 91,674 | |
| Trustees’ fees* | | | 78,848 | |
| Miscellaneous | | | 182,863 | |
| Total expenses | | | 4,966,718 | |
| Less: | | | | |
| Expenses waived by service company | | | (1,115,411 | ) |
| Expenses waived by distributor | | | (406,011 | ) |
| Expenses waived by advisor | | | (2,552,623 | ) |
| Total waived expenses | | | (4,074,045 | ) |
| Net expenses | | | 892,673 | |
| Net investment income | | | 158 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (288 | ) |
| Net realized loss | | | (288 | ) |
| Net decrease in net assets resulting from operations | | $ | (130 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 222 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| u.s. government money market FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 158 | | | $ | 4,154 | |
| Net realized gain (loss) on investments | | | (288 | ) | | | 33,814 | |
| Net increase (decrease) in net assets resulting from operations | | | (130 | ) | | | 37,968 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Money Market Class | | | (190 | ) | | | — | |
| Investor Class | | | — | | | | (2,991 | ) |
| Investor2 Class | | | — | | | | (169 | ) |
| Advisor Class | | | — | | | | (613 | ) |
| A-Class | | | — | | | | (155 | ) |
| C-Class | | | — | | | | (195 | ) |
| Net realized gains | | | | | | | | |
| Money Market Class | | | — | | | | — | |
| Investor Class | | | — | | | | (14,115 | ) |
| Investor2 Class | | | — | | | | (524 | ) |
| Advisor Class | | | — | | | | (3,382 | ) |
| A-Class | | | — | | | | (517 | ) |
| C-Class | | | — | | | | (803 | ) |
| Total distributions to shareholders | | | (190 | ) | | | (23,464 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Money Market Class | | | 8,004,829,280 | | | | — | |
| Investor Class | | | — | | | | 8,520,351,901 | |
| Investor2 Class | | | — | | | | 38,434,174 | |
| Advisor Class | | | — | | | | 5,981,133,747 | |
| A-Class | | | — | | | | 140,249,344 | |
| C-Class | | | — | | | | 332,253,713 | |
| Distributions reinvested | | | | | | | | |
| Money Market Class | | | 123 | | | | — | |
| Investor Class | | | — | | | | 17,010 | |
| Investor2 Class | | | — | | | | 677 | |
| Advisor Class | | | — | | | | 3,962 | |
| A-Class | | | — | | | | 627 | |
| C-Class | | | — | | | | 968 | |
| Cost of shares redeemed | | | | | | | | |
| Money Market Class | | | (8,370,714,033 | ) | | | — | |
| Investor Class | | | — | | | | (8,746,713,127 | ) |
| Investor2 Class | | | — | | | | (45,998,905 | ) |
| Advisor Class | | | — | | | | (5,497,279,690 | ) |
| A-Class | | | — | | | | (142,707,495 | ) |
| C-Class | | | — | | | | (345,516,973 | ) |
| Net increase (decrease) from capital share transactions | | | (365,884,630 | ) | | | 234,229,933 | |
| Net increase (decrease) in net assets | | | (365,884,950 | ) | | | 234,244,437 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 1,343,359,891 | | | | 1,109,115,454 | |
| End of period | | $ | 977,474,941 | | | $ | 1,343,359,891 | |
| Undistributed net investment income at end of year | | $ | 945 | | | $ | 977 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 223 |
| u.s. government money market FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Money Market Class | | | 8,004,377,694 | | | | — | |
| Investor Class | | | — | | | | 8,520,351,901 | |
| Investor2 Class | | | — | | | | 38,434,174 | |
| Advisor Class | | | — | | | | 5,981,133,747 | |
| A-Class | | | — | | | | 140,249,345 | |
| C-Class | | | — | | | | 332,253,713 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Money Market Class | | | 122 | | | | — | |
| Investor Class | | | — | | | | 17,013 | |
| Investor2 Class | | | — | | | | 677 | |
| Advisor Class | | | — | | | | 3,962 | |
| A-Class | | | — | | | | 627 | |
| C-Class | | | — | | | | 969 | |
| Shares redeemed | | | | | | | | |
| Money Market Class | | | (8,370,262,447 | ) | | | — | |
| Investor Class | | | — | | | | (8,746,713,127 | ) |
| Investor2 Class | | | — | | | | (45,998,904 | ) |
| Advisor Class | | | — | | | | (5,497,279,690 | ) |
| A-Class | | | — | | | | (142,707,495 | ) |
| C-Class | | | — | | | | (345,516,973 | ) |
| Net increase (decrease) in shares | | | (365,884,631 | ) | | | 234,229,939 | |
| 224 | the RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| u.s. government money market FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Money Market Classa | | 2012b | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | d | | | — | d | | | — | d | | | — | d | | | .01 | | | | .04 | |
| Net gain on investments (realized and unrealized) | | | (— | )d | | | — | d | | | — | d | | | — | | | | — | | | | — | |
| Total from investment operations | | | (— | )d | | | — | d | | | — | d | | | — | d | | | .01 | | | | .04 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (— | )d | | | (— | )d | | | (— | )d | | | (— | )d | | | (.01 | ) | | | (.04 | ) |
| Net realized gains | | | — | | | | (— | )d | | | (— | )d | | | — | | | | — | | | | — | |
| Total distributions | | | (— | )d | | | (— | )d | | | (— | )d | | | (— | )d | | | (.01 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.00 | % | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % | | | 1.06 | % | | | 3.76 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 977,475 | | | $ | 607,565 | | | $ | 833,899 | | | $ | 872,765 | | | $ | 1,114,286 | | | $ | 978,584 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.00 | %f | | | 0.00 | %g | | | 0.01 | % | | | 0.01 | % | | | 1.02 | % | | | 3.71 | % |
| Total expenses | | | 0.97 | % | | | 0.91 | % | | | 0.94 | % | | | 0.93 | % | | | 0.95 | % | | | 0.93 | % |
| Net expensese | | | 0.18 | % | | | 0.11 | % | | | 0.22 | % | | | 0.37 | % | | | 0.90 | % | | | 0.93 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | The shares of the Fund offered are new and, thus, the financial highlights set forth represent the financial performance of the Fund’s former Investor Class shares. The shares of the Fund would have financial performance that is substantially similar to that of the Investor Class shares because the fees and expenses of the Investor Class shares are the same and the Investor Class shares were invested in the same portfolio of securities. |
| b | Since commencement of operations: June 18, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| c | Net expense information reflects the expense ratios after expense waivers. |
| d | Less than $0.01 per share. |
| e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI-ANNUAL REPORT | 225 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers eight separate classes of shares, Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.
At September 30, 2012, the Trust consisted of fifty-six separate funds. This report covers the Target Beta Funds and the Money Market Fund (the “Funds”), while the other funds are contained in separate reports. Only Investor Class, Advisor Class, A-Class, C-Class, H-Class and Money Market Class shares had been issued in the Funds.
Guggenheim Investments (“GI”) 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. GI, RFS and RDL are affiliated entities.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
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 this report price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the September 30, 2012, 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, 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 Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value.
With the exception of the U.S. Government Money Market Fund, U.S. government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business. Other debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury yields, yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition 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.
| 226 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
The value of 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.
Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) using 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 discounts, 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. Dividends from net investment income are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. 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. GAAP.
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. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account.
Fees, if any, paid to brokers to borrow securities in connection with short sales are 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 dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
E. 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.
F. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
The value of credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 227 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
I. 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 or swap agreements.
J. 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.
K. 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 their 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 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.
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or in the case of a credit default swap in which the Fund is selling credit protection, the default of a third party issuer. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
In conjunction with the use of short sales, futures and swap agreements, the Funds are required to maintain collateral in
| 228 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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 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. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Trust pays GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the period ended September 30, 2012:
| | | Management Fees | |
| Fund | | (as a % of Net Assets) | |
| Nova Fund | | | 0.75 | % |
| S&P 500 Fund | | | 0.75 | % |
| Inverse S&P 500 Strategy Fund | | | 0.90 | % |
| Nasdaq-100® Fund | | | 0.75 | % |
| Inverse Nasdaq-100® Strategy Fund | | | 0.90 | % |
| Mid-Cap 1.5x Strategy Fund | | | 0.90 | % |
| Inverse Mid-Cap Strategy Fund | | | 0.90 | % |
| Russell 2000® 1.5x Strategy Fund | | | 0.90 | % |
| Russell 2000® Fund | | | 0.75 | % |
| Inverse Russell 2000® Strategy Fund | | | 0.90 | % |
| S&P 500 Pure Growth Fund | | | 0.75 | % |
| S&P 500 Pure Value Fund | | | 0.75 | % |
| S&P MidCap 400 Pure Growth Fund | | | 0.75 | % |
| S&P MidCap 400 Pure Value Fund | | | 0.75 | % |
| S&P SmallCap 600 Pure Growth Fund | | | 0.75 | % |
| S&P SmallCap 600 Pure Value Fund | | | 0.75 | % |
| Europe 1.25x Strategy Fund | | | 0.90 | % |
| Japan 2x Strategy Fund | | | 0.75 | % |
| Strengthening Dollar 2x Strategy Fund | | | 0.90 | % |
| Weakening Dollar 2x Strategy Fund | | | 0.90 | % |
| Real Estate Fund | | | 0.85 | % |
| Government Long Bond 1.2x Strategy Fund | | | 0.50 | % |
| Inverse Government Long Bond Strategy Fund | | | 0.90 | % |
| High Yield Strategy Fund | | | 0.75 | % |
| Inverse High Yield Strategy Fund | | | 0.75 | % |
| U.S. Government Money Market Fund | | | 0.50 | % |
RFS provides transfer agent and administrative services to the Trust for fees calculated at the annualized rates based on the average daily net assets of the Funds. For these services, RFS receives the following:
| | | Transfer Agent | |
| | | and Administrative Fees | |
| Fund | | (as a % of Net Assets) | |
| Government Long Bond 1.2x Strategy Fund | | | 0.20 | % |
| U.S. Government Money Market Fund | | | 0.20 | % |
| Remaining Funds | | | 0.25 | % |
RFS also provides accounting services to the Funds for fees calculated at annualized rates below, based on the average daily net assets of each Fund.
| Fund Accounting Fees | | (as a % of net assets) | |
| On the first $250 million | | | 0.10 | % |
| On the next $250 million | | | 0.075 | % |
| On the next $250 million | | | 0.05 | % |
| Over $750 million | | | 0.03 | % |
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution 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 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 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.
GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 229 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.
For the period ended September 30, 2012, RDL retained sales charges of $112,708 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2012:
| | | Level 1 | | | Level 1 | | | Level 2 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Other Financial | | | Investments | | | Other Financial | | | Investments | | | | |
| | | In Securities | | | Instruments* | | | In Securities | | | Instruments* | | | In Securities | | | Total | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| Nova Fund | | $ | 39,104,037 | | | $ | — | | | $ | 28,622,514 | | | $ | 44,182 | | | $ | — | | | $ | 67,770,733 | |
| S&P 500 Fund | | | 227,795,978 | | | | — | | | | 119,408,900 | | | | 177,618 | | | | — | | | | 347,382,496 | |
| Inverse S&P 500 Strategy Fund | | | — | | | | 194,975 | | | | 153,411,817 | | | | 273,586 | | | | — | | | | 153,880,378 | |
| NASDAQ-100® Fund | | | 661,695,488 | | | | 51,475 | | | | 174,026,982 | | | | — | | | | — | | | | 835,773,945 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | | | | 12,929,515 | | | | 53,539 | | | | — | | | | 12,983,054 | |
| Mid-Cap 1.5x Strategy Fund | | | 20,990,119 | | | | — | | | | 12,967,283 | | | | 18,920 | | | | — | | | | 33,976,322 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 7,617 | | | | 2,623,003 | | | | 3,398 | | | | — | | | | 2,634,018 | |
| Russell 2000® 1.5x Strategy Fund | | | 27,823,543 | | | | — | | | | 11,187,180 | | | | 6,639 | | | | — | | | | 39,017,362 | |
| Russell 2000® Fund | | | 44,736,821 | | | | — | | | | 37,911,151 | | | | 12,105 | | | | — | | | | 82,660,077 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 71,264 | | | | 12,778,855 | | | | 26,638 | | | | — | | | | 12,876,757 | |
| S&P 500 Pure Growth Fund | | | 87,931,371 | | | | — | | | | 388,787 | | | | — | | | | — | | | | 88,320,158 | |
| S&P 500 Pure Value Fund | | | 80,368,588 | | | | — | | | | 2,427,079 | | | | — | | | | — | | | | 82,795,667 | |
| S&P MidCap 400 Pure Growth Fund | | | 277,095,839 | | | | — | | | | 6,357,463 | | | | — | | | | — | | | | 283,453,302 | |
| S&P MidCap 400 Pure Value Fund | | | 11,847,923 | | | | — | | | | 154,184 | | | | — | | | | — | | | | 12,002,107 | |
| S&P SmallCap 600 Pure Growth Fund | | | 13,179,531 | | | | — | | | | 196,565 | | | | — | | | | — | | | | 13,376,096 | |
| S&P SmallCap 600 Pure Value Fund | | | 17,092,797 | | | | — | | | | 202,889 | | | | — | | | | — | | | | 17,295,686 | |
| Europe 1.25x Strategy Fund | | | 32,351,101 | | | | — | | | | 5,419,285 | | | | — | | | | — | | | | 37,770,386 | |
| Japan 2x Strategy Fund | | | — | | | | 45,375 | | | | 1,740,786 | | | | — | | | | — | | | | 1,786,161 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | 97,149 | | | | 26,152,902 | | | | — | | | | — | | | | 26,250,051 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 17,027,536 | | | | 510,950 | | | | — | | | | 17,538,486 | |
| Real Estate Fund | | | 45,618,296 | | | | — | | | | 570,083 | | | | — | | | | — | | | | 46,188,379 | |
| Government Long Bond 1.2x Strategy Fund | | | 117,287,778 | | | | 416,441 | | | | 1,725,139 | | | | — | | | | — | | | | 119,429,358 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | 1,776,315 | | | | 640,561,249 | | | | — | | | | — | | | | 642,337,564 | |
| High Yield Strategy Fund | | | 24,262,088 | | | | 1,160,484 | | | | 373,793,792 | | | | 1,199,355 | | | | — | | | | 400,415,719 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | 14,306,241 | | | | — | | | | — | | | | 14,306,241 | |
| U.S. Government Money Market Fund | | | — | | | | — | | | | 1,039,987,500 | | | | — | | | | — | | | | 1,039,987,500 | |
| 230 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
| | | Level 1 | | | Level 1 | | | Level 2 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Other Financial | | | Investments | | | Other Financial | | | Investments | | | | |
| | | In Securities | | | Instruments* | | | In Securities | | | Instruments* | | | In Securities | | | Total | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
| Nova Fund | | $ | — | | | $ | 58,763 | | | $ | — | | | $ | 234,283 | | | $ | — | | | $ | 293,046 | |
| S&P 500 Fund | | | — | | | | 364,615 | | | | — | | | | 202,889 | | | | — | | | | 567,504 | |
| Inverse S&P 500 Strategy Fund | | | — | | | | — | | | | — | | | | 105,617 | | | | — | | | | 105,617 | |
| NASDAQ-100® Fund | | | — | | | | — | | | | — | | | | 460,649 | | | | — | | | | 460,649 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 12 | | | | — | | | | 25,766 | | | | — | | | | 25,778 | |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | 214,509 | | | | — | | | | 52,360 | | | | — | | | | 266,869 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | | | | — | | | | 3,034 | | | | — | | | | 3,034 | |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | 101,964 | | | | — | | | | 181,163 | | | | — | | | | 283,127 | |
| Russell 2000® Fund | | | — | | | | 4,276 | | | | — | | | | 245,721 | | | | — | | | | 249,997 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | | | | — | | | | 2,492 | | | | — | | | | 2,492 | |
| Europe 1.25x Strategy Fund | | | — | | | | 755,661 | | | | — | | | | — | | | | — | | | | 755,661 | |
| Japan 2x Strategy Fund | | | — | | | | 5,979 | | | | — | | | | — | | | | — | | | | 5,979 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | 82,791 | | | | — | | | | 82,791 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 51,218 | | | | — | | | | — | | | | — | | | | 51,218 | |
| Inverse Government Long Bond Strategy Fund | | | 193,506,361 | | | | — | | | | — | | | | — | | | | — | | | | 193,506,361 | |
| Inverse High Yield Strategy Fund | | | — | | | | 37,317 | | | | — | | | | 67,264 | | | | — | | | | 104,581 | |
| * | Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the period ended September 30, 2012, there were no transfers between levels.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2012, 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 | |
| HSBC Group | | | | | | | | | | Federal Farm Credit Bank Notes | | | | | | | | |
| 0.17% | | | | | | | | | | 0.15% - 1.13% | | | | | | | | |
| Due 10/01/12 | | $ | 914,000,000 | | | $ | 914,012,948 | | | 01/06/14 - 02/27/14 | | $ | 422,477,000 | | | $ | 464,919,327 | |
| | | | | | | | | | | Freddie Mac Notes | | | | | | | | |
| | | | | | | | | | | 0.65% - 4.75% | | | | | | | | |
| | | | | | | | | | | 03/12/15 - 07/10/19 | | | 300,000,000 | | | | 302,288,410 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 3.13% | | | | | | | | |
| | | | | | | | | | | 11/15/41 | | | 150,000,000 | | | | 165,072,575 | |
| Mizuho Financial Group, Inc. | | | | | | | | | | U.S. Treasury Bills | | | | | | | | |
| 0.17% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 10/01/12 | | | 525,879,171 | | | | 525,886,621 | | | 03/07/13 - 05/30/13 | | | 455,835,000 | | | | 455,479,165 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 1.75% | | | | | | | | |
| | | | | | | | | | | 05/31/16 | | | 76,370,900 | | | | 80,917,681 | |
| Deutsche Bank | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.12% | | | | | | | | | | 2.63% | | | | | | | | |
| Due 10/01/12 | | | 300,000,000 | | | | 300,003,000 | | | 12/31/14 | | | 288,794,900 | | | | 306,000,061 | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.12% | | | | | | | | | | 1.25% | | | | | | | | |
| Due 10/01/12 | | | 113,451,718 | | | | 113,452,853 | | | 03/15/14 | | | 113,923,600 | | | | 115,720,867 | |
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 231 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. 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.
6. 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 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, 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 209 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of September 30, 2012.
7. Derivative Investment Holdings Categorized by Risk Exposure
U.S. GAAP requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.
The following Funds utilized derivatives for the following purposes:
| | | Futures | | Swaps |
| Fund Name | Index Exposure | Liquidity | Index Exposure | Liquidity |
| Nova Fund | x | x | x | x |
| S&P 500 Fund | x | x | x | x |
| Inverse S&P 500 Strategy Fund | x | x | x | x |
| NASDAQ-100® Fund | x | x | x | x |
| Inverse NASDAQ-100® Strategy Fund | x | x | x | x |
| Mid-Cap 1.5x Strategy Fund | x | x | x | x |
| Inverse Mid-Cap Stategy Fund | x | x | x | x |
| Russell 2000® 1.5x Strategy Fund | x | x | x | x |
| Russell 2000® Fund | x | x | x | x |
| Inverse Russell 2000® Strategy Fund | x | x | x | x |
| Europe 1.25x Strategy Fund | x | x | — | — |
| Japan 2x Strategy Fund | x | x | — | — |
| Strengthening Dollor 2x Strategy Fund | x | x | x | x |
| Weakening Dollar 2x Strategy Fund | x | x | 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 | x | x |
| Inverse High Yield Strategy Fund | x | x | x | x |
| 232 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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 | |
| Nova Fund | | | 95 | % | | | — | |
| S&P 500 Fund | | | 40 | % | | | — | |
| Inverse S&P 500 Strategy Fund | | | — | | | | 100 | % |
| NASDAQ-100® Fund | | | 20 | % | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 100 | % |
| Mid-Cap 1.5x Strategy Fund | | | 90 | % | | | — | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 100 | % |
| Russell 2000® 1.5x Strategy Fund | | | 80 | % | | | — | |
| Russell 2000® Fund | | | 45 | % | | | — | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 100 | % |
| Europe 1.25x Strategy Fund* | | | 80 | % | | | — | |
| Japan 2x Strategy Fund* | | | 395 | % | | | — | |
| 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 | | | — | | | | 65 | % |
| High Yield Strategy Fund | | | 170 | % | | | — | |
| Inverse High Yield Strategy Fund | | | — | | | | 180 | % |
* These Funds utilize a combination of currency and/or financial-linked derivatives to obtain exposure to their benchmarks. The net derivative instrument exposure to the benchmark is 80% and 400% for the Europe 1.25x Strategy Fund and Japan 2x Strategy Fund, respectively.
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2012:
| Derivative Investment Type | | Asset Derivatives | | Liability Derivatives |
| | | | | |
| Equity/Interest Rate/Currency | | Variation margin | | Variation margin |
| and credit contracts | | Unrealized appreciation on swap agreements | | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2012:
| Asset Derivative Investments Value |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | September 30, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2012 | |
| Nova Fund | | $ | — | | | $ | 44,182 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 44,182 | |
| S&P 500 Fund | | | — | | | | 177,618 | | | | — | | | | — | | | | — | | | | — | | | | 177,618 | |
| Inverse S&P 500 Strategy Fund | | | 194,974 | | | | 273,586 | | | | — | | | | — | | | | — | | | | — | | | | 468,560 | |
| NASDAQ-100® Fund | | | 51,475 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 51,475 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 53,539 | | | | — | | | | — | | | | — | | | | — | | | | 53,539 | |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | 18,920 | | | | — | | | | — | | | | — | | | | — | | | | 18,920 | |
| Inverse Mid-Cap Strategy Fund | | | 7,617 | | | | 3,398 | | | | — | | | | — | | | | — | | | | — | | | | 11,015 | |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | 6,639 | | | | — | | | | — | | | | — | | | | — | | | | 6,639 | |
| Russell 2000® Fund | | | — | | | | 12,105 | | | | — | | | | — | | | | — | | | | — | | | | 12,105 | |
| Inverse Russell 2000® Strategy Fund | | | 71,264 | | | | 26,638 | | | | — | | | | — | | | | — | | | | — | | | | 97,902 | |
| Japan 2x Strategy Fund | | | 45,375 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 45,375 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 97,149 | | | | — | | | | — | | | | — | | | | 97,149 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | 510,950 | | | | — | | | | — | | | | 510,950 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 416,441 | | | | — | | | | 416,441 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,776,315 | | | | — | | | | 1,776,315 | |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,160,484 | | | | 1,199,355 | | | | 2,359,839 | |
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 233 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
| Liability Derivative Investments Value |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | September 30, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2012 | |
| Nova Fund | | $ | 58,763 | | | $ | 234,283 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 293,046 | |
| S&P 500 Fund | | | 364,615 | | | | 202,889 | | | | — | | | | — | | | | — | | | | — | | | | 567,504 | |
| Inverse S&P 500 Strategy Fund | | | — | | | | 105,617 | | | | — | | | | — | | | | — | | | | — | | | | 105,617 | |
| NASDAQ-100® Fund | | | — | | | | 460,649 | | | | — | | | | — | | | | — | | | | — | | | | 460,649 | |
| Inverse NASDAQ-100® Strategy Fund | | | 12 | | | | 25,766 | | | | — | | | | — | | | | — | | | | — | | | | 25,778 | |
| Mid-Cap 1.5x Strategy Fund | | | 214,509 | | | | 52,360 | | | | — | | | | — | | | | — | | | | — | | | | 266,869 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 3,034 | | | | — | | | | — | | | | — | | | | — | | | | 3,034 | |
| Russell 2000® 1.5x Strategy Fund | | | 101,964 | | | | 181,163 | | | | — | | | | — | | | | — | | | | — | | | | 283,127 | |
| Russell 2000® Fund | | | 4,276 | | | | 245,721 | | | | — | | | | — | | | | — | | | | — | | | | 249,997 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 2,492 | | | | — | | | | — | | | | — | | | | — | | | | 2,492 | |
| Europe 1.25x Strategy Fund | | | 586,112 | | | | — | | | | 169,549 | | | | — | | | | — | | | | — | | | | 755,661 | |
| Japan 2x Strategy Fund | | | — | | | | — | | | | 5,979 | | | | — | | | | — | | | | — | | | | 5,979 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | 82,791 | | | | — | | | | — | | | | 82,791 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 51,218 | | | | — | | | | — | | | | — | | | | 51,218 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 37,317 | | | | 67,264 | | | | 104,581 | |
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2012:
| Derivative Investment Type | 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 on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2012:
| Realized Gain (Loss) on Derivative Investments Recognized in the Statements of Operations |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| Nova Fund | | $ | (1,017,004 | ) | | $ | 977,912 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (39,092 | ) |
| S&P 500 Fund | | | 1,968,780 | | | | 2,599,583 | | | | — | | | | — | | | | — | | | | — | | | | 4,568,363 | |
| Inverse S&P 500 Strategy Fund | | | (8,077,821 | ) | | | (2,084,311 | ) | | | — | | | | — | | | | — | | | | — | | | | (10,162,132 | ) |
| NASDAQ-100® Fund | | | 4,710,290 | | | | (1,017,377 | ) | | | — | | | | — | | | | — | | | | — | | | | 3,692,913 | |
| Inverse NASDAQ-100® Strategy Fund | | | (524,048 | ) | | | (77,085 | ) | | | — | | | | — | | | | — | | | | — | | | | (601,133 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 388,941 | | | | 698,113 | | | | — | | | | — | | | | — | | | | — | | | | 1,087,054 | |
| Inverse Mid-Cap Strategy Fund | | | (227,333 | ) | | | (116,035 | ) | | | — | | | | — | | | | — | | | | — | | | | (343,368 | ) |
| Russell 2000® 1.5x Strategy Fund | | | (589,176 | ) | | | 316,329 | | | | — | | | | — | | | | — | | | | — | | | | (272,847 | ) |
| Russell 2000® Fund | | | (172,042 | ) | | | (253,275 | ) | | | — | | | | — | | | | — | | | | — | | | | (425,317 | ) |
| Inverse Russell 2000® Strategy Fund | | | (697,081 | ) | | | (1,712,020 | ) | | | — | | | | — | | | | — | | | | — | | | | (2,409,101 | ) |
| Europe 1.25x Strategy Fund | | | (33,765 | ) | | | — | | | | 25,218 | | | | — | | | | — | | | | — | | | | (8,547 | ) |
| Japan 2x Strategy Fund | | | (916,924 | ) | | | — | | | | 564,602 | | | | — | | | | — | | | | — | | | | (352,322 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 1,070,621 | | | | 557,751 | | | | — | | | | — | | | | 1,628,372 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (163,786 | ) | | | (338,798 | ) | | | — | | | | — | | | | (502,584 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 18,151,953 | | | | — | | | | 18,151,953 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (1,028,537 | ) | | | — | | | | (1,028,537 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,819,874 | | | | 10,611,436 | | | | 12,431,310 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (504,666 | ) | | | (243,230 | ) | | | (747,896 | ) |
| 234 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| Nova Fund | | $ | (112,061 | ) | | $ | (185,972 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (298,033 | ) |
| S&P 500 Fund | | | (412,176 | ) | | | (89,150 | ) | | | — | | | | — | | | | — | | | | — | | | | (501,326 | ) |
| Inverse S&P 500 Strategy Fund | | | 254,683 | | | | 366,138 | | | | — | | | | — | | | | — | | | | — | | | | 620,821 | |
| NASDAQ-100® Fund | | | (676,024 | ) | | | (328,505 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,004,529 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | (12 | ) | | | (13,346 | ) | | | — | | | | — | | | | — | | | | — | | | | (13,358 | ) |
| Mid-Cap 1.5x Strategy Fund | | | (409,612 | ) | | | (7,307 | ) | | | — | | | | — | | | | — | | | | — | | | | (416,919 | ) |
| Inverse Mid-Cap Strategy Fund | | | 6,320 | | | | (3,351 | ) | | | — | | | | — | | | | — | | | | — | | | | 2,969 | |
| Russell 2000® 1.5x Strategy Fund | | | (156,688 | ) | | | (135,825 | ) | | | — | | | | — | | | | — | | | | — | | | | (292,513 | ) |
| Russell 2000® Fund | | | (38,624 | ) | | | (190,225 | ) | | | — | | | | — | | | | — | | | | — | | | | (228,849 | ) |
| Inverse Russell 2000® Strategy Fund | | | 182,626 | | | | (20,962 | ) | | | — | | | | — | | | | — | | | | — | | | | 161,664 | |
| Europe 1.25x Strategy Fund | | | (434,989 | ) | | | — | | | | (195,730 | ) | | | — | | | | — | | | | — | | | | (630,719 | ) |
| Japan 2x Strategy Fund | | | (633,722 | ) | | | — | | | | (19,584 | ) | | | — | | | | — | | | | — | | | | (653,306 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 792,002 | | | | (31,820 | ) | | | — | | | | — | | | | 760,182 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (401,522 | ) | | | 384,751 | | | | — | | | | — | | | | (16,771 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 203,717 | | | | — | | | | 203,717 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (4,695,233 | ) | | | — | | | | (4,695,233 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,966,091 | | | | 2,744,896 | | | | 4,710,987 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (36,692 | ) | | | (143,223 | ) | | | (179,915 | ) |
8. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009 – 2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.
The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 235 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
At September 30, 2012, 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) | |
| Nova Fund | | $ | 58,856,423 | | | $ | 9,045,389 | | | $ | (175,261 | ) | | $ | 8,870,128 | |
| S&P 500 Fund | | | 321,266,706 | | | | 28,061,138 | | | | (2,122,966 | ) | | | 25,938,172 | |
| Inverse S&P 500 Strategy Fund | | | 153,392,707 | | | | 19,110 | | | | — | | | | 19,110 | |
| NASDAQ-100® Fund | | | 493,678,328 | | | | 346,655,642 | | | | (4,611,501 | ) | | | 342,044,141 | |
| Inverse NASDAQ-100® Strategy Fund | | | 12,929,515 | | | | — | | | | — | | | | — | |
| Mid-Cap 1.5x Strategy Fund | | | 31,453,530 | | | | 2,978,146 | | | | (474,274 | ) | | | 2,503,872 | |
| Inverse Mid-Cap Strategy Fund | | | 2,623,003 | | | | — | | | | — | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | 37,701,199 | | | | 2,108,965 | | | | (799,442 | ) | | | 1,309,523 | |
| Russell 2000® Fund | | | 79,666,027 | | | | 4,218,324 | | | | (1,236,379 | ) | | | 2,981,945 | |
| Inverse Russell 2000® Strategy Fund | | | 12,778,855 | | | | — | | | | — | | | | — | |
| S&P 500 Pure Growth Fund | | | 80,916,001 | | | | 8,262,699 | | | | (858,542 | ) | | | 7,404,157 | |
| S&P 500 Pure Value Fund | | | 79,996,060 | | | | 4,227,183 | | | | (1,427,577 | ) | | | 2,799,606 | |
| S&P MidCap 400 Pure Growth Fund | | | 248,464,119 | | | | 44,616,023 | | | | (9,626,841 | ) | | | 34,989,182 | |
| S&P MidCap 400 Pure Value Fund | | | 11,565,473 | | | | 527,482 | | | | (90,848 | ) | | | 436,634 | |
| S&P SmallCap 600 Pure Growth Fund | | | 11,341,593 | | | | 2,166,639 | | | | (132,135 | ) | | | 2,034,504 | |
| S&P SmallCap 600 Pure Value Fund | | | 17,660,274 | | | | — | | | | (364,588 | ) | | | (364,588 | ) |
| Europe 1.25x Strategy Fund | | | 37,969,493 | | | | 472,733 | | | | (671,840 | ) | | | (199,107 | ) |
| Japan 2x Strategy Fund | | | 1,740,786 | | | | — | | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | 26,152,902 | | | | — | | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | 17,027,536 | | | | — | | | | — | | | | — | |
| Real Estate Fund | | | 47,205,075 | | | | — | | | | (1,016,696 | ) | | | (1,016,696 | ) |
| Government Long Bond 1.2x Strategy Fund | | | 117,124,649 | | | | 1,920,588 | | | | (32,320 | ) | | | 1,888,268 | |
| Inverse Government Long Bond Strategy Fund | | | 646,538,924 | | | | — | | | | (5,977,675 | ) | | | (5,977,675 | ) |
| High Yield Strategy Fund | | | 397,513,911 | | | | 559,277 | | | | (17,308 | ) | | | 541,969 | |
| Inverse High Yield Strategy Fund | | | 14,306,241 | | | | — | | | | — | | | | — | |
| U.S. Government Money Market Fund | | | 1,039,987,500 | | | | — | | | | — | | | | — | |
9. Securities Transactions
For the period ended September 30, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:
| | | Purchases | | | Sales | |
| Nova Fund | | $ | 52,486,548 | | | $ | 57,720,250 | |
| S&P 500 Fund | | | 124,633,329 | | | | 118,192,643 | |
| Inverse S&P 500 Strategy Fund | | | — | | | | — | |
| NASDAQ-100® Fund | | | 263,494,475 | | | | 392,589,561 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | |
| Mid-Cap 1.5x Strategy Fund | | | 11,499,405 | | | | 10,837,679 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | 32,834,502 | | | | 20,451,574 | |
| Russell 2000® Fund | | | 39,889,585 | | | | 45,378,597 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | |
| S&P 500 Pure Growth Fund | | | 236,297,961 | | | | 200,650,470 | |
| S&P 500 Pure Value Fund | | | 100,834,787 | | | | 93,086,976 | |
| S&P MidCap 400 Pure Growth Fund | | | 201,002,135 | | | | 281,373,452 | |
| S&P MidCap 400 Pure Value Fund | | | 24,379,931 | | | | 39,710,494 | |
| S&P SmallCap 600 Pure Growth Fund | | | 47,437,416 | | | | 65,784,933 | |
| S&P SmallCap 600 Pure Value Fund | | | 80,435,163 | | | | 88,037,305 | |
| Europe 1.25x Strategy Fund | | | 63,779,175 | | | | 37,253,596 | |
| Japan 2x Strategy Fund | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | |
| Real Estate Fund | | | 136,729,906 | | | | 107,241,175 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | 25,000,000 | |
| High Yield Strategy Fund | | | 23,870,275 | | | | 17,449,956 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | |
| U.S. Government Money Market Fund | | | — | | | | — | |
| 236 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
For the period ended September 30, 2012, the cost of purchases and proceeds from sale of government securities were:
| | | Purchases | | | Sales | |
| Government Long Bond 1.2x Strategy Fund | | $ | 1,697,578,024 | | | $ | 1,663,304,921 | |
| Inverse Government Long Bond Strategy Fund | | | 1,312,724,247 | | | | 1,519,057,386 | |
10. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2013.
This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2012. The Funds did not have any borrowings under this agreement at September 30, 2012.
The following table illustrates the average daily balance borrowed for the period ended September 30, 2012:
| Fund | | Average Daily Balance | |
| Nova Fund | | $ | 820 | |
| S&P 500 Fund | | | 1,470 | |
| Russell 2000® 1.5x Strategy Fund | | | 19,208 | |
| S&P 500 Pure Growth Fund | | | 40,689 | |
| S&P 500 Pure Value Fund | | | 39,126 | |
| MidCap 400 Pure Growth Fund | | | 2,918 | |
| MidCap 400 Pure Value Fund | | | 9,863 | |
| SmallCap 600 Pure Growth Fund | | | 5,016 | |
| SmallCap 600 Pure Value Fund | | | 19,383 | |
| Real Estate Fund | | | 4,503 | |
| Inverse Government Long Bond Strategy Fund | | | 131,995 | |
| U.S. Government Money Market Fund | | | 22 | |
11. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the statement of operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, Credit Suisse acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 100% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with Credit Suisse, cash collateral is invested in one or more joint repurchase agreements collateralized by obligations of U.S. Government Agencies. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand.
At September 30, 2012, the following Funds participated in securities lending and received cash collateral in the form of repurchase agreements:
| | | Value of | | | Cash | |
| Fund | | Securities Loaned | | | Collateral | |
| Nova Fund | | $ | 7,350 | | | $ | 7,875 | |
| S&P 500 Fund | | | 259,047 | | | | 271,800 | |
| NASDAQ 100® Fund | | | 1,384,178 | | | | 1,463,475 | |
| Mid-Cap 1.5x Strategy Fund | | | 104,798 | | | | 107,743 | |
| Russell 2000® 1.5x Strategy Fund | | | 167,672 | | | | 179,188 | |
| Russell 2000® Fund | | | 436,646 | | | | 460,385 | |
| S&P 500 Pure Growth Fund | | | 119,768 | | | | 124,850 | |
| S&P 500 Pure Value Fund | | | 1,907,437 | | | | 1,958,525 | |
| S&P MidCap 400 Pure Growth Fund | | | 4,201,247 | | | | 4,397,593 | |
| S&P MidCap 400 Pure Value Fund | | | 102,148 | | | | 106,419 | |
| S&P SmallCap 600 Pure Growth Fund | | | 130,135 | | | | 132,650 | |
| S&P SmallCap 600 Pure Value Fund | | | 75,768 | | | | 78,925 | |
| Europe 1.25x Strategy Fund | | | 266,532 | | | | 279,300 | |
| Real Estate Fund | | | 388,914 | | | | 397,200 | |
| High Yield Strategy Fund | | | 7,620,525 | | | | 7,816,875 | |
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 237 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
The following represents a breakdown of the collateral for the repurchase agreements at September 30, 2012:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | | Par Value | | | Fair Value | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | | | Freddie Mac Note | | | | | | | | | |
| 0.15% | | | | | | | | | | | 6.25% | | | | | | | | | |
| Due 10/01/12 | | $ | 24,000,000 | | | $ | 24,000,300 | | | | 07/15/32 | | | $ | 49,137,000 | | | $ | 24,480,054 | |
| RBS Securities, Inc. | | | | | | | | | | Freddie Mac Note | | | | | | | | | |
| 0.24% | | | | | | | | | | | 2.50% | | | | | | | | | |
| Due 10/01/12 | | | 24,387,000 | | | | 24,387,488 | | | | 05/27/16 | | | | 23,020,000 | | | | 24,683,885 | |
12. U.S. Government Money Market Fund Consolidation
Effective upon the close of business on June 15, 2012, the U.S. Government Money Market Fund replaced its existing Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares and Investor2 Class shares with a single share class. The Fund’s new share class has no performance history and the Fund’s shares would have annual returns substantially similar to those of the former Investor Class Shares because they are invested in the same portfolio of securities.
13. Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons” Action), as a result of ownership of shares in the Tribune Company (“Tribune”) in 2007 by certain series of the Rydex Series Funds when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In its complaint, the Unsecured Creditors Committee (the “UCC”) has alleged that, in connection with the LBO, insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave the Tribune insolvent. The UCC has asserted claims against certain insiders, shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding has now been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York captioned In re Tribune Co. Fraudulent Conveyance Litig., No. 11-2296 (S.D.N.Y.) (the “MDL Proceeding”).
Rydex Series Funds also has been named as a defendant in one or more of a group of lawsuits filed by a group of Tribune creditors that allege state law constructive fraudulent conveyance claims against former Tribune shareholders (the “SCLFC actions”). The SLCFC actions also have been consolidated into the MDL Proceeding.
On September 7, 2012, the District Court issued a Master Case Order in the MDL Proceeding. This order established a briefing schedule for motions to dismiss in the SLCFC actions; no schedule has yet been established in the Fitzsimons Action. The Court also extended the plaintiffs’ deadline to serve summonses and complaints through January 15, 2013. Finally, the Court ordered that merits discovery will be stayed until further order of the Court.
None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
| 238 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) |
Lyondell Chemical Company
In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.
A motion to dismiss is currently pending before the Bankruptcy Court.
This lawsuit does not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $ 1,725,168; U.S. Long Short Momentum Fund - $2,193,600; Global 130/30 Strategy Fund - $37,920; Hedged Equity Fund - $1,440; and Multi-Hedge Strategies Fund - $1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 239 |
| OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 1.800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 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.
Office Locations
The offices of Guggenheim Investments 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
| 240 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| INFORMATION on board of trustees and officers (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.
TRUSTEE AND OFFICER
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Donald C. Cacciapaglia* | | Rydex Series Funds – 2012 | | 146 |
| (1951) | | Rydex Variable Trust – 2012 | | |
| | | Rydex Dynamic Funds – 2012 | | |
| | | Rydex ETF Trust – 2012 | | |
Principal Occupations During Past Five Years: Current: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Previous: Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010
Positions held within the Trust: Trustee from 2012 to present; President from 2012 to present
| INDEPENDENT TRUSTEES | | | | |
| | | | | |
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Corey A. Colehour | | Rydex Series Funds – 1993 | | 146 |
| (1945) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: President and Senior Vice President of Schield Management Company (registered investment adviser) from 2003 to 2006
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
| J. Kenneth Dalton | | Rydex Series Funds – 1995 | | 146 |
| (1941) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1995 to present; Member and Chairman of the Audit Committee from 1997 to present; Member of the Governance and Nominating Committees from 1995 to present; and Member of the Risk Oversight Committee from 2010 to present
| John O. Demaret | | Rydex Series Funds – 1997 | | 146 |
| (1940) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1997 to present; Chairman of the Board from 2006 to present; Member of the Audit Committee from 1997 to present; and Member of the Risk Oversight Committee from 2010 to present
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 241 |
| INFORMATION on board of trustees and officers (Unaudited) (continued) |
| INDEPENDENT TRUSTEES – concluded | | |
| | | | | |
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Werner E. Keller | | Rydex Series Funds – 2005 | | 146 |
| (1940) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: Founder and President of Keller Partners, LLC (investment research firm) from 2005 to present; Previous: Retired from 2001 to 2005
Positions held within the Trust: Vice Chairman of the Board of Trustees from 2010 to present; Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present; and Chairman and Member of the Risk Oversight Committee from 2010 to present
| Thomas F. Lydon, Jr. | | Rydex Series Funds – 2005 | | 146 |
| (1960) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: President of Global Trends Investments (registered investment adviser) from 1996 to present
Positions held within the Trust: Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present
| Patrick T. McCarville | | Rydex Series Funds – 1997 | | 146 |
| (1942) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: Chief Executive Officer of Par Industries, Inc., d/b/a Par Leasing from 1977 to 2010
Positions held within the Trust: Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; and Chairman of the Governance and Nominating Committees from 1997 to present
| Roger Somers | | Rydex Series Funds – 1993 | | 146 |
| (1944) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Founder and Chief Executive Officer of Arrow Limousine from 1965 to present
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
EXECUTIVE OFFICERS
| Name, Position and | | | Principal Occupations | |
| Year of Birth | | | During Past Five Years | |
Michael P. Byrum* Vice President (1970) | Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President & Chief Investment Officer, Rydex Holdings, LLC; Director & Chairman of the Board, Advisor Research Center, Inc.; and Manager, Rydex Specialized Products, LLC |
| | |
| | Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009–2010), Secretary (2002–2010), Executive Vice President (2002–2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Capital Partners, LLC, President & Secretary (2003–2007); Rydex Capital Partners II, LLC, (2003–2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary (2005–2008), Executive Vice President (2005–2006); Advisor Research Center, Inc., Secretary (2006–2009), Executive Vice President (2006); and Rydex Specialized Products, LLC, Secretary (2005–2008) |
| 242 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| INFORMATION on board of trustees and officers (Unaudited) (concluded) |
EXECUTIVE OFFICERS – concluded
| Name, Position and | | | Principal Occupations | |
| Year of Birth | | | During Past Five Years | |
Nikolaos Bonos* Vice President and Treasurer (1963) | Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; and Vice President, Security Benefit Asset Management Holdings, LLC |
| | |
| | Previous: Security Global Investors, LLC, Senior Vice President (2010–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006–2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) & Senior Vice President (2003–2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005–2009) |
| | |
Elisabeth Miller* Chief Compliance Officer (1968) | Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC |
| | |
| | Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004–2009) |
| | |
Amy J. Lee* Vice President and Assistant Secretary (1961) | Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital |
| | |
| | Previous: Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011); and Brecek & Young Advisors, Inc., Director (2004–2008) |
| | |
Joseph M. Arruda* Assistant Treasurer (1966) | Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC |
| | |
| | Previous: Security Global Investors, LLC, Vice President (2010–2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004–2011) |
| * | 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 Guggenheim Investments. |
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 243 |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
| 244 | the RYDEX FUNDS SEMI-ANNUAL REPORT |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded) |
How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
| the RYDEX FUNDS SEMI-ANNUAL REPORT | 245 |
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| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for an extensive selection of our mutual funds (the “Funds”).
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
This report covers performance for the semiannual period ended September 30, 2012.
Rydex Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions; as of the date of this report we offer a wide range of domestic and global themes in our funds and a distinctive ETF line-up.
To learn more about economic and market conditions affecting the six months ending September 30, 2012, we encourage you to read the Economic and Market Overview section of the report. That and the six-month performance of each Fund follow this letter.
Sincerely,
Donald C. Cacciapaglia
President
October 31, 2012
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 guggenheiminvestments.com or call 800.820.0888.
| 2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW | September 30, 2012 |
Amidst the negative headlines concerning the potential fiscal cliff in the U.S., further turmoil in Europe and worsening economic data from China, the U.S. economy has shown surprising resilience, with signs of rising consumer sentiment and a recovery in housing. The U.S. housing market appears to have passed its bottom and real estate prices have begun to pick up. Our expectation is that a period of continued low interest rates will likely reinforce the rise in home prices and sales. Rising home prices will increase household net worth, which will translate into greater consumption via the wealth effect, and is supportive of overall economic growth. The recent rise in headline inflation, led by increases in energy and food prices, is likely to be transitory. Inflationary pressures should remain muted in the medium-term given the substantial slack in the economy.
The U.S. economy continues to press forward despite the current headwinds, and we believe the current macroeconomic environment remains constructive for risk assets, especially in the U.S. Stocks in the U.S. appear to be undervalued by most measures, and should benefit from continued capital inflow and the Federal Reserve’s accommodative monetary policy. We continue to see attractive value in credit products on a relative basis. This positive outlook for fixed income, however, is limited to spread (or non-government) sectors. Treasury prices, particularly in the ten-year segment, appear rich. As a result, Treasuries are not a significant holding in the portfolios.
On the international front, uncertainty continues to weigh on European markets. European policymakers appear to be coming closer to a consensus on the need for a fiscal union, albeit at a glacial pace. This would be a positive development in our view and is necessary for a resolution of the current crisis. In China, a recent batch of economic data suggests that the odds of a hard landing have increased materially. We expect an announcement of additional stimulus measures after the government transition next year, but not on the scale of the previous round of stimulus from 2009. Although a stimulus would be supportive of economic growth, we expect China’s headline growth to slow from its breakneck pace of the past decade.
For the period covered by this report, the broad U.S. stock and bond markets have been, much like the economy, slowly moving up. The Standard & Poor’s 500 Index (the “S&P 500”)*, which is generally regarded as an indicator of the broad U.S. stock market, closed at a four-year high during September, and for the period returned 3.43% (all returns cited are for the 6-month period ended September 30, 2012). Foreign equity markets were weaker. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index*, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned -0.70%. The MSCI Emerging Markets Index*, which measures stock market performance in global emerging markets, returned -1.84%.
The search for yield continued to attract investors to the U.S. bond market, helping performance, with lower-rated bonds outperforming higher-quality issues. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, returned 3.68%, while return of the Barclays U.S. Corporate High Yield Index* was 6.45%.
Reflecting the Federal Reserve’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06%.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
All indices described are unmanaged and reflect no expenses. It is not possible to invest directly in any index.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Standard & Poor’s 500 Index (the “S&P 500”) is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2012 and ending September 30, 2012.
The following tables illustrate a Fund’s costs in two ways:
Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| 4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| Banking Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (0.26 | %) | | $ | 1,000.00 | | | $ | 997.40 | | | $ | 6.64 | |
| Advisor Class | | | 1.84 | % | | | (0.47 | %) | | | 1,000.00 | | | | 995.30 | | | | 9.18 | |
| A-Class | | | 1.59 | % | | | (0.37 | %) | | | 1,000.00 | | | | 996.30 | | | | 7.94 | |
| C-Class | | | 2.34 | % | | | (0.73 | %) | | | 1,000.00 | | | | 992.70 | | | | 11.66 | |
| | | | | | | | | | | | | | | | | | | | | |
| Basic Materials Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | (1.27 | %) | | | 1,000.00 | | | | 987.30 | | | | 6.71 | |
| Advisor Class | | | 1.85 | % | | | (1.52 | %) | | | 1,000.00 | | | | 984.80 | | | | 9.18 | |
| A-Class | | | 1.60 | % | | | (1.39 | %) | | | 1,000.00 | | | | 986.10 | | | | 7.94 | |
| C-Class | | | 2.35 | % | | | (1.78 | %) | | | 1,000.00 | | | | 982.20 | | | | 11.65 | |
| | | | | | | | | | | | | | | | | | | | | |
| Biotechnology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | 16.31 | % | | | 1,000.00 | | | | 1,163.10 | | | | 7.25 | |
| Advisor Class | | | 1.85 | % | | | 16.08 | % | | | 1,000.00 | | | | 1,160.80 | | | | 9.99 | |
| A-Class | | | 1.60 | % | | | 16.20 | % | | | 1,000.00 | | | | 1,162.00 | | | | 8.65 | |
| C-Class | | | 2.34 | % | | | 15.74 | % | | | 1,000.00 | | | | 1,157.40 | | | | 12.62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Consumer Products Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 2.19 | % | | | 1,000.00 | | | | 1,021.90 | | | | 6.72 | |
| Advisor Class | | | 1.83 | % | | | 1.94 | % | | | 1,000.00 | | | | 1,019.40 | | | | 9.24 | |
| A-Class | | | 1.58 | % | | | 2.08 | % | | | 1,000.00 | | | | 1,020.80 | | | | 7.98 | |
| C-Class | | | 2.33 | % | | | 1.68 | % | | | 1,000.00 | | | | 1,016.80 | | | | 11.75 | |
| | | | | | | | | | | | | | | | | | | | | |
| Electronics Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (16.65 | %) | | | 1,000.00 | | | | 833.50 | | | | 6.10 | |
| Advisor Class | | | 1.83 | % | | | (16.89 | %) | | | 1,000.00 | | | | 831.10 | | | | 8.38 | |
| A-Class | | | 1.58 | % | | | (16.73 | %) | | | 1,000.00 | | | | 832.70 | | | | 7.24 | |
| C-Class | | | 2.34 | % | | | (17.09 | %) | | | 1,000.00 | | | | 829.10 | | | | 10.70 | |
| | | | | | | | | | | | | | | | | | | | | |
| Energy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (1.06 | %) | | | 1,000.00 | | | | 989.40 | | | | 6.61 | |
| Advisor Class | | | 1.83 | % | | | (1.31 | %) | | | 1,000.00 | | | | 986.90 | | | | 9.09 | |
| A-Class | | | 1.58 | % | | | (1.20 | %) | | | 1,000.00 | | | | 988.00 | | | | 7.85 | |
| C-Class | | | 2.33 | % | | | (1.56 | %) | | | 1,000.00 | | | | 984.40 | | | | 11.56 | |
| | | | | | | | | | | | | | | | | | | | | |
| Energy Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (3.42 | %) | | | 1,000.00 | | | | 965.80 | | | | 6.54 | |
| Advisor Class | | | 1.83 | % | | | (3.67 | %) | | | 1,000.00 | | | | 963.30 | | | | 8.98 | |
| A-Class | | | 1.58 | % | | | (3.54 | %) | | | 1,000.00 | | | | 964.60 | | | | 7.76 | |
| C-Class | | | 2.33 | % | | | (3.92 | %) | | | 1,000.00 | | | | 960.80 | | | | 11.42 | |
| | | | | | | | | | | | | | | | | | | | | |
| Financial Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (0.17 | %) | | | 1,000.00 | | | | 998.30 | | | | 6.64 | |
| Advisor Class | | | 1.83 | % | | | (0.42 | %) | | | 1,000.00 | | | | 995.80 | | | | 9.13 | |
| A-Class | | | 1.58 | % | | | (0.31 | %) | | | 1,000.00 | | | | 996.90 | | | | 7.89 | |
| C-Class | | | 2.33 | % | | | (0.67 | %) | | | 1,000.00 | | | | 993.30 | | | | 11.61 | |
| | | | | | | | | | | | | | | | | | | | | |
| Health Care Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | 4.89 | % | | | 1,000.00 | | | | 1,048.90 | | | | 6.86 | |
| Advisor Class | | | 1.83 | % | | | 4.67 | % | | | 1,000.00 | | | | 1,046.70 | | | | 9.36 | |
| A-Class | | | 1.58 | % | | | 4.76 | % | | | 1,000.00 | | | | 1,047.60 | | | | 8.09 | |
| C-Class | | | 2.34 | % | | | 4.39 | % | | | 1,000.00 | | | | 1,043.90 | | | | 11.91 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Internet Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (2.33 | %) | | $ | 1,000.00 | | | | $ 976.70 | | | $ | 6.57 | |
| Advisor Class | | | 1.83 | % | | | (2.55 | %) | | | 1,000.00 | | | | 974.50 | | | | 9.03 | |
| A-Class | | | 1.58 | % | | | (2.44 | %) | | | 1,000.00 | | | | 975.60 | | | | 7.80 | |
| C-Class | | | 2.33 | % | | | (2.82 | %) | | | 1,000.00 | | | | 971.80 | | | | 11.49 | |
| | | | | | | | | | | | | | | | | | | | | |
| Leisure Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 4.28 | % | | | 1,000.00 | | | | 1,042.80 | | | | 6.79 | |
| Advisor Class | | | 1.83 | % | | | 4.02 | % | | | 1,000.00 | | | | 1,040.20 | | | | 9.33 | |
| A-Class | | | 1.58 | % | | | 4.15 | % | | | 1,000.00 | | | | 1,041.50 | | | | 8.06 | |
| C-Class | | | 2.33 | % | | | 3.77 | % | | | 1,000.00 | | | | 1,037.70 | | | | 11.87 | |
| | | | | | | | | | | | | | | | | | | | | |
| Precious Metals Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.23 | % | | | 8.47 | % | | | 1,000.00 | | | | 1,084.70 | | | | 6.41 | |
| Advisor Class | | | 1.73 | % | | | 8.22 | % | | | 1,000.00 | | | | 1,082.20 | | | | 9.01 | |
| A-Class | | | 1.48 | % | | | 8.36 | % | | | 1,000.00 | | | | 1,083.60 | | | | 7.71 | |
| C-Class | | | 2.23 | % | | | 7.96 | % | | | 1,000.00 | | | | 1,079.60 | | | | 11.59 | |
| | | | | | | | | | | | | | | | | | | | | |
| Retailing Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 3.21 | % | | | 1,000.00 | | | | 1,032.10 | | | | 6.76 | |
| Advisor Class | | | 1.83 | % | | | 3.16 | % | | | 1,000.00 | | | | 1,031.60 | | | | 9.29 | |
| A-Class | | | 1.58 | % | | | 2.98 | % | | | 1,000.00 | | | | 1,029.80 | | | | 8.02 | |
| C-Class | | | 2.33 | % | | | 2.75 | % | | | 1,000.00 | | | | 1,027.50 | | | | 11.81 | |
| | | | | | | | | | | | | | | | | | | | | |
| Technology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | (5.24 | %) | | | 1,000.00 | | | | 947.60 | | | | 6.52 | |
| Advisor Class | | | 1.85 | % | | | (5.52 | %) | | | 1,000.00 | | | | 944.80 | | | | 8.99 | |
| A-Class | | | 1.58 | % | | | (5.37 | %) | | | 1,000.00 | | | | 946.30 | | | | 7.69 | |
| C-Class | | | 2.35 | % | | | (5.67 | %) | | | 1,000.00 | | | | 943.30 | | | | 11.42 | |
| | | | | | | | | | | | | | | | | | | | | |
| Telecommunications Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | (3.25 | %) | | | 1,000.00 | | | | 967.50 | | | | 6.64 | |
| Advisor Class | | | 1.85 | % | | | (3.49 | %) | | | 1,000.00 | | | | 965.10 | | | | 9.09 | |
| A-Class | | | 1.60 | % | | | (3.36 | %) | | | 1,000.00 | | | | 966.40 | | | | 7.87 | |
| C-Class | | | 2.35 | % | | | (3.72 | %) | | | 1,000.00 | | | | 962.80 | | | | 11.53 | |
| | | | | | | | | | | | | | | | | | | | | |
| Transportation Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | (7.27 | %) | | | 1,000.00 | | | | 927.30 | | | | 6.41 | |
| Advisor Class | | | 1.83 | % | | | (7.43 | %) | | | 1,000.00 | | | | 925.70 | | | | 8.81 | |
| A-Class | | | 1.59 | % | | | (7.33 | %) | | | 1,000.00 | | | | 926.70 | | | | 7.66 | |
| C-Class | | | 2.33 | % | | | (7.68 | %) | | | 1,000.00 | | | | 923.20 | | | | 11.20 | |
| | | | | | | | | | | | | | | | | | | | | |
| Utilities Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | 5.01 | % | | | 1,000.00 | | | | 1,050.10 | | | | 6.92 | |
| Advisor Class | | | 1.85 | % | | | 4.76 | % | | | 1,000.00 | | | | 1,047.60 | | | | 9.47 | |
| A-Class | | | 1.61 | % | | | 4.88 | % | | | 1,000.00 | | | | 1,048.80 | | | | 8.25 | |
| C-Class | | | 2.36 | % | | | 4.50 | % | | | 1,000.00 | | | | 1,045.00 | | | | 12.07 | |
| 6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| Banking Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,018.35 | | | $ | 6.71 | |
| Advisor Class | | | 1.84 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.80 | | | | 9.27 | |
| A-Class | | | 1.59 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.05 | | | | 8.02 | |
| C-Class | | | 2.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.30 | | | | 11.78 | |
| | | | | | | | | | | | | | | | | | | | | |
| Basic Materials Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.25 | | | | 6.81 | |
| Advisor Class | | | 1.85 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.75 | | | | 9.32 | |
| A-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.00 | | | | 8.07 | |
| C-Class | | | 2.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.25 | | | | 11.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Biotechnology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.30 | | | | 6.76 | |
| Advisor Class | | | 1.85 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.75 | | | | 9.32 | |
| A-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.00 | | | | 8.07 | |
| C-Class | | | 2.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.30 | | | | 11.78 | |
| | | | | | | | | | | | | | | | | | | | | |
| Consumer Products Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Electronics Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.30 | | | | 11.78 | |
| | | | | | | | | | | | | | | | | | | | | |
| Energy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Energy Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Financial Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Health Care Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.30 | | | | 6.76 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.30 | | | | 11.78 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Internet Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,018.35 | | | $ | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Leisure Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Precious Metals Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.85 | | | | 6.21 | |
| Advisor Class | | | 1.73 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.35 | | | | 8.72 | |
| A-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| C-Class | | | 2.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.85 | | | | 11.23 | |
| | | | | | | | | | | | | | | | | | | | | |
| Retailing Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Technology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.34 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.30 | | | | 6.76 | |
| Advisor Class | | | 1.85 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.75 | | | | 9.32 | |
| A-Class | | | 1.58 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.10 | | | | 7.97 | |
| C-Class | | | 2.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.25 | | | | 11.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Telecommunications Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.25 | | | | 6.81 | |
| Advisor Class | | | 1.85 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.75 | | | | 9.32 | |
| A-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.00 | | | | 8.07 | |
| C-Class | | | 2.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.25 | | | | 11.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Transportation Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.35 | | | | 6.71 | |
| Advisor Class | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.85 | | | | 9.22 | |
| A-Class | | | 1.59 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.05 | | | | 8.02 | |
| C-Class | | | 2.33 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.35 | | | | 11.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Utilities Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.35 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.25 | | | | 6.81 | |
| Advisor Class | | | 1.85 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.75 | | | | 9.32 | |
| A-Class | | | 1.61 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.95 | | | | 8.12 | |
| C-Class | | | 2.36 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.20 | | | | 11.88 | |
| 2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period March 31, 2012 to September 30, 2012. |
| 8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
| FUND PROFILE (Unaudited) | September 30, 2012 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”)
Holdings Diversification (Market Exposure as % of Net Assets)
Banking Fund
“Holdings 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) | | | |
| Wells Fargo & Co. | | | 4.1 | % |
| JPMorgan Chase & Co. | | | 4.0 | % |
| U.S. Bancorp | | | 4.0 | % |
| Citigroup, Inc. | | | 4.0 | % |
| Bank of America Corp. | | | 3.9 | % |
| Capital One Financial Corp. | | | 2.8 | % |
| PNC Financial Services Group, Inc. | | | 2.7 | % |
| Bank of New York Mellon Corp. | | | 2.5 | % |
| BB&T Corp. | | | 2.3 | % |
| State Street Corp. | | | 2.1 | % |
| Top Ten Total | | | 32.4 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| Banking fund |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.1% | | | | | | | | |
| | | | | | | | | |
| REGIONAL BANKS - 39.3% | | | | | | | | |
| PNC Financial Services Group, Inc. | | | 9,107 | | | $ | 574,651 | |
| BB&T Corp. | | | 14,849 | | | | 492,392 | |
| SunTrust Banks, Inc. | | | 14,072 | | | | 397,815 | |
| Fifth Third Bancorp | | | 25,056 | | | | 388,619 | |
| M&T Bank Corp. | | | 3,708 | | | | 352,853 | |
| Regions Financial Corp. | | | 44,510 | | | | 320,917 | |
| KeyCorp | | | 33,517 | | | | 292,939 | |
| CIT Group, Inc.* | | | 7,317 | | | | 288,217 | |
| Huntington Bancshares, Inc. | | | 36,126 | | | | 249,269 | |
| First Republic Bank | | | 6,285 | | | | 216,581 | |
| Popular, Inc.* | | | 11,790 | | | | 205,500 | |
| Zions Bancorporation | | | 9,426 | | | | 194,694 | |
| Commerce Bancshares, Inc. | | | 4,671 | | | | 188,381 | |
| Cullen/Frost Bankers, Inc. | | | 3,270 | | | | 187,796 | |
| Signature Bank* | | | 2,685 | | | | 180,110 | |
| First Niagara Financial Group, Inc. | | | 21,491 | | | | 173,862 | |
| East West Bancorp, Inc. | | | 8,140 | | | | 171,917 | |
| City National Corp. | | | 3,225 | | | | 166,120 | |
| SVB Financial Group* | | | 2,728 | | | | 164,935 | |
| Hancock Holding Co. | | | 5,163 | | | | 159,795 | |
| First Horizon National Corp. | | | 16,257 | | | | 156,555 | |
| Prosperity Bancshares, Inc. | | | 3,653 | | | | 155,691 | |
| Associated Banc-Corp. | | | 11,656 | | | | 153,510 | |
| Texas Capital Bancshares, Inc.* | | | 2,940 | | | | 146,147 | |
| TCF Financial Corp. | | | 12,123 | | | | 144,749 | |
| Webster Financial Corp. | | | 6,084 | | | | 144,191 | |
| Valley National Bancorp | | | 14,306 | | | | 143,346 | |
| Bank of Hawaii Corp. | | | 3,141 | | | | 143,292 | |
| Fulton Financial Corp. | | | 14,525 | | | | 143,217 | |
| UMB Financial Corp. | | | 2,915 | | | | 141,902 | |
| Susquehanna Bancshares, Inc. | | | 13,296 | | | | 139,076 | |
| FirstMerit Corp. | | | 8,555 | | | | 126,015 | |
| Trustmark Corp. | | | 5,129 | | | | 124,840 | |
| FNB Corp. | | | 11,102 | | | | 124,453 | |
| Umpqua Holdings Corp. | | | 9,292 | | | | 119,774 | |
| Wintrust Financial Corp. | | | 3,146 | | | | 118,195 | |
| National Penn Bancshares, Inc. | | | 12,900 | | | | 117,519 | |
| BancorpSouth, Inc. | | | 7,927 | | | | 116,844 | |
| Cathay General Bancorp | | | 6,761 | | | | 116,695 | |
| IBERIABANK Corp. | | | 2,507 | | | | 114,821 | |
| United Bankshares, Inc. | | | 4,520 | | | | 112,593 | |
| PrivateBancorp, Inc. — Class A | | | 6,497 | | | | 103,887 | |
| Total Regional Banks | | | | | | | 8,274,675 | |
| | | | | | | | | |
| DIVERSIFIED BANKS - 28.6% | | | | | | | | |
| Wells Fargo & Co. | | | 24,775 | | | | 855,480 | |
| U.S. Bancorp | | | 24,403 | | | | 837,023 | |
| Itau Unibanco Holding S.A. ADR | | | 19,048 | | | | 291,053 | |
| Banco Bradesco S.A. ADR | | | 17,481 | | | | 280,920 | |
| New York Community Bancorp, Inc. | | | 18,477 | | | | 261,634 | |
| ICICI Bank Ltd. ADR | | | 6,215 | | | | 249,470 | |
| Comerica, Inc. | | | 7,934 | | | | 246,351 | |
| HSBC Holdings plc ADR | | | 4,960 | | | | 230,442 | |
| Toronto-Dominion Bank | | | 2,695 | | | | 224,601 | |
| Barclays plc ADR | | | 15,868 | | | | 220,089 | |
| Bank of Montreal | | | 3,726 | | | | 219,983 | |
| HDFC Bank Ltd. ADR | | | 5,850 | | | | 219,843 | |
| Royal Bank of Canada | | | 3,818 | | | | 219,191 | |
| Credicorp Ltd. | | | 1,735 | | | | 217,361 | |
| Bank of Nova Scotia | | | 3,930 | | | | 215,443 | |
| Bancolombia S.A. ADR | | | 3,560 | | | | 212,568 | |
| Banco Santander S.A. ADR | | | 27,922 | | | | 208,298 | |
| Canadian Imperial Bank of Commerce | | | 2,660 | | | | 207,985 | |
| Banco Santander Chile ADR | | | 2,837 | | | �� | 207,782 | |
| Banco Santander Brasil S.A. ADR | | | 27,865 | | | | 205,365 | |
| Banco Bilbao Vizcaya Argentaria S.A. ADR | | | 25,250 | | | | 195,688 | |
| Total Diversified Banks | | | | | | | 6,026,570 | |
| | | | | | | | | |
| OTHER DIVERSIFIED FINANCIAL SERVICES - 12.9% | | | | | | | | |
| JPMorgan Chase & Co. | | | 20,995 | | | | 849,878 | |
| Citigroup, Inc. | | | 25,578 | | | | 836,912 | |
| Bank of America Corp. | | | 93,752 | | | | 827,830 | |
| ING Groep N.V. ADR* | | | 24,930 | | | | 196,698 | |
| Total Other Diversified Financial Services | | | | | | | 2,711,318 | |
| | | | | | | | | |
| Asset Management & Custody Banks - 6.2% | | | | | | | | |
| Bank of New York Mellon Corp. | | | 23,096 | | | | 522,431 | |
| State Street Corp. | | | 10,780 | | | | 452,329 | |
| Northern Trust Corp. | | | 7,190 | | | | 333,724 | |
| Total Asset Management & Custody Banks | | | | | | | 1,308,484 | |
| | | | | | | | | |
| THRIFTS & MORTGAGE FINANCE - 5.6% | | | | | | | | |
| People’s United Financial, Inc. | | | 17,695 | | | | 214,817 | |
| Hudson City Bancorp, Inc. | | | 26,784 | | | | 213,201 | |
| Ocwen Financial Corp.* | | | 7,450 | | | | 204,205 | |
| Nationstar Mortgage Holdings, Inc.* | | | 5,400 | | | | 179,172 | |
| Capitol Federal Financial, Inc. | | | 11,891 | | | | 142,216 | |
| Washington Federal, Inc. | | | 8,097 | | | | 135,058 | |
| Astoria Financial Corp. | | | 9,976 | | | | 98,563 | |
| Total Thrifts & Mortgage Finance | | | | | | | 1,187,232 | |
| | | | | | | | | |
| DIVERSIFIED CAPITAL MARKETS - 3.1% | | | | | | | | |
| Deutsche Bank AG | | | 5,718 | | | | 226,719 | |
| Credit Suisse Group AG ADR | | | 9,960 | | | | 210,654 | |
| UBS AG* | | | 16,866 | | | | 205,428 | |
| Total Diversified Capital Markets | | | | | | | 642,801 | |
| | | | | | | | | |
| CONSUMER FINANCE - 2.8% | | | | | | | | |
| Capital One Financial Corp. | | | 10,410 | | | | 593,474 | |
| | | | | | | | | |
| MORTGAGE REITS - 0.6% | | | | | | | | |
| CapitalSource, Inc. | | | 17,950 | | | | 136,061 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $17,757,958) | | | | | | | 20,880,615 | |
| 10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,1 - 0.8% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 160,315 | | | $ | 160,315 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $160,315) | | | | | | | 160,315 | |
| Total Investments - 99.9% | | | | | | | | |
| (Cost $17,918,273) | | | | | | $ | 21,040,930 | |
| Other Assets & Liabilities, net - 0.1% | | | | | | | 16,293 | |
| Total Net Assets - 100.0% | | | | | | $ | 21,057,223 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt
plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $17,757,958) | | $ | 20,880,615 | |
| Repurchase agreements, at value | | | | |
| (cost $160,315) | | | 160,315 | |
| Total investments | | | | |
| (cost $17,918,273) | | | 21,040,930 | |
| Receivables: | | | | |
| Fund shares sold | | | 44,861 | |
| Dividends | | | 30,515 | |
| Foreign taxes reclaim | | | 237 | |
| Total assets | | | 21,116,543 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 29,400 | |
| Management fees | | | 12,483 | |
| Distribution and service fees | | | 5,543 | |
| Transfer agent and administrative fees | | | 3,672 | |
| Portfolio accounting fees | | | 1,469 | |
| Miscellaneous | | | 6,753 | |
| Total liabilities | | | 59,320 | |
| Net assets | | $ | 21,057,223 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 43,853,779 | |
| Undistributed net investment income | | | 174,687 | |
| Accumulated net realized loss on investments | | | (26,093,900 | ) |
| Net unrealized appreciation on investments | | | 3,122,657 | |
| Net assets | | $ | 21,057,223 | |
| Investor Class: | | | | |
| Net assets | | $ | 7,395,639 | |
| Capital shares outstanding | | | 158,614 | |
| Net asset value per share | | $ | 46.63 | |
| Advisor Class: | | | | |
| Net assets | | $ | 9,838,137 | |
| Capital shares outstanding | | | 231,890 | |
| Net asset value per share | | $ | 42.43 | |
| A-Class: | | | | |
| Net assets | | $ | 801,534 | |
| Capital shares outstanding | | | 18,519 | |
| Net asset value per share | | $ | 43.28 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 45.44 | |
| C-Class: | | | | |
| Net assets | | $ | 3,021,913 | |
| Capital shares outstanding | | | 74,090 | |
| Net asset value per share | | $ | 40.79 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $4,337) | | $ | 248,798 | |
| Interest | | | 59 | |
| Total investment income | | | 248,857 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 84,243 | |
| Transfer agent and administrative fees | | | 24,777 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 4,691 | |
| A-Class | | | 5,528 | |
| C-Class | | | 14,457 | |
| Portfolio accounting fees | | | 9,911 | |
| Custodian fees | | | 2,220 | |
| Trustees’ fees* | | | 842 | |
| Miscellaneous | | | 10,378 | |
| Total expenses | | | 157,047 | |
| Net investment income | | | 91,810 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (484,808 | ) |
| Net realized loss | | | (484,808 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,315,881 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,315,881 | ) |
| Net realized and unrealized loss | | | (1,800,689 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,708,879 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 91,810 | | | $ | 82,876 | |
| Net realized loss on investments | | | (484,808 | ) | | | (308,256 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,315,881 | ) | | | 985,526 | |
| Net increase (decrease) in net assets resulting from operations | | | (1,708,879 | ) | | | 760,146 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (4,887 | ) |
| Advisor Class | | | — | | | | (312 | ) |
| A-Class | | | — | | | | (1,058 | ) |
| C-Class | | | — | | | | (2,425 | ) |
| Total distributions to shareholders | | | — | | | | (8,682 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 26,576,090 | | | | 74,194,636 | |
| Advisor Class | | | 10,666,774 | | | | 8,893,776 | |
| A-Class | | | 6,330,841 | | | | 7,556,286 | |
| C-Class | | | 5,401,545 | | | | 21,091,736 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 4,793 | |
| Advisor Class | | | — | | | | 310 | |
| A-Class | | | — | | | | 941 | |
| C-Class | | | — | | | | 2,128 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (47,249,497 | ) | | | (54,909,089 | ) |
| Advisor Class | | | (2,032,877 | ) | | | (8,436,847 | ) |
| A-Class | | | (7,938,687 | ) | | | (5,211,904 | ) |
| C-Class | | | (6,082,891 | ) | | | (19,941,025 | ) |
| Net increase (decrease) from capital share transactions | | | (14,328,702 | ) | | | 23,245,741 | |
| Net increase (decrease) in net assets | | | (16,037,581 | ) | | | 23,997,205 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 37,094,804 | | | | 13,097,599 | |
| End of period | | $ | 21,057,223 | | | $ | 37,094,804 | |
| Undistributed net investment income at end of period | | $ | 174,687 | | | $ | 82,877 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 593,966 | | | | 1,701,638 | |
| Advisor Class | | | 258,355 | | | | 227,380 | |
| A-Class | | | 149,819 | | | | 176,291 | |
| C-Class | | | 142,706 | | | | 543,253 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 135 | |
| Advisor Class | | | — | | | | 10 | |
| A-Class | | | — | | | | 28 | |
| C-Class | | | — | | | | 68 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,057,021 | ) | | | (1,255,178 | ) |
| Advisor Class | | | (52,383 | ) | | | (215,262 | ) |
| A-Class | | | (202,368 | ) | | | (124,945 | ) |
| C-Class | | | (162,097 | ) | | | (514,199 | ) |
| Net increase (decrease) in shares | | | (329,023 | ) | | | 539,219 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.75 | | | $ | 49.75 | | | $ | 50.73 | | | $ | 32.62 | | | $ | 75.60 | | | $ | 110.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .27 | | | | .44 | | | | .13 | | | | .28 | | | | 1.30 | | | | 2.50 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.39 | ) | | | (3.39 | ) | | | (.99 | ) | | | 20.05 | | | | (42.98 | ) | | | (36.20 | ) |
| Total from investment operations | | | (.12 | ) | | | (2.95 | ) | | | (.86 | ) | | | 20.33 | | | | (41.68 | ) | | | (33.70 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Total distributions | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Net asset value, end of period | | $ | 46.63 | | | $ | 46.75 | | | $ | 49.75 | | | $ | 50.73 | | | $ | 32.62 | | | $ | 75.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.26 | %) | | | (5.89 | %) | | | (1.66 | %) | | | 63.48 | % | | | (55.66 | %) | | | (30.69 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,396 | | | $ | 29,061 | | | $ | 8,711 | | | $ | 26,340 | | | $ | 23,804 | | | $ | 7,035 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.24 | % | | | 1.02 | % | | | 0.27 | % | | | 0.67 | % | | | 2.42 | % | | | 2.59 | % |
| Total expenses | | | 1.33 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 192 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % | | | 1,417 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 42.63 | | | $ | 45.63 | | | $ | 46.79 | | | $ | 30.36 | | | $ | 70.70 | | | $ | 103.90 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .08 | | | | .12 | | | | (.08 | ) | | | .06 | | | | 1.20 | | | | 2.00 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.28 | ) | | | (3.07 | ) | | | (.96 | ) | | | 18.59 | | | | (40.24 | ) | | | (34.20 | ) |
| Total from investment operations | | | (.20 | ) | | | (2.95 | ) | | | (1.04 | ) | | | 18.65 | | | | (39.04 | ) | | | (32.20 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Total distributions | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Net asset value, end of period | | $ | 42.43 | | | $ | 42.63 | | | $ | 45.63 | | | $ | 46.79 | | | $ | 30.36 | | | $ | 70.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.47 | %) | | | (6.43 | %) | | | (2.19 | %) | | | 62.66 | % | | | (55.70 | %) | | | (31.14 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,838 | | | $ | 1,105 | | | $ | 629 | | | $ | 1,291 | | | $ | 2,509 | | | $ | 1,449 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.40 | % | | | 0.30 | % | | | (0.18 | %) | | | 0.17 | % | | | 2.42 | % | | | 2.32 | % |
| Total expenses | | | 1.84 | % | | | 1.83 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % | | | 1.85 | % |
| Portfolio turnover rate | | | 192 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % | | | 1,417 | % |
| 14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 43.45 | | | $ | 46.38 | | | $ | 47.41 | | | $ | 30.67 | | | $ | 71.50 | | | $ | 104.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .19 | | | | .30 | | | | .04 | | | | .02 | | | | 1.30 | | | | 2.00 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.36 | ) | | | (3.18 | ) | | | (.95 | ) | | | 18.94 | | | | (40.83 | ) | | | (34.20 | ) |
| Total from investment operations | | | (.17 | ) | | | (2.88 | ) | | | (.91 | ) | | | 18.96 | | | | (39.53 | ) | | | (32.20 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Total distributions | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Net asset value, end of period | | $ | 43.28 | | | $ | 43.45 | | | $ | 46.38 | | | $ | 47.41 | | | $ | 30.67 | | | $ | 71.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.37 | %) | | | (6.19 | %) | | | (1.89 | %) | | | 63.04 | % | | | (55.77 | %) | | | (30.90 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 802 | | | $ | 3,088 | | | $ | 913 | | | $ | 6,381 | | | $ | 851 | | | $ | 547 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.93 | % | | | 0.73 | % | | | 0.09 | % | | | 0.06 | % | | | 2.71 | % | | | 2.33 | % |
| Total expenses | | | 1.59 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 192 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % | | | 1,417 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.09 | | | $ | 44.20 | | | $ | 45.51 | | | $ | 29.90 | | | $ | 69.50 | | | $ | 102.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .02 | | | | (.01 | ) | | | (.29 | ) | | | (.16 | ) | | | .90 | | | | 1.60 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | (3.05 | ) | | | (.90 | ) | | | 17.99 | | | | (39.20 | ) | | | (33.80 | ) |
| Total from investment operations | | | (.30 | ) | | | (3.06 | ) | | | (1.19 | ) | | | 17.83 | | | | (38.30 | ) | | | (32.20 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Total distributions | | | — | | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) | | | (1.00 | ) |
| Net asset value, end of period | | $ | 40.79 | | | $ | 41.09 | | | $ | 44.20 | | | $ | 45.51 | | | $ | 29.90 | | | $ | 69.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.73 | %) | | | (6.88 | %) | | | (2.58 | %) | | | 60.86 | % | | | (55.64 | %) | | | (31.51 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,022 | | | $ | 3,841 | | | $ | 2,844 | | | $ | 5,607 | | | $ | 2,114 | | | $ | 3,408 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.11 | % | | | (0.03 | %) | | | (0.67 | %) | | | (0.42 | %) | | | 1.82 | % | | | 1.89 | % |
| Total expenses | | | 2.34 | % | | | 2.35 | % | | | 2.38 | % | | | 2.38 | % | | | 2.40 | % | | | 2.35 | % |
| Portfolio turnover rate | | | 192 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % | | | 1,417 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Per share amounts for the period March 31, 2007 – April 19, 2009 have been restated to reflect a 1:10 reverse share split effective April 20, 2009. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Basic Materials Fund
“Holdings 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) | | | |
| Monsanto Co. | | | 3.1 | % |
| EI du Pont de Nemours & Co. | | | 3.0 | % |
| Freeport-McMoRan Copper & Gold, Inc. | | | 2.6 | % |
| Dow Chemical Co. | | | 2.5 | % |
| Praxair, Inc. | | | 2.4 | % |
| Southern Copper Corp. | | | 2.3 | % |
| Newmont Mining Corp. | | | 2.3 | % |
| Vale S.A. ADR | | | 2.3 | % |
| Mosaic Co. | | | 2.1 | % |
| Ecolab, Inc. | | | 1.9 | % |
| Top Ten Total | | | 24.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| BASIC MATERIALS FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.7% | | | | | | | | |
| | | | | | | | | |
| Gold - 17.3% | | | | | | | | |
| Newmont Mining Corp. | | | 23,373 | | | $ | 1,309,121 | |
| Barrick Gold Corp. | | | 25,456 | | | | 1,063,043 | |
| Goldcorp, Inc. | | | 18,968 | | | | 869,683 | |
| Royal Gold, Inc. | | | 6,174 | | | | 616,536 | |
| Yamana Gold, Inc.1 | | | 31,584 | | | | 603,570 | |
| Agnico-Eagle Mines Ltd. | | | 10,933 | | | | 567,204 | |
| Kinross Gold Corp. | | | 54,289 | | | | 554,291 | |
| Gold Fields Ltd. ADR | | | 42,860 | | | | 550,751 | |
| Randgold Resources Ltd. ADR | | | 4,209 | | | | 517,707 | |
| AngloGold Ashanti Ltd. ADR | | | 14,746 | | | | 516,847 | |
| Eldorado Gold Corp. | | | 32,098 | | | | 489,174 | |
| Allied Nevada Gold Corp.* | | | 12,000 | | | | 468,720 | |
| Cia de Minas Buenaventura S.A. ADR | | | 11,993 | | | | 467,247 | |
| IAMGOLD Corp. | | | 27,393 | | | | 433,083 | |
| New Gold, Inc.* | | | 32,400 | | | | 395,928 | |
| Harmony Gold Mining Company Ltd. ADR | | | 45,600 | | | | 383,496 | |
| Total Gold | | | | | | | 9,806,401 | |
| SPECIALTY CHEMICALS - 14.2% | | | | | | | | |
| Ecolab, Inc. | | | 16,970 | | | | 1,099,826 | |
| LyondellBasell Industries N.V. — Class A | | | 19,230 | | | | 993,422 | |
| Sherwin-Williams Co. | | | 6,551 | | | | 975,509 | |
| Sigma-Aldrich Corp. | | | 10,081 | | | | 725,530 | |
| Celanese Corp. — Class A | | | 15,797 | | | | 598,864 | |
| Ashland, Inc. | | | 8,112 | | | | 580,819 | |
| Valspar Corp. | | | 9,995 | | | | 560,720 | |
| International Flavors & Fragrances, Inc. | | | 9,255 | | | | 551,413 | |
| Albemarle Corp. | | | 10,211 | | | | 537,915 | |
| WR Grace & Co.* | | | 8,742 | | | | 516,477 | |
| Rockwood Holdings, Inc. | | | 9,936 | | | | 463,018 | |
| Cytec Industries, Inc. | | | 6,518 | | | | 427,059 | |
| Total Specialty Chemicals | | | | | | | 8,030,572 | |
| STEEL - 12.0% | | | | | | | | |
| Vale S.A. ADR | | | 71,704 | | | | 1,283,501 | |
| Nucor Corp. | | | 22,402 | | | | 857,100 | |
| Cliffs Natural Resources, Inc. | | | 14,552 | | | | 569,420 | |
| Gerdau S.A. ADR | | | 54,590 | | | | 519,151 | |
| ArcelorMittal1 | | | 34,224 | | | | 494,195 | |
| Reliance Steel & Aluminum Co. | | | 9,274 | | | | 485,494 | |
| Allegheny Technologies, Inc. | | | 13,996 | | | | 446,472 | |
| Cia Siderurgica Nacional S.A. ADR | | | 73,425 | | | | 413,383 | |
| Carpenter Technology Corp. | | | 7,714 | | | | 403,596 | |
| United States Steel Corp.1 | | | 21,074 | | | | 401,881 | |
| POSCO ADR | | | 4,790 | | | | 390,577 | |
| Steel Dynamics, Inc. | | | 33,616 | | | | 377,508 | |
| AK Steel Holding Corp. | | | 35,740 | | | | 171,552 | |
| Total Steel | | | | | | | 6,813,830 | |
| DIVERSIFIED CHEMICALS - 10.5% | | | | | | | | |
| EI du Pont de Nemours & Co. | | | 33,544 | | | | 1,686,256 | |
| Dow Chemical Co. | | | 49,428 | | | | 1,431,435 | |
| PPG Industries, Inc. | | | 9,126 | | | | 1,048,030 | |
| Eastman Chemical Co. | | | 12,212 | | | | 696,206 | |
| FMC Corp. | | | 12,162 | | | | 673,532 | |
| Huntsman Corp. | | | 31,088 | | | | 464,144 | |
| Total Diversified Chemicals | | | | | | | 5,999,603 | |
| FERTILIZERS & AGRICULTURAL CHEMICALS - 10.5% | | | | | | | | |
| Monsanto Co. | | | 19,134 | | | | 1,741,576 | |
| Mosaic Co. | | | 21,062 | | | | 1,213,381 | |
| Potash Corporation of Saskatchewan, Inc. | | | 24,430 | | | | 1,060,751 | |
| CF Industries Holdings, Inc. | | | 4,344 | | | | 965,411 | |
| Agrium, Inc. | | | 5,543 | | | | 573,479 | |
| Sociedad Quimica y Minera de Chile S.A. ADR | | | 6,700 | | | | 412,988 | |
| Total Fertilizers & Agricultural Chemicals | | | | | | | 5,967,586 | |
| DIVERSIFIED METALS & MINING - 10.4% | | | | | | | | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 37,841 | | | | 1,497,747 | |
| Southern Copper Corp. | | | 38,762 | | | | 1,331,862 | |
| BHP Billiton Ltd. ADR | | | 9,334 | | | | 640,406 | |
| Rio Tinto plc ADR | | | 13,166 | | | | 615,642 | |
| Teck Resources Ltd. — Class B | | | 16,433 | | | | 483,952 | |
| BHP Billiton plc ADR | | | 6,350 | | | | 396,621 | |
| Titanium Metals Corp. | | | 28,542 | | | | 366,194 | |
| Walter Energy, Inc. | | | 10,435 | | | | 338,720 | |
| Molycorp, Inc.*,1 | | | 24,140 | | | | 277,610 | |
| Total Diversified Metals & Mining | | | | | | | 5,948,754 | |
| INDUSTRIAL GASES - 5.3% | | | | | | | | |
| Praxair, Inc. | | | 13,103 | | | | 1,361,140 | |
| Air Products & Chemicals, Inc. | | | 12,523 | | | | 1,035,652 | |
| Airgas, Inc. | | | 7,611 | | | | 626,385 | |
| Total Industrial Gases | | | | | | | 3,023,177 | |
| PRECIOUS METALS & MINERALS - 3.7% | | | | | | | | |
| Silver Wheaton Corp. | | | 17,595 | | | | 698,698 | |
| Pan American Silver Corp. | | | 18,979 | | | | 407,100 | |
| Coeur d’Alene Mines Corp.* | | | 13,916 | | | | 401,198 | |
| Hecla Mining Co. | | | 50,800 | | | | 332,740 | |
| Stillwater Mining Co.* | | | 23,851 | | | | 281,203 | |
| Total Precious Metals & Minerals | | | | | | | 2,120,939 | |
| PAPER PRODUCTS - 3.5% | | | | | | | | |
| International Paper Co. | | | 27,123 | | | | 985,107 | |
| MeadWestvaco Corp. | | | 18,640 | | | | 570,384 | |
| Domtar Corp. | | | 5,600 | | | | 438,424 | |
| Total Paper Products | | | | | | | 1,993,915 | |
| CONSTRUCTION MATERIALS - 3.4% | | | | | | | | |
| Vulcan Materials Co. | | | 12,882 | | | | 609,319 | |
| Cemex SAB de CV ADR* | | | 63,134 | | | | 525,906 | |
| Martin Marietta Materials, Inc. | | | 5,729 | | | | 474,762 | |
| Eagle Materials, Inc. | | | 7,680 | | | | 355,277 | |
| Total Construction Materials | | | | | | | 1,965,264 | |
| PAPER PACKAGING - 3.3% | | | | | | | | |
| Rock-Tenn Co. — Class A | | | 7,826 | | | | 564,880 | |
| Packaging Corporation of America | | | 13,200 | | | | 479,160 | |
| Bemis Company, Inc. | | | 14,182 | | | | 446,308 | |
| Sealed Air Corp. | | | 27,034 | | | | 417,946 | |
| Total Paper Packaging | | | | | | | 1,908,294 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| BASIC MATERIALS FUND |
| | | Shares | | | Value | |
| METAL & GLASS CONTAINERS - 2.9% | | | | | | | | |
| Ball Corp. | | | 14,962 | | | $ | 633,042 | |
| Crown Holdings, Inc.* | | | 15,641 | | | | 574,807 | |
| Owens-Illinois, Inc.* | | | 22,963 | | | | 430,786 | |
| Total Metal & Glass Containers | | | | | | | 1,638,635 | |
| ALUMINUM - 1.3% | | | | | | | | |
| Alcoa, Inc. | | | 84,789 | | | | 750,383 | |
| COMMODITY CHEMICALS - 0.9% | | | | | | | | |
| Westlake Chemical Corp. | | | 7,360 | | | | 537,722 | |
| FOREST PRODUCTS - 0.5% | | | | | | | | |
| Louisiana-Pacific Corp.* | | | 24,150 | | | | 301,875 | |
| Total Common Stocks | | | | | | | | |
| (Cost $32,382,614) | | | | | | | 56,806,950 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.4% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 253,016 | | | | 253,016 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $253,016) | | | | | | | 253,016 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.5% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 418,269 | | | | 418,269 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 411,631 | | | | 411,631 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $829,900) | | | | | | | 829,900 | |
| Total Investments - 101.6% | | | | | | | | |
| (Cost $33,465,530) | | | | | | $ | 57,889,866 | |
| Other Assets & Liabilities, net - (1.6)% | | | | | | | (890,764 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 56,999,102 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8.
ADR — American Depositary Receipt
plc — Public Limited Company |
| 18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $791,878 of | | | | |
| securities loaned | | | | |
| (cost $33,212,514) | | $ | 57,636,850 | |
| Repurchase agreements, at value | | | | |
| (cost $253,016) | | | 253,016 | |
| Total investments | | | | |
| (cost $33,465,530) | | | 57,889,866 | |
| Cash | | | 22,170 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,289,568 | |
| Dividends | | | 54,835 | |
| Interest | | | 16 | |
| Total assets | | | 59,256,455 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,354,215 | |
| Payable upon return of securities loaned | | | 829,900 | |
| Management fees | | | 35,158 | |
| Transfer agent and administrative fees | | | 10,341 | |
| Distribution and service fees | | | 8,312 | |
| Portfolio accounting fees | | | 4,136 | |
| Miscellaneous | | | 15,291 | |
| Total liabilities | | | 2,257,353 | |
| Net assets | | $ | 56,999,102 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 66,985,249 | |
| Undistributed net investment income | | | 179,931 | |
| Accumulated net realized loss on investments | | | (34,590,414 | ) |
| Net unrealized appreciation on investments | | | 24,424,336 | |
| Net assets | | $ | 56,999,102 | |
| Investor Class: | | | | |
| Net assets | | $ | 36,568,146 | |
| Capital shares outstanding | | | 743,851 | |
| Net asset value per share | | $ | 49.16 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,471,876 | |
| Capital shares outstanding | | | 97,443 | |
| Net asset value per share | | $ | 45.89 | |
| A-Class: | | | | |
| Net assets | | $ | 8,531,841 | |
| Capital shares outstanding | | | 181,844 | |
| Net asset value per share | | $ | 46.92 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 49.26 | |
| C-Class: | | | | |
| Net assets | | $ | 7,427,239 | |
| Capital shares outstanding | | | 170,105 | |
| Net asset value per share | | $ | 43.66 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $14,720) | | $ | 572,371 | |
| Interest | | | 110 | |
| Income from securities lending, net | | | 14 | |
| Total investment income | | | 572,495 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 229,628 | |
| Transfer agent and administrative fees | | | 67,538 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 10,137 | |
| A-Class | | | 10,262 | |
| C-Class | | | 34,931 | |
| Portfolio accounting fees | | | 27,015 | |
| Trustees’ fees* | | | 4,958 | |
| Custodian fees | | | 4,814 | |
| Miscellaneous | | | 31,103 | |
| Total expenses | | | 420,386 | |
| Net investment income | | | 152,109 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (23,156 | ) |
| Net realized loss | | | (23,156 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,594,813 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,594,813 | ) |
| Net realized and unrealized loss | | | (1,617,969 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,465,860 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 152,109 | | | $ | 21,656 | |
| Net realized loss on investments | | | (23,156 | ) | | | (8,317,969 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,594,813 | ) | | | (16,403,333 | ) |
| Net decrease in net assets resulting from operations | | | (1,465,860 | ) | | | (24,699,646 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 61,139,112 | | | | 158,637,965 | |
| Advisor Class | | | 5,091,427 | | | | 35,677,067 | |
| A-Class | | | 1,336,334 | | | | 13,460,261 | |
| C-Class | | | 14,996,927 | | | | 61,071,902 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (60,592,754 | ) | | | (178,091,332 | ) |
| Advisor Class | | | (5,685,528 | ) | | | (43,057,527 | ) |
| A-Class | | | (2,008,197 | ) | | | (19,707,926 | ) |
| C-Class | | | (15,674,203 | ) | | | (64,560,166 | ) |
| Net decrease from capital share transactions | | | (1,396,882 | ) | | | (36,569,756 | ) |
| Net decrease in net assets | | | (2,862,742 | ) | | | (61,269,402 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 59,861,844 | | | | 121,131,246 | |
| End of period | | $ | 56,999,102 | | | $ | 59,861,844 | |
| Undistributed net investment income at end of period | | $ | 179,931 | | | $ | 27,822 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,308,480 | | | | 3,036,471 | |
| Advisor Class | | | 115,732 | | | | 762,822 | |
| A-Class | | | 28,860 | | | | 266,896 | |
| C-Class | | | 360,659 | | | | 1,333,277 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,304,575 | ) | | | (3,602,522 | ) |
| Advisor Class | | | (131,736 | ) | | | (950,966 | ) |
| A-Class | | | (44,776 | ) | | | (405,994 | ) |
| C-Class | | | (377,677 | ) | | | (1,408,986 | ) |
| Net decrease in shares | | | (45,033 | ) | | | (969,002 | ) |
| 20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.80 | | | $ | 56.36 | | | $ | 44.65 | | | $ | 27.43 | | | $ | 50.49 | | | $ | 42.25 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .18 | | | | .09 | | | | — | c | | | .24 | | | | .20 | | | | .15 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.82 | ) | | | (6.65 | ) | | | 11.82 | | | | 17.07 | | | | (22.77 | ) | | | 8.18 | |
| Total from investment operations | | | (.64 | ) | | | (6.56 | ) | | | 11.82 | | | | 17.31 | | | | (22.57 | ) | | | 8.33 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Total distributions | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 49.16 | | | $ | 49.80 | | | $ | 56.36 | | | $ | 44.65 | | | $ | 27.43 | | | $ | 50.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.27 | %) | | | (11.66 | %) | | | 26.50 | % | | | 63.12 | % | | | (44.54 | %) | | | 19.71 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 36,568 | | | $ | 36,847 | | | $ | 73,606 | | | $ | 44,582 | | | $ | 98,767 | | | $ | 120,870 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.77 | % | | | 0.17 | % | | | 0.00 | % | | | 0.65 | % | | | 0.46 | % | | | 0.31 | % |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 108 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % | | | 225 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.61 | | | $ | 53.00 | | | $ | 42.20 | | | $ | 26.06 | | | $ | 48.27 | | | $ | 40.61 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .05 | | | | .08 | | | | (.20 | ) | | | .03 | | | | .05 | | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.77 | ) | | | (6.47 | ) | | | 11.11 | | | | 16.20 | | | | (21.77 | ) | | | 7.86 | |
| Total from investment operations | | | (.72 | ) | | | (6.39 | ) | | | 10.91 | | | | 16.23 | | | | (21.72 | ) | | | 7.75 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Total distributions | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 45.89 | | | $ | 46.61 | | | $ | 53.00 | | | $ | 42.20 | | | $ | 26.06 | | | $ | 48.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.52 | %) | | | (12.08 | %) | | | 25.88 | % | | | 62.30 | % | | | (44.83 | %) | | | 19.08 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,472 | | | $ | 5,287 | | | $ | 15,986 | | | $ | 8,799 | | | $ | 4,705 | | | $ | 11,899 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.25 | % | | | 0.17 | % | | | (0.44 | %) | | | 0.07 | % | | | 0.13 | % | | | (0.25 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.89 | % | | | 1.88 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 108 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % | | | 225 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 47.58 | | | $ | 53.99 | | | $ | 42.88 | | | $ | 26.41 | | | $ | 48.80 | | | $ | 40.92 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .11 | | | | (.01 | ) | | | (.09 | ) | | | .15 | | | | .12 | | | | .03 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.77 | ) | | | (6.40 | ) | | | 11.31 | | | | 16.41 | | | | (22.02 | ) | | | 7.94 | |
| Total from investment operations | | | (.66 | ) | | | (6.41 | ) | | | 11.22 | | | | 16.56 | | | | (21.90 | ) | | | 7.97 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Total distributions | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 46.92 | | | $ | 47.58 | | | $ | 53.99 | | | $ | 42.88 | | | $ | 26.41 | | | $ | 48.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.39 | %) | | | (11.87 | %) | | | 26.20 | % | | | 62.72 | % | | | (44.71 | %) | | | 19.47 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,532 | | | $ | 9,410 | | | $ | 18,187 | | | $ | 8,159 | | | $ | 3,986 | | | $ | 6,985 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.51 | % | | | (0.03 | %) | | | (0.19 | %) | | | 0.40 | % | | | 0.30 | % | | | 0.07 | % |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.65 | % | | | 1.63 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 108 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % | | | 225 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.45 | | | $ | 50.80 | | | $ | 40.67 | | | $ | 25.24 | | | $ | 47.02 | | | $ | 39.76 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.05 | ) | | | (.33 | ) | | | (.40 | ) | | | (.13 | ) | | | (.18 | ) | | | (.28 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.74 | ) | | | (6.02 | ) | | | 10.64 | | | | 15.65 | | | | (21.11 | ) | | | 7.63 | |
| Total from investment operations | | | (.79 | ) | | | (6.35 | ) | | | 10.24 | | | | 15.52 | | | | (21.29 | ) | | | 7.35 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Total distributions | | | — | | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 43.66 | | | $ | 44.45 | | | $ | 50.80 | | | $ | 40.67 | | | $ | 25.24 | | | $ | 47.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.78 | %) | | | (12.50 | %) | | | 25.21 | % | | | 61.51 | % | | | (45.11 | %) | | | 18.48 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,427 | | | $ | 8,317 | | | $ | 13,353 | | | $ | 9,125 | | | $ | 4,024 | | | $ | 12,725 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.24 | %) | | | (0.73 | %) | | | (0.93 | %) | | | (0.37 | %) | | | (0.46 | %) | | | (0.63 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.40 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 108 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % | | | 225 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Net investment income is less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Biotechnology Fund
“Holdings 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. | | | 9.0 | % |
| Gilead Sciences, Inc. | | | 7.7 | % |
| Biogen Idec, Inc. | | | 6.4 | % |
| Celgene Corp. | | | 6.3 | % |
| Alexion Pharmaceuticals, Inc. | | | 5.1 | % |
| Regeneron Pharmaceuticals, Inc. | | | 4.3 | % |
| Vertex Pharmaceuticals, Inc. | | | 3.8 | % |
| Life Technologies Corp. | | | 3.2 | % |
| Illumina, Inc. | | | 2.7 | % |
| Onyx Pharmaceuticals, Inc. | | | 2.6 | % |
| Top Ten Total | | | 51.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| BIOTECHNOLOGY FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.3% | | | | | | | | |
| | | | | | | | | |
| BIOTECHNOLOGY - 83.5% | | | | | | | | |
| Amgen, Inc. | | | 245,034 | | | $ | 20,661,267 | |
| Gilead Sciences, Inc.* | | | 267,152 | | | | 17,720,192 | |
| Biogen Idec, Inc.* | | | 98,788 | | | | 14,742,133 | |
| Celgene Corp.* | | | 188,157 | | | | 14,375,195 | |
| Alexion Pharmaceuticals, Inc.* | | | 103,506 | | | | 11,841,086 | |
| Regeneron Pharmaceuticals, Inc.* | | | 64,719 | | | | 9,880,003 | |
| Vertex Pharmaceuticals, Inc.* | | | 154,122 | | | | 8,623,126 | |
| Onyx Pharmaceuticals, Inc.* | | | 69,666 | | | | 5,886,777 | |
| BioMarin Pharmaceutical, Inc.* | | | 139,111 | | | | 5,602,000 | |
| Pharmacyclics, Inc.* | | | 84,180 | | | | 5,429,610 | |
| Medivation, Inc.* | | | 93,342 | | | | 5,260,755 | |
| ARIAD Pharmaceuticals, Inc.* | | | 210,475 | | | | 5,098,757 | |
| Seattle Genetics, Inc.*,1 | | | 164,087 | | | | 4,422,145 | |
| Cubist Pharmaceuticals, Inc.* | | | 90,398 | | | | 4,310,177 | |
| United Therapeutics Corp.* | | | 75,083 | | | | 4,195,638 | |
| Amarin Corporation plc ADR* | | | 328,860 | | | | 4,143,636 | |
| Theravance, Inc.* | | | 151,950 | | | | 3,937,025 | |
| Incyte Corporation Ltd.*,1 | | | 206,169 | | | | 3,721,350 | |
| Myriad Genetics, Inc.* | | | 137,572 | | | | 3,713,068 | |
| Cepheid, Inc.* | | | 100,276 | | | | 3,460,525 | |
| Alkermes plc* | | | 156,129 | | | | 3,239,677 | |
| Arena Pharmaceuticals, Inc.* | | | 388,500 | | | | 3,232,320 | |
| Isis Pharmaceuticals, Inc.* | | | 208,800 | | | | 2,937,816 | |
| Ironwood Pharmaceuticals, Inc. — | | | | | | | | |
| Class A* | | | 220,800 | | | | 2,821,824 | |
| Immunogen, Inc.* | | | 182,900 | | | | 2,670,340 | |
| PDL BioPharma, Inc.1 | | | 340,093 | | | | 2,615,315 | |
| Acorda Therapeutics, Inc.* | | | 100,295 | | | | 2,568,555 | |
| Exelixis, Inc.*,1 | | | 451,900 | | | | 2,178,158 | |
| Affymax, Inc.* | | | 102,200 | | | | 2,152,332 | |
| Dendreon Corp.*,1 | | | 433,351 | | | | 2,093,085 | |
| Spectrum Pharmaceuticals, Inc.*,1 | | | 175,050 | | | | 2,048,085 | |
| Idenix Pharmaceuticals, Inc.* | | | 418,500 | | | | 1,912,545 | |
| InterMune, Inc.* | | | 201,155 | | | | 1,804,360 | |
| Threshold Pharmaceuticals, Inc.* | | | 215,300 | | | | 1,558,772 | |
| Sarepta Therapeutics, Inc.*,1 | | | 48,200 | | | | 748,546 | |
| Peregrine Pharmaceuticals, Inc.*,1 | | | 356,700 | | | | 367,401 | |
| Total Biotechnology | | | | | | | 191,973,596 | |
| LIFE SCIENCES TOOLS & SERVICES - 13.3% | | | | | | | | |
| Life Technologies Corp.* | | | 150,000 | | | | 7,332,000 | |
| Illumina, Inc.* | | | 127,336 | | | | 6,137,595 | |
| QIAGEN N.V.* | | | 280,200 | | | | 5,186,502 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 40,919 | | | | 4,366,876 | |
| Techne Corp. | | | 56,900 | | | | 4,093,386 | |
| Charles River Laboratories International, Inc.* | | | 88,900 | | | | 3,520,440 | |
| Total Life Sciences Tools & Services | | | | | | | 30,636,799 | |
| PHARMACEUTICALS - 2.5% | | | | | | | | |
| Medicines Co.* | | | 112,800 | | | | 2,911,368 | |
| Nektar Therapeutics* | | | 260,100 | | | | 2,777,868 | |
| Total Pharmaceuticals | | | | | | | 5,689,236 | |
| Total Common Stocks | | | | | | | | |
| (Cost $156,251,582) | | | | | | | 228,299,631 | |
| RIGHTS - 0.0% | | | | | | | | |
| Clinical Data, Inc. | | | | | | | | |
| Expires 12/31/20*,†††,2 | | | 24,000 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,3 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 1,358,292 | | | | 1,358,292 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $1,358,292) | | | | | | | 1,358,292 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 3.3% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 3,855,202 | | | | 3,855,202 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 3,794,023 | | | | 3,794,023 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $7,649,225) | | | | | | | 7,649,225 | |
| Total Investments - 103.2% | | | | | | | | |
| (Cost $165,259,099) | | | | | | $ | 237,307,148 | |
| Other Assets & Liabilities, net - (3.2)% | | | | | | | (7,312,858 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 229,994,290 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| ††† | Value determined based on Level 3 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 3 | Repurchase Agreement — See Note 5. |
| 4 | Securities lending collateral — See Note 8.
ADR — American Depositary Receipt
plc — Public Limited Company |
| 24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $7,385,022 of | | | | |
| securities loaned | | | | |
| (cost $163,900,807) | | $ | 235,948,856 | |
| Repurchase agreements, at value | | | | |
| (cost $1,358,292) | | | 1,358,292 | |
| Total investments | | | | |
| (cost $165,259,099) | | | 237,307,148 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,935,523 | |
| Interest | | | 523 | |
| Total assets | | | 239,243,194 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 7,649,225 | |
| Fund shares redeemed | | | 1,301,323 | |
| Management fees | | | 139,756 | |
| Transfer agent and administrative fees | | | 41,105 | |
| Distribution and service fees | | | 21,899 | |
| Portfolio accounting fees | | | 16,442 | |
| Miscellaneous | | | 79,154 | |
| Total liabilities | | | 9,248,904 | |
| Net assets | | $ | 229,994,290 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 218,470,285 | |
| Accumulated net investment loss | | | (1,640,458 | ) |
| Accumulated net realized loss on investments | | | (58,883,586 | ) |
| Net unrealized appreciation on investments | | | 72,048,049 | |
| Net assets | | $ | 229,994,290 | |
| Investor Class: | | | | |
| Net assets | | $ | 165,544,701 | |
| Capital shares outstanding | | | 3,856,738 | |
| Net asset value per share | | $ | 42.92 | |
| Advisor Class: | | | | |
| Net assets | | $ | 16,526,418 | |
| Capital shares outstanding | | | 415,498 | |
| Net asset value per share | | $ | 39.77 | |
| A-Class: | | | | |
| Net assets | | $ | 35,639,199 | |
| Capital shares outstanding | | | 879,338 | |
| Net asset value per share | | $ | 40.53 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 42.55 | |
| C-Class: | | | | |
| Net assets | | $ | 12,283,972 | |
| Capital shares outstanding | | | 321,211 | |
| Net asset value per share | | $ | 38.24 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 275,045 | |
| Income from securities lending, net | | | 509 | |
| Interest | | | 486 | |
| Total investment income | | | 276,040 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 774,578 | |
| Transfer agent and administrative fees | | | 227,818 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 36,008 | |
| A-Class | | | 22,011 | |
| C-Class | | | 46,446 | |
| Portfolio accounting fees | | | 91,126 | |
| Custodian fees | | | 22,928 | |
| Trustees’ fees* | | | 6,608 | |
| Miscellaneous | | | 99,632 | |
| Total expenses | | | 1,327,155 | |
| Net investment loss | | | (1,051,115 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 4,272,919 | |
| Net realized gain | | | 4,272,919 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 26,228,212 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 26,228,212 | |
| Net realized and unrealized gain | | | 30,501,131 | |
| Net increase in net assets resulting from operations | | $ | 29,450,016 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (1,051,115 | ) | | $ | (1,105,434 | ) |
| Net realized gain (loss) on investments | | | 4,272,919 | | | | (1,767,250 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 26,228,212 | | | | 12,875,710 | |
| Net increase in net assets resulting from operations | | | 29,450,016 | | | | 10,003,026 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 313,724,029 | | | | 409,078,194 | |
| Advisor Class | | | 39,398,761 | | | | 57,985,279 | |
| A-Class | | | 44,865,175 | | | | 13,301,426 | |
| C-Class | | | 20,740,707 | | | | 41,235,486 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (259,982,223 | ) | | | (373,528,443 | ) |
| Advisor Class | | | (33,840,099 | ) | | | (57,829,153 | ) |
| A-Class | | | (16,593,624 | ) | | | (10,403,210 | ) |
| C-Class | | | (16,819,518 | ) | | | (38,491,682 | ) |
| Net increase from capital share transactions | | | 91,493,208 | | | | 41,347,897 | |
| Net increase in net assets | | | 120,943,224 | | | | 51,350,923 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 109,051,066 | | | | 57,700,143 | |
| End of period | | $ | 229,994,290 | | | $ | 109,051,066 | |
| Accumulated net investment loss at end of period | | $ | (1,640,458 | ) | | $ | (589,343 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 8,192,133 | | | | 12,989,084 | |
| Advisor Class | | | 1,081,115 | | | | 2,002,963 | |
| A-Class | | | 1,199,684 | | | | 438,491 | |
| C-Class | | | 592,074 | | | | 1,445,494 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,748,092 | ) | | | (12,108,672 | ) |
| Advisor Class | | | (908,186 | ) | | | (2,032,560 | ) |
| A-Class | | | (456,268 | ) | | | (382,591 | ) |
| C-Class | | | (481,789 | ) | | | (1,363,188 | ) |
| Net increase in shares | | | 2,470,671 | | | | 989,021 | |
| 26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.90 | | | $ | 29.16 | | | $ | 27.34 | | | $ | 19.37 | | | $ | 21.51 | | | $ | 21.21 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.20 | ) | | | (.34 | ) | | | (.33 | ) | | | (.21 | ) | | | (.19 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.22 | | | | 8.08 | | | | 2.15 | | | | 8.18 | | | | (1.95 | ) | | | .52 | |
| Total from investment operations | | | 6.02 | | | | 7.74 | | | | 1.82 | | | | 7.97 | | | | (2.14 | ) | | | .30 | |
| Net asset value, end of period | | $ | 42.92 | | | $ | 36.90 | | | $ | 29.16 | | | $ | 27.34 | | | $ | 19.37 | | | $ | 21.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.31 | % | | | 26.54 | % | | | 6.66 | % | | | 41.15 | % | | | (9.95 | %) | | | 1.41 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 165,545 | | | $ | 89,027 | | | $ | 44,686 | | | $ | 147,631 | | | $ | 65,829 | | | $ | 47,696 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.04 | %) | | | (1.09 | %) | | | (1.26 | %) | | | (0.90 | %) | | | (0.86 | %) | | | (0.94 | %) |
| Total expenses | | | 1.34 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.38 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 119 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % | | | 193 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.27 | | | $ | 27.22 | | | $ | 25.66 | | | $ | 18.27 | | | $ | 20.39 | | | $ | 20.20 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.28 | ) | | | (.48 | ) | | | (.43 | ) | | | (.30 | ) | | | (.29 | ) | | | (.31 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.78 | | | | 7.53 | | | | 1.99 | | | | 7.69 | | | | (1.83 | ) | | | .50 | |
| Total from investment operations | | | 5.50 | | | | 7.05 | | | | 1.56 | | | | 7.39 | | | | (2.12 | ) | | | .19 | |
| Net asset value, end of period | | $ | 39.77 | | | $ | 34.27 | | | $ | 27.22 | | | $ | 25.66 | | | $ | 18.27 | | | $ | 20.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.08 | % | | | 25.90 | % | | | 6.08 | % | | | 40.45 | % | | | (10.40 | %) | | | 0.94 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 16,526 | | | $ | 8,313 | | | $ | 7,410 | | | $ | 9,144 | | | $ | 6,675 | | | $ | 4,220 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.50 | %) | | | (1.65 | %) | | | (1.77 | %) | | | (1.38 | %) | | | (1.40 | %) | | | (1.42 | %) |
| Total expenses | | | 1.85 | % | | | 1.87 | % | | | 1.89 | % | | | 1.89 | % | | | 1.88 | % | | | 1.89 | % |
| Portfolio turnover rate | | | 119 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % | | | 193 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.88 | | | $ | 27.64 | | | $ | 25.98 | | | $ | 18.45 | | | $ | 20.54 | | | $ | 20.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.24 | ) | | | (.37 | ) | | | (.37 | ) | | | (.25 | ) | | | (.24 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.89 | | | | 7.61 | | | | 2.03 | | | | 7.78 | | | | (1.85 | ) | | | .51 | |
| Total from investment operations | | | 5.65 | | | | 7.24 | | | | 1.66 | | | | 7.53 | | | | (2.09 | ) | | | .24 | |
| Net asset value, end of period | | $ | 40.53 | | | $ | 34.88 | | | $ | 27.64 | | | $ | 25.98 | | | $ | 18.45 | | | $ | 20.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 16.20 | % | | | 26.19 | % | | | 6.39 | % | | | 40.81 | % | | | (10.18 | %) | | | 1.18 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 35,639 | | | $ | 4,741 | | | $ | 2,211 | | | $ | 2,869 | | | $ | 4,346 | | | $ | 2,321 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.28 | %) | | | (1.30 | %) | | | (1.51 | %) | | | (1.12 | %) | | | (1.17 | %) | | | (1.26 | %) |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.64 | % | | | 1.64 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 119 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % | | | 193 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.04 | | | $ | 26.38 | | | $ | 24.96 | | | $ | 17.87 | | | $ | 20.03 | | | $ | 19.95 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.36 | ) | | | (.58 | ) | | | (.54 | ) | | | (.38 | ) | | | (.38 | ) | | | (.42 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.56 | | | | 7.24 | | | | 1.96 | | | | 7.47 | | | | (1.78 | ) | | | .50 | |
| Total from investment operations | | | 5.20 | | | | 6.66 | | | | 1.42 | | | | 7.09 | | | | (2.16 | ) | | | .08 | |
| Net asset value, end of period | | $ | 38.24 | | | $ | 33.04 | | | $ | 26.38 | | | $ | 24.96 | | | $ | 17.87 | | | $ | 20.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 15.74 | % | | | 25.25 | % | | | 5.65 | % | | | 39.68 | % | | | (10.78 | %) | | | 0.40 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,284 | | | $ | 6,969 | | | $ | 3,393 | | | $ | 4,705 | | | $ | 4,028 | | | $ | 3,671 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.03 | %) | | | (2.06 | %) | | | (2.27 | %) | | | (1.78 | %) | | | (1.89 | %) | | | (1.99 | %) |
| Total expenses | | | 2.34 | % | | | 2.36 | % | | | 2.39 | % | | | 2.39 | % | | | 2.39 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 119 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % | | | 193 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
consumer products fund
Objective: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Consumer Products Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | July 6, 1998 |
| Advisor Class | August 17, 1998 |
| A-Class | September 1, 2004 |
| C-Class | July 24, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | | |
| Procter & Gamble Co. | | | 5.8 | % |
| Coca-Cola Co. | | | 5.5 | % |
| Philip Morris International, Inc. | | | 5.1 | % |
| PepsiCo, Inc. | | | 4.4 | % |
| Mondelez International, Inc. — Class A | | | 3.5 | % |
| Altria Group, Inc. | | | 3.4 | % |
| Colgate-Palmolive Co. | | | 3.0 | % |
| Kimberly-Clark Corp. | | | 2.4 | % |
| General Mills, Inc. | | | 2.1 | % |
| Reynolds American, Inc. | | | 2.1 | % |
| Top Ten Total | | | 37.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| the RYDEX FUNDS SEMI - ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| consumer products fund | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 97.9% | | | | | | | | |
| | | | | | | | | |
| Packaged Foods & Meats - 27.8% | | | | | | | | |
| Mondelez International, Inc. — Class A | | | 136,082 | | | $ | 5,626,992 | |
| General Mills, Inc. | | | 84,237 | | | | 3,356,845 | |
| Kellogg Co. | | | 55,420 | | | | 2,862,997 | |
| HJ Heinz Co. | | | 49,937 | | | | 2,793,975 | |
| Hershey Co. | | | 37,392 | | | | 2,650,719 | |
| Mead Johnson Nutrition Co. — Class A | | | 34,249 | | | | 2,509,767 | |
| ConAgra Foods, Inc. | | | 80,682 | | | | 2,226,016 | |
| Campbell Soup Co.1 | | | 62,917 | | | | 2,190,770 | |
| JM Smucker Co. | | | 23,652 | | | | 2,041,877 | |
| McCormick & Company, Inc. | | | 30,386 | | | | 1,885,147 | |
| Hormel Foods Corp. | | | 62,886 | | | | 1,838,787 | |
| BRF - Brasil Foods S.A. ADR | | | 104,680 | | | | 1,810,964 | |
| Unilever N.V. — Class Y | | | 48,541 | | | | 1,722,235 | |
| Tyson Foods, Inc. — Class A | | | 99,015 | | | | 1,586,220 | |
| Ralcorp Holdings, Inc.* | | | 18,330 | | | | 1,338,090 | |
| Green Mountain Coffee Roasters, Inc.*,1 | | | 51,974 | | | | 1,234,383 | |
| Hillshire Brands Co. | | | 44,540 | | | | 1,192,781 | |
| Dean Foods Co.* | | | 71,581 | | | | 1,170,349 | |
| Smithfield Foods, Inc.* | | | 57,896 | | | | 1,137,656 | |
| Hain Celestial Group, Inc.* | | | 17,600 | | | | 1,108,800 | |
| Flowers Foods, Inc. | | | 54,695 | | | | 1,103,745 | |
| TreeHouse Foods, Inc.* | | | 17,472 | | | | 917,280 | |
| Total Packaged Foods & Meats | | | | | | | 44,306,395 | |
| | | | | | | | | |
| Soft Drinks - 14.9% | | | | | | | | |
| Coca-Cola Co. | | | 229,168 | | | | 8,692,343 | |
| PepsiCo, Inc. | | | 98,201 | | | | 6,949,686 | |
| Monster Beverage Corp.* | | | 38,053 | | | | 2,060,950 | |
| Dr Pepper Snapple Group, Inc. | | | 46,025 | | | | 2,049,493 | |
| Coca-Cola Enterprises, Inc. | | | 64,794 | | | | 2,026,108 | |
| Fomento Economico Mexicano | | | | | | | | |
| SAB de CV ADR | | | 20,693 | | | | 1,903,342 | |
| Total Soft Drinks | | | | | | | 23,681,922 | |
| | | | | | | | | |
| Household Products - 14.6% | | | | | | | | |
| Procter & Gamble Co. | | | 132,160 | | | | 9,166,618 | |
| Colgate-Palmolive Co. | | | 44,411 | | | | 4,761,747 | |
| Kimberly-Clark Corp. | | | 45,222 | | | | 3,879,143 | |
| Clorox Co. | | | 28,167 | | | | 2,029,432 | |
| Church & Dwight Company, Inc. | | | 33,806 | | | | 1,825,186 | |
| Energizer Holdings, Inc. | | | 19,265 | | | | 1,437,362 | |
| Total Household Products | | | | | | | 23,099,488 | |
| | | | | | | | | |
| Tobacco - 13.2% | | | | | | | | |
| Philip Morris International, Inc. | | | 89,923 | | | | 8,087,674 | |
| Altria Group, Inc. | | | 162,905 | | | | 5,439,398 | |
| Reynolds American, Inc. | | | 75,408 | | | | 3,268,183 | |
| Lorillard, Inc. | | | 21,735 | | | | 2,531,041 | |
| British American Tobacco plc ADR | | | 15,400 | | | | 1,580,656 | |
| Total Tobacco | | | | | | | 20,906,952 | |
| | | | | | | | | |
| Agricultural Products - 5.7% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 103,703 | | | | 2,818,647 | |
| Bunge Ltd. | | | 31,296 | | | | 2,098,397 | |
| Cosan Ltd. — Class A | | | 113,200 | | | | 1,795,352 | |
| Ingredion, Inc. | | | 24,474 | | | | 1,349,986 | |
| Darling International, Inc.* | | | 53,320 | | | | 975,223 | |
| Total Agricultural Products | | | | | | | 9,037,605 | |
| | | | | | | | | |
| Food Retail - 5.4% | | | | | | | | |
| Whole Foods Market, Inc. | | | 28,607 | | | | 2,786,321 | |
| Kroger Co. | | | 98,853 | | | | 2,327,000 | |
| Safeway, Inc.1 | | | 80,545 | | | | 1,295,969 | |
| Fresh Market, Inc.* | | | 19,000 | | | | 1,139,620 | |
| Casey’s General Stores, Inc. | | | 17,000 | | | | 971,380 | |
| Total Food Retail | | | | | | | 8,520,290 | |
| | | | | | | | | |
| Distillers & Vintners - 5.0% | | | | | | | | |
| Brown-Forman Corp. — Class B | | | 37,856 | | | | 2,470,104 | |
| Beam, Inc. | | | 34,770 | | | | 2,000,666 | |
| Diageo plc ADR | | | 16,100 | | | | 1,814,953 | |
| Constellation Brands, Inc. — Class A* | | | 48,544 | | | | 1,570,398 | |
| Total Distillers & Vintners | | | | | | | 7,856,121 | |
| | | | | | | | | |
| Personal Products - 4.9% | | | | | | | | |
| Estee Lauder Companies, Inc. — Class A | | | 52,556 | | | | 3,235,873 | |
| Herbalife Ltd. | | | 37,841 | | | | 1,793,663 | |
| Avon Products, Inc. | | | 107,602 | | | | 1,716,252 | |
| Nu Skin Enterprises, Inc. — Class A | | | 26,830 | | | | 1,041,809 | |
| Total Personal Products | | | | | | | 7,787,597 | |
| | | | | | | | | |
| Brewers - 3.9% | | | | | | | | |
| Cia de Bebidas das Americas ADR | | | 58,080 | | | | 2,222,721 | |
| Anheuser-Busch InBev N.V. ADR | | | 24,012 | | | | 2,062,871 | |
| Molson Coors Brewing Co. — Class B | | | 41,817 | | | | 1,883,856 | |
| Total Brewers | | | | | | | 6,169,448 | |
| | | | | | | | | |
| Food Distributors - 2.5% | | | | | | | | |
| Sysco Corp. | | | 91,605 | | | | 2,864,488 | |
| United Natural Foods, Inc.* | | | 19,070 | | | | 1,114,642 | |
| Total Food Distributors | | | | | | | 3,979,130 | |
| Total Common Stocks | | | | | | | | |
| (Cost $120,275,731) | | | | | | | 155,344,948 | |
| 30 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| consumer products fund | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 491,710 | | | $ | 491,710 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $491,710) | | | | | | | 491,710 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.6% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 1,254,202 | | | | 1,254,202 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 1,234,298 | | | | 1,234,298 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $2,488,500) | | | | | | | 2,488,500 | |
| Total Investments - 99.8% | | | | | | | | |
| (Cost $123,255,941) | | | | | | $ | 158,325,158 | |
| Other Assets & Liabilities, net - 0.2% | | | | | | | 308,574 | |
| Total Net Assets - 100.0% | | | | | | $ | 158,633,732 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note8. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 31 |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $2,391,430 of | | | | |
| securities loaned | | | | |
| (cost $122,764,231) | | $ | 157,833,448 | |
| Repurchase agreements, at value | | | | |
| (cost $491,710) | | | 491,710 | |
| Total investments | | | | |
| (cost $123,255,941) | | | 158,325,158 | |
| Receivables: | | | | |
| Fund shares sold | | | 3,165,431 | |
| Dividends | | | 434,154 | |
| Foreign taxes reclaim | | | 3,752 | |
| Interest | | | 32 | |
| Total assets | | | 161,928,527 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 2,488,500 | |
| Fund shares redeemed | | | 593,431 | |
| Management fees | | | 98,508 | |
| Transfer agent and administrative fees | | | 28,973 | |
| Distribution and service fees | | | 15,846 | |
| Portfolio accounting fees | | | 11,589 | |
| Miscellaneous | | | 57,948 | |
| Total liabilities | | | 3,294,795 | |
| Net assets | | $ | 158,633,732 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 138,282,162 | |
| Undistributed net investment income | | | 997,018 | |
| Accumulated net realized loss on investments | | | (15,714,665 | ) |
| Net unrealized appreciation on investments | | | 35,069,217 | |
| Net assets | | $ | 158,633,732 | |
| Investor Class: | | | | |
| Net assets | | $ | 118,452,889 | |
| Capital shares outstanding | | | 2,884,680 | |
| Net asset value per share | | $ | 41.06 | |
| Advisor Class: | | | | |
| Net assets | | $ | 10,941,775 | |
| Capital shares outstanding | | | 289,487 | |
| Net asset value per share | | $ | 37.80 | |
| A-Class: | | | | |
| Net assets | | $ | 19,011,899 | |
| Capital shares outstanding | | | 491,046 | |
| Net asset value per share | | $ | 38.72 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 40.65 | |
| C-Class: | | | | |
| Net assets | | $ | 10,227,169 | |
| Capital shares outstanding | | | 286,510 | |
| Net asset value per share | | $ | 35.70 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $8,439) | | $ | 2,313,617 | |
| Interest | | | 358 | |
| Income from securities lending, net | | | 27 | |
| Total investment income | | | 2,314,002 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 770,800 | |
| Transfer agent and administrative fees | | | 226,706 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 34,297 | |
| A-Class | | | 24,097 | |
| C-Class | | | 50,392 | |
| Portfolio accounting fees | | | 90,681 | |
| Custodian fees | | | 16,000 | |
| Trustees’ fees* | | | 9,255 | |
| Miscellaneous | | | 94,756 | |
| Total expenses | | | 1,316,984 | |
| Net investment income | | | 997,018 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (2,171,004 | ) |
| Net realized loss | | | (2,171,004 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 1,420,120 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 1,420,120 | |
| Net realized and unrealized loss | | | (750,884 | ) |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 246,134 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 32 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 997,018 | | | $ | 1,504,928 | |
| Net realized loss on investments | | | (2,171,004 | ) | | | (6,633,752 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,420,120 | | | | 20,261,583 | |
| Net increase in net assets resulting from operations | | | 246,134 | | | | 15,132,759 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (990,072 | ) |
| Advisor Class | | | — | | | | (144,687 | ) |
| A-Class | | | — | | | | (240,403 | ) |
| C-Class | | | — | | | | (134,982 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | — | | | | (1,589,392 | ) |
| Advisor Class | | | — | | | | (232,270 | ) |
| A-Class | | | — | | | | (385,926 | ) |
| C-Class | | | — | | | | (216,691 | ) |
| Total distributions to shareholders | | | — | | | | (3,934,423 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 195,424,310 | | | | 659,811,510 | |
| Advisor Class | | | 27,404,297 | | | | 75,806,217 | |
| A-Class | | | 6,401,191 | | | | 31,615,141 | |
| C-Class | | | 24,032,303 | | | | 57,692,984 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 2,488,504 | |
| Advisor Class | | | — | | | | 373,093 | |
| A-Class | | | — | | | | 494,046 | |
| C-Class | | | — | | | | 339,654 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (232,228,377 | ) | | | (573,144,067 | ) |
| Advisor Class | | | (33,333,785 | ) | | | (63,966,727 | ) |
| A-Class | | | (8,753,054 | ) | | | (17,284,638 | ) |
| C-Class | | | (23,699,514 | ) | | | (52,151,706 | ) |
| Net increase (decrease) from capital share transactions | | | (44,752,629 | ) | | | 122,074,011 | |
| Net increase (decrease) in net assets | | | (44,506,495 | ) | | | 133,272,347 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 203,140,227 | | | | 69,867,880 | |
| End of period | | $ | 158,633,732 | | | $ | 203,140,227 | |
| Undistributed net investment income at end of period | | $ | 997,018 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 4,886,049 | | | | 17,440,289 | |
| Advisor Class | | | 740,498 | | | | 2,159,455 | |
| A-Class | | | 169,395 | | | | 881,716 | |
| C-Class | | | 688,719 | | | | 1,721,281 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 69,356 | |
| Advisor Class | | | — | | | | 11,251 | |
| A-Class | | | — | | | | 14,574 | |
| C-Class | | | — | | | | 10,800 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (5,869,223 | ) | | | (15,233,138 | ) |
| Advisor Class | | | (908,818 | ) | | | (1,815,584 | ) |
| A-Class | | | (232,522 | ) | | | (488,025 | ) |
| C-Class | | | (678,833 | ) | | | (1,563,405 | ) |
| Net increase (decrease) in shares | | | (1,204,735 | ) | | | 3,208,570 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 33 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 40.19 | | | $ | 36.37 | | | $ | 37.83 | | | $ | 26.39 | | | $ | 36.40 | | | $ | 36.11 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .24 | | | | .49 | | | | .69 | | | | .50 | | | | .55 | | | | .52 | |
| Net gain (loss) on investments (realized and unrealized) | | | .63 | | | | 4.82 | | | | 4.40 | | | | 11.04 | | | | (10.35 | ) | | | .13 | |
| Total from investment operations | | | .87 | | | | 5.31 | | | | 5.09 | | | | 11.54 | | | | (9.80 | ) | | | .65 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net asset value, end of period | | $ | 41.06 | | | $ | 40.19 | | | $ | 36.37 | | | $ | 37.83 | | | $ | 26.39 | | | $ | 36.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.19 | % | | | 15.06 | % | | | 14.81 | % | | | 43.75 | % | | | (26.96 | %) | | | 1.72 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 118,453 | | | $ | 155,432 | | | $ | 57,876 | | | $ | 182,915 | | | $ | 14,703 | | | $ | 8,722 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.22 | % | | | 1.29 | % | | | 1.84 | % | | | 1.46 | % | | | 1.81 | % | | | 1.37 | % |
| Total expenses | | | 1.33 | % | | | 1.35 | % | | | 1.38 | % | | | 1.37 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 94 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % | | | 449 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.08 | | | $ | 33.84 | | | $ | 35.77 | | | $ | 25.09 | | | $ | 34.78 | | | $ | 34.68 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .13 | | | | .24 | | | | .62 | | | | .35 | | | | .34 | | | | .15 | |
| Net gain (loss) on investments (realized and unrealized) | | | .59 | | | | 4.49 | | | | 4.00 | | | | 10.43 | | | | (9.82 | ) | | | .31 | |
| Total from investment operations | | | .72 | | | | 4.73 | | | | 4.62 | | | | 10.78 | | | | (9.48 | ) | | | .46 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net asset value, end of period | | $ | 37.80 | | | $ | 37.08 | | | $ | 33.84 | | | $ | 35.77 | | | $ | 25.09 | | | $ | 34.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.94 | % | | | 14.49 | % | | | 14.32 | % | | | 42.99 | % | | | (27.29 | %) | | | 1.25 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,942 | | | $ | 16,975 | | | $ | 3,475 | | | $ | 5,824 | | | $ | 11,113 | | | $ | 5,384 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.69 | % | | | 0.68 | % | | | 1.78 | % | | | 1.17 | % | | | 1.18 | % | | | 0.42 | % |
| Total expenses | | | 1.83 | % | | | 1.84 | % | | | 1.88 | % | | | 1.88 | % | | | 1.87 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 94 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % | | | 449 | % |
| 34 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.93 | | | $ | 34.49 | | | $ | 36.26 | | | $ | 25.37 | | | $ | 35.09 | | | $ | 34.90 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .19 | | | | .40 | | | | .41 | | | | .55 | | | | .42 | | | | .50 | |
| Net gain (loss) on investments (realized and unrealized) | | | .60 | | | | 4.53 | | | | 4.37 | | | | 10.44 | | | | (9.93 | ) | | | .05 | |
| Total from investment operations | | | .79 | | | | 4.93 | | | | 4.78 | | | | 10.99 | | | | (9.51 | ) | | | .55 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net asset value, end of period | | $ | 38.72 | | | $ | 37.93 | | | $ | 34.49 | | | $ | 36.26 | | | $ | 25.37 | | | $ | 35.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.08 | % | | | 14.80 | % | | | 14.58 | % | | | 43.34 | % | | | (27.14 | %) | | | 1.50 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 19,012 | | | $ | 21,021 | | | $ | 5,033 | | | $ | 21,277 | | | $ | 2,898 | | | $ | 1,682 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.00 | % | | | 1.11 | % | | | 1.14 | % | | | 1.72 | % | | | 1.41 | % | | | 1.38 | % |
| Total expenses | | | 1.58 | % | | | 1.60 | % | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 94 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % | | | 449 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 35.11 | | | $ | 32.28 | | | $ | 34.57 | | | $ | 24.36 | | | $ | 33.95 | | | $ | 34.04 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .04 | | | | .12 | | | | .30 | | | | .24 | | | | .19 | | | | .17 | |
| Net gain (loss) on investments (realized and unrealized) | | | .55 | | | | 4.20 | | | | 3.96 | | | | 10.07 | | | | (9.57 | ) | | | .10 | |
| Total from investment operations | | | .59 | | | | 4.32 | | | | 4.26 | | | | 10.31 | | | | (9.38 | ) | | | .27 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) | | | (.36 | ) |
| Net asset value, end of period | | $ | 35.70 | | | $ | 35.11 | | | $ | 32.28 | | | $ | 34.57 | | | $ | 24.36 | | | $ | 33.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.68 | % | | | 13.91 | % | | | 13.78 | % | | | 42.35 | % | | | (27.67 | %) | | | 0.71 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,227 | | | $ | 9,712 | | | $ | 3,484 | | | $ | 4,194 | | | $ | 3,067 | | | $ | 3,903 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.25 | % | | | 0.36 | % | | | 0.90 | % | | | 0.77 | % | | | 0.65 | % | | | 0.49 | % |
| Total expenses | | | 2.33 | % | | | 2.35 | % | | | 2.38 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 94 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % | | | 449 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 35 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
electronics FUND
Objective: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Electronics Fund
“Holdings 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. | | | 12.2 | % |
| Texas Instruments, Inc. | | | 6.3 | % |
| Broadcom Corp. — Class A | | | 4.9 | % |
| Applied Materials, Inc. | | | 4.2 | % |
| Analog Devices, Inc. | | | 3.9 | % |
| Altera Corp. | | | 3.6 | % |
| Xilinx, Inc. | | | 3.3 | % |
| NVIDIA Corp. | | | 3.3 | % |
| KLA-Tencor Corp. | | | 3.3 | % |
| Maxim Integrated Products, Inc. | | | 3.2 | % |
| Top Ten Total | | | 48.2 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 36 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| electronics fund | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 101.4% | | | | | | |
| | | | | | | |
| Semiconductors - 82.4% | | | | | | | | |
| Intel Corp. | | | 16,796 | | | $ | 380,933 | |
| Texas Instruments, Inc. | | | 7,112 | | | | 195,936 | |
| Broadcom Corp. — Class A | | | 4,454 | | | | 154,019 | |
| Analog Devices, Inc. | | | 3,079 | | | | 120,666 | |
| Altera Corp. | | | 3,354 | | | | 113,986 | |
| Xilinx, Inc. | | | 3,112 | | | | 103,972 | |
| NVIDIA Corp.* | | | 7,652 | | | | 102,078 | |
| Maxim Integrated Products, Inc. | | | 3,739 | | | | 99,532 | |
| Linear Technology Corp. | | | 3,032 | | | | 96,569 | |
| Taiwan Semiconductor Manufacturing | | | | | | | | |
| Company Ltd. ADR | | | 5,831 | | | | 92,246 | |
| Microchip Technology, Inc. | | | 2,727 | | | | 89,282 | |
| Micron Technology, Inc.* | | | 14,394 | | | | 86,148 | |
| Skyworks Solutions, Inc.* | | | 3,003 | | | | 70,766 | |
| LSI Corp.* | | | 9,729 | | | | 67,227 | |
| Mellanox Technologies Ltd.* | | | 658 | | | | 66,807 | |
| Avago Technologies Ltd. | | | 1,898 | | | | 66,174 | |
| Marvell Technology Group Ltd. | | | 7,153 | | | | 65,450 | |
| ARM Holdings plc ADR | | | 2,172 | | | | 60,773 | |
| Cree, Inc.* | | | 2,302 | | | | 58,770 | |
| ON Semiconductor Corp.* | | | 9,359 | | | | 57,745 | |
| NXP Semiconductor N.V.* | | | 2,233 | | | | 55,847 | |
| Cirrus Logic, Inc.* | | | 1,381 | | | | 53,017 | |
| Atmel Corp.* | | | 9,430 | | | | 49,602 | |
| Cavium, Inc.* | | | 1,358 | | | | 45,262 | |
| Semtech Corp.* | | | 1,794 | | | | 45,119 | |
| Fairchild Semiconductor International, | | | | | | | | |
| Inc. — Class A* | | | 3,402 | | | | 44,634 | |
| Cypress Semiconductor Corp. | | | 3,980 | | | | 42,666 | |
| PMC - Sierra, Inc.* | | | 6,560 | | | | 36,998 | |
| TriQuint Semiconductor, Inc.* | | | 6,026 | | | | 30,431 | |
| OmniVision Technologies, Inc.* | | | 2,088 | | | | 29,138 | |
| Total Semiconductors | | | | | | | 2,581,793 | |
| | | | | | | | | |
| Semiconductor Equipment - 17.4% | | | | | | | | |
| Applied Materials, Inc. | | | 11,788 | | | | 131,614 | |
| KLA-Tencor Corp. | | | 2,134 | | | | 101,802 | |
| Lam Research Corp.* | | | 2,689 | | | | 85,470 | |
| ASML Holding N.V. | | | 1,121 | | | | 60,175 | |
| Teradyne, Inc.* | | | 4,059 | | | | 57,719 | |
| Cymer, Inc.* | | | 862 | | | | 44,014 | |
| Veeco Instruments, Inc.* | | | 1,203 | | | | 36,114 | |
| GT Advanced Technologies, Inc.* | | | 4,927 | | | | 26,852 | |
| Total Semiconductor Equipment | | | | | | | 543,760 | |
| | | | | | | | | |
| Electrical Components & Equipment - 1.6% | | | | | | | | |
| First Solar, Inc.* | | | 2,278 | | | | 50,446 | |
| Total Common Stocks | | | | | | | | |
| (Cost $1,613,871) | | | | | | | 3,175,999 | |
| Total Investments - 101.4% | | | | | | | | |
| (Cost $1,613,871) | | | | | | $ | 3,175,999 | |
| Other Assets & Liabilities, net - (1.4)% | | | | | | | (44,780 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 3,131,219 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
ADR — American Depositary Receipt
plc — Public Limited Company
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 37 |
| electronics fund |
| |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $1,613,871) | | $ | 3,175,999 | |
| Receivables: | | | | |
| Dividends | | | 2,206 | |
| Total assets | | | 3,178,205 | |
| | | | | |
| Liabilities: | | | | |
| Overdraft due to custodian bank | | | 39,132 | |
| Payable for: | | | | |
| Management fees | | | 3,266 | |
| Transfer agent and administrative fees | | | 961 | |
| Distribution and service fees | | | 591 | |
| Portfolio accounting fees | | | 384 | |
| Miscellaneous | | | 2,652 | |
| Total liabilities | | | 46,986 | |
| Net assets | | $ | 3,131,219 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 30,127,770 | |
| Accumulated net investment loss | | | (7,775 | ) |
| Accumulated net realized loss on investments | | | (28,550,904 | ) |
| Net unrealized appreciation on investments | | | 1,562,128 | |
| Net assets | | $ | 3,131,219 | |
| Investor Class: | | | | |
| Net assets | | $ | 2,297,460 | |
| Capital shares outstanding | | | 50,030 | |
| Net asset value per share | | $ | 45.92 | |
| Advisor Class: | | | | |
| Net assets | | $ | 193,659 | |
| Capital shares outstanding | | | 4,533 | |
| Net asset value per share | | $ | 42.72 | |
| A-Class: | | | | |
| Net assets | | $ | 173,034 | |
| Capital shares outstanding | | | 3,979 | |
| Net asset value per share | | $ | 43.49 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 45.66 | |
| C-Class: | | | | |
| Net assets | | $ | 467,066 | |
| Capital shares outstanding | | | 11,377 | |
| Net asset value per share | | $ | 41.05 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $105) | | $ | 48,010 | |
| Interest | | | 12 | |
| Total investment income | | | 48,022 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 23,591 | |
| Transfer agent and administrative fees | | | 6,939 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 1,340 | |
| A-Class | | | 674 | |
| C-Class | | | 2,294 | |
| Portfolio accounting fees | | | 2,775 | |
| Registration fees | | | 2,454 | |
| Trustees’ fees* | | | 601 | |
| Custodian fees | | | 510 | |
| Miscellaneous | | | 85 | |
| Total expenses | | | 41,263 | |
| Net investment income | | | 6,759 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (30,995 | ) |
| Net realized loss | | | (30,995 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,141,120 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,141,120 | ) |
| Net realized and unrealized loss | | | (1,172,115 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (1,165,356 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 38 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| electronics fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 6,759 | | | $ | (40,638 | ) |
| Net realized gain (loss) on investments | | | (30,995 | ) | | | 645,228 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,141,120 | ) | | | (2,200,960 | ) |
| Net decrease in net assets resulting from operations | | | (1,165,356 | ) | | | (1,596,370 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 31,079,446 | | | | 98,746,392 | |
| Advisor Class | | | 9,458,098 | | | | 26,293,819 | |
| A-Class | | | 2,897,363 | | | | 4,470,157 | |
| C-Class | | | 17,672,257 | | | | 56,542,448 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (33,378,163 | ) | | | (99,518,199 | ) |
| Advisor Class | | | (10,440,719 | ) | | | (27,450,204 | ) |
| A-Class | | | (3,279,111 | ) | | | (5,415,408 | ) |
| C-Class | | | (17,358,580 | ) | | | (57,348,385 | ) |
| Net decrease from capital share transactions | | | (3,349,409 | ) | | | (3,679,380 | ) |
| Net decrease in net assets | | | (4,514,765 | ) | | | (5,275,750 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 7,645,984 | | | | 12,921,734 | |
| End of period | | $ | 3,131,219 | | | $ | 7,645,984 | |
| Accumulated net investment loss at end of period | | $ | (7,775 | ) | | $ | (14,534 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 622,575 | | | | 1,826,514 | |
| Advisor Class | | | 207,784 | | | | 530,537 | |
| A-Class | | | 61,726 | | | | 90,548 | |
| C-Class | | | 404,297 | | | | 1,191,961 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (671,539 | ) | | | (1,842,695 | ) |
| Advisor Class | | | (227,977 | ) | | | (560,085 | ) |
| A-Class | | | (70,365 | ) | | | (106,039 | ) |
| C-Class | | | (398,225 | ) | | | (1,209,292 | ) |
| Net decrease in shares | | | (71,724 | ) | | | (78,551 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 39 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010e | | | 2009e | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.09 | | | $ | 60.57 | | | $ | 52.33 | | | $ | 32.76 | | | $ | 50.30 | | | $ | 62.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .08 | | | | (.12 | ) | | | (.13 | ) | | | (.02 | ) | | | (— | )c | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (9.25 | ) | | | (5.36 | ) | | | 8.37 | | | | 19.59 | | | | (17.54 | ) | | | (11.75 | ) |
| Total from investment operations | | | (9.17 | ) | | | (5.48 | ) | | | 8.24 | | | | 19.57 | | | | (17.54 | ) | | | (12.00 | ) |
| Net asset value, end of period | | $ | 45.92 | | | $ | 55.09 | | | $ | 60.57 | | | $ | 52.33 | | | $ | 32.76 | | | $ | 50.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (16.65 | %) | | | (9.05 | %) | | | 15.75 | % | | | 59.74 | % | | | (34.89 | %) | | | (19.26 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,297 | | | $ | 5,453 | | | $ | 6,976 | | | $ | 15,988 | | | $ | 106,703 | | | $ | 9,835 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.32 | % | | | (0.22 | %) | | | (0.23 | %) | | | (0.06 | %) | | | (0.03 | %) | | | (0.37 | %) |
| Total expenses | | | 1.33 | % | | | 1.35 | % | | | 1.39 | % | | | 1.38 | % | | | 1.34 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 886 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % | | | 784 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010e | | | 2009e | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.40 | | | $ | 56.77 | | | $ | 49.26 | | | $ | 31.01 | | | $ | 47.80 | | | $ | 59.40 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .04 | | | | (.34 | ) | | | (.41 | ) | | | (.16 | ) | | | (.10 | ) | | | (.60 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (8.72 | ) | | | (5.03 | ) | | | 7.92 | | | | 18.41 | | | | (16.69 | ) | | | (11.00 | ) |
| Total from investment operations | | | (8.68 | ) | | | (5.37 | ) | | | 7.51 | | | | 18.25 | | | | (16.79 | ) | | | (11.60 | ) |
| Net asset value, end of period | | $ | 42.72 | | | $ | 51.40 | | | $ | 56.77 | | | $ | 49.26 | | | $ | 31.01 | | | $ | 47.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (16.89 | %) | | | (9.46 | %) | | | 15.25 | % | | | 58.85 | % | | | (35.15 | %) | | | (19.53 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 194 | | | $ | 1,271 | | | $ | 3,081 | | | $ | 1,634 | | | $ | 3,152 | | | $ | 566 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.18 | % | | | (0.67 | %) | | | (0.79 | %) | | | (0.39 | %) | | | (0.29 | %) | | | (0.98 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.87 | % | | | 1.86 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 886 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % | | | 784 | % |
| 40 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
electronics fund
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010e | | | 2009e | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 52.23 | | | $ | 57.59 | | | $ | 49.88 | | | $ | 31.31 | | | $ | 48.25 | | | $ | 59.95 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .05 | | | | (.19 | ) | | | (.21 | ) | | | (.14 | ) | | | (.10 | ) | | | (.55 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (8.79 | ) | | | (5.17 | ) | | | 7.92 | | | | 18.71 | | | | (16.84 | ) | | | (11.15 | ) |
| Total from investment operations | | | (8.74 | ) | | | (5.36 | ) | | | 7.71 | | | | 18.57 | | | | (16.94 | ) | | | (11.70 | ) |
| Net asset value, end of period | | $ | 43.49 | | | $ | 52.23 | | | $ | 57.59 | | | $ | 49.88 | | | $ | 31.31 | | | $ | 48.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (16.73 | %) | | | (9.31 | %) | | | 15.46 | % | | | 59.31 | % | | | (35.13 | %) | | | (19.52 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 173 | | | $ | 659 | | | $ | 1,619 | | | $ | 1,329 | | | $ | 42 | | | $ | 85 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.23 | % | | | (0.36 | %) | | | (0.43 | %) | | | (0.31 | %) | | | (0.26 | %) | | | (0.90 | %) |
| Total expenses | | | 1.58 | % | | | 1.62 | % | | | 1.64 | % | | | 1.62 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 886 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % | | | 784 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010e | | | 2009e | | | 2008e | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.50 | | | $ | 55.03 | | | $ | 47.90 | | | $ | 30.28 | | | $ | 46.90 | | | $ | 58.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.08 | ) | | | (.70 | ) | | | (.65 | ) | | | (.51 | ) | | | (.30 | ) | | | (.75 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (8.37 | ) | | | (4.83 | ) | | | 7.78 | | | | 18.13 | | | | (16.32 | ) | | | (11.00 | ) |
| Total from investment operations | | | (8.45 | ) | | | (5.53 | ) | | | 7.13 | | | | 17.62 | | | | (16.62 | ) | | | (11.75 | ) |
| Net asset value, end of period | | $ | 41.05 | | | $ | 49.50 | | | $ | 55.03 | | | $ | 47.90 | | | $ | 30.28 | | | $ | 46.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (17.09 | %) | | | (10.01 | %) | | | 14.86 | % | | | 58.19 | % | | | (35.39 | %) | | | (20.03 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 467 | | | $ | 263 | | | $ | 1,246 | | | $ | 3,342 | | | $ | 460 | | | $ | 962 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.34 | %) | | | (1.42 | %) | | | (1.31 | %) | | | (1.21 | %) | | | (0.74 | %) | | | (1.26 | %) |
| Total expenses | | | 2.34 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.42 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 886 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % | | | 784 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Net investment loss is less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| e | Per share amounts for the period March 31, 2007–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 FUNDS SEMI - ANNUAL REPORT | 41 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
energy FUND
Objective: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Energy Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | | | April 21, 1998 | |
| Advisor Class | | | May 5, 1998 | |
| A-Class | | | September 1, 2004 | |
| C-Class | | | April 19, 2001 | |
| Ten Largest Holdings (% of Total Net Assets) |
| Exxon Mobil Corp. | | | 7.2 | % |
| Chevron Corp. | | | 5.3 | % |
| Schlumberger Ltd. | | | 3.4 | % |
| ConocoPhillips | | | 2.9 | % |
| Occidental Petroleum Corp. | | | 2.9 | % |
| Kinder Morgan, Inc. | | | 2.2 | % |
| Anadarko Petroleum Corp. | | | 2.0 | % |
| National Oilwell Varco, Inc. | | | 2.0 | % |
| Apache Corp. | | | 2.0 | % |
| EOG Resources, Inc. | | | 1.9 | % |
| Top Ten Total | | | 31.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 42 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
energy fund
| | | Shares | | | Value | |
| | | | | | �� | |
| COMMON STOCKS† - 103.0% | | | | | | |
| | | | | | | |
| Oil & Gas Exploration & Production - 36.2% | | | | | | | | |
| ConocoPhillips | | | 29,221 | | | $ | 1,670,856 | |
| Anadarko Petroleum Corp. | | | 16,692 | | | | 1,167,105 | |
| Apache Corp. | | | 13,340 | | | | 1,153,510 | |
| EOG Resources, Inc. | | | 9,767 | | | | 1,094,392 | |
| Devon Energy Corp. | | | 16,372 | | | | 990,506 | |
| Marathon Oil Corp. | | | 30,423 | | | | 899,608 | |
| Noble Energy, Inc. | | | 8,781 | | | | 814,087 | |
| Continental Resources, Inc.* | | | 9,507 | | | | 731,088 | |
| Pioneer Natural Resources Co. | | | 6,839 | | | | 713,992 | |
| Southwestern Energy Co.* | | | 20,280 | | | | 705,338 | |
| Chesapeake Energy Corp. | | | 37,169 | | | | 701,379 | |
| Range Resources Corp. | | | 9,661 | | | | 675,014 | |
| Cabot Oil & Gas Corp. | | | 13,675 | | | | 614,008 | |
| Concho Resources, Inc.* | | | 6,421 | | | | 608,390 | |
| Equities Corp. | | | 10,170 | | | | 600,030 | |
| Nexen, Inc. | | | 21,869 | | | | 554,160 | |
| Encana Corp. | | | 25,209 | | | | 552,581 | |
| Canadian Natural Resources Ltd. | | | 16,138 | | | | 496,889 | |
| Denbury Resources, Inc.* | | | 30,238 | | | | 488,646 | |
| QEP Resources, Inc. | | | 15,074 | | | | 477,243 | |
| Whiting Petroleum Corp.* | | | 9,696 | | | | 459,396 | |
| Cimarex Energy Co. | | | 7,543 | | | | 441,643 | |
| Talisman Energy, Inc. | | | 32,903 | | | | 438,268 | |
| Plains Exploration & Production Co.* | | | 11,474 | | | | 429,931 | |
| CNOOC Ltd. ADR | | | 2,100 | | | | 425,733 | |
| Newfield Exploration Co.* | | | 12,852 | | | | 402,525 | |
| Energy XXI Bermuda Ltd. | | | 11,065 | | | | 386,722 | |
| SM Energy Co. | | | 6,978 | | | | 377,580 | |
| Ultra Petroleum Corp.* | | | 16,490 | | | | 362,450 | |
| WPX Energy, Inc.* | | | 21,626 | | | | 358,775 | |
| Oasis Petroleum, Inc.* | | | 11,028 | | | | 324,995 | |
| Rosetta Resources, Inc.* | | | 6,600 | | | | 316,140 | |
| Kodiak Oil & Gas Corp.* | | | 33,232 | | | | 311,052 | |
| Total Oil & Gas Exploration & Production | | | | | | | 20,744,032 | |
| Integrated Oil & Gas - 24.8% | | | | | | | | |
| Exxon Mobil Corp. | | | 45,014 | | | | 4,116,530 | |
| Chevron Corp. | | | 25,971 | | | | 3,027,180 | |
| Occidental Petroleum Corp. | | | 19,344 | | | | 1,664,745 | |
| Petroleo Brasileiro S.A. ADR | | | 41,139 | | | | 943,729 | |
| Hess Corp. | | | 15,606 | | | | 838,354 | |
| BP plc ADR | | | 15,106 | | | | 639,890 | |
| Murphy Oil Corp. | | | 11,825 | | | | 634,884 | |
| Suncor Energy, Inc. | | | 17,128 | | | | 562,655 | |
| Total S.A. ADR | | | 10,744 | | | | 538,274 | |
| Royal Dutch Shell plc ADR | | | 6,517 | | | | 452,345 | |
| InterOil Corp.* | | | 5,300 | | | | 409,478 | |
| SandRidge Energy, Inc.* | | | 52,041 | | | | 362,726 | |
| Total Integrated Oil & Gas | | | | | | | 14,190,790 | |
| Oil & Gas Equipment & Services - 16.5% | | | | | | | | |
| Schlumberger Ltd. | | | 26,625 | | | | 1,925,787 | |
| National Oilwell Varco, Inc. | | | 14,467 | | | | 1,158,951 | |
| Halliburton Co. | | | 31,963 | | | | 1,076,833 | |
| Baker Hughes, Inc. | | | 19,512 | | | | 882,528 | |
| Cameron International Corp.* | | | 12,993 | | | | 728,518 | |
| FMC Technologies, Inc.* | | | 14,133 | | | | 654,358 | |
| Weatherford International Ltd.* | | | 48,125 | | | | 610,225 | |
| Oceaneering International, Inc. | | | 8,763 | | | | 484,156 | |
| Tenaris S.A. ADR | | | 10,465 | | | | 426,658 | |
| Oil States International, Inc.* | | | 5,090 | | | | 404,451 | |
| Core Laboratories N.V. | | | 3,227 | | | | 392,016 | |
| Superior Energy Services, Inc.* | | | 16,499 | | | | 338,559 | |
| McDermott International, Inc.* | | | 27,358 | | | | 334,315 | |
| Total Oil & Gas Equipment & Services | | | | | | | 9,417,355 | |
| Oil & Gas Drilling - 8.1% | | | | | | | | |
| Ensco plc — Class A | | | 12,652 | | | | 690,294 | |
| Transocean Ltd. | | | 14,905 | | | | 669,085 | |
| Noble Corp. | | | 16,757 | | | | 599,565 | |
| Diamond Offshore Drilling, Inc. | | | 9,000 | | | | 592,290 | |
| Seadrill Ltd. | | | 12,436 | | | | 487,740 | |
| Nabors Industries Ltd.* | | | 32,345 | | | | 453,800 | |
| Helmerich & Payne, Inc. | | | 9,202 | | | | 438,107 | |
| Rowan Companies plc — Class A* | | | 11,700 | | | | 395,109 | |
| Patterson-UTI Energy, Inc. | | | 19,001 | | | | 300,976 | |
| Total Oil & Gas Drilling | | | | | | | 4,626,966 | |
| Oil & Gas Refining & Marketing - 8.1% | | | | | | | | |
| Phillips 66 | | | 23,343 | | | | 1,082,415 | |
| Marathon Petroleum Corp. | | | 15,842 | | | | 864,815 | |
| Valero Energy Corp. | | | 26,246 | | | | 831,473 | |
| HollyFrontier Corp. | | | 13,994 | | | | 577,532 | |
| Tesoro Corp. | | | 11,812 | | | | 494,923 | |
| Sunoco, Inc. | | | 9,566 | | | | 447,976 | |
| Western Refining, Inc. | | | 11,700 | | | | 306,306 | |
| Total Oil & Gas Refining & Marketing | | | | | | | 4,605,440 | |
| Oil & Gas Storage & Transportation - 6.1% | | | | | | | | |
| Kinder Morgan, Inc. | | | 35,980 | | | | 1,278,009 | |
| Williams Companies, Inc. | | | 27,146 | | | | 949,296 | |
| Spectra Energy Corp. | | | 30,199 | | | | 886,643 | |
| Cheniere Energy, Inc.* | | | 23,200 | | | | 360,760 | |
| Total Oil & Gas Storage & Transportation | | | | | | | 3,474,708 | |
| Coal & Consumable Fuels - 3.2% | | | | | | | | |
| CONSOL Energy, Inc. | | | 17,204 | | | | 516,979 | |
| Peabody Energy Corp. | | | 21,202 | | | | 472,593 | |
| Cameco Corp. | | | 19,146 | | | | 372,390 | |
| Alpha Natural Resources, Inc.* | | | 34,950 | | | | 229,622 | |
| Arch Coal, Inc. | | | 34,792 | | | | 220,233 | |
| Total Coal & Consumable Fuels | | | | | | | 1,811,817 | |
| Total Common Stocks | | | | | | | | |
| (Cost $31,937,807) | | | | | | | 58,871,108 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 43 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
energy fund
| | | Face | | | | |
| | | amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENT††,1 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 322,939 | | | $ | 322,939 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $322,939) | | | | | | | 322,939 | |
| Total Investments - 103.6% | | | | | | | | |
| (Cost $32,260,746) | | | | | | $ | 59,194,047 | |
| Other Assets & Liabilities, net - (3.6)% | | | | | | | (2,045,959 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 57,148,088 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreement — See Note 5. |
ADR — American Depositary Receipt
plc — Public Limited Company
| 44 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
energy fund
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $31,937,807) | | $ | 58,871,108 | |
| Repurchase agreements, at value | | | | |
| (cost $322,939) | | | 322,939 | |
| Total investments | | | | |
| (cost $32,260,746) | | | 59,194,047 | |
| Cash | | | 8,255 | |
| Receivables: | | | | |
| Fund shares sold | | | 39,471 | |
| Dividends | | | 35,129 | |
| Foreign taxes reclaim | | | 4,039 | |
| Total assets | | | 59,280,941 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,054,911 | |
| Management fees | | | 36,864 | |
| Transfer agent and administrative fees | | | 10,842 | |
| Distribution and service fees | | | 10,092 | |
| Portfolio accounting fees | | | 4,337 | |
| Miscellaneous | | | 15,807 | |
| Total liabilities | | | 2,132,853 | |
| Net assets | | $ | 57,148,088 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 53,276,268 | |
| Undistributed net investment income | | | 81,484 | |
| Accumulated net realized loss on investments | | | (23,142,965 | ) |
| Net unrealized appreciation on investments | | | 26,933,301 | |
| Net assets | | $ | 57,148,088 | |
| Investor Class: | | | | |
| Net assets | | $ | 37,729,626 | |
| Capital shares outstanding | | | 1,551,974 | |
| Net asset value per share | | $ | 24.31 | |
| Advisor Class: | | | | |
| Net assets | | $ | 5,349,608 | |
| Capital shares outstanding | | | 236,227 | |
| Net asset value per share | | $ | 22.65 | |
| A-Class: | | | | |
| Net assets | | $ | 4,745,758 | |
| Capital shares outstanding | | | 205,412 | |
| Net asset value per share | | $ | 23.10 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 24.25 | |
| C-Class: | | | | |
| Net assets | | $ | 9,323,096 | |
| Capital shares outstanding | | | 433,504 | |
| Net asset value per share | | $ | 21.51 | |
| STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $9,949) | | $ | 532,570 | |
| Interest | | | 100 | |
| Total investment income | | | 532,670 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 240,077 | |
| Transfer agent and administrative fees | | | 70,611 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 16,568 | |
| A-Class | | | 6,283 | |
| C-Class | | | 49,051 | |
| Portfolio accounting fees | | | 28,244 | |
| Registration fees | | | 22,507 | |
| Trustees’ fees* | | | 5,433 | |
| Custodian fees | | | 5,166 | |
| Miscellaneous | | | 4,356 | |
| Total expenses | | | 448,296 | |
| Net investment income | | | 84,374 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 174,506 | |
| Net realized gain | | | 174,506 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,909,886 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,909,886 | ) |
| Net realized and unrealized loss | | | (1,735,380 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,651,006 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 45 |
energy fund
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 84,374 | | | $ | (3,737 | ) |
| Net realized gain (loss) on investments | | | 174,506 | | | | (5,643,611 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,909,886 | ) | | | (21,665,145 | ) |
| Net decrease in net assets resulting from operations | | | (1,651,006 | ) | | | (27,312,493 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 45,100,478 | | | | 259,673,506 | |
| Advisor Class | | | 12,965,544 | | | | 45,234,147 | |
| A-Class | | | 1,912,334 | | | | 36,601,233 | |
| C-Class | | | 19,237,247 | | | | 70,279,961 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (47,729,536 | ) | | | (294,390,687 | ) |
| Advisor Class | | | (18,091,744 | ) | | | (47,103,298 | ) |
| A-Class | | | (2,727,201 | ) | | | (42,750,254 | ) |
| C-Class | | | (22,669,691 | ) | | | (73,838,306 | ) |
| Net decrease from capital share transactions | | | (12,002,569 | ) | | | (46,293,698 | ) |
| Net decrease in net assets | | | (13,653,575 | ) | | | (73,606,191 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 70,801,663 | | | | 144,407,854 | |
| End of period | | $ | 57,148,088 | | | $ | 70,801,663 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of period | | $ | 81,484 | | | $ | (2,890 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,947,036 | | | | 10,314,220 | |
| Advisor Class | | | 608,788 | | | | 2,028,589 | |
| A-Class | | | 86,991 | | | | 1,545,449 | |
| C-Class | | | 954,302 | | | | 3,174,677 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,061,241 | ) | | | (11,910,644 | ) |
| Advisor Class | | | (855,419 | ) | | | (2,140,312 | ) |
| A-Class | | | (122,007 | ) | | | (1,843,425 | ) |
| C-Class | | | (1,122,731 | ) | | | (3,348,275 | ) |
| Net decrease in shares | | | (564,281 | ) | | | (2,179,721 | ) |
| 46 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
energy fund
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.58 | | | $ | 28.70 | | | $ | 20.91 | | | $ | 14.01 | | | $ | 27.29 | | | $ | 23.19 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .06 | | | | .07 | | | | — | c | | | .10 | | | | .06 | | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.33 | ) | | | (4.19 | ) | | | 7.82 | | | | 6.82 | | | | (12.61 | ) | | | 4.86 | |
| Total from investment operations | | | (.27 | ) | | | (4.12 | ) | | | 7.82 | | | | 6.92 | | | | (12.55 | ) | | | 4.83 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) | | | (.73 | ) |
| Total distributions | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 24.31 | | | $ | 24.58 | | | $ | 28.70 | | | $ | 20.91 | | | $ | 14.01 | | | $ | 27.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.06 | %) | | | (14.39 | %) | | | 37.43 | % | | | 49.37 | % | | | (46.01 | %) | | | 20.91 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 37,730 | | | $ | 40,947 | | | $ | 93,648 | | | $ | 35,228 | | | $ | 53,627 | | | $ | 63,325 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.55 | % | | | 0.27 | % | | | 0.00 | % | | | 0.51 | % | | | 0.28 | % | | | (0.10 | %) |
| Total expenses | | | 1.33 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 86 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % | | | 188 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.95 | | | $ | 26.93 | | | $ | 19.72 | | | $ | 13.28 | | | $ | 26.07 | | | $ | 22.29 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | — | c | | | (.08 | ) | | | (.11 | ) | | | (— | )c | | | (.04 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.30 | ) | | | (3.90 | ) | | | 7.35 | | | | 6.46 | | | | (12.02 | ) | | | 4.66 | |
| Total from investment operations | | | (.30 | ) | | | (3.98 | ) | | | 7.24 | | | | 6.46 | | | | (12.06 | ) | | | 4.51 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) | | | (.73 | ) |
| Total distributions | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 22.65 | | | $ | 22.95 | | | $ | 26.93 | | | $ | 19.72 | | | $ | 13.28 | | | $ | 26.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.31 | %) | | | (14.78 | %) | | | 36.75 | % | | | 48.62 | % | | | (46.29 | %) | | | 20.31 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,350 | | | $ | 11,080 | | | $ | 16,015 | | | $ | 6,489 | | | $ | 4,679 | | | $ | 17,713 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.04 | % | | | (0.33 | %) | | | (0.53 | %) | | | (0.02 | %) | | | (0.16 | %) | | | (0.58 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % | | | 1.86 | % |
| Portfolio turnover rate | | | 86 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % | | | 188 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 47 |
energy fund
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.38 | | | $ | 27.40 | | | $ | 20.01 | | | $ | 13.44 | | | $ | 26.30 | | | $ | 22.44 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .04 | | | | (.01 | ) | | | (.08 | ) | | | .06 | | | | .02 | | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | (4.01 | ) | | | 7.50 | | | | 6.53 | | | | (12.15 | ) | | | 4.67 | |
| Total from investment operations | | | (.28 | ) | | | (4.02 | ) | | | 7.42 | | | | 6.59 | | | | (12.13 | ) | | | 4.59 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) | | | (.73 | ) |
| Total distributions | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 23.10 | | | $ | 23.38 | | | $ | 27.40 | | | $ | 20.01 | | | $ | 13.44 | | | $ | 26.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.20 | %) | | | (14.67 | %) | | | 37.11 | % | | | 49.01 | % | | | (46.15 | %) | | | 20.54 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,746 | | | $ | 5,622 | | | $ | 14,752 | | | $ | 3,903 | | | $ | 4,845 | | | $ | 6,378 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.37 | % | | | (0.05 | %) | | | (0.38 | %) | | | 0.35 | % | | | 0.10 | % | | | (0.31 | %) |
| Total expenses | | | 1.58 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % | | | 1.61 | % |
| Portfolio turnover rate | | | 86 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % | | | 188 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.85 | | | $ | 25.78 | | | $ | 18.97 | | | $ | 12.84 | | | $ | 25.37 | | | $ | 21.81 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.05 | ) | | | (.19 | ) | | | (.20 | ) | | | (.08 | ) | | | (.14 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.29 | ) | | | (3.74 | ) | | | 7.04 | | | | 6.23 | | | | (11.66 | ) | | | 4.56 | |
| Total from investment operations | | | (.34 | ) | | | (3.93 | ) | | | 6.84 | | | | 6.15 | | | | (11.80 | ) | | | 4.29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) | | | (.73 | ) |
| Total distributions | | | — | | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 21.51 | | | $ | 21.85 | | | $ | 25.78 | | | $ | 18.97 | | | $ | 12.84 | | | $ | 25.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (1.56 | %) | | | (15.24 | %) | | | 36.09 | % | | | 47.87 | % | | | (46.55 | %) | | | 19.74 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,323 | | | $ | 13,153 | | | $ | 19,993 | | | $ | 13,972 | | | $ | 9,865 | | | $ | 20,989 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.46 | %) | | | (0.84 | %) | | | (0.99 | %) | | | (0.48 | %) | | | (0.65 | %) | | | (1.07 | %) |
| Total expenses | | | 2.33 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.36 | % |
| Portfolio turnover rate | | | 86 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % | | | 188 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Net investment income (loss) is less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 48 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Energy Services Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| Investor Class | | | April 1, 1998 | |
| Advisor Class | | | April 2, 1998 | |
| A-Class | | | September 1, 2004 | |
| C-Class | | | March 30, 2001 | |
| Ten Largest Holdings (% of Total Net Assets) |
| Schlumberger Ltd. | | | 12.4 | % |
| National Oilwell Varco, Inc. | | | 7.5 | % |
| Halliburton Co. | | | 6.9 | % |
| Baker Hughes, Inc. | | | 5.7 | % |
| Cameron International Corp. | | | 4.7 | % |
| FMC Technologies, Inc. | | | 4.2 | % |
| Ensco plc — Class A | | | 3.8 | % |
| Diamond Offshore Drilling, Inc. | | | 3.8 | % |
| Transocean Ltd. | | | 3.6 | % |
| Weatherford International Ltd. | | | 3.2 | % |
| Top Ten Total | | | 55.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| ENERGY SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 103.7% | | | | | | | | |
| | | | | | | | | |
| OIL & GAS EQUIPMENT & SERVICES - 75.4% | | | | | | | | |
| Schlumberger Ltd. | | | 100,024 | | | $ | 7,234,735 | |
| National Oilwell Varco, Inc. | | | 54,348 | | | | 4,353,818 | |
| Halliburton Co. | | | 120,063 | | | | 4,044,922 | |
| Baker Hughes, Inc. | | | 73,152 | | | | 3,308,665 | |
| Cameron International Corp.* | | | 48,757 | | | | 2,733,805 | |
| FMC Technologies, Inc.* | | | 52,803 | | | | 2,444,779 | |
| Weatherford International Ltd.* | | | 145,760 | | | | 1,848,237 | |
| Oceaneering International, Inc. | | | 32,907 | | | | 1,818,112 | |
| Dresser-Rand Group, Inc.* | | | 28,231 | | | | 1,555,810 | |
| Oil States International, Inc.* | | | 19,071 | | | | 1,515,382 | |
| Superior Energy Services, Inc.* | | | 61,801 | | | | 1,268,157 | |
| Dril-Quip, Inc.* | | | 17,618 | | | | 1,266,382 | |
| McDermott International, Inc.* | | | 102,500 | | | | 1,252,550 | |
| Tidewater, Inc. | | | 23,683 | | | | 1,149,336 | |
| Tenaris S.A. ADR | | | 26,154 | | | | 1,066,299 | |
| Helix Energy Solutions Group, Inc.* | | | 54,966 | | | | 1,004,229 | |
| Bristow Group, Inc. | | | 19,687 | | | | 995,178 | |
| Lufkin Industries, Inc. | | | 17,679 | | | | 951,484 | |
| Core Laboratories N.V. | | | 7,785 | | | | 945,722 | |
| CARBO Ceramics, Inc.1 | | | 14,183 | | | | 892,394 | |
| Exterran Holdings, Inc.* | | | 43,166 | | | | 875,406 | |
| Hornbeck Offshore Services, Inc.* | | | 22,337 | | | | 818,651 | |
| Key Energy Services, Inc.* | | | 99,986 | | | | 699,902 | |
| Total Oil & Gas Equipment & Services | | | | | | | 44,043,955 | |
| OIL & GAS DRILLING - 28.3% | | | | | | | | |
| Ensco plc — Class A | | | 41,091 | | | | 2,241,925 | |
| Diamond Offshore Drilling, Inc. | | | 33,689 | | | | 2,217,073 | |
| Transocean Ltd. | | | 47,177 | | | | 2,117,776 | |
| Noble Corp. | | | 51,391 | | | | 1,838,770 | |
| Helmerich & Payne, Inc. | | | 34,463 | | | | 1,640,783 | |
| Rowan Companies plc — Class A* | | | 43,729 | | | | 1,476,728 | |
| Seadrill Ltd. | | | 33,855 | | | | 1,327,793 | |
| Atwood Oceanics, Inc.* | | | 27,975 | | | | 1,271,464 | |
| Nabors Industries Ltd.* | | | 89,540 | | | | 1,256,246 | |
| Patterson-UTI Energy, Inc. | | | 71,107 | | | | 1,126,335 | |
| Total Oil & Gas Drilling | | | | | | | 16,514,893 | |
| Total Common Stocks | | | | | | | | |
| (Cost $32,691,426) | | | | | | | 60,558,848 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 320,086 | | | | 320,086 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $320,086) | | | | | | | 320,086 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.8% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 232,848 | | | | 232,848 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 229,152 | | | | 229,152 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $462,000) | | | | | | | 462,000 | |
| Total Investments - 105.0% | | | | | | | | |
| (Cost $33,473,512) | | | | | | $ | 61,340,934 | |
| Other Assets & Liabilities, net - (5.0)% | | | | | | | (2,925,981 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 58,414,953 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
ADR — American Depositary Receipt
plc — Public Limited Company
| 50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value - including $440,440 of | | | | |
| securities loaned | | | | |
| (cost $33,153,426) | | $ | 61,020,848 | |
| Repurchase agreements, at value | | | | |
| (cost $320,086) | | | 320,086 | |
| Total investments | | | | |
| (cost $33,473,512) | | | 61,340,934 | |
| Receivables: | | | | |
| Fund shares sold | | | 44,926 | |
| Dividends | | | 31,346 | |
| Total assets | | | 61,417,206 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,452,403 | |
| Payable upon return of securities loaned | | | 462,000 | |
| Management fees | | | 40,908 | |
| Transfer agent and administrative fees | | | 12,032 | |
| Distribution and service fees | | | 11,092 | |
| Portfolio accounting fees | | | 4,812 | |
| Miscellaneous | | | 19,006 | |
| Total liabilities | | | 3,002,253 | |
| Net assets | | $ | 58,414,953 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 71,890,715 | |
| Accumulated net investment loss | | | (113,361 | ) |
| Accumulated net realized loss on investments | | | (41,229,823 | ) |
| Net unrealized appreciation on investments | | | 27,867,422 | |
| Net assets | | $ | 58,414,953 | |
| Investor Class: | | | | |
| Net assets | | $ | 38,585,712 | |
| Capital shares outstanding | | | 785,458 | |
| Net asset value per share | | $ | 49.13 | |
| Advisor Class: | | | | |
| Net assets | | $ | 5,388,411 | |
| Capital shares outstanding | | | 117,409 | |
| Net asset value per share | | $ | 45.89 | |
| A-Class: | | | | |
| Net assets | | $ | 6,019,042 | |
| Capital shares outstanding | | | 128,423 | |
| Net asset value per share | | $ | 46.87 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 49.21 | |
| C-Class: | | | | |
| Net assets | | $ | 8,421,788 | |
| Capital shares outstanding | | | 191,981 | |
| Net asset value per share | | $ | 43.87 | |
| STATEMENT OF OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $842) | | $ | 351,490 | |
| Interest from securities lending, net | | | 680 | |
| Interest | | | 114 | |
| Total investment income | | | 352,284 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 230,091 | |
| Transfer agent and administrative fees | | | 67,674 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 16,117 | |
| A-Class | | | 7,896 | |
| C-Class | | | 45,671 | |
| Portfolio accounting fees | | | 27,069 | |
| Registration fees | | | 24,007 | |
| Trustees’ fees* | | | 5,645 | |
| Custodian fees | | | 4,818 | |
| Miscellaneous | | | 1,537 | |
| Total expenses | | | 430,525 | |
| Net investment loss | | | (78,241 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,291,812 | |
| Net realized gain | | | 1,291,812 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (3,539,101 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (3,539,101 | ) |
| Net realized and unrealized loss | | | (2,247,289 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (2,325,530 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (78,241 | ) | | $ | (420,225 | ) |
| Net realized gain on investments | | | 1,291,812 | | | | 10,379,464 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,539,101 | ) | | | (46,057,326 | ) |
| Net decrease in net assets resulting from operations | | | (2,325,530 | ) | | | (36,098,087 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 85,710,942 | | | | 234,908,118 | |
| Advisor Class | | | 24,641,460 | | | | 34,706,940 | |
| A-Class | | | 691,165 | | | | 20,278,466 | |
| C-Class | | | 16,740,846 | | | | 44,471,112 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (80,188,397 | ) | | | (327,454,174 | ) |
| Advisor Class | | | (26,888,478 | ) | | | (40,482,465 | ) |
| A-Class | | | (1,552,334 | ) | | | (32,499,776 | ) |
| C-Class | | | (18,051,090 | ) | | | (46,859,111 | ) |
| Net increase (decrease) from capital share transactions | | | 1,104,114 | | | | (112,930,890 | ) |
| Net decrease in net assets | | | (1,221,416 | ) | | | (149,028,977 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 59,636,369 | | | | 208,665,346 | |
| End of period | | $ | 58,414,953 | | | $ | 59,636,369 | |
| Accumulated net investment loss at end of period | | $ | (113,361 | ) | | $ | (35,120 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,790,086 | | | | 4,303,024 | |
| Advisor Class | | | 543,857 | | | | 674,396 | |
| A-Class | | | 15,603 | | | | 373,580 | |
| C-Class | | | 394,201 | | | | 915,082 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,679,907 | ) | | | (6,042,507 | ) |
| Advisor Class | | | (594,903 | ) | | | (797,982 | ) |
| A-Class | | | (33,590 | ) | | | (641,283 | ) |
| C-Class | | | (424,372 | ) | | | (961,820 | ) |
| Net increase (decrease) in shares | | | 10,975 | | | | (2,177,510 | ) |
| 52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.87 | | | $ | 62.66 | | | $ | 42.83 | | | $ | 25.07 | | | $ | 58.04 | | | $ | 47.47 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.01 | ) | | | (.14 | ) | | | (.21 | ) | | | (.01 | ) | | | (.24 | ) | | | (.43 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.73 | ) | | | (11.65 | ) | | | 20.04 | | | | 17.77 | | | | (32.73 | ) | | | 11.00 | |
| Total from investment operations | | | (1.74 | ) | | | (11.79 | ) | | | 19.83 | | | | 17.76 | | | | (32.97 | ) | | | 10.57 | |
| Net asset value, end of period | | $ | 49.13 | | | $ | 50.87 | | | $ | 62.66 | | | $ | 42.83 | | | $ | 25.07 | | | $ | 58.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.42 | %) | | | (18.82 | %) | | | 46.27 | % | | | 70.84 | % | | | (56.81 | %) | | | 22.27 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 38,586 | | | $ | 34,353 | | | $ | 151,318 | | | $ | 49,371 | | | $ | 59,706 | | | $ | 82,691 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.06 | %) | | | (0.25 | %) | | | (0.42 | %) | | | (0.01 | %) | | | (0.48 | %) | | | (0.77 | %) |
| Total expenses | | | 1.33 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 147 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % | | | 193 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 47.64 | | | $ | 58.97 | | | $ | 40.50 | | | $ | 23.83 | | | $ | 55.45 | | | $ | 45.58 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.08 | ) | | | (.34 | ) | | | (.42 | ) | | | (.26 | ) | | | (.43 | ) | | | (.69 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.67 | ) | | | (10.99 | ) | | | 18.89 | | | | 16.93 | | | | (31.19 | ) | | | 10.56 | |
| Total from investment operations | | | (1.75 | ) | | | (11.33 | ) | | | 18.47 | | | | 16.67 | | | | (31.62 | ) | | | 9.87 | |
| Net asset value, end of period | | $ | 45.89 | | | $ | 47.64 | | | $ | 58.97 | | | $ | 40.50 | | | $ | 23.83 | | | $ | 55.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.67 | %) | | | (19.21 | %) | | | 45.61 | % | | | 69.95 | % | | | (57.02 | %) | | | 21.65 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,388 | | | $ | 8,025 | | | $ | 17,222 | | | $ | 6,631 | | | $ | 7,058 | | | $ | 15,929 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.35 | %) | | | (0.66 | %) | | | (0.93 | %) | | | (0.70 | %) | | | (0.92 | %) | | | (1.28 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 147 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % | | | 193 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.59 | | | $ | 60.01 | | | $ | 41.12 | | | $ | 24.13 | | | $ | 55.99 | | | $ | 45.90 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.07 | ) | | | (.25 | ) | | | (.31 | ) | | | (.16 | ) | | | (.31 | ) | | | (.55 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.65 | ) | | | (11.17 | ) | | | 19.20 | | | | 17.15 | | | | (31.55 | ) | | | 10.64 | |
| Total from investment operations | | | (1.72 | ) | | | (11.42 | ) | | | 18.89 | | | | 16.99 | | | | (31.86 | ) | | | 10.09 | |
| Net asset value, end of period | | $ | 46.87 | | | $ | 48.59 | | | $ | 60.01 | | | $ | 41.12 | | | $ | 24.13 | | | $ | 55.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.54 | %) | | | (19.03 | %) | | | 45.94 | % | | | 70.41 | % | | | (56.90 | %) | | | 21.98 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,019 | | | $ | 7,115 | | | $ | 24,849 | | | $ | 8,957 | | | $ | 4,920 | | | $ | 11,450 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.29 | %) | | | (0.47 | %) | | | (0.67 | %) | | | (0.43 | %) | | | (0.68 | %) | | | (1.01 | %) |
| Total expenses | | | 1.58 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 147 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % | | | 193 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 45.66 | | | $ | 56.81 | | | $ | 39.22 | | | $ | 23.19 | | | $ | 54.22 | | | $ | 44.79 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.22 | ) | | | (.54 | ) | | | (.60 | ) | | | (.44 | ) | | | (.64 | ) | | | (.93 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.57 | ) | | | (10.61 | ) | | | 18.19 | | | | 16.47 | | | | (30.39 | ) | | | 10.36 | |
| Total from investment operations | | | (1.79 | ) | | | (11.15 | ) | | | 17.59 | | | | 16.03 | | | | (31.03 | ) | | | 9.43 | |
| Net asset value, end of period | | $ | 43.87 | | | $ | 45.66 | | | $ | 56.81 | | | $ | 39.22 | | | $ | 23.19 | | | $ | 54.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.92 | %) | | | (19.63 | %) | | | 44.85 | % | | | 69.12 | % | | | (57.23 | %) | | | 21.05 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,422 | | | $ | 10,144 | | | $ | 15,276 | | | $ | 11,059 | | | $ | 9,196 | | | $ | 29,316 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.06 | %) | | | (1.13 | %) | | | (1.43 | %) | | | (1.25 | %) | | | (1.41 | %) | | | (1.76 | %) |
| Total expenses | | | 2.33 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 147 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % | | | 193 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Financial Services Fund
“Holdings 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 | | | 3.7 | % |
| Wells Fargo & Co. | | | 3.4 | % |
| JPMorgan Chase & Co. | | | 3.1 | % |
| Citigroup, Inc. | | | 2.4 | % |
| Bank of America Corp. | | | 2.4 | % |
| U.S. Bancorp | | | 2.1 | % |
| American Express Co. | | | 2.0 | % |
| Goldman Sachs Group, Inc. | | | 1.9 | % |
| American International Group, Inc. | | | 1.8 | % |
| Simon Property Group, Inc. | | | 1.7 | % |
| Top Ten Total | | | 24.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| FINANCIAL SERVICES FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 108.4% | | | | | | | | |
| | | | | | | | | |
| PROPERTY & CASUALTY INSURANCE - 10.8% | | | | | | | | |
| Berkshire Hathaway, Inc. — Class B* | | | 4,383 | | | $ | 386,580 | |
| Travelers Companies, Inc. | | | 1,983 | | | | 135,360 | |
| Chubb Corp. | | | 1,567 | | | | 119,531 | |
| Allstate Corp. | | | 2,886 | | | | 114,314 | |
| ACE Ltd. | | | 1,462 | | | | 110,527 | |
| Progressive Corp. | | | 4,478 | | | | 92,874 | |
| XL Group plc — Class A | | | 3,679 | | | | 88,406 | |
| Cincinnati Financial Corp. | | | 1,710 | | | | 64,792 | |
| Total Property & Casualty Insurance | | | | | | | 1,112,384 | |
| DIVERSIFIED BANKS - 10.6% | | | | | | | | |
| Wells Fargo & Co. | | | 10,245 | | | | 353,759 | |
| U.S. Bancorp | | | 6,205 | | | | 212,831 | |
| Itau Unibanco Holding S.A. ADR | | | 6,777 | | | | 103,553 | |
| Banco Bradesco S.A. ADR | | | 6,224 | | | | 100,020 | |
| ICICI Bank Ltd. ADR | | | 2,249 | | | | 90,275 | |
| HSBC Holdings plc ADR | | | 1,801 | | | | 83,674 | |
| Barclays plc ADR | | | 5,744 | | | | 79,669 | |
| Comerica, Inc. | | | 2,058 | | | | 63,901 | |
| Total Diversified Banks | | | | | | | 1,087,682 | |
| ASSET MANAGEMENT & CUSTODY BANKS - 9.8% | | | | | | | | |
| BlackRock, Inc. — Class A | | | 818 | | | | 145,848 | |
| Franklin Resources, Inc. | | | 1,084 | | | | 135,576 | |
| Bank of New York Mellon Corp. | | | 5,869 | | | | 132,757 | |
| State Street Corp. | | | 2,752 | | | | 115,474 | |
| T. Rowe Price Group, Inc. | | | 1,652 | | | | 104,572 | |
| Ameriprise Financial, Inc. | | | 1,582 | | | | 89,684 | |
| Invesco Ltd. | | | 3,477 | | | | 86,890 | |
| Northern Trust Corp. | | | 1,863 | | | | 86,471 | |
| Affiliated Managers Group, Inc.* | | | 532 | | | | 65,436 | |
| Legg Mason, Inc. | | | 1,910 | | | | 47,139 | |
| Total Asset Management & Custody Banks | | | | | | | 1,009,847 | |
| SPECIALIZED REITs - 9.4% | | | | | | | | |
| American Tower Corp. — Class A | | | 1,970 | | | | 140,638 | |
| Public Storage | | | 938 | | | | 130,541 | |
| HCP, Inc. | | | 2,575 | | | | 114,536 | |
| Ventas, Inc. | | | 1,814 | | | | 112,922 | |
| Health Care REIT, Inc. | | | 1,769 | | | | 102,160 | |
| Weyerhaeuser Co. | | | 3,728 | | | | 97,450 | |
| Host Hotels & Resorts, Inc. | | | 5,512 | | | | 88,468 | |
| Plum Creek Timber Company, Inc. | | | 1,585 | | | | 69,486 | |
| Rayonier, Inc. | | | 1,304 | | | | 63,909 | |
| Senior Housing Properties Trust | | | 2,350 | | | | 51,183 | |
| Total Specialized REITs | | | | | | | 971,293 | |
| REGIONAL BANKS - 8.7% | | | | | | | | |
| PNC Financial Services Group, Inc. | | | 2,364 | | | | 149,168 | |
| BB&T Corp. | | | 3,789 | | | | 125,643 | |
| SunTrust Banks, Inc. | | | 3,594 | | | | 101,602 | |
| Fifth Third Bancorp | | | 6,364 | | | | 98,706 | |
| M&T Bank Corp. | | | 961 | | | | 91,449 | |
| Regions Financial Corp. | | | 11,310 | | | | 81,545 | |
| CIT Group, Inc.* | | | 1,899 | | | | 74,802 | |
| KeyCorp | | | 8,515 | | | | 74,421 | |
| Huntington Bancshares, Inc. | | | 9,177 | | | | 63,321 | |
| First Horizon National Corp. | | | 4,150 | | | | 39,965 | |
| Total Regional Banks | | | | | | | 900,622 | |
| OTHER DIVERSIFIED FINANCIAL SERVICES - 8.0% | | | | | | | | |
| JPMorgan Chase & Co. | | | 8,003 | | | | 323,961 | |
| Citigroup, Inc. | | | 7,723 | | | | 252,697 | |
| Bank of America Corp. | | | 28,292 | | | | 249,818 | |
| Total Other Diversified Financial Services | | | | | | | 826,476 | |
| RETAIL REITs - 7.1% | | | | | | | | |
| Simon Property Group, Inc. | | | 1,173 | | | | 178,073 | |
| General Growth Properties, Inc. | | | 5,748 | | | | 111,971 | |
| Kimco Realty Corp. | | | 3,699 | | | | 74,979 | |
| Macerich Co. | | | 1,252 | | | | 71,652 | |
| Federal Realty Investment Trust | | | 652 | | | | 68,656 | |
| Realty Income Corp. | | | 1,500 | | | | 61,335 | |
| Taubman Centers, Inc. | | | 740 | | | | 56,780 | |
| DDR Corp. | | | 3,690 | | | | 56,678 | |
| Regency Centers Corp. | | | 1,130 | | | | 55,065 | |
| Total Retail REITs | | | | | | | 735,189 | |
| LIFE & HEALTH INSURANCE - 6.5% | | | | | | | | |
| MetLife, Inc. | | | 4,681 | | | | 161,308 | |
| Prudential Financial, Inc. | | | 2,379 | | | | 129,679 | |
| Aflac, Inc. | | | 2,598 | | | | 124,392 | |
| Principal Financial Group, Inc. | | | 2,714 | | | | 73,115 | |
| Lincoln National Corp. | | | 2,790 | | | | 67,490 | |
| Unum Group | | | 3,103 | | | | 59,640 | |
| Torchmark Corp. | | | 1,131 | | | | 58,077 | |
| Total Life & Health Insurance | | | | | | | 673,701 | |
| CONSUMER FINANCE - 5.3% | | | | | | | | |
| American Express Co. | | | 3,684 | | | | 209,472 | |
| Capital One Financial Corp. | | | 2,654 | | | | 151,305 | |
| Discover Financial Services | | | 3,029 | | | | 120,342 | |
| SLM Corp. | | | 4,442 | | | | 69,828 | |
| Total Consumer Finance | | | | | | | 550,947 | |
| INVESTMENT BANKING & BROKERAGE - 5.0% | | | | | | | | |
| Goldman Sachs Group, Inc. | | | 1,706 | | | | 193,938 | |
| Morgan Stanley | | | 8,990 | | | | 150,493 | |
| Charles Schwab Corp. | | | 8,120 | | | | 103,855 | |
| TD Ameritrade Holding Corp. | | | 4,828 | | | | 74,206 | |
| Total Investment Banking & Brokerage | | | | | | | 522,492 | |
| RESIDENTIAL REITs - 4.8% | | | | | | | | |
| Equity Residential | | | 1,919 | | | | 110,401 | |
| AvalonBay Communities, Inc. | | | 694 | | | | 94,377 | |
| UDR, Inc. | | | 2,638 | | | | 65,475 | |
| Essex Property Trust, Inc. | | | 410 | | | | 60,778 | |
| Camden Property Trust | | | 935 | | | | 60,298 | |
| American Campus Communities, Inc. | | | 1,200 | | | | 52,656 | |
| Apartment Investment & | | | | | | | | |
| Management Co. — Class A | | | 1,970 | | | | 51,200 | |
| Total Residential REITs | | | | | | | 495,185 | |
| 56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| FINANCIAL SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MULTI-LINE INSURANCE - 4.3% | | | | | | | | |
| American International Group, Inc.* | | | 5,530 | | | $ | 181,329 | |
| Loews Corp. | | | 2,560 | | | | 105,626 | |
| Hartford Financial Services Group, Inc. | | | 3,951 | | | | 76,807 | |
| Assurant, Inc. | | | 1,230 | | | | 45,879 | |
| Genworth Financial, Inc. — Class A* | | | 7,720 | | | | 40,376 | |
| Total Multi-Line Insurance | | | | | | | 450,017 | |
| SPECIALIZED FINANCE - 3.8% | | | | | | | | |
| CME Group, Inc. — Class A | | | 2,005 | | | | 114,887 | |
| Moody’s Corp. | | | 1,859 | | | | 82,112 | |
| IntercontinentalExchange, Inc.* | | | 603 | | | | 80,446 | |
| NYSE Euronext | | | 2,591 | | | | 63,868 | |
| NASDAQ OMX Group, Inc. | | | 2,210 | | | | 51,482 | |
| Total Specialized Finance | | | | | | | 392,795 | |
| OFFICE REITs - 2.9% | | | | | | | | |
| Boston Properties, Inc. | | | 963 | | | | 106,517 | |
| Digital Realty Trust, Inc. | | | 1,103 | | | | 77,045 | |
| SL Green Realty Corp. | | | 884 | | | | 70,782 | |
| Highwoods Properties, Inc. | | | 1,270 | | | | 41,427 | |
| Total Office REITs | | | | | | | 295,771 | |
| MORTGAGE REITs - 2.3% | | | | | | | | |
| Annaly Capital Management, Inc. | | | 6,240 | | | | 105,082 | |
| American Capital Agency Corp. | | | 2,594 | | | | 89,726 | |
| Two Harbors Investment Corp. | | | 4,070 | | | | 47,823 | |
| Total Mortgage REITs | | | | | | | 242,631 | |
| INSURANCE BROKERS - 2.0% | | | | | | | | |
| Marsh & McLennan Companies, Inc. | | | 3,316 | | | | 112,512 | |
| Aon plc | | | 1,884 | | | | 98,514 | |
| Total Insurance Brokers | | | | | | | 211,026 | |
| THRIFTS & MORTGAGE FINANCE - 1.7% | | | | | | | | |
| New York Community Bancorp, Inc. | | | 4,719 | | | | 66,821 | |
| People’s United Financial, Inc. | | | 4,515 | | | | 54,812 | |
| Hudson City Bancorp, Inc. | | | 6,810 | | | | 54,208 | |
| Total Thrifts & Mortgage Finance | | | | | | | 175,841 | |
| DIVERSIFIED CAPITAL MARKETS - 1.5% | | | | | | | | |
| Deutsche Bank AG | | | 2,076 | | | | 82,314 | |
| Credit Suisse Group AG ADR | | | 3,615 | | | | 76,457 | |
| Total Diversified Capital Markets | | | | | | | 158,771 | |
| DIVERSIFIED REITs - 1.5% | | | | | | | | |
| Vornado Realty Trust | | | 1,252 | | | | 101,475 | |
| Duke Realty Corp. | | | 3,500 | | | | 51,450 | |
| Total Diversified REITs | | | | | | | 152,925 | |
| INDUSTRIAL REITs - 1.0% | | | | | | | | |
| Prologis, Inc. | | | 3,006 | | | | 105,300 | |
| REINSURANCE - 0.8% | | | | | | | | |
| Everest Re Group Ltd. | | | 758 | | | | 81,076 | |
| REAL ESTATE SERVICES - 0.6% | | | | | | | | |
| CBRE Group, Inc. — Class A* | | | 3,415 | | | | 62,870 | |
| Total Common Stocks | | | | | | | | |
| (Cost $7,874,072) | | | | | | | 11,214,841 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | amount | | | | | |
| REPURCHASE AGREEMENT††,1 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 56,005 | | | | 56,005 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $56,005) | | | | | | | 56,005 | |
| Total Investments - 108.9% | | | | | | | | |
| (Cost $7,930,077) | | | | | | $ | 11,270,846 | |
| Other Assets & Liabilities, net - (8.9)% | | | | | | | (922,167 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 10,348,679 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreement — See Note 5. |
ADR — American Depositary Receipt
plc — Public Limited Company
REIT — Real Estate Investment Trust
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
|
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $7,874,072) | | $ | 11,214,841 | |
| Repurchase agreements, at value | | | | |
| (cost $56,005) | | | 56,005 | |
| Total investments | | | | |
| (cost $7,930,077) | | | 11,270,846 | |
| Receivables: | | | | |
| Fund shares sold | | | 116,711 | |
| Dividends | | | 18,415 | |
| Total assets | | | 11,405,972 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,043,020 | |
| Management fees | | | 6,499 | |
| Transfer agent and administrative fees | | | 1,912 | |
| Distribution and service fees | | | 1,522 | |
| Portfolio accounting fees | | | 764 | |
| Miscellaneous | | | 3,576 | |
| Total liabilities | | | 1,057,293 | |
| Net assets | | $ | 10,348,679 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 14,072,399 | |
| Undistributed net investment income | | | 147,833 | |
| Accumulated net realized loss on investments | | | (7,212,322 | ) |
| Net unrealized appreciation on investments | | | 3,340,769 | |
| Net assets | | $ | 10,348,679 | |
| Investor Class: | | | | |
| Net assets | | $ | 6,655,079 | |
| Capital shares outstanding | | | 84,962 | |
| Net asset value per share | | $ | 78.33 | |
| Advisor Class: | | | | |
| Net assets | | $ | 2,338,216 | |
| Capital shares outstanding | | | 31,933 | |
| Net asset value per share | | $ | 73.22 | |
| A-Class: | | | | |
| Net assets | | $ | 514,514 | |
| Capital shares outstanding | | | 6,875 | |
| Net asset value per share | | $ | 74.84 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 78.57 | |
| C-Class: | | | | |
| Net assets | | $ | 840,870 | |
| Capital shares outstanding | | | 12,050 | |
| Net asset value per share | | $ | 69.78 | |
| STATEMENT OF OPERATIONS (Unaudited) |
|
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,672) | | $ | 155,471 | |
| Interest | | | 32 | |
| Total investment income | | | 155,503 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 62,216 | |
| Transfer agent and administrative fees | | | 18,299 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 10,010 | |
| A-Class | | | 955 | |
| C-Class | | | 3,166 | |
| Portfolio accounting fees | | | 7,319 | |
| Custodian fees | | | 1,351 | |
| Trustees’ fees* | | | 1,036 | |
| Miscellaneous | | | 7,194 | |
| Total expenses | | | 111,546 | |
| Net investment income | | | 43,957 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,232,809 | |
| Net realized gain | | | 1,232,809 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (2,508,642 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (2,508,642 | ) |
| Net realized and unrealized loss | | | (1,275,833 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (1,231,876 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
financial services fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 43,957 | | | $ | 103,430 | |
| Net realized gain (loss) on investments | | | 1,232,809 | | | | (1,220,034 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,508,642 | ) | | | 1,814,186 | |
| Net increase (decrease) in net assets resulting from operations | | | (1,231,876 | ) | | | 697,582 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (4,792 | ) |
| Advisor Class | | | — | | | | (283 | ) |
| A-Class | | | — | | | | (282 | ) |
| C-Class | | | — | | | | (276 | ) |
| Total distributions to shareholders | | | — | | | | (5,633 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 56,829,378 | | | | 147,870,058 | |
| Advisor Class | | | 11,923,455 | | | | 20,606,160 | |
| A-Class | | | 509,324 | | | | 5,182,199 | |
| C-Class | | | 3,878,471 | | | | 13,036,171 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 4,758 | |
| Advisor Class | | | — | | | | 279 | |
| A-Class | | | — | | | | 199 | |
| C-Class | | | — | | | | 258 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (69,148,697 | ) | | | (133,582,777 | ) |
| Advisor Class | | | (13,641,823 | ) | | | (20,032,579 | ) |
| A-Class | | | (607,838 | ) | | | (6,307,011 | ) |
| C-Class | | | (3,826,356 | ) | | | (13,219,440 | ) |
| Net increase (decrease) from capital share transactions | | | (14,084,086 | ) | | | 13,558,275 | |
| Net increase (decrease) in net assets | | | (15,315,962 | ) | | | 14,250,224 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 25,664,641 | | | | 11,414,417 | |
| End of period | | $ | 10,348,679 | | | $ | 25,664,641 | |
| Undistributed net investment income at end of period | | $ | 147,833 | | | $ | 103,876 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 760,445 | | | | 2,115,046 | |
| Advisor Class | | | 171,684 | | | | 329,675 | |
| A-Class | | | 6,900 | | | | 72,286 | |
| C-Class | | | 57,490 | | | | 197,182 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 76 | |
| Advisor Class | | | — | | | | 5 | |
| A-Class | | | — | | | | 3 | |
| C-Class | | | — | | | | 5 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (930,026 | ) | | | (1,920,753 | ) |
| Advisor Class | | | (197,455 | ) | | | (319,490 | ) |
| A-Class | | | (8,441 | ) | | | (86,753 | ) |
| C-Class | | | (57,064 | ) | | | (200,740 | ) |
| Net increase (decrease) in shares | | | (196,467 | ) | | | 186,542 | |
| | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 59 |
financial services fund
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 78.47 | | | $ | 81.18 | | | $ | 75.23 | | | $ | 44.37 | | | $ | 101.80 | | | $ | 142.50 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .33 | | | | .61 | | | | .15 | | | | .41 | | | | 1.60 | | | | 1.70 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.47 | ) | | | (3.29 | ) | | | 6.75 | | | | 31.07 | | | | (57.13 | ) | | | (40.20 | ) |
| Total from investment operations | | | (.14 | ) | | | (2.68 | ) | | | 6.90 | | | | 31.48 | | | | (55.53 | ) | | | (38.50 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Total distributions | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Net asset value, end of period | | $ | 78.33 | | | $ | 78.47 | | | $ | 81.18 | | | $ | 75.23 | | | $ | 44.37 | | | $ | 101.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.17 | %) | | | (3.31 | %) | | | 9.33 | % | | | 71.12 | % | | | (54.76 | %) | | | (27.26 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,655 | | | $ | 19,973 | | | $ | 4,885 | | | $ | 26,364 | | | $ | 13,257 | | | $ | 4,640 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.87 | % | | | 0.86 | % | | | 0.19 | % | | | 0.64 | % | | | 2.16 | % | | | 1.25 | % |
| Total expenses | | | 1.33 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 344 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % | | | 913 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 73.53 | | | $ | 76.47 | | | $ | 71.29 | | | $ | 42.28 | | | $ | 97.80 | | | $ | 137.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .01 | | | | .26 | | | | (.14 | ) | | | .12 | | | | 1.30 | | | | .90 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | (3.17 | ) | | | 6.27 | | | | 29.51 | | | | (54.92 | ) | | | (38.50 | ) |
| Total from investment operations | | | (.31 | ) | | | (2.91 | ) | | | 6.13 | | | | 29.63 | | | | (53.62 | ) | | | (37.60 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Total distributions | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Net asset value, end of period | | $ | 73.22 | | | $ | 73.53 | | | $ | 76.47 | | | $ | 71.29 | | | $ | 42.28 | | | $ | 97.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.42 | %) | | | (3.80 | %) | | | 8.76 | % | | | 70.26 | % | | | (55.06 | %) | | | (27.58 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,338 | | | $ | 4,243 | | | $ | 3,634 | | | $ | 3,285 | | | $ | 2,710 | | | $ | 1,957 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.04 | % | | | 0.37 | % | | | (0.20 | %) | | | 0.21 | % | | | 1.83 | % | | | 0.70 | % |
| Total expenses | | | 1.83 | % | | | 1.85 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % | | | 1.89 | % |
| Portfolio turnover rate | | | 344 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % | | | 913 | % |
| | |
| 60 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
financial services fund
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 75.07 | | | $ | 77.87 | | | $ | 72.38 | | | $ | 42.80 | | | $ | 98.60 | | | $ | 138.20 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .25 | | | | .45 | | | | (.01 | ) | | | .30 | | | | 1.30 | | | | 1.60 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.48 | ) | | | (3.22 | ) | | | 6.45 | | | | 29.90 | | | | (55.20 | ) | | | (39.00 | ) |
| Total from investment operations | | | (.23 | ) | | | (2.77 | ) | | | 6.44 | | | | 30.20 | | | | (53.90 | ) | | | (37.40 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Total distributions | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Net asset value, end of period | | $ | 74.84 | | | $ | 75.07 | | | $ | 77.87 | | | $ | 72.38 | | | $ | 42.80 | | | $ | 98.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.31 | %) | | | (3.57 | %) | | | 9.06 | % | | | 70.74 | % | | | (54.92 | %) | | | (27.32 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 515 | | | $ | 632 | | | $ | 1,782 | | | $ | 1,408 | | | $ | 2,683 | | | $ | 1,367 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.70 | % | | | 0.64 | % | | | (0.01 | %) | | | 0.50 | % | | | 1.97 | % | | | 1.42 | % |
| Total expenses | | | 1.58 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % |
| Portfolio turnover rate | | | 344 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % | | | 913 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010d | | | 2009d | | | 2008d | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.26 | | | $ | 73.42 | | | $ | 68.79 | | | $ | 41.01 | | | $ | 95.10 | | | $ | 134.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .03 | | | | (.12 | ) | | | (.49 | ) | | | (.24 | ) | | | .80 | | | | .50 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.51 | ) | | | (3.01 | ) | | | 6.07 | | | | 28.64 | | | | (52.99 | ) | | | (37.80 | ) |
| Total from investment operations | | | (.48 | ) | | | (3.13 | ) | | | 5.58 | | | | 28.40 | | | | (52.19 | ) | | | (37.30 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Total distributions | | | — | | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) | | | (2.20 | ) |
| Net asset value, end of period | | $ | 69.78 | | | $ | 70.26 | | | $ | 73.42 | | | $ | 68.79 | | | $ | 41.01 | | | $ | 95.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.67 | %) | | | (4.27 | %) | | | 8.28 | % | | | 69.44 | % | | | (55.16 | %) | | | (27.98 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 841 | | | $ | 817 | | | $ | 1,114 | | | $ | 1,942 | | | $ | 1,407 | | | $ | 2,847 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.10 | % | | | (0.18 | %) | | | (0.72 | %) | | | (0.40 | %) | | | 1.13 | % | | | 0.45 | % |
| Total expenses | | | 2.33 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 344 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % | | | 913 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Per share amounts for the period March 31, 2007 – April 19, 2009 have been restated to reflect a 1:10 reverse share split effective April 20, 2009. |
| | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 61 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
Health care FUND
Objective: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Health Care Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | April 17, 1998 |
| Advisor Class | May 11, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Johnson & Johnson | | | 4.3 | % |
| Pfizer, Inc. | | | 4.3 | % |
| Merck & Company, Inc. | | | 3.7 | % |
| Abbott Laboratories | | | 3.3 | % |
| Amgen, Inc. | | | 2.6 | % |
| Bristol-Myers Squibb Co. | | | 2.4 | % |
| UnitedHealth Group, Inc. | | | 2.4 | % |
| Eli Lilly & Co. | | | 2.3 | % |
| Express Scripts Holding Co. | | | 2.3 | % |
| Gilead Sciences, Inc. | | | 2.2 | % |
| Top Ten Total | | | 29.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| |
| 62 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
health care fund
| | | Shares | | | Value | |
| COMMON STOCKS† - 98.9% | | | | | | | | |
| | | | | | | | | |
| Pharmaceuticals - 34.7% | | | | | | | | |
| Johnson & Johnson | | | 70,326 | | | $ | 4,846,164 | |
| Pfizer, Inc. | | | 194,394 | | | | 4,830,691 | |
| Merck & Company, Inc. | | | 91,910 | | | | 4,145,141 | |
| Abbott Laboratories | | | 53,005 | | | | 3,634,023 | |
| Bristol-Myers Squibb Co. | | | 79,026 | | | | 2,667,128 | |
| Eli Lilly & Co. | | | 55,112 | | | | 2,612,860 | |
| Allergan, Inc. | | | 20,328 | | | | 1,861,638 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 28,287 | | | | 1,171,365 | |
| Watson Pharmaceuticals, Inc.* | | | 13,695 | | | | 1,166,266 | |
| Perrigo Co. | | | 9,960 | | | | 1,157,053 | |
| Mylan, Inc.* | | | 45,536 | | | | 1,111,078 | |
| Forest Laboratories, Inc.* | | | 30,247 | | | | 1,077,096 | |
| Warner Chilcott plc — Class A | | | 79,130 | | | | 1,068,255 | |
| Novartis AG ADR | | | 16,709 | | | | 1,023,593 | |
| Valeant Pharmaceuticals International, Inc.* | | | 17,576 | | | | 971,426 | |
| AstraZeneca plc ADR | | | 20,208 | | | | 967,155 | |
| GlaxoSmithKline plc ADR | | | 19,824 | | | | 916,662 | |
| Sanofi ADR | | | 20,400 | | | | 878,424 | |
| Hospira, Inc.* | | | 24,293 | | | | 797,296 | |
| Endo Health Solutions, Inc.* | | | 21,090 | | | | 668,975 | |
| Medicis Pharmaceutical Corp. — Class A | | | 11,200 | | | | 484,624 | |
| Vivus, Inc.* | | | 25,800 | | | | 459,756 | |
| Questcor Pharmaceuticals, Inc.*,1 | | | 19,000 | | | | 351,500 | |
| Total Pharmaceuticals | | | | | | | 38,868,169 | |
| Health Care Equipment - 17.4% | | | | | | | | |
| Medtronic, Inc. | | | 54,112 | | | | 2,333,309 | |
| Baxter International, Inc. | | | 33,497 | | | | 2,018,529 | |
| Stryker Corp. | | | 29,203 | | | | 1,625,439 | |
| Intuitive Surgical, Inc.* | | | 3,131 | | | | 1,551,818 | |
| Covidien plc | | | 23,550 | | | | 1,399,341 | |
| Becton Dickinson and Co. | | | 17,696 | | | | 1,390,198 | |
| St. Jude Medical, Inc. | | | 30,313 | | | | 1,277,087 | |
| Edwards Lifesciences Corp.* | | | 11,690 | | | | 1,255,155 | |
| Zimmer Holdings, Inc. | | | 17,878 | | | | 1,208,910 | |
| CR Bard, Inc. | | | 10,079 | | | | 1,054,767 | |
| Boston Scientific Corp.* | | | 175,785 | | | | 1,009,006 | |
| Varian Medical Systems, Inc.* | | | 15,005 | | | | 905,102 | |
| CareFusion Corp.* | | | 31,064 | | | | 881,907 | |
| ResMed, Inc. | | | 21,169 | | | | 856,709 | |
| Hologic, Inc.* | | | 39,370 | | | | 796,849 | |
| Total Health Care Equipment | | | | | | | 19,564,126 | |
| Biotechnology - 15.5% | | | | | | | | |
| Amgen, Inc. | | | 34,308 | | | | 2,892,850 | |
| Gilead Sciences, Inc.* | | | 37,415 | | | | 2,481,737 | |
| Biogen Idec, Inc.* | | | 13,806 | | | | 2,060,269 | |
| Celgene Corp.* | | | 26,345 | | | | 2,012,758 | |
| Alexion Pharmaceuticals, Inc.* | | | 14,492 | | | | 1,657,885 | |
| Regeneron Pharmaceuticals, Inc.* | | | 9,021 | | | | 1,377,146 | |
| Vertex Pharmaceuticals, Inc.* | | | 21,601 | | | | 1,208,576 | |
| Amarin Corporation plc ADR* | | | 67,500 | | | | 850,500 | |
| Onyx Pharmaceuticals, Inc.* | | | 9,800 | | | | 828,100 | |
| Medivation, Inc.* | | | 13,100 | | | | 738,316 | |
| Ariad Pharmaceuticals, Inc.* | | | 29,500 | | | | 714,638 | |
| Arena Pharmaceuticals, Inc.* | | | 54,400 | | | | 452,608 | |
| Total Biotechnology | | | | | | | 17,275,383 | |
| Managed Health Care - 9.1% | | | | | | | | |
| UnitedHealth Group, Inc. | | | 48,132 | | | | 2,666,994 | |
| WellPoint, Inc. | | | 26,236 | | | | 1,521,950 | |
| Cigna Corp. | | | 27,671 | | | | 1,305,241 | |
| Aetna, Inc. | | | 32,692 | | | | 1,294,603 | |
| Humana, Inc. | | | 17,072 | | | | 1,197,601 | |
| Coventry Health Care, Inc. | | | 20,056 | | | | 836,135 | |
| AMERIGROUP Corp.* | | | 8,240 | | | | 753,383 | |
| WellCare Health Plans, Inc.* | | | 9,520 | | | | 538,356 | |
| Total Managed Health Care | | | | | | | 10,114,263 | |
| Health Care Services - 7.4% | | | | | | | | |
| Express Scripts Holding Co.* | | | 40,068 | | | | 2,511,061 | |
| DaVita, Inc.* | | | 10,919 | | | | 1,131,318 | |
| Catamaran Corp.* | | | 11,500 | | | | 1,126,655 | |
| Quest Diagnostics, Inc. | | | 17,694 | | | | 1,122,330 | |
| Laboratory Corporation of America Holdings* | | | 11,456 | | | | 1,059,336 | |
| Omnicare, Inc. | | | 20,249 | | | | 687,859 | |
| HMS Holdings Corp.* | | | 18,090 | | | | 604,749 | |
| Total Health Care Services | | | | | | | 8,243,308 | |
| Life Sciences Tools & Services - 5.9% | | | | | | | | |
| Thermo Fisher Scientific, Inc. | | | 27,489 | | | | 1,617,177 | |
| Agilent Technologies, Inc. | | | 33,144 | | | | 1,274,387 | |
| Life Technologies Corp.* | | | 21,052 | | | | 1,029,022 | |
| Waters Corp.* | | | 11,348 | | | | 945,629 | |
| Illumina, Inc.* | | | 17,814 | | | | 858,635 | |
| Mettler-Toledo International, Inc.* | | | 4,730 | | | | 807,600 | |
| Total Life Sciences Tools & Services | | | | | | | 6,532,450 | |
| Health Care Distributors - 4.4% | | | | | | | | |
| McKesson Corp. | | | 18,336 | | | | 1,577,446 | |
| Cardinal Health, Inc. | | | 33,189 | | | | 1,293,375 | |
| AmerisourceBergen Corp. — Class A | | | 28,196 | | | | 1,091,467 | |
| Henry Schein, Inc.* | | | 11,747 | | | | 931,185 | |
| Total Health Care Distributors | | | | | | | 4,893,473 | |
| Health Care Facilities - 1.9% | | | | | | | | |
| HCA Holdings, Inc. | | | 40,827 | | | | 1,357,498 | |
| Universal Health Services, Inc. — Class B | | | 16,282 | | | | 744,576 | |
| Total Health Care Facilities | | | | | | | 2,102,074 | |
| Health Care Supplies - 1.4% | | | | | | | | |
| DENTSPLY International, Inc. | | | 21,783 | | | | 830,804 | |
| Cooper Companies, Inc. | | | 8,029 | | | | 758,419 | |
| Total Health Care Supplies | | | | | | | 1,589,223 | |
| Health Care Technology - 1.2% | | | | | | | | |
| Cerner Corp.* | | | 16,868 | | | | 1,305,752 | |
| Total Common Stocks | | | | | | | | |
| (Cost $92,810,820) | | | | | | | 110,488,221 | |
| | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 63 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
health care fund
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 0.5% | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 574,325 | | | $ | 574,325 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $574,325) | | | | | | | 574,325 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.2% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 87,270 | | | | 87,270 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 85,886 | | | | 85,886 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $173,156) | | | | | | | 173,156 | |
| Total Investments - 99.6% | | | | | | | | |
| (Cost $93,558,301) | | | | | | $ | 111,235,702 | |
| Other Assets & Liabilities, net - 0.4% | | | | | | | 412,487 | |
| Total Net Assets - 100.0% | | | | | | $ | 111,648,189 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| 64 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
health care fund
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2012
| Assets: | | | | |
| Investments, at value – including $175,528 of | | | | |
| securities loaned | | | | |
| (cost $92,983,976) | | $ | 110,661,377 | |
| Repurchase agreements, at value | | | | |
| (cost $574,325) | | | 574,325 | |
| Total investments | | | | |
| (cost $93,558,301) | | | 111,235,702 | |
| Receivables: | | | | |
| Fund shares sold | | | 831,938 | |
| Dividends | | | 91,875 | |
| Interest | | | 25 | |
| Total assets | | | 112,159,540 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 219,807 | |
| Payable upon return of securities loaned | | | 173,156 | |
| Management fees | | | 55,085 | |
| Transfer agent and administrative fees | | | 16,202 | |
| Portfolio accounting fees | | | 6,481 | |
| Distribution and service fees | | | 4,607 | |
| Miscellaneous | | | 36,013 | |
| Total liabilities | | | 511,351 | |
| Net assets | | $ | 111,648,189 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 105,843,051 | |
| Undistributed net investment income | | | 115,965 | |
| Accumulated net realized loss on investments | | | (11,988,228 | ) |
| Net unrealized appreciation on investments | | | 17,677,401 | |
| Net assets | | $ | 111,648,189 | |
| Investor Class: | | | | |
| Net assets | | $ | 100,861,412 | |
| Capital shares outstanding | | | 5,106,080 | |
| Net asset value per share | | $ | 19.75 | |
| Advisor Class: | | | | |
| Net assets | | $ | 3,820,983 | |
| Capital shares outstanding | | | 208,047 | |
| Net asset value per share | | $ | 18.37 | |
| A-Class: | | | | |
| Net assets | | $ | 2,860,037 | |
| Capital shares outstanding | | | 152,793 | |
| Net asset value per share | | $ | 18.72 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 19.65 | |
| C-Class: | | | | |
| Net assets | | $ | 4,105,757 | |
| Capital shares outstanding | | | 233,301 | |
| Net asset value per share | | $ | 17.60 | |
STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 717,064 | |
| Interest | | | 154 | |
| Income from securities lending, net | | | 20 | |
| Total investment income | | | 717,238 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 363,324 | |
| Transfer agent and administrative fees | | | 106,860 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 9,789 | |
| A-Class | | | 3,357 | |
| C-Class | | | 17,316 | |
| Portfolio accounting fees | | | 42,743 | |
| Custodian fees | | | 8,330 | |
| Trustees’ fees* | | | 3,150 | |
| Miscellaneous | | | 46,404 | |
| Total expenses | | | 601,273 | |
| Net investment income | | | 115,965 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (1,416,337 | ) |
| Net realized loss | | | (1,416,337 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 5,322,079 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 5,322,079 | |
| Net realized and unrealized gain | | | 3,905,742 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 4,021,707 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 65 |
health care fund
STATEMENTS OF CHANGES IN NET ASSETS
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 115,965 | | | $ | (33,481 | ) |
| Net realized loss on investments | | | (1,416,337 | ) | | | (2,733,212 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 5,322,079 | | | | 4,434,547 | |
| Net increase in net assets resulting from operations | | | 4,021,707 | | | | 1,667,854 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 184,561,472 | | | | 326,325,036 | |
| Advisor Class | | | 17,491,571 | | | | 30,857,462 | |
| A-Class | | | 598,581 | | | | 7,626,282 | |
| C-Class | | | 16,467,002 | | | | 55,798,360 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (126,459,768 | ) | | | (308,122,674 | ) |
| Advisor Class | | | (17,974,572 | ) | | | (29,208,278 | ) |
| A-Class | | | (824,012 | ) | | | (5,704,682 | ) |
| C-Class | | | (15,975,825 | ) | | | (56,286,961 | ) |
| Net increase from capital share transactions | | | 57,884,449 | | | | 21,284,545 | |
| Net increase in net assets | | | 61,906,156 | | | | 22,952,399 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 49,742,033 | | | | 26,789,634 | |
| End of period | | $ | 111,648,189 | | | $ | 49,742,033 | |
| Undistributed net investment income at end of period | | $ | 115,965 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 9,853,972 | | | | 18,620,010 | |
| Advisor Class | | | 1,004,028 | | | | 1,915,231 | |
| A-Class | | | 33,855 | | | | 466,763 | |
| C-Class | | | 990,075 | | | | 3,613,148 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,820,676 | ) | | | (17,686,638 | ) |
| Advisor Class | | | (1,039,605 | ) | | | (1,810,557 | ) |
| A-Class | | | (46,943 | ) | | | (371,821 | ) |
| C-Class | | | (962,464 | ) | | | (3,657,187 | ) |
| Net increase in shares | | | 3,012,242 | | | | 1,088,949 | |
| 66 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
health care fund
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.83 | | | $ | 17.14 | | | $ | 15.80 | | | $ | 11.20 | | | $ | 14.28 | | | $ | 15.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .03 | | | | .01 | | | | (.02 | ) | | | (.01 | ) | | | .07 | | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .89 | | | | 1.68 | | | | 1.36 | | | | 4.62 | | | | (3.15 | ) | | | (.98 | ) |
| Total from investment operations | | | .92 | | | | 1.69 | | | | 1.34 | | | | 4.61 | | | | (3.08 | ) | | | (1.00 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 19.75 | | | $ | 18.83 | | | $ | 17.14 | | | $ | 15.80 | | | $ | 11.20 | | | $ | 14.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.89 | % | | | 9.86 | % | | | 8.48 | % | | | 41.17 | % | | | (21.57 | %) | | | (6.54 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 100,861 | | | $ | 39,036 | | | $ | 19,534 | | | $ | 195,616 | | | $ | 13,920 | | | $ | 22,062 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.35 | % | | | 0.08 | % | | | (0.10 | %) | | | (0.04 | %) | | | 0.48 | % | | | (0.13 | %) |
| Total expenses | | | 1.34 | % | | | 1.36 | % | | | 1.38 | % | | | 1.37 | % | | | 1.36 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 137 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % | | | 444 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.55 | | | $ | 16.04 | | | $ | 14.85 | | | $ | 10.58 | | | $ | 13.57 | | | $ | 14.59 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.04 | ) | | | (.07 | ) | | | (.05 | ) | | | (.04 | ) | | | .01 | | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .86 | | | | 1.58 | | | | 1.24 | | | | 4.32 | | | | (3.00 | ) | | | (.93 | ) |
| Total from investment operations | | | .82 | | | | 1.51 | | | | 1.19 | | | | 4.28 | | | | (2.99 | ) | | | (1.02 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 18.37 | | | $ | 17.55 | | | $ | 16.04 | | | $ | 14.85 | | | $ | 10.58 | | | $ | 13.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.67 | % | | | 9.41 | % | | | 8.01 | % | | | 40.46 | % | | | (22.03 | %) | | | (6.99 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,821 | | | $ | 4,275 | | | $ | 2,229 | | | $ | 3,432 | | | $ | 6,353 | | | $ | 13,099 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.50 | %) | | | (0.44 | %) | | | (0.36 | %) | | | (0.33 | %) | | | 0.04 | % | | | (0.60 | %) |
| Total expenses | | | 1.83 | % | | | 1.85 | % | | | 1.88 | % | | | 1.88 | % | | | 1.93 | % | | | 1.86 | % |
| Portfolio turnover rate | | | 137 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % | | | 444 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 67 |
health care fund
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.87 | | | $ | 16.30 | | | $ | 15.05 | | | $ | 10.69 | | | $ | 13.68 | | | $ | 14.67 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .02 | | | | (.02 | ) | | | (.02 | ) | | | (.03 | ) | | | .02 | | | | (.06 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .83 | | | | 1.59 | | | | 1.27 | | | | 4.40 | | | | (3.01 | ) | | | (.93 | ) |
| Total from investment operations | | | .85 | | | | 1.57 | | | | 1.25 | | | | 4.37 | | | | (2.99 | ) | | | (.99 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 18.72 | | | $ | 17.87 | | | $ | 16.30 | | | $ | 15.05 | | | $ | 10.69 | | | $ | 13.68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.76 | % | | | 9.63 | % | | | 8.31 | % | | | 40.88 | % | | | (21.86 | %) | | | (6.75 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,860 | | | $ | 2,964 | | | $ | 1,156 | | | $ | 6,204 | | | $ | 997 | | | $ | 730 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.17 | % | | | (0.13 | %) | | | (0.14 | %) | | | (0.25 | %) | | | 0.15 | % | | | (0.36 | %) |
| Total expenses | | | 1.58 | % | | | 1.60 | % | | | 1.63 | % | | | 1.62 | % | | | 1.63 | % | | | 1.61 | % |
| Portfolio turnover rate | | | 137 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % | | | 444 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.86 | | | $ | 15.50 | | | $ | 14.39 | | | $ | 10.30 | | | $ | 13.28 | | | $ | 14.35 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.05 | ) | | | (.14 | ) | | | (.11 | ) | | | (.11 | ) | | | (.08 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .79 | | | | 1.50 | | | | 1.22 | | | | 4.21 | | | | (2.90 | ) | | | (.91 | ) |
| Total from investment operations | | | .74 | | | | 1.36 | | | | 1.11 | | | | 4.10 | | | | (2.98 | ) | | | (1.07 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 17.60 | | | $ | 16.86 | | | $ | 15.50 | | | $ | 14.39 | | | $ | 10.30 | | | $ | 13.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.39 | % | | | 8.77 | % | | | 7.71 | % | | | 39.81 | % | | | (22.44 | %) | | | (7.46 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,106 | | | $ | 3,468 | | | $ | 3,870 | | | $ | 8,393 | | | $ | 5,101 | | | $ | 5,677 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.58 | %) | | | (0.91 | %) | | | (0.76 | %) | | | (0.91 | %) | | | (0.65 | %) | | | (1.12 | %) |
| Total expenses | | | 2.34 | % | | | 2.36 | % | | | 2.38 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 137 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % | | | 444 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 68 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INTERNET FUND
Objective: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Internet Fund
“Holdings 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 | 9.5% |
| Amazon.com, Inc. | 6.3% |
| QUALCOMM, Inc. | 6.0% |
| Cisco Systems, Inc. | 5.9% |
| eBay, Inc. | 4.6% |
| Facebook, Inc. — Class A | 4.1% |
| Time Warner, Inc. | 3.8% |
| Baidu, Inc. ADR | 3.3% |
| Priceline.com, Inc. | 3.2% |
| Yahoo!, Inc. | 2.6% |
| Top Ten Total | 49.3% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INTERNET FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.1% | | | | | | | | |
| INTERNET SOFTWARE & SERVICES - 47.8% | | | | | | | | |
| Google, Inc. — Class A* | | | 787 | | | $ | 593,791 | |
| eBay, Inc.* | | | 5,954 | | | | 288,233 | |
| Facebook, Inc. — Class A* | | | 11,960 | | | | 258,934 | |
| Baidu, Inc. ADR* | | | 1,792 | | | | 209,341 | |
| Yahoo!, Inc.* | | | 10,167 | | | | 162,418 | |
| LinkedIn Corp. — Class A* | | | 1,087 | | | | 130,875 | |
| Equinix, Inc.* | | | 577 | | | | 118,891 | |
| Rackspace Hosting, Inc.* | | | 1,663 | | | | 109,908 | |
| VeriSign, Inc.* | | | 2,111 | | | | 102,785 | |
| Akamai Technologies, Inc.* | | | 2,488 | | | | 95,191 | |
| SINA Corp.* | | | 1,353 | | | | 87,512 | |
| IAC/InterActiveCorp | | | 1,489 | | | | 77,517 | |
| AOL, Inc.* | | | 1,938 | | | | 68,276 | |
| CoStar Group, Inc.* | | | 686 | | | | 55,936 | |
| NetEase, Inc. ADR* | | | 942 | | | | 52,884 | |
| Yelp, Inc. — Class A* | | | 1,780 | | | | 48,149 | |
| MercadoLibre, Inc. | | | 570 | | | | 47,054 | |
| Qihoo 360 Technology Company Ltd. ADR* | | | 2,119 | | | | 46,724 | |
| j2 Global, Inc. | | | 1,400 | | | | 45,948 | |
| Sohu.com, Inc.* | | | 1,046 | | | | 44,026 | |
| Youku Tudou, Inc. ADR* | | | 2,375 | | | | 43,676 | |
| Liquidity Services, Inc.* | | | 857 | | | | 43,030 | |
| ValueClick, Inc.* | | | 2,405 | | | | 41,342 | |
| Ancestry.com, Inc.* | | | 1,367 | | | | 41,119 | |
| Yandex N.V. — Class A* | | | 1,699 | | | | 40,963 | |
| Open Text Corp.* | | | 713 | | | | 39,315 | |
| VistaPrint N.V.* | | | 1,085 | | | | 37,053 | |
| OpenTable, Inc.* | | | 830 | | | | 34,528 | |
| Monster Worldwide, Inc.* | | | 4,444 | | | | 32,575 | |
| Total Internet Software & Services | | | | | | | 2,997,994 | |
| COMMUNICATIONS EQUIPMENT - 17.2% | | | | | | | | |
| QUALCOMM, Inc. | | | 5,992 | | | | 374,440 | |
| Cisco Systems, Inc. | | | 19,437 | | | | 371,052 | |
| Juniper Networks, Inc.* | | | 6,183 | | | | 105,791 | |
| F5 Networks, Inc.* | | | 994 | | | | 104,072 | |
| Research In Motion Ltd.* | | | 10,678 | | | | 80,085 | |
| Ciena Corp.* | | | 3,080 | | | | 41,888 | |
| Total Communications Equipment | | | | | | | 1,077,328 | |
| INTERNET RETAIL - 15.9% | | | | | | | | |
| Amazon.com, Inc.* | | | 1,546 | | | | 393,180 | |
| Priceline.com, Inc.* | | | 328 | | | | 202,943 | |
| Expedia, Inc. | | | 1,742 | | | | 100,757 | |
| TripAdvisor, Inc.* | | | 2,350 | | | | 77,386 | |
| Groupon, Inc. — Class A*,1 | | | 15,466 | | | | 73,618 | |
| Netflix, Inc.* | | | 1,128 | | | | 61,408 | |
| Liberty Ventures* | | | 1,000 | | | | 49,640 | |
| Shutterfly, Inc.* | | | 1,204 | | | | 37,468 | |
| Total Internet Retail | | | | | | | 996,400 | |
| SYSTEMS SOFTWARE - 7.3% | | | | | | | | |
| Symantec Corp.* | | | 7,102 | | | | 127,835 | |
| Red Hat, Inc.* | | | 2,111 | | | | 120,200 | |
| Check Point Software Technologies Ltd.* | | | 2,410 | | | | 116,066 | |
| BMC Software, Inc.* | | | 2,246 | | | | 93,187 | |
| Total Systems Software | | | | | | | 457,288 | |
| MOVIES & ENTERTAINMENT - 3.8% | | | | | | | | |
| Time Warner, Inc. | | | 5,283 | | | | 239,478 | |
| APPLICATION SOFTWARE - 3.7% | | | | | | | | |
| Intuit, Inc. | | | 2,626 | | | | 154,619 | |
| TIBCO Software, Inc.* | | | 2,610 | | | | 78,900 | |
| Total Application Software | | | | | | | 233,519 | |
| SEMICONDUCTORS - 2.5% | | | | | | | | |
| Broadcom Corp. — Class A | | | 4,561 | | | | 157,719 | |
| INVESTMENT BANKING & BROKERAGE - 0.9% | | | | | | | | |
| E*TRADE Financial Corp.* | | | 6,517 | | | | 57,415 | |
| Total Common Stocks | | | | | | | | |
| (Cost $3,045,711) | | | | | | | 6,217,141 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 40,787 | | | | 40,787 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $40,787) | | | | | | | 40,787 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.7% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 20,664 | | | | 20,664 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 20,336 | | | | 20,336 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $41,000) | | | | | | | 41,000 | |
| Total Investments - 100.4% | | | | | | | | |
| (Cost $3,127,498) | | | | | | $ | 6,298,928 | |
| Other Assets & Liabilities, net - (0.4)% | | | | | | | (22,177 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 6,276,751 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8.
ADR — American Depositary Receipt |
| 70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| | | | | |
| Assets: | | | | |
| Investments, at value - including $39,032 of securities loaned | | | | |
| (cost $3,086,711) | | $ | 6,258,141 | |
| Repurchase agreements, at value | | | | |
| (cost $40,787) | | | 40,787 | |
| Total investments | | | | |
| (cost $3,127,498) | | | 6,298,928 | |
| Receivables: | | | | |
| Fund shares sold | | | 53,425 | |
| Dividends | | | 70 | |
| Total assets | | | 6,352,423 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 41,000 | |
| Fund shares redeemed | | | 24,639 | |
| Management fees | | | 4,085 | |
| Transfer agent and administrative fees | | | 1,202 | |
| Distribution and service fees | | | 1,014 | |
| Portfolio accounting fees | | | 480 | |
| Miscellaneous | | | 3,252 | |
| Total liabilities | | | 75,672 | |
| Net assets | | $ | 6,276,751 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 4,476,690 | |
| Accumulated net investment loss | | | (92,387 | ) |
| Accumulated net realized loss on investments | | | (1,278,982 | ) |
| Net unrealized appreciation on investments | | | 3,171,430 | |
| Net assets | | $ | 6,276,751 | |
| Investor Class: | | | | |
| Net assets | | $ | 4,483,616 | |
| Capital shares outstanding | | | 88,445 | |
| Net asset value per share | | $ | 50.69 | |
| Advisor Class: | | | | |
| Net assets | | $ | 590,026 | |
| Capital shares outstanding | | | 12,433 | |
| Net asset value per share | | $ | 47.46 | |
| A-Class: | | | | |
| Net assets | | $ | 220,103 | |
| Capital shares outstanding | | | 4,546 | |
| Net asset value per share | | $ | 48.42 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 50.83 | |
| C-Class: | | | | |
| Net assets | | $ | 983,006 | |
| Capital shares outstanding | | | 21,751 | |
| Net asset value per share | | $ | 45.19 | |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| | | | | |
| Investment Income: | | | | |
| Dividends | | $ | 15,311 | |
| Interest | | | 17 | |
| Income from securities lending, net | | | 3 | |
| Total investment income | | | 15,331 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 30,221 | |
| Transfer agent and administrative fees | | | 8,889 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 1,637 | |
| A-Class | | | 538 | |
| C-Class | | | 5,226 | |
| Portfolio accounting fees | | | 3,555 | |
| Registration fees | | | 3,703 | |
| Trustees’ fees* | | | 889 | |
| Custodian fees | | | 683 | |
| Miscellaneous | | | (620 | ) |
| Total expenses | | | 54,721 | |
| Net investment loss | | | (39,390 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 140,293 | |
| Net realized gain | | | 140,293 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (623,732 | ) |
| Net change in unrealized appreciation (depreciation) | | | (623,732 | ) |
| Net realized and unrealized loss | | | (483,439 | ) |
| Net decrease in net assets resulting from operations | | $ | (522,829 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
| INTERNET FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (39,390 | ) | | $ | (168,561 | ) |
| Net realized gain on investments | | | 140,293 | | | | 3,682,105 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (623,732 | ) | | | (7,435,883 | ) |
| Net decrease in net assets resulting from operations | | | (522,829 | ) | | | (3,922,339 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 11,958,750 | | | | 46,931,498 | |
| Advisor Class | | | 121,123 | | | | 3,247,918 | |
| A-Class | | | 311,264 | | | | 3,283,366 | |
| C-Class | | | 6,017,524 | | | | 25,638,180 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (13,293,528 | ) | | | (58,111,981 | ) |
| Advisor Class | | | (232,125 | ) | | | (4,394,039 | ) |
| A-Class | | | (855,117 | ) | | | (3,259,688 | ) |
| C-Class | | | (5,623,779 | ) | | | (26,601,531 | ) |
| Net decrease from capital share transactions | | | (1,595,888 | ) | | | (13,266,277 | ) |
| Net decrease in net assets | | | (2,118,717 | ) | | | (17,188,616 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 8,395,468 | | | | 25,584,084 | |
| End of period | | $ | 6,276,751 | | | $ | 8,395,468 | |
| Accumulated net investment loss at end of period | | $ | (92,387 | ) | | $ | (52,998 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 240,337 | | | | 952,258 | |
| Advisor Class | | | 2,753 | | | | 71,309 | |
| A-Class | | | 6,328 | | | | 69,108 | |
| C-Class | | | 138,566 | | | | 593,808 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (271,460 | ) | | | (1,226,540 | ) |
| Advisor Class | | | (5,076 | ) | | | (99,635 | ) |
| A-Class | | | (18,467 | ) | | | (74,379 | ) |
| C-Class | | | (130,645 | ) | | | (617,390 | ) |
| Net decrease in shares | | | (37,664 | ) | | | (331,461 | ) |
| 72 | THE RYDEX FUNDS SEMI-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.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.90 | | | $ | 52.28 | | | $ | 41.74 | | | $ | 26.58 | | | $ | 38.55 | | | $ | 41.11 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.22 | ) | | | (.51 | ) | | | (.34 | ) | | | (.38 | ) | | | (.29 | ) | | | .46 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.99 | ) | | | .13 | | | | 10.88 | | | | 15.54 | | | | (11.23 | ) | | | (2.87 | ) |
| Total from investment operations | | | (1.21 | ) | | | (.38 | ) | | | 10.54 | | | | 15.16 | | | | (11.52 | ) | | | (2.41 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Net asset value, end of period | | $ | 50.69 | | | $ | 51.90 | | | $ | 52.28 | | | $ | 41.74 | | | $ | 26.58 | | | $ | 38.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.33 | %) | | | (0.73 | %) | | | 25.25 | % | | | 57.04 | % | | | (29.63 | %) | | | (5.92 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,484 | | | $ | 6,206 | | | $ | 20,589 | | | $ | 21,924 | | | $ | 61,745 | | | $ | 4,365 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.89 | %) | | | (1.05 | %) | | | (0.69 | %) | | | (1.12 | %) | | | (1.01 | %) | | | 1.00 | % |
| Total expenses | | | 1.33 | % | | | 1.36 | % | | | 1.39 | % | | | 1.37 | % | | | 1.35 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 196 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % | | | 870 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.71 | | | $ | 49.31 | | | $ | 39.57 | | | $ | 25.32 | | | $ | 36.95 | | | $ | 39.61 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.32 | ) | | | (.71 | ) | | | (.59 | ) | | | (.58 | ) | | | (.41 | ) | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.93 | ) | | | .11 | | | | 10.33 | | | | 14.83 | | | | (10.77 | ) | | | (2.42 | ) |
| Total from investment operations | | | (1.25 | ) | | | (.60 | ) | | | 9.74 | | | | 14.25 | | | | (11.18 | ) | | | (2.51 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Net asset value, end of period | | $ | 47.46 | | | $ | 48.71 | | | $ | 49.31 | | | $ | 39.57 | | | $ | 25.32 | | | $ | 36.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.55 | %) | | | (1.24 | %) | | | 24.61 | % | | | 56.28 | % | | | (29.99 | %) | | | (6.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 590 | | | $ | 719 | | | $ | 2,124 | | | $ | 3,908 | | | $ | 3,604 | | | $ | 1,364 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.41 | %) | | | (1.58 | %) | | | (1.32 | %) | | | (1.74 | %) | | | (1.43 | %) | | | (0.21 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.87 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 196 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % | | | 870 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.63 | | | $ | 50.13 | | | $ | 40.12 | | | $ | 25.62 | | | $ | 37.29 | | | $ | 39.87 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.27 | ) | | | (.64 | ) | | | (.46 | ) | | | (.50 | ) | | | (.33 | ) | | | (.19 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.94 | ) | | | .14 | | | | 10.47 | | | | 15.00 | | | | (10.89 | ) | | | (2.24 | ) |
| Total from investment operations | | | (1.21 | ) | | | (.50 | ) | | | 10.01 | | | | 14.50 | | | | (11.22 | ) | | | (2.43 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Net asset value, end of period | | $ | 48.42 | | | $ | 49.63 | | | $ | 50.13 | | | $ | 40.12 | | | $ | 25.62 | | | $ | 37.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.44 | %) | | | (1.00 | %) | | | 24.95 | % | | | 56.60 | % | | | (29.82 | %) | | | (6.16 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 220 | | | $ | 828 | | | $ | 1,101 | | | $ | 2,989 | | | $ | 91 | | | $ | 116 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.14 | %) | | | (1.39 | %) | | | (1.01 | %) | | | (1.44 | %) | | | (1.07 | %) | | | (0.44 | %) |
| Total expenses | | | 1.58 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 196 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % | | | 870 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | �� | |
| Net asset value, beginning of period | | $ | 46.50 | | | $ | 47.30 | | | $ | 38.17 | | | $ | 24.56 | | | $ | 36.01 | | | $ | 38.79 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.41 | ) | | | (.94 | ) | | | (.83 | ) | | | (.66 | ) | | | (.59 | ) | | | (.38 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.90 | ) | | | .14 | | | | 9.96 | | | | 14.27 | | | | (10.41 | ) | | | (2.25 | ) |
| Total from investment operations | | | (1.31 | ) | | | (.80 | ) | | | 9.13 | | | | 13.61 | | | | (11.00 | ) | | | (2.63 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) | | | (.15 | ) |
| Net asset value, end of period | | $ | 45.19 | | | $ | 46.50 | | | $ | 47.30 | | | $ | 38.17 | | | $ | 24.56 | | | $ | 36.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (2.82 | %) | | | (1.69 | %) | | | 23.92 | % | | | 55.42 | % | | | (30.28 | %) | | | (6.84 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 983 | | | $ | 643 | | | $ | 1,770 | | | $ | 1,057 | | | $ | 602 | | | $ | 1,608 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.92 | %) | | | (2.17 | %) | | | (1.92 | %) | | | (2.00 | %) | | | (1.95 | %) | | | (0.89 | %) |
| Total expenses | | | 2.33 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 196 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % | | | 870 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 74 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
LEISURE FUND
Objective: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Leisure Fund
“Holdings 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) | | | |
| Philip Morris International, Inc. | | | 5.3 | % |
| Comcast Corp. — Class A | | | 4.2 | % |
| Walt Disney Co. | | | 4.2 | % |
| McDonald’s Corp. | | | 4.1 | % |
| Altria Group, Inc. | | | 3.6 | % |
| News Corp. — Class A | | | 3.3 | % |
| Time Warner, Inc. | | | 2.8 | % |
| Las Vegas Sands Corp. | | | 2.7 | % |
| Starbucks Corp. | | | 2.7 | % |
| DIRECTV | | | 2.5 | % |
| Top Ten Total | | | 35.4 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| LEISURE FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 105.8% | | | | | | | | |
| | | | | | | | | |
| CABLE & SATELLITE - 15.7% | | | | | | | | |
| Comcast Corp. — Class A | | | 27,853 | | | $ | 996,303 | |
| DIRECTV* | | | 11,292 | | | | 592,378 | |
| Time Warner Cable, Inc. | | | 5,852 | | | | 556,291 | |
| Liberty Global, Inc. — Class A* | | | 6,827 | | | | 414,740 | |
| DISH Network Corp. — Class A | | | 12,136 | | | | 371,483 | |
| Virgin Media, Inc. | | | 9,479 | | | | 279,062 | |
| Charter Communications, Inc. — Class A* | | | 3,610 | | | | 271,003 | |
| Cablevision Systems Corp. — Class A | | | 13,098 | | | | 207,603 | |
| Total Cable & Satellite | | | | | | | 3,688,863 | |
| RESTAURANTS - 15.0% | | | | | | | | |
| McDonald’s Corp. | | | 10,629 | | | | 975,210 | |
| Starbucks Corp. | | | 12,438 | | | | 631,229 | |
| Yum! Brands, Inc. | | | 8,341 | | | | 553,342 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 899 | | | | 285,468 | |
| Darden Restaurants, Inc. | | | 4,783 | | | | 266,652 | |
| Panera Bread Co. — Class A* | | | 1,358 | | | | 232,069 | |
| Dunkin’ Brands Group, Inc. | | | 6,050 | | | | 176,630 | |
| Brinker International, Inc. | | | 4,610 | | | | 162,733 | |
| Cheesecake Factory, Inc. | | | 3,934 | | | | 140,641 | |
| Buffalo Wild Wings, Inc.* | | | 1,527 | | | | 130,925 | |
| Total Restaurants | | | | | | | 3,554,899 | |
| MOVIES & ENTERTAINMENT - 14.5% | | | | | | | | |
| Walt Disney Co. | | | 18,864 | | | | 986,210 | |
| News Corp. — Class A | | | 31,574 | | | | 774,510 | |
| Time Warner, Inc. | | | 14,682 | | | | 665,535 | |
| Viacom, Inc. — Class B | | | 9,968 | | | | 534,185 | |
| Imax Corp.* | | | 8,159 | | | | 162,446 | |
| Cinemark Holdings, Inc. | | | 7,196 | | | | 161,406 | |
| Lions Gate Entertainment Corp.* | | | 9,797 | | | | 149,600 | |
| Total Movies & Entertainment | | | | | | | 3,433,892 | |
| TOBACCO - 12.6% | | | | | | | | |
| Philip Morris International, Inc. | | | 13,896 | | | | 1,249,806 | |
| Altria Group, Inc. | | | 25,189 | | | | 841,061 | |
| Reynolds American, Inc. | | | 11,665 | | | | 505,561 | |
| Lorillard, Inc. | | | 3,254 | | | | 378,928 | |
| Total Tobacco | | | | | | | 2,975,356 | |
| HOTELS, RESORTS & CRUISE LINES - 9.0% | | | | | | | | |
| Carnival Corp. | | | 15,054 | | | | 548,569 | |
| Marriott International, Inc. — Class A | | | 9,153 | | | | 357,882 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 5,966 | | | | 345,789 | |
| Wyndham Worldwide Corp. | | | 5,255 | | | | 275,782 | |
| Royal Caribbean Cruises Ltd. | | | 8,622 | | | | 260,471 | |
| Ctrip.com International Ltd. ADR* | | | 12,430 | | | | 209,818 | |
| Ryman Hospitality Properties* | | | 3,560 | | | | 140,727 | |
| Total Hotels, Resorts & Cruise Lines | | | | | | | 2,139,038 | |
| BROADCASTING - 8.3% | | | | | | | | |
| CBS Corp. — Class B | | | 13,365 | | | | 485,551 | |
| Discovery Communications, Inc. — Class A* | | | 7,990 | | | | 476,444 | |
| Liberty Media Corp. - Liberty Capital — Class A* | | | 3,367 | | | | 350,740 | |
| Scripps Networks Interactive, Inc. — Class A | | | 5,060 | | | | 309,824 | |
| Grupo Televisa SAB ADR | | | 8,720 | | | | 205,007 | |
| Pandora Media, Inc.*,1 | | | 13,177 | | | | 144,288 | |
| Total Broadcasting | | | | | | | 1,971,854 | |
| CASINOS & GAMING - 8.3% | | | | | | | | |
| Las Vegas Sands Corp. | | | 13,767 | | | | 638,376 | |
| Wynn Resorts Ltd. | | | 2,961 | | | | 341,818 | |
| MGM Resorts International* | | | 21,950 | | | | 235,963 | |
| Melco Crown Entertainment Ltd. ADR* | | | 16,023 | | | | 215,990 | |
| International Game Technology | | | 14,738 | | | | 192,920 | |
| Penn National Gaming, Inc.* | | | 4,373 | | | | 188,476 | |
| Bally Technologies, Inc.* | | | 2,947 | | | | 145,552 | |
| Total Casinos & Gaming | | | | | | | 1,959,095 | |
| DISTILLERS & VINTNERS - 4.8% | | | | | | | | |
| Brown-Forman Corp. — Class B | | | 5,853 | | | | 381,908 | |
| Beam, Inc. | | | 5,364 | | | | 308,645 | |
| Constellation Brands, Inc. — Class A* | | | 7,509 | | | | 242,916 | |
| Diageo plc ADR | | | 1,790 | | | | 201,787 | |
| Total Distillers & Vintners | | | | | | | 1,135,256 | |
| PUBLISHING - 4.7% | | | | | | | | |
| Thomson Reuters Corp. | | | 17,064 | | | | 492,467 | |
| McGraw-Hill Companies, Inc. | | | 7,358 | | | | 401,673 | |
| Gannett Company, Inc. | | | 11,616 | | | | 206,184 | |
| Total Publishing | | | | | | | 1,100,324 | |
| LEISURE PRODUCTS - 4.0% | | | | | | | | |
| Mattel, Inc. | | | 9,989 | | | | 354,409 | |
| Polaris Industries, Inc. | | | 2,895 | | | | 234,119 | |
| Hasbro, Inc. | | | 5,962 | | | | 227,570 | |
| Brunswick Corp. | | | 6,224 | | | | 140,849 | |
| Total Leisure Products | | | | | | | 956,947 | |
| BREWERS - 3.6% | | | | | | | | |
| Cia de Bebidas das Americas ADR | | | 7,840 | | | | 300,037 | |
| Molson Coors Brewing Co. — Class B | | | 6,464 | | | | 291,203 | |
| Anheuser-Busch InBev N.V. ADR | | | 3,013 | | | | 258,847 | |
| Total Brewers | | | | | | | 850,087 | |
| HOME ENTERTAINMENT SOFTWARE - 2.7% | | | | | | | | |
| Activision Blizzard, Inc. | | | 31,111 | | | | 350,931 | |
| Electronic Arts, Inc.* | | | 15,940 | | | | 202,279 | |
| Take-Two Interactive Software, Inc.* | | | 9,299 | | | | 96,989 | |
| Total Home Entertainment Software | | | | | | | 650,199 | |
| MOTORCYCLE MANUFACTURERS - 1.3% | | | | | | | | |
| Harley-Davidson, Inc. | | | 7,467 | | | | 316,377 | |
| LEISURE FACILITIES - 1.3% | | | | | | | | |
| Six Flags Entertainment Corp. | | | 2,955 | | | | 173,754 | |
| Life Time Fitness, Inc.* | | | 2,999 | | | | 137,174 | |
| Total Leisure Facilities | | | | | | | 310,928 | |
| Total Common Stocks | | | | | | | | |
| (Cost $21,530,735) | | | | | | | 25,043,115 | |
| 76 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| LEISURE FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 0.1% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 16,895 | | | $ | 16,895 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $16,895) | | | | | | | 16,895 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.3% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 36,855 | | | | 36,855 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 36,270 | | | | 36,270 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $73,125) | | | | | | | 73,125 | |
| Total Investments - 106.2% | | | | | | | | |
| (Cost $21,620,755) | | | | | | $ | 25,133,135 | |
| Other Assets & Liabilities, net - (6.2)% | | | | | | | (1,476,246 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 23,656,889 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $71,175 of securities loaned | | | | |
| (cost $21,603,860) | | $ | 25,116,240 | |
| Repurchase agreements, at value | | | | |
| (cost $16,895) | | | 16,895 | |
| Total investments | | | | |
| (cost $21,620,755) | | | 25,133,135 | |
| Receivables: | | | | |
| Dividends | | | 39,269 | |
| Fund shares sold | | | 10,025 | |
| Foreign taxes reclaim | | | 263 | |
| Interest | | | 9 | |
| Total assets | | | 25,182,701 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,422,335 | |
| Payable upon return of securities loaned | | | 73,125 | |
| Management fees | | | 14,080 | |
| Transfer agent and administrative fees | | | 4,141 | |
| Portfolio accounting fees | | | 1,657 | |
| Distribution and service fees | | | 1,195 | |
| Miscellaneous | | | 9,279 | |
| Total liabilities | | | 1,525,812 | |
| Net assets | | $ | 23,656,889 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 27,127,177 | |
| Undistributed net investment income | | | 39,957 | |
| Accumulated net realized loss on investments | | | (7,022,625 | ) |
| Net unrealized appreciation on investments | | | 3,512,380 | |
| Net assets | | $ | 23,656,889 | |
| Investor Class: | | | | |
| Net assets | | $ | 20,619,383 | |
| Capital shares outstanding | | | 535,335 | |
| Net asset value per share | | $ | 38.52 | |
| Advisor Class: | | | | |
| Net assets | | $ | 1,408,300 | |
| Capital shares outstanding | | | 39,441 | |
| Net asset value per share | | $ | 35.71 | |
| A-Class: | | | | |
| Net assets | | $ | 818,077 | |
| Capital shares outstanding | | | 22,502 | |
| Net asset value per share | | $ | 36.36 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 38.17 | |
| C-Class: | | | | |
| Net assets | | $ | 811,129 | |
| Capital shares outstanding | | | 23,578 | |
| Net asset value per share | | $ | 34.40 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,677) | | $ | 159,461 | |
| Interest | | | 42 | |
| Income from securities lending, net | | | 10 | |
| Total investment income | | | 159,513 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 86,837 | |
| Transfer agent and administrative fees | | | 25,540 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 2,494 | |
| A-Class | | | 860 | |
| C-Class | | | 4,137 | |
| Portfolio accounting fees | | | 10,216 | |
| Custodian fees | | | 1,775 | |
| Trustees’ fees* | | | 594 | |
| Miscellaneous | | | 11,248 | |
| Total expenses | | | 143,701 | |
| Net investment income | | | 15,812 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (1,702,779 | ) |
| Net realized loss | | | (1,702,779 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 1,214,021 | |
| Net change in unrealized appreciation (depreciation) | | | 1,214,021 | |
| Net realized and unrealized loss | | | (488,758 | ) |
| Net decrease in net assets resulting from operations | | $ | (472,946 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 78 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 15,812 | | | $ | 24,145 | |
| Net realized loss on investments | | | (1,702,779 | ) | | | (1,120,704 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,214,021 | | | | 490,827 | |
| Net decrease in net assets resulting from operations | | | (472,946 | ) | | | (605,732 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 81,526,776 | | | | 67,307,816 | |
| Advisor Class | | | 865,176 | | | | 7,640,459 | |
| A-Class | | | 494,870 | | | | 1,101,175 | |
| C-Class | | | 577,328 | | | | 5,204,525 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (73,069,952 | ) | | | (56,013,411 | ) |
| Advisor Class | | | (852,564 | ) | | | (6,768,833 | ) |
| A-Class | | | (163,546 | ) | | | (1,923,474 | ) |
| C-Class | | | (1,107,691 | ) | | | (4,790,936 | ) |
| Net increase from capital share transactions | | | 8,270,397 | | | | 11,757,321 | |
| Net increase in net assets | | | 7,797,451 | | | | 11,151,589 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 15,859,438 | | | | 4,707,849 | |
| End of period | | $ | 23,656,889 | | | $ | 15,859,438 | |
| Undistributed net investment income at end of period | | $ | 39,957 | | | $ | 24,145 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,238,843 | | | | 1,961,935 | |
| Advisor Class | | | 24,641 | | | | 240,055 | |
| A-Class | | | 14,440 | | | | 37,255 | |
| C-Class | | | 17,438 | | | | 171,187 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,046,964 | ) | | | (1,682,378 | ) |
| Advisor Class | | | (25,362 | ) | | | (218,494 | ) |
| A-Class | | | (4,780 | ) | | | (60,854 | ) |
| C-Class | | | (34,433 | ) | | | (157,894 | ) |
| Net increase in shares | | | 183,823 | | | | 290,812 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 79 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.94 | | | $ | 33.50 | | | $ | 27.48 | | | $ | 15.40 | | | $ | 31.72 | | | $ | 35.87 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .03 | | | | .17 | | | | (.02 | ) | | | .03 | | | | .01 | | | | .09 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.55 | | | | 3.27 | | | | 6.04 | | | | 12.05 | | | | (16.33 | ) | | | (4.24 | ) |
| Total from investment operations | | | 1.58 | | | | 3.44 | | | | 6.02 | | | | 12.08 | | | | (16.32 | ) | | | (4.15 | ) |
| Net asset value, end of period | | $ | 38.52 | | | $ | 36.94 | | | $ | 33.50 | | | $ | 27.48 | | | $ | 15.40 | | | $ | 31.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.28 | % | | | 10.27 | % | | | 21.91 | % | | | 78.44 | % | | | (51.45 | %) | | | (11.57 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 20,619 | | | $ | 12,687 | | | $ | 2,141 | | | $ | 13,186 | | | $ | 4,132 | | | $ | 3,283 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.19 | % | | | 0.49 | % | | | (0.07 | %) | | | 0.13 | % | | | 0.05 | % | | | 0.24 | % |
| Total expenses | | | 1.33 | % | | | 1.35 | % | | | 1.39 | % | | | 1.37 | % | | | 1.37 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 392 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % | | | 646 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.33 | | | $ | 31.29 | | | $ | 25.81 | | | $ | 14.53 | | | $ | 30.06 | | | $ | 34.14 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (— | )d | | | (.01 | ) | | | (.16 | ) | | | (.11 | ) | | | (.03 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.38 | | | | 3.05 | | | | 5.64 | | | | 11.39 | | | | (15.50 | ) | | | (4.01 | ) |
| Total from investment operations | | | 1.38 | | | | 3.04 | | | | 5.48 | | | | 11.28 | | | | (15.53 | ) | | | (4.08 | ) |
| Net asset value, end of period | | $ | 35.71 | | | $ | 34.33 | | | $ | 31.29 | | | $ | 25.81 | | | $ | 14.53 | | | $ | 30.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.02 | % | | | 9.72 | % | | | 21.23 | % | | | 77.63 | % | | | (51.66 | %) | | | (11.95 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,408 | | | $ | 1,379 | | | $ | 582 | | | $ | 1,111 | | | $ | 373 | | | $ | 1,611 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.02 | %) | | | (0.03 | %) | | | (0.61 | %) | | | (0.56 | %) | | | (0.11 | %) | | | (0.22 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % | | | 1.89 | % |
| Portfolio turnover rate | | | 392 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % | | | 646 | % |
| 80 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.91 | | | $ | 31.75 | | | $ | 26.13 | | | $ | 14.67 | | | $ | 30.30 | | | $ | 34.32 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .05 | | | | .07 | | | | (.05 | ) | | | .17 | | | | (.04 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.40 | | | | 3.09 | | | | 5.67 | | | | 11.29 | | | | (15.59 | ) | | | (3.95 | ) |
| Total from investment operations | | | 1.45 | | | | 3.16 | | | | 5.62 | | | | 11.46 | | | | (15.63 | ) | | | (4.02 | ) |
| Net asset value, end of period | | $ | 36.36 | | | $ | 34.91 | | | $ | 31.75 | | | $ | 26.13 | | | $ | 14.67 | | | $ | 30.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.15 | % | | | 9.95 | % | | | 21.51 | % | | | 78.12 | % | | | (51.58 | %) | | | (11.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 818 | | | $ | 448 | | | $ | 1,157 | | | $ | 489 | | | $ | 25 | | | $ | 206 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.31 | % | | | 0.23 | % | | | (0.18 | %) | | | 0.74 | % | | | (0.16 | %) | | | (0.20 | %) |
| Total expenses | | | 1.58 | % | | | 1.60 | % | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 392 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % | | | 646 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.16 | | | $ | 30.36 | | | $ | 25.19 | | | $ | 14.26 | | | $ | 29.66 | | | $ | 33.86 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.09 | ) | | | (.15 | ) | | | (.30 | ) | | | (.22 | ) | | | (.18 | ) | | | (.28 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.33 | | | | 2.95 | | | | 5.47 | | | | 11.15 | | | | (15.22 | ) | | | (3.92 | ) |
| Total from investment operations | | | 1.24 | | | | 2.80 | | | | 5.17 | | | | 10.93 | | | | (15.40 | ) | | | (4.20 | ) |
| Net asset value, end of period | | $ | 34.40 | | | $ | 33.16 | | | $ | 30.36 | | | $ | 25.19 | | | $ | 14.26 | | | $ | 29.66 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 3.77 | % | | | 9.19 | % | | | 20.52 | % | | | 76.65 | % | | | (51.92 | %) | | | (12.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 811 | | | $ | 1,345 | | | $ | 828 | | | $ | 929 | | | $ | 123 | | | $ | 430 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.53 | %) | | | (0.50 | %) | | | (1.13 | %) | | | (1.01 | %) | | | (0.78 | %) | | | (0.81 | %) |
| Total expenses | | | 2.33 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.40 | % |
| Portfolio turnover rate | | | 392 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % | | | 646 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Net investment loss is less than $0.01 per share. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 81 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
precious metals FUND
Objective: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals related services (“Precious Metals Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Precious Metals Fund
“Holdings 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. | | | 9.9 | % |
| Barrick Gold Corp. | | | 7.4 | % |
| Newmont Mining Corp. | | | 7.2 | % |
| Goldcorp, Inc. | | | 6.0 | % |
| Silver Wheaton Corp. | | | 5.0 | % |
| Yamana Gold, Inc. | | | 4.0 | % |
| Agnico-Eagle Mines Ltd. | | | 3.9 | % |
| Kinross Gold Corp. | | | 3.7 | % |
| Randgold Resources Ltd. ADR | | | 3.4 | % |
| Royal Gold, Inc. | | | 3.4 | % |
| Top Ten Total | | | 53.9 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 82 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| precious metals fund |
| | | Shares | | | Value | |
| COMMON STOCKS† - 100.7% | | | | | | | | |
| | | | | | | | | |
| Gold - 65.6% | | | | | | | | |
| Barrick Gold Corp. | | | 322,704 | | | $ | 13,476,120 | |
| Newmont Mining Corp. | | | 232,427 | | | | 13,018,236 | |
| Goldcorp, Inc. | | | 238,807 | | | | 10,949,301 | |
| Yamana Gold, Inc.1 | | | 383,585 | | | | 7,330,309 | |
| Agnico-Eagle Mines Ltd. | | | 134,789 | | | | 6,992,853 | |
| Kinross Gold Corp. | | | 664,327 | | | | 6,782,779 | |
| Randgold Resources Ltd. ADR | | | 50,183 | | | | 6,172,509 | |
| Royal Gold, Inc. | | | 61,684 | | | | 6,159,764 | |
| AngloGold Ashanti Ltd. ADR | | | 173,467 | | | | 6,080,018 | |
| Gold Fields Ltd. ADR | | | 418,045 | | | | 5,371,878 | |
| Eldorado Gold Corp. | | | 352,413 | | | | 5,370,774 | |
| Cia de Minas Buenaventura S.A. ADR | | | 115,512 | | | | 4,500,348 | |
| IAMGOLD Corp. | | | 279,627 | | | | 4,420,903 | |
| New Gold, Inc.* | | | 309,023 | | | | 3,776,261 | |
| Allied Nevada Gold Corp.* | | | 89,605 | | | | 3,499,971 | |
| AuRico Gold, Inc.* | | | 449,709 | | | | 3,138,969 | |
| Novagold Resources, Inc.* | | | 556,060 | | | | 3,113,936 | |
| Harmony Gold Mining Company Ltd. ADR | | | 359,472 | | | | 3,023,160 | |
| Franco-Nevada Corp. | | | 41,929 | | | | 2,470,876 | |
| Gold Resource Corp. | | | 87,026 | | | | 1,866,708 | |
| Seabridge Gold, Inc.* | | | 94,448 | | | | 1,832,291 | |
| Total Gold | | | | | | | 119,347,964 | |
| Precious Metals & Minerals - 20.3% | | | | | | | �� | |
| Silver Wheaton Corp. | | | 228,014 | | | | 9,054,436 | |
| Pan American Silver Corp. | | | 198,469 | | | | 4,257,160 | |
| Coeur d’Alene Mines Corp.* | | | 147,573 | | | | 4,254,530 | |
| Hecla Mining Co. | | | 525,471 | | | | 3,441,835 | |
| Stillwater Mining Co.* | | | 266,094 | | | | 3,137,248 | |
| Silver Standard Resources, Inc.* | | | 159,119 | | | | 2,550,678 | |
| First Majestic Silver Corp.* | | | 109,785 | | | | 2,543,718 | |
| Endeavour Silver Corp.* | | | 230,945 | | | | 2,304,831 | |
| Silvercorp Metals, Inc. | | | 319,025 | | | | 2,067,282 | |
| McEwen Mining, Inc.* | | | 444,502 | | | | 2,040,264 | |
| Harry Winston Diamond Corp.* | | | 107,551 | | | | 1,273,404 | |
| Total Precious Metals & Minerals | | | | | | | 36,925,386 | |
| Diversified Metals & Mining - 14.8% | | | | | | | | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 453,338 | | | | 17,943,118 | |
| Southern Copper Corp. | | | 163,225 | | | | 5,608,411 | |
| Titanium Metals Corp. | | | 256,086 | | | | 3,285,583 | |
| Total Diversified Metals & Mining | | | | | | | 26,837,112 | |
| Total Common Stocks | | | | | | | | |
| (Cost $101,861,319) | | | | | | | 183,110,462 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 1,056,740 | | | | 1,056,740 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $1,056,740) | | | | | | | 1,056,740 | |
| SECURITIES LENDING COLLATERAL††,3 - 2.0% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 1,809,860 | | | | 1,809,860 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 1,781,140 | | | | 1,781,140 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $3,591,000) | | | | | | | 3,591,000 | |
| Total Investments - 103.3% | | | | | | | | |
| (Cost $106,509,059) | | | | | | $ | 187,758,202 | |
| Other Assets & Liabilities, net - (3.3)% | | | | | | | (6,006,688 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 181,751,514 | |
| | * | Non-income producing security. |
| | † | Value determined based on Level 1 inputs — See Note 4. |
| | †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8.
ADR — American Depositary Receipt |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 83 |
STATEMENT OF ASSETS
AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $3,611,790 of | | | | |
| securities loaned | | | | |
| (cost $105,452,319) | | $ | 186,701,462 | |
| Repurchase agreements, at value | | | | |
| (cost $1,056,740) | | | 1,056,740 | |
| Total investments | | | | |
| (cost $106,509,059) | | | 187,758,202 | |
| Cash | | | 44,011 | |
| Receivables: | | | | |
| Fund shares sold | | | 895,408 | |
| Dividends | | | 27,764 | |
| Interest | | | 25 | |
| Total assets | | | 188,725,410 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 3,591,000 | |
| Fund shares redeemed | | | 3,179,589 | |
| Management fees | | | 95,496 | |
| Transfer agent and administrative fees | | | 31,832 | |
| Distribution and service fees | | | 20,992 | |
| Portfolio accounting fees | | | 12,732 | |
| Miscellaneous | | | 42,255 | |
| Total liabilities | | | 6,973,896 | |
| Net assets | | $ | 181,751,514 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 121,593,510 | |
| Accumulated net investment loss | | | (839,215 | ) |
| Accumulated net realized loss on investments | | | (20,251,936 | ) |
| Net unrealized appreciation on investments | | | 81,249,155 | |
| Net assets | | $ | 181,751,514 | |
| Investor Class: | | | | |
| Net assets | | $ | 141,396,371 | |
| Capital shares outstanding | | | 1,982,987 | |
| Net asset value per share | | $ | 71.30 | |
| Advisor Class: | | | | |
| Net assets | | $ | 7,422,079 | |
| Capital shares outstanding | | | 108,829 | |
| Net asset value per share | | $ | 68.20 | |
| A-Class: | | | | |
| Net assets | | $ | 8,720,395 | |
| Capital shares outstanding | | | 125,349 | |
| Net asset value per share | | $ | 69.57 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 73.04 | |
| C-Class: | | | | |
| Net assets | | $ | 24,212,669 | |
| Capital shares outstanding | | | 380,043 | |
| Net asset value per share | | $ | 63.71 | |
STATEMENT OF
OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $66,015) | | $ | 1,010,422 | |
| Interest | | | 48 | |
| Income from securities lending, net | | | 260 | |
| Total investment income | | | 1,010,730 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 476,900 | |
| Transfer agent and administrative fees | | | 158,967 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 17,871 | |
| A-Class | | | 8,295 | |
| C-Class | | | 111,724 | |
| Portfolio accounting fees | | | 63,586 | |
| Custodian fees | | | 11,145 | |
| Trustees’ fees* | | | 9,695 | |
| Miscellaneous | | | 63,175 | |
| Total expenses | | | 921,358 | |
| Net investment income | | | 89,372 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (2,616,264 | ) |
| Foreign currency | | | 64 | |
| Net realized loss | | | (2,616,200 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 21,484,256 | |
| Foreign currency | | | 12 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 21,484,268 | |
| Net realized and unrealized gain | | | 18,868,068 | |
| Net increase in net assets resulting from operations | | $ | 18,957,440 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 84 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 89,372 | | | $ | (476,552 | ) |
| Net realized gain (loss) on investments | | | (2,616,200 | ) | | | 19,678,661 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 21,484,268 | | | | (67,488,597 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 18,957,440 | | | | (48,286,488 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (342,783 | ) |
| Advisor Class | | | — | | | | (98,439 | ) |
| A-Class | | | — | | | | (29,266 | ) |
| C-Class | | | — | | | | (131,027 | ) |
| Total distributions to shareholders | | | — | | | | (601,515 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 200,643,810 | | | | 423,424,295 | |
| Advisor Class | | | 35,097,999 | | | | 175,221,277 | |
| A-Class | | | 6,556,530 | | | | 16,352,801 | |
| C-Class | | | 32,613,351 | | | | 100,545,119 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 327,275 | |
| Advisor Class | | | — | | | | 98,109 | |
| A-Class | | | — | | | | 26,774 | |
| C-Class | | | — | | | | 127,230 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (155,712,865 | ) | | | (456,983,256 | ) |
| Advisor Class | | | (37,185,718 | ) | | | (188,141,866 | ) |
| A-Class | | | (5,074,106 | ) | | | (21,646,696 | ) |
| C-Class | | | (36,336,393 | ) | | | (105,056,886 | ) |
| Net increase (decrease) from capital share transactions | | | 40,602,608 | | | | (55,705,824 | ) |
| Net increase (decrease) in net assets | | | 59,560,048 | | | | (104,593,827 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 122,191,466 | | | | 226,785,293 | |
| End of period | | $ | 181,751,514 | | | $ | 122,191,466 | |
| Accumulated net investment loss at end of period | | $ | (839,215 | ) | | $ | (928,587 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,300,657 | | | | 5,482,005 | |
| Advisor Class | | | 608,739 | | | | 2,329,104 | |
| A-Class | | | 112,520 | | | | 219,463 | |
| C-Class | | | 601,877 | | | | 1,456,077 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 4,566 | |
| Advisor Class | | | — | | | | 1,425 | |
| A-Class | | | — | | | | 382 | |
| C-Class | | | — | | | | 1,971 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,529,206 | ) | | | (5,909,703 | ) |
| Advisor Class | | | (652,406 | ) | | | (2,541,906 | ) |
| A-Class | | | (87,034 | ) | | | (295,558 | ) |
| C-Class | | | (671,415 | ) | | | (1,512,258 | ) |
| Net increase (decrease) in shares | | | 683,732 | | | | (764,432 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 85 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.73 | | | $ | 86.74 | | | $ | 61.73 | | | $ | 46.36 | | | $ | 69.89 | | | $ | 56.21 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .10 | | | | (.02 | ) | | | (.28 | ) | | | (.44 | ) | | | (.23 | ) | | | (.37 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.47 | | | | (20.70 | ) | | | 25.32 | | | | 15.96 | | | | (23.30 | ) | | | 14.05 | |
| Total from investment operations | | | 5.57 | | | | (20.72 | ) | | | 25.04 | | | | 15.52 | | | | (23.53 | ) | | | 13.68 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.08 | ) | | | — | | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 71.30 | | | $ | 65.73 | | | $ | 86.74 | | | $ | 61.73 | | | $ | 46.36 | | | $ | 69.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 8.47 | % | | | (23.91 | %) | | | 40.57 | % | | | 33.44 | % | | | (33.67 | %) | | | 24.34 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 141,396 | | | $ | 79,637 | | | $ | 141,798 | | | $ | 113,546 | | | $ | 160,759 | | | $ | 149,805 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.34 | % | | | (0.03 | %) | | | (0.37 | %) | | | (0.76 | %) | | | (0.48 | %) | | | (0.58 | %) |
| Total expenses | | | 1.23 | % | | | 1.26 | % | | | 1.28 | % | | | 1.28 | % | | | 1.28 | % | | | 1.27 | % |
| Portfolio turnover rate | | | 86 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % | | | 203 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 63.02 | | | $ | 83.59 | | | $ | 59.79 | | | $ | 45.12 | | | $ | 68.36 | | | $ | 55.24 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.06 | ) | | | (.44 | ) | | | (.61 | ) | | | (.79 | ) | | | (.50 | ) | | | (.69 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.24 | | | | (19.84 | ) | | | 24.44 | | | | 15.61 | | | | (22.74 | ) | | | 13.81 | |
| Total from investment operations | | | 5.18 | | | | (20.28 | ) | | | 23.83 | | | | 14.82 | | | | (23.24 | ) | | | 13.12 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.08 | ) | | | — | | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 68.20 | | | $ | 63.02 | | | $ | 83.59 | | | $ | 59.79 | | | $ | 45.12 | | | $ | 68.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 8.22 | % | | | (24.29 | %) | | | 39.87 | % | | | 32.81 | % | | | (34.00 | %) | | | 23.75 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,422 | | | $ | 9,610 | | | $ | 30,418 | | | $ | 18,677 | | | $ | 12,056 | | | $ | 11,817 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.20 | %) | | | (0.59 | %) | | | (0.86 | %) | | | (1.35 | %) | | | (1.02 | %) | | | (1.09 | %) |
| Total expenses | | | 1.73 | % | | | 1.76 | % | | | 1.78 | % | | | 1.77 | % | | | 1.77 | % | | | 1.77 | % |
| Portfolio turnover rate | | | 86 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % | | | 203 | % |
| 86 | the RYDEX FUNDS SEMI - ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.21 | | | $ | 84.97 | | | $ | 60.63 | | | $ | 45.64 | | | $ | 68.96 | | | $ | 55.59 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .05 | | | | (.22 | ) | | | (.45 | ) | | | (.59 | ) | | | (.36 | ) | | | (.55 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.31 | | | | (20.25 | ) | | | 24.82 | | | | 15.73 | | | | (22.96 | ) | | | 13.92 | |
| Total from investment operations | | | 5.36 | | | | (20.47 | ) | | | 24.37 | | | | 15.14 | | | | (23.32 | ) | | | 13.37 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.08 | ) | | | — | | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 69.57 | | | $ | 64.21 | | | $ | 84.97 | | | $ | 60.63 | | | $ | 45.64 | | | $ | 68.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 8.36 | % | | | (24.13 | %) | | | 40.21 | % | | | 33.14 | % | | | (33.82 | %) | | | 24.05 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,720 | | | $ | 6,412 | | | $ | 14,919 | | | $ | 8,422 | | | $ | 8,484 | | | $ | 10,911 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.16 | % | | | (0.30 | %) | | | (0.63 | %) | | | (1.04 | %) | | | (0.71 | %) | | | (0.84 | %) |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.53 | % | | | 1.52 | % | | | 1.53 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 86 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % | | | 203 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.02 | | | $ | 78.70 | | | $ | 56.58 | | | $ | 42.92 | | | $ | 65.38 | | | $ | 53.12 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.16 | ) | | | (.72 | ) | | | (.94 | ) | | | (.97 | ) | | | (.68 | ) | | | (.97 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.85 | | | | (18.67 | ) | | | 23.09 | | | | 14.78 | | | | (21.78 | ) | | | 13.23 | |
| Total from investment operations | | | 4.69 | | | | (19.39 | ) | | | 22.15 | | | | 13.81 | | | | (22.46 | ) | | | 12.26 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.08 | ) | | | — | | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 63.71 | | | $ | 59.02 | | | $ | 78.70 | | | $ | 56.58 | | | $ | 42.92 | | | $ | 65.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 7.96 | % | | | (24.68 | %) | | | 39.18 | % | | | 32.14 | % | | | (34.35 | %) | | | 23.08 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 24,213 | | | $ | 26,533 | | | $ | 39,650 | | | $ | 23,483 | | | $ | 20,452 | | | $ | 26,319 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.58 | %) | | | (1.04 | %) | | | (1.37 | %) | | | (1.81 | %) | | | (1.43 | %) | | | (1.60 | %) |
| Total expenses | | | 2.23 | % | | | 2.26 | % | | | 2.28 | % | | | 2.28 | % | | | 2.27 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 86 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % | | | 203 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Retailing Fund
“Holdings 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. | | | 4.4 | % |
| Home Depot, Inc. | | | 4.0 | % |
| CVS Caremark Corp. | | | 3.3 | % |
| Costco Wholesale Corp. | | | 2.7 | % |
| Target Corp. | | | 2.6 | % |
| Walgreen Co. | | | 2.5 | % |
| Priceline.com, Inc. | | | 2.5 | % |
| Lowe’s Companies, Inc. | | | 2.4 | % |
| TJX Companies, Inc. | | | 2.4 | % |
| Top Ten Total | | | 33.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 88 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| RETAILING FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 94.4% | | | | | | | | |
| | | | | | | | | |
| Apparel Retail - 19.1% | | | | | | | | |
| TJX Companies, Inc. | | | 14,162 | | | $ | 634,316 | |
| The Gap, Inc. | | | 12,599 | | | | 450,792 | |
| Ross Stores, Inc. | | | 6,430 | | | | 415,378 | |
| Limited Brands, Inc. | | | 8,177 | | | | 402,799 | |
| Urban Outfitters, Inc.* | | | 6,729 | | | | 252,741 | |
| Foot Locker, Inc. | | | 7,033 | | | | 249,672 | |
| American Eagle Outfitters, Inc. | | | 9,990 | | | | 210,589 | |
| Ascena Retail Group, Inc.* | | | 9,306 | | | | 199,614 | |
| DSW, Inc. — Class A | | | 2,865 | | | | 191,153 | |
| Chico’s FAS, Inc. | | | 10,296 | | | | 186,461 | |
| Abercrombie & Fitch Co. — Class A | | | 5,076 | | | | 172,178 | |
| Buckle, Inc. | | | 3,543 | | | | 160,958 | |
| Guess?, Inc. | | | 6,150 | | | | 156,333 | |
| ANN, Inc.* | | | 3,802 | | | | 143,449 | |
| Men’s Wearhouse, Inc. | | | 4,133 | | | | 142,299 | |
| Genesco, Inc.* | | | 2,068 | | | | 137,998 | |
| Children’s Place Retail Stores, Inc.* | | | 2,198 | | | | 131,880 | |
| Francesca’s Holdings Corp.* | | | 4,180 | | | | 128,451 | |
| Collective Brands, Inc.* | | | 5,858 | | | | 127,177 | |
| Jos. A. Bank Clothiers, Inc.* | | | 2,583 | | | | 125,224 | |
| Express, Inc.* | | | 8,030 | | | | 119,005 | |
| Finish Line, Inc. — Class A | | | 5,146 | | | | 117,020 | |
| Aeropostale, Inc.* | | | 8,215 | | | | 111,149 | |
| Zumiez, Inc.* | | | 3,700 | | | | 102,601 | |
| Total Apparel Retail | | | | | | | 5,069,237 | |
| Specialty Stores - 11.0% | | | | | | | | |
| Tiffany & Co. | | | 4,893 | | | | 302,778 | |
| PetSmart, Inc. | | | 4,352 | | | | 300,201 | |
| Staples, Inc. | | | 25,805 | | | | 297,274 | |
| Tractor Supply Co. | | | 2,971 | | | | 293,802 | |
| Dick’s Sporting Goods, Inc. | | | 5,267 | | | | 273,094 | |
| Ulta Salon Cosmetics & Fragrance, Inc. | | | 2,815 | | | | 271,099 | |
| Sally Beauty Holdings, Inc.* | | | 9,016 | | | | 226,211 | |
| GNC Holdings, Inc. — Class A | | | 5,720 | | | | 222,908 | |
| Cabela’s, Inc.* | | | 3,894 | | | | 212,924 | |
| Signet Jewelers Ltd. | | | 3,218 | | | | 156,910 | |
| Vitamin Shoppe, Inc.* | | | 2,480 | | | | 144,634 | |
| Hibbett Sports, Inc.* | | | 2,290 | | | | 136,141 | |
| OfficeMax, Inc. | | | 11,200 | | | | 87,472 | |
| Total Specialty Stores | | | | | | | 2,925,448 | |
| Internet Retail - 10.8% | | | | | | | | |
| Amazon.com, Inc.* | | | 4,597 | | | | 1,169,116 | |
| Priceline.com, Inc.* | | | 1,058 | | | | 654,616 | |
| Expedia, Inc. | | | 5,165 | | | | 298,744 | |
| TripAdvisor, Inc.* | | | 6,975 | | | | 229,687 | |
| Groupon, Inc. — Class A*,1 | | | 45,979 | | | | 218,860 | |
| Netflix, Inc.* | | | 3,351 | | | | 182,428 | |
| Shutterfly, Inc.* | | | 3,590 | | | | 111,721 | |
| Total Internet Retail | | | | | | | 2,865,172 | |
| Hypermarkets & Super Centers - 9.8% | | | | | | | | |
| Wal-Mart Stores, Inc. | | | 23,360 | | | | 1,723,968 | |
| Costco Wholesale Corp. | | | 7,147 | | | | 715,593 | |
| Cia Brasileira de Distribuicao Grupo | | | | | | | | |
| Pao de Acucar ADR | | | 3,380 | | | | 152,472 | |
| Total Hypermarkets & Super Centers | | | | | | | 2,592,033 | |
| Department Stores - 7.5% | | | | | | | | |
| Macy’s, Inc. | | | 11,188 | | | | 420,893 | |
| Kohl’s Corp. | | | 7,339 | | | | 375,904 | |
| Nordstrom, Inc. | | | 6,541 | | | | 360,932 | |
| Sears Holdings Corp.*,1 | | | 4,650 | | | | 258,029 | |
| JC Penney Company, Inc. | | | 10,149 | | | | 246,519 | |
| Dillard’s, Inc. — Class A | | | 2,719 | | | | 196,638 | |
| Saks, Inc.* | | | 12,940 | | | | 133,411 | |
| Total Department Stores | | | | | | | 1,992,326 | |
| General Merchandise Stores - 7.4% | | | | | | | | |
| Target Corp. | | | 11,014 | | | | 699,058 | |
| Dollar General Corp.* | | | 8,757 | | | | 451,336 | |
| Dollar Tree, Inc.* | | | 7,570 | | | | 365,442 | |
| Family Dollar Stores, Inc. | | | 4,700 | | | | 311,610 | |
| Big Lots, Inc.* | | | 4,828 | | | | 142,812 | |
| Total General Merchandise Stores | | | | | | | 1,970,258 | |
| Home Improvement Retail - 6.9% | | | | | | | | |
| Home Depot, Inc. | | | 17,463 | | | | 1,054,242 | |
| Lowe’s Companies, Inc. | | | 21,475 | | | | 649,404 | |
| Lumber Liquidators Holdings, Inc.* | | | 2,490 | | | | 126,193 | |
| Total Home Improvement Retail | | | | | | | 1,829,839 | |
| Automotive Retail - 6.3% | | | | | | | | |
| AutoZone, Inc.* | | | 1,200 | | | | 443,604 | |
| O’Reilly Automotive, Inc.* | | | 4,093 | | | | 342,257 | |
| CarMax, Inc.* | | | 9,657 | | | | 273,293 | |
| AutoNation, Inc.* | | | 5,744 | | | | 250,840 | |
| Advance Auto Parts, Inc. | | | 3,601 | | | | 246,452 | |
| Group 1 Automotive, Inc. | | | 2,137 | | | | 128,712 | |
| Total Automotive Retail | | | | | | | 1,685,158 | |
| Drug Retail - 5.7% | | | | | | | | |
| CVS Caremark Corp. | | | 17,974 | | | | 870,301 | |
| Walgreen Co. | | | 18,056 | | | | 657,961 | |
| Total Drug Retail | | | | | | | 1,528,262 | |
| Homefurnishing Retail - 4.2% | | | | | | | | |
| Bed Bath & Beyond, Inc.* | | | 6,748 | | | | 425,124 | |
| Williams-Sonoma, Inc. | | | 5,198 | | | | 228,556 | |
| Aaron’s, Inc. | | | 5,667 | | | | 157,599 | |
| Pier 1 Imports, Inc. | | | 8,108 | | | | 151,944 | |
| Select Comfort Corp.* | | | 4,447 | | | | 140,303 | |
| Total Homefurnishing Retail | | | | | | | 1,103,526 | |
| Distributors - 2.2% | | | | | | | | |
| Genuine Parts Co. | | | 5,503 | | | | 335,848 | |
| LKQ Corp.* | | | 13,720 | | | | 253,820 | |
| Total Distributors | | | | | | | 589,668 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI - ANNUAL REPORT | 89 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| RETAILING FUND | |
| | | Shares | | | Value | |
| Computer & Electronics Retail - 2.2% | | | | | | | | |
| Best Buy Company, Inc. | | | 15,125 | | | $ | 259,999 | |
| GameStop Corp. — Class A1 | | | 8,055 | | | | 169,155 | |
| Rent-A-Center, Inc. — Class A | | | 4,356 | | | | 152,808 | |
| Total Computer & Electronics Retail | | | | | | | 581,962 | |
| Catalog Retail - 1.3% | | | | | | | | |
| Liberty Interactive Corp. — Class A* | | | 18,613 | | | | 344,341 | |
| Total Common Stocks | | | | | | | | |
| (Cost $17,914,320) | | | | | | | 25,077,230 | |
| RIGHTS† - 0.0% | | | | | | | | |
| Liberty Ventures | | | | | | | | |
| Expires 08/09/13* | | | 358 | | | | 4,847 | |
| Total Rights | | | | | | | | |
| (Cost $–) | | | | | | | 4,847 | |
| | | Face
Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.4% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 99,979 | | | | 99,979 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $99,979) | | | | | | | 99,979 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.3% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 176,324 | | | | 176,324 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 173,526 | | | | 173,526 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $349,850) | | | | | | | 349,850 | |
| Total Investments - 96.1% | | | | | | | | |
| (Cost $18,364,149) | | | | | | $ | 25,531,906 | |
| Other Assets & Liabilities, net - 3.9% | | | | | | | 1,046,877 | |
| Total Net Assets - 100.0% | | | | | | $ | 26,578,783 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
| | ADR — American Depositary Receipt |
| 90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value - including $335,975 of | | | | |
| securities loaned | | | | |
| (cost $18,264,170) | | $ | 25,431,927 | |
| Repurchase agreements, at value | | | | |
| (cost $99,979) | | | 99,979 | |
| Total investments | | | | |
| (cost $18,364,149) | | | 25,531,906 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,721,196 | |
| Dividends | | | 31,514 | |
| Investment advisor | | | 3,088 | |
| Interest | | | 21 | |
| Total assets | | | 27,287,725 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 349,850 | |
| Fund shares redeemed | | | 322,183 | |
| Management fees | | | 16,337 | |
| Transfer agent and administrative fees | | | 4,805 | |
| Distribution and service fees | | | 2,740 | |
| Portfolio accounting fees | | | 1,922 | |
| Miscellaneous | | | 11,105 | |
| Total liabilities | | | 708,942 | |
| Net assets | | $ | 26,578,783 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 27,507,764 | |
| Accumulated net investment loss | | | (26,623 | ) |
| Accumulated net realized loss on investments | | | (8,070,115 | ) |
| Net unrealized appreciation on investments | | | 7,167,757 | |
| Net assets | | $ | 26,578,783 | |
| Investor Class: | | | | |
| Net assets | | $ | 18,656,083 | |
| Capital shares outstanding | | | 1,035,781 | |
| Net asset value per share | | $ | 18.01 | |
| Advisor Class: | | | | |
| Net assets | | $ | 2,350,640 | |
| Capital shares outstanding | | | 138,526 | |
| Net asset value per share | | $ | 16.97 | |
| A-Class: | | | | |
| Net assets | | $ | 3,441,967 | |
| Capital shares outstanding | | | 199,279 | |
| Net asset value per share | | $ | 17.27 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.13 | |
| C-Class: | | | | |
| Net assets | | $ | 2,130,093 | |
| Capital shares outstanding | | | 132,760 | |
| Net asset value per share | | $ | 16.04 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $141) | | $ | 223,744 | |
| Interest | | | 65 | |
| Income from securities lending, net | | | 20 | |
| Total investment income | | | 223,829 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 134,854 | |
| Transfer agent and administrative fees | | | 39,663 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 4,872 | |
| A-Class | | | 5,329 | |
| C-Class | | | 10,032 | |
| Portfolio accounting fees | | | 15,865 | |
| Custodian fees | | | 2,976 | |
| Trustees’ fees* | | | 1,263 | |
| Miscellaneous | | | 16,731 | |
| Total expenses | | | 231,585 | |
| Net investment loss | | | (7,756 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (615,832 | ) |
| Net realized loss | | | (615,832 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 498,662 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 498,662 | |
| Net realized and unrealized loss | | | (117,170 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (124,926 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI - ANNUAL REPORT | 91 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (7,756 | ) | | $ | (32,136 | ) |
| Net realized loss on investments | | | (615,832 | ) | | | (1,736,442 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 498,662 | | | | 4,064,079 | |
| Net increase (decrease) in net assets resulting from operations | | | (124,926 | ) | | | 2,295,501 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (10,261 | ) |
| Advisor Class | | | — | | | | (2,123 | ) |
| A-Class | | | — | | | | (918 | ) |
| C-Class | | | — | | | | (2,740 | ) |
| Total distributions to shareholders | | | — | | | | (16,042 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 64,541,949 | | | | 154,522,734 | |
| Advisor Class | | | 15,317,314 | | | | 41,989,998 | |
| A-Class | | | 5,277,967 | | | | 6,468,017 | |
| C-Class | | | 16,495,809 | | | | 42,900,385 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 9,550 | |
| Advisor Class | | | — | | | | 2,100 | |
| A-Class | | | — | | | | 708 | |
| C-Class | | | — | | | | 1,782 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (80,562,430 | ) | | | (124,920,412 | ) |
| Advisor Class | | | (16,812,497 | ) | | | (39,872,121 | ) |
| A-Class | | | (7,565,109 | ) | | | (1,518,199 | ) |
| C-Class | | | (17,070,615 | ) | | | (43,364,257 | ) |
| Net increase (decrease) from capital share transactions | | | (20,377,612 | ) | | | 36,220,285 | |
| Net increase (decrease) in net assets | | | (20,502,538 | ) | | | 38,499,744 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 47,081,321 | | | | 8,581,577 | |
| End of period | | $ | 26,578,783 | | | $ | 47,081,321 | |
| Accumulated net investment loss at end of period | | $ | (26,623 | ) | | $ | (18,867 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,754,574 | | | | 10,008,491 | |
| Advisor Class | | | 934,706 | | | | 2,942,412 | |
| A-Class | | | 319,182 | | | | 406,397 | |
| C-Class | | | 1,073,034 | | | | 3,163,632 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 653 | |
| Advisor Class | | | — | | | | 152 | |
| A-Class | | | — | | | | 50 | |
| C-Class | | | — | | | | 136 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (4,713,015 | ) | | | (8,272,567 | ) |
| Advisor Class | | | (1,038,054 | ) | | | (2,814,468 | ) |
| A-Class | | | (459,678 | ) | | | (103,243 | ) |
| C-Class | | | (1,106,868 | ) | | | (3,201,016 | ) |
| Net increase (decrease) in shares | | | (1,236,119 | ) | | | 2,130,629 | |
| 92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.45 | | | $ | 14.66 | | | $ | 12.75 | | | $ | 8.58 | | | $ | 11.54 | | | $ | 14.47 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .01 | | | | .01 | | | | .05 | | | | .03 | | | | (.01 | ) | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .55 | | | | 2.79 | | | | 1.89 | | | | 4.14 | | | | (2.95 | ) | | | (2.89 | ) |
| Total from investment operations | | | .56 | | | | 2.80 | | | | 1.94 | | | | 4.17 | | | | (2.96 | ) | | | (2.93 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 18.01 | | | $ | 17.45 | | | $ | 14.66 | | | $ | 12.75 | | | $ | 8.58 | | | $ | 11.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 3.21 | % | | | 19.14 | % | | | 15.20 | % | | | 48.60 | % | | | (25.65 | %) | | | (20.25 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 18,656 | | | $ | 34,802 | | | $ | 3,776 | | | $ | 12,060 | | | $ | 84,894 | | | $ | 3,152 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.11 | % | | | 0.04 | % | | | 0.34 | % | | | 0.28 | % | | | (0.14 | %) | | | (0.27 | %) |
| Total expenses | | | 1.33 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.32 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 185 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % | | | 1,205 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.45 | | | $ | 13.91 | | | $ | 12.14 | | | $ | 8.20 | | | $ | 11.10 | | | $ | 13.97 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.04 | ) | | | (.09 | ) | | | (.07 | ) | | | (.06 | ) | | | (.02 | ) | | | (.12 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .56 | | | | 2.64 | | | | 1.87 | | | | 4.00 | | | | (2.88 | ) | | | (2.75 | ) |
| Total from investment operations | | | .52 | | | | 2.55 | | | | 1.80 | | | | 3.94 | | | | (2.90 | ) | | | (2.87 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 16.97 | | | $ | 16.45 | | | $ | 13.91 | | | $ | 12.14 | | | $ | 8.20 | | | $ | 11.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 3.16 | % | | | 18.38 | % | | | 14.81 | % | | | 48.05 | % | | | (26.13 | %) | | | (20.54 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,351 | | | $ | 3,979 | | | $ | 1,583 | | | $ | 2,350 | | | $ | 901 | | | $ | 800 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.47 | %) | | | (0.66 | %) | | | (0.58 | %) | | | (0.57 | %) | | | (0.26 | %) | | | (0.89 | %) |
| Total expenses | | | 1.83 | % | | | 1.84 | % | | | 1.89 | % | | | 1.87 | % | | | 1.88 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 185 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % | | | 1,205 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.77 | | | $ | 14.14 | | | $ | 12.31 | | | $ | 8.30 | | | $ | 11.18 | | | $ | 14.04 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.02 | ) | | | (.03 | ) | | | .18 | | | | (.01 | ) | | | (.02 | ) | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .52 | | | | 2.67 | | | | 1.68 | | | | 4.02 | | | | (2.86 | ) | | | (2.76 | ) |
| Total from investment operations | | | .50 | | | | 2.64 | | | | 1.86 | | | | 4.01 | | | | (2.88 | ) | | | (2.86 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 17.27 | | | $ | 16.77 | | | $ | 14.14 | | | $ | 12.31 | | | $ | 8.30 | | | $ | 11.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.98 | % | | | 18.71 | % | | | 15.09 | % | | | 48.31 | % | | | (25.76 | %) | | | (20.37 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,442 | | | $ | 5,697 | | | $ | 517 | | | $ | 395 | | | $ | 49 | | | $ | 101 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.30 | %) | | | (0.18 | %) | | | 1.42 | % | | | (0.12 | %) | | | (0.17 | %) | | | (0.73 | %) |
| Total expenses | | | 1.58 | % | | | 1.58 | % | | | 1.64 | % | | | 1.62 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 185 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % | | | 1,205 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.62 | | | $ | 13.27 | | | $ | 11.65 | | | $ | 7.92 | | | $ | 10.76 | | | $ | 13.62 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.07 | ) | | | (.13 | ) | | | (.11 | ) | | | (.10 | ) | | | (.07 | ) | | | (.17 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .49 | | | | 2.49 | | | | 1.76 | | | | 3.83 | | | | (2.77 | ) | | | (2.69 | ) |
| Total from investment operations | | | .42 | | | | 2.36 | | | | 1.65 | | | | 3.73 | | | | (2.84 | ) | | | (2.86 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 16.04 | | | $ | 15.62 | | | $ | 13.27 | | | $ | 11.65 | | | $ | 7.92 | | | $ | 10.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 2.75 | % | | | 17.83 | % | | | 14.14 | % | | | 47.10 | % | | | (26.39 | %) | | | (21.00 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,130 | | | $ | 2,603 | | | $ | 2,705 | | | $ | 1,709 | | | $ | 1,008 | | | $ | 1,291 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.92 | %) | | | (0.96 | %) | | | (0.96 | %) | | | (1.08 | %) | | | (0.76 | %) | | | (1.36 | %) |
| Total expenses | | | 2.33 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 185 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % | | | 1,205 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Technology Fund
“Holdings 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. | | | 5.5 | % |
| Google, Inc. — Class A | | | 3.6 | % |
| International Business Machines Corp. | | | 3.5 | % |
| Microsoft Corp. | | | 3.5 | % |
| Oracle Corp. | | | 2.7 | % |
| Intel Corp. | | | 2.4 | % |
| QUALCOMM, Inc. | | | 2.3 | % |
| Cisco Systems, Inc. | | | 2.3 | % |
| Visa, Inc. — Class A | | | 2.1 | % |
| eBay, Inc. | | | 1.8 | % |
| Top Ten Total | | | 29.7 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| THE RYDEX FUNDS SEMI - ANNUAL REPORT | 95 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| TECHNOLOGY FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 96.1% | | | | | | | | |
| | | | | | | | | |
| Semiconductors - 15.7% | | | | | | | | |
| Intel Corp. | | | 16,854 | | | $ | 382,249 | |
| Texas Instruments, Inc. | | | 7,136 | | | | 196,597 | |
| Taiwan Semiconductor Manufacturing | | | | | | | | |
| Company Ltd. ADR | | | 10,668 | | | | 168,768 | |
| Broadcom Corp. — Class A | | | 4,472 | | | | 154,642 | |
| Avago Technologies Ltd. | | | 4,372 | | | | 152,430 | |
| ARM Holdings plc ADR | | | 5,312 | | | | 148,630 | |
| Mellanox Technologies Ltd.* | | | 1,420 | | | | 144,173 | |
| Marvell Technology Group Ltd. | | | 15,322 | | | | 140,196 | |
| Analog Devices, Inc. | | | 3,090 | | | | 121,097 | |
| Altera Corp. | | | 3,366 | | | | 114,394 | |
| Xilinx, Inc. | | | 3,118 | | | | 104,172 | |
| NVIDIA Corp.* | | | 7,684 | | | | 102,505 | |
| Maxim Integrated Products, Inc. | | | 3,752 | | | | 99,878 | |
| Linear Technology Corp. | | | 3,040 | | | | 96,824 | |
| Microchip Technology, Inc. | | | 2,737 | | | | 89,609 | |
| Micron Technology, Inc.* | | | 14,445 | | | | 86,453 | |
| Skyworks Solutions, Inc.* | | | 3,018 | | | | 71,119 | |
| LSI Corp.* | | | 9,760 | | | | 67,442 | |
| Cirrus Logic, Inc.* | | | 1,390 | | | | 53,362 | |
| First Solar, Inc.* | | | 2,290 | | | | 50,712 | |
| Total Semiconductors | | | | | | | 2,545,252 | |
| Internet Software & Services - 13.8% | | | | | | | | |
| Google, Inc. — Class A* | | | 761 | | | | 574,174 | |
| eBay, Inc.* | | | 5,835 | | | | 282,472 | |
| Facebook, Inc. — Class A* | | | 11,720 | | | | 253,738 | |
| Baidu, Inc. ADR* | | | 1,702 | | | | 198,828 | |
| Yahoo!, Inc.* | | | 9,972 | | | | 159,303 | |
| SINA Corp.* | | | 2,390 | | | | 154,585 | |
| LinkedIn Corp. — Class A* | | | 1,061 | | | | 127,744 | |
| Equinix, Inc.* | | | 560 | | | | 115,388 | |
| Rackspace Hosting, Inc.* | | | 1,630 | | | | 107,727 | |
| VeriSign, Inc.* | | | 2,072 | | | | 100,886 | |
| Akamai Technologies, Inc.* | | | 2,435 | | | | 93,163 | |
| AOL, Inc.* | | | 1,900 | | | | 66,937 | |
| Total Internet Software & Services | | | | | | | 2,234,945 | |
| Systems Software - 11.4% | | | | | | | | |
| Microsoft Corp. | | | 18,690 | | | | 556,589 | |
| Oracle Corp. | | | 13,895 | | | | 437,554 | |
| VMware, Inc. — Class A* | | | 2,346 | | | | 226,952 | |
| Check Point Software Technologies Ltd.* | | | 3,190 | | | | 153,630 | |
| Symantec Corp.* | | | 6,960 | | | | 125,280 | |
| CA, Inc. | | | 4,762 | | | | 122,693 | |
| Red Hat, Inc.* | | | 2,077 | | | | 118,264 | |
| BMC Software, Inc.* | | | 2,207 | | | | 91,568 | |
| Total Systems Software | | | | | | | 1,832,530 | |
| Communications Equipment - 9.7% | | | | | | | | |
| QUALCOMM, Inc. | | | 5,872 | | | | 366,941 | |
| Cisco Systems, Inc. | | | 19,053 | | | | 363,722 | |
| Research In Motion Ltd.* | | | 23,373 | | | | 175,298 | |
| Motorola Solutions, Inc. | | | 2,670 | | | | 134,969 | |
| Juniper Networks, Inc.* | | | 6,060 | | | | 103,687 | |
| F5 Networks, Inc.* | | | 972 | | | | 101,768 | |
| Harris Corp. | | | 1,692 | | | | 86,664 | |
| Riverbed Technology, Inc.* | | | 2,980 | | | | 69,345 | |
| JDS Uniphase Corp.* | | | 4,780 | | | | 59,200 | |
| Aruba Networks, Inc.* | | | 2,570 | | | | 57,786 | |
| Ciena Corp.* | | | 3,020 | | | | 41,072 | |
| Total Communications Equipment | | | | | | | 1,560,452 | |
| Data Processing & Outsourced Services - 9.3% | | | | | | | | |
| Visa, Inc. — Class A | | | 2,556 | | | | 343,220 | |
| Mastercard, Inc. — Class A | �� | | 589 | | | | 265,922 | |
| Automatic Data Processing, Inc. | | | 3,295 | | | | 193,285 | |
| Paychex, Inc. | | | 3,703 | | | | 123,273 | |
| Western Union Co. | | | 6,484 | | | | 118,138 | |
| Fiserv, Inc.* | | | 1,548 | | | | 114,598 | |
| Fidelity National Information Services, Inc. | | | 3,464 | | | | 108,146 | |
| Alliance Data Systems Corp.* | | | 697 | | | | 98,939 | |
| Computer Sciences Corp. | | | 2,476 | | | | 79,752 | |
| VeriFone Systems, Inc.* | | | 2,110 | | | | 58,764 | |
| Total Data Processing & Outsourced Services | | | | | | | 1,504,037 | |
| Computer Hardware - 7.7% | | | | | | | | |
| Apple, Inc. | | | 1,326 | | | | 884,786 | |
| Hewlett-Packard Co. | | | 12,099 | | | | 206,409 | |
| Dell, Inc. | | | 14,717 | | | | 145,110 | |
| Total Computer Hardware | | | | | | | 1,236,305 | |
| IT Consulting & Other Services - 7.4% | | | | | | | | |
| International Business Machines Corp. | | | 2,688 | | | | 557,626 | |
| Accenture plc — Class A | | | 2,607 | | | | 182,568 | |
| Cognizant Technology Solutions Corp. — | | | | | | | | |
| Class A* | | | 2,370 | | | | 165,710 | |
| Infosys Ltd. ADR | | | 3,152 | | | | 152,998 | |
| Teradata Corp.* | | | 1,685 | | | | 127,066 | |
| Total IT Consulting & Other Services | | | | | | | 1,185,968 | |
| Application Software - 7.1% | | | | | | | | |
| Salesforce.com, Inc.* | | | 1,081 | | | | 165,057 | |
| Intuit, Inc. | | | 2,570 | | | | 151,322 | |
| SAP AG ADR | | | 2,028 | | | | 144,657 | |
| Adobe Systems, Inc.* | | | 4,398 | | | | 142,759 | |
| Citrix Systems, Inc.* | | | 1,721 | | | | 131,777 | |
| Autodesk, Inc.* | | | 2,988 | | | | 99,710 | |
| Nuance Communications, Inc.* | | | 3,990 | | | | 99,311 | |
| TIBCO Software, Inc.* | | | 2,560 | | | | 77,389 | |
| SolarWinds, Inc.* | | | 1,270 | | | | 70,790 | |
| Informatica Corp.* | | | 1,958 | | | | 68,158 | |
| Total Application Software | | | | | | | 1,150,930 | |
| 96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| TECHNOLOGY FUND | |
| | | Shares | | | Value | |
| Computer Storage & Peripherals - 5.3% | | | | | | | | |
| EMC Corp.* | | | 9,855 | | | $ | 268,746 | |
| Seagate Technology plc | | | 5,893 | | | | 182,683 | |
| NetApp, Inc.* | | | 3,639 | | | | 119,650 | |
| SanDisk Corp.* | | | 2,603 | | | | 113,048 | |
| Western Digital Corp. | | | 2,862 | | | | 110,845 | |
| Fusion-io, Inc.* | | | 2,010 | | | | 60,843 | |
| Total Computer Storage & Peripherals | | | | | | | 855,815 | |
| Semiconductor Equipment - 3.3% | | | | | | | | |
| ASML Holding N.V. | | | 2,769 | | | | 148,640 | |
| Applied Materials, Inc. | | | 11,835 | | | | 132,138 | |
| KLA-Tencor Corp. | | | 2,138 | | | | 101,993 | |
| Lam Research Corp.* | | | 2,694 | | | | 85,629 | |
| Teradyne, Inc.* | | | 4,073 | | | | 57,918 | |
| Total Semiconductor Equipment | | | | | | | 526,318 | |
| Electronic Manufacturing Services - 1.8% | | | | | | | | |
| TE Connectivity Ltd. | | | 4,207 | | | | 143,080 | |
| Trimble Navigation Ltd.* | | | 1,820 | | | | 86,741 | |
| Jabil Circuit, Inc. | | | 3,530 | | | | 66,082 | |
| Total Electronic Manufacturing Services | | | | | | | 295,903 | |
| Electronic Components - 1.7% | | | | | | | | |
| Corning, Inc. | | | 12,060 | | | | 158,589 | |
| Amphenol Corp. — Class A | | | 1,831 | | | | 107,809 | |
| Total Electronic Components | | | | | | | 266,398 | |
| Home Entertainment Software - 1.2% | | | | | | | | |
| Activision Blizzard, Inc. | | | 10,986 | | | | 123,922 | |
| Electronic Arts, Inc.* | | | 5,625 | | | | 71,381 | |
| Total Home Entertainment Software | | | | | | | 195,303 | |
| Office Electronics - 0.7% | | | | | | | | |
| Xerox Corp. | | | 14,830 | | | | 108,852 | |
| Total Common Stocks | | | | | | | | |
| (Cost $8,397,286) | | | | | | | 15,499,008 | |
| | | Face
Amount | | | | |
| REPURCHASE AGREEMENT††,1 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 95,191 | | | | 95,191 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $95,191) | | | | | | | 95,191 | |
| Total Investments - 96.7% | | | | | | | | |
| (Cost $8,492,477) | | | | | | $ | 15,594,199 | |
| Other Assets & Liabilities, net - 3.3% | | | | | | | 533,942 | |
| Total Net Assets - 100.0% | | | | | | $ | 16,128,141 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreement — See Note 5. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI - ANNUAL REPORT | 97 |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
| September 30, 2012 |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $8,397,286) | | $ | 15,499,008 | |
| Repurchase agreements, at value | | | | |
| (cost $95,191) | | | 95,191 | |
| Total investments | | | | |
| (cost $8,492,477) | | | 15,594,199 | |
| Receivables: | | | | |
| Fund shares sold | | | 688,067 | |
| Dividends | | | 9,567 | |
| Total assets | | | 16,291,833 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 142,164 | |
| Management fees | | | 10,289 | |
| Transfer agent and administrative fees | | | 3,026 | |
| Distribution and service fees | | | 2,252 | |
| Portfolio accounting fees | | | 1,210 | |
| Miscellaneous | | | 4,751 | |
| Total liabilities | | | 163,692 | |
| Net assets | | $ | 16,128,141 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 26,545,966 | |
| Accumulated net investment loss | | | (109,434 | ) |
| Accumulated net realized loss on investments | | | (17,410,113 | ) |
| Net unrealized appreciation on investments | | | 7,101,722 | |
| Net assets | | $ | 16,128,141 | |
| Investor Class: | | | | |
| Net assets | | $ | 11,298,045 | |
| Capital shares outstanding | | | 833,429 | |
| Net asset value per share | | $ | 13.56 | |
| Advisor Class: | | | | |
| Net assets | | $ | 1,445,727 | |
| Capital shares outstanding | | | 114,087 | |
| Net asset value per share | | $ | 12.67 | |
| A-Class: | | | | |
| Net assets | | $ | 1,456,745 | |
| Capital shares outstanding | | | 113,293 | |
| Net asset value per share | | $ | 12.86 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.50 | |
| C-Class: | | | | |
| Net assets | | $ | 1,927,624 | |
| Capital shares outstanding | | | 158,672 | |
| Net asset value per share | | $ | 12.15 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
| Period Ended September 30, 2012 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,312) | | $ | 103,033 | |
| Interest | | | 36 | |
| Total investment income | | | 103,069 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 71,914 | |
| Transfer agent and administrative fees | | | 21,151 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 4,042 | |
| A-Class | | | 2,598 | |
| C- Class | | | 9,554 | |
| Portfolio accounting fees | | | 8,460 | |
| Registration fees | | | 6,911 | |
| Custodian fees | | | 2,532 | |
| Trustees’ fees * | | | 1,646 | |
| Miscellaneous | | | 792 | |
| Total expenses | | | 129,600 | |
| Net investment loss | | | (26,531 | ) |
| | | | | |
| Net Realized and Unrealized Gain (loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,427,807 | |
| Net realized gain | | | 1,427,807 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (2,738,163 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (2,738,163 | ) |
| Net realized and unrealized loss | | | (1,310,356 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (1,336,887 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (26,531 | ) | | $ | (104,258 | ) |
| Net realized gain on investments | | | 1,427,807 | | | | 1,250,892 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,738,163 | ) | | | (2,397,822 | ) |
| Net decrease in net assets resulting from operations | | | (1,336,887 | ) | | | (1,251,188 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 21,620,709 | | | | 108,582,687 | |
| Advisor Class | | | 306,173 | | | | 8,173,636 | |
| A-Class | | | 1,262,556 | | | | 7,857,718 | |
| C-Class | | | 13,387,043 | | | | 60,684,739 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (29,435,992 | ) | | | (122,517,037 | ) |
| Advisor Class | | | (1,071,219 | ) | | | (12,349,402 | ) |
| A-Class | | | (7,048,361 | ) | | | (2,487,350 | ) |
| C-Class | | | (14,012,095 | ) | | | (60,553,860 | ) |
| Net decrease from capital share transactions | | | (14,991,186 | ) | | | (12,608,869 | ) |
| Net decrease in net assets | | | (16,328,073 | ) | | | (13,860,057 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 32,456,214 | | | | 46,316,271 | |
| End of period | | $ | 16,128,141 | | | $ | 32,456,214 | |
| Accumulated net investment loss at end of period | | $ | (109,434 | ) | | $ | (82,903 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,614,696 | | | | 8,083,995 | |
| Advisor Class | | | 24,157 | | | | 672,443 | |
| A-Class | | | 103,896 | | | | 613,241 | |
| C-Class | | | 1,138,837 | | | | 5,174,420 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,178,193 | ) | | | (9,227,976 | ) |
| Advisor Class | | | (86,180 | ) | | | (996,290 | ) |
| A-Class | | | (532,736 | ) | | | (201,069 | ) |
| C-Class | | | (1,193,105 | ) | | | (5,167,807 | ) |
| Net decrease in shares | | | (1,108,628 | ) | | | (1,049,043 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI - ANNUAL REPORT | 99 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.31 | | | $ | 13.94 | | | $ | 12.03 | | | $ | 7.70 | | | $ | 11.77 | | | $ | 12.53 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.01 | ) | | | (.01 | ) | | | (.06 | ) | | | (.05 | ) | | | (.03 | ) | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.74 | ) | | | .38 | | | | 1.97 | | | | 4.38 | | | | (4.04 | ) | | | (.66 | ) |
| Total from investment operations | | | (.75 | ) | | | .37 | | | | 1.91 | | | | 4.33 | | | | (4.07 | ) | | | (.76 | ) |
| Net asset value, end of period | | $ | 13.56 | | | $ | 14.31 | | | $ | 13.94 | | | $ | 12.03 | | | $ | 7.70 | | | $ | 11.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.24 | %) | | | 2.65 | % | | | 15.88 | % | | | 56.23 | % | | | (34.58 | %) | | | (6.07 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,298 | | | $ | 19,985 | | | $ | 35,408 | | | $ | 37,391 | | | $ | 11,601 | | | $ | 9,916 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.12 | %) | | | (0.10 | %) | | | (0.48 | %) | | | (0.52 | %) | | | (0.29 | %) | | | (0.72 | %) |
| Total expenses | | | 1.34 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 149 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % | | | 694 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.41 | | | $ | 13.13 | | | $ | 11.39 | | | $ | 7.32 | | | $ | 11.27 | | | $ | 12.05 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.03 | ) | | | (.11 | ) | | | (.11 | ) | | | (.11 | ) | | | (.05 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.71 | ) | | | .39 | | | | 1.85 | | | | 4.18 | | | | (3.90 | ) | | | (.63 | ) |
| Total from investment operations | | | (.74 | ) | | | .28 | | | | 1.74 | | | | 4.07 | | | | (3.95 | ) | | | (.78 | ) |
| Net asset value, end of period | | $ | 12.67 | | | $ | 13.41 | | | $ | 13.13 | | | $ | 11.39 | | | $ | 7.32 | | | $ | 11.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.52 | %) | | | 2.13 | % | | | 15.28 | % | | | 55.60 | % | | | (35.05 | %) | | | (6.47 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,446 | | | $ | 2,361 | | | $ | 6,565 | | | $ | 17,969 | | | $ | 1,914 | | | $ | 2,077 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.53 | %) | | | (0.87 | %) | | | (0.94 | %) | | | (1.04 | %) | | | (0.53 | %) | | | (1.16 | %) |
| Total expenses | | | 1.85 | % | | | 1.85 | % | | | 1.88 | % | | | 1.87 | % | | | 1.87 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 149 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % | | | 694 | % |
| 100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.59 | | | $ | 13.28 | | | $ | 11.49 | | | $ | 7.37 | | | $ | 11.32 | | | $ | 12.09 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.03 | ) | | | (.10 | ) | | | (.09 | ) | | | (.08 | ) | | | (.04 | ) | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.70 | ) | | | .41 | | | | 1.88 | | | | 4.20 | | | | (3.91 | ) | | | (.66 | ) |
| Total from investment operations | | | (.73 | ) | | | .31 | | | | 1.79 | | | | 4.12 | | | | (3.95 | ) | | | (.77 | ) |
| Net asset value, end of period | | $ | 12.86 | | | $ | 13.59 | | | $ | 13.28 | | | $ | 11.49 | | | $ | 7.37 | | | $ | 11.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.37 | %) | | | 2.33 | % | | | 15.58 | % | | | 55.90 | % | | | (34.89 | %) | | | (6.37 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,457 | | | $ | 7,367 | | | $ | 1,725 | | | $ | 3,936 | | | $ | 1,669 | | | $ | 546 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.51 | %) | | | (0.76 | %) | | | (0.73 | %) | | | (0.78 | %) | | | (0.41 | %) | | | (0.86 | %) |
| Total expenses | | | 1.58 | % | | | 1.59 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % |
| Portfolio turnover rate | | | 149 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % | | | 694 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.88 | | | $ | 12.69 | | | $ | 11.05 | | | $ | 7.14 | | | $ | 11.04 | | | $ | 11.87 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.06 | ) | | | (.17 | ) | | | (.17 | ) | | | (.14 | ) | | | (.12 | ) | | | (.21 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.67 | ) | | | .36 | | | | 1.81 | | | | 4.05 | | | | (3.78 | ) | | | (.62 | ) |
| Total from investment operations | | | (.73 | ) | | | .19 | | | | 1.64 | | | | 3.91 | | | | (3.90 | ) | | | (.83 | ) |
| Net asset value, end of period | | $ | 12.15 | | | $ | 12.88 | | | $ | 12.69 | | | $ | 11.05 | | | $ | 7.14 | | | $ | 11.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.67 | %) | | | 1.50 | % | | | 14.84 | % | | | 54.76 | % | | | (35.33 | %) | | | (6.99 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,928 | | | $ | 2,743 | | | $ | 2,618 | | | $ | 3,719 | | | $ | 1,335 | | | $ | 2,448 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.04 | %) | | | (1.45 | %) | | | (1.53 | %) | | | (1.49 | %) | | | (1.24 | %) | | | (1.67 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % |
| Portfolio turnover rate | | | 149 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % | | | 694 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment loss per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Telecommunications Fund
“Holdings 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. | | | 10.9 | % |
| Verizon Communications, Inc. | | | 8.5 | % |
| QUALCOMM, Inc. | | | 7.6 | % |
| Cisco Systems, Inc. | | | 7.5 | % |
| CenturyLink, Inc. | | | 3.7 | % |
| Crown Castle International Corp. | | | 3.2 | % |
| Sprint Nextel Corp. | | | 3.0 | % |
| Motorola Solutions, Inc. | | | 2.8 | % |
| America Movil SAB de CV ADR | | | 2.2 | % |
| Vodafone Group plc ADR | | | 2.2 | % |
| Top Ten Total | | | 51.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| TELECOMMUNICATIONS FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 98.9% | | | | | | | | |
| | | | | | | | | |
| Communications Equipment - 41.1% | | | | | | | | |
| QUALCOMM, Inc. | | | 7,553 | | | $ | 471,987 | |
| Cisco Systems, Inc. | | | 24,499 | | | | 467,686 | |
| Motorola Solutions, Inc. | | | 3,433 | | | | 173,538 | |
| Juniper Networks, Inc.* | | | 7,789 | | | | 133,270 | |
| F5 Networks, Inc.* | | | 1,250 | | | | 130,875 | |
| Research In Motion Ltd.* | | | 15,494 | | | | 116,205 | |
| Harris Corp. | | | 2,177 | | | | 111,506 | |
| Palo Alto Networks, Inc.* | | | 1,512 | | | | 93,094 | |
| Riverbed Technology, Inc.* | | | 3,836 | | | | 89,264 | |
| JDS Uniphase Corp.* | | | 6,138 | | | | 76,019 | |
| Brocade Communications | | | | | | | | |
| Systems, Inc.* | | | 12,633 | | | | 74,724 | |
| Aruba Networks, Inc.* | | | 3,313 | | | | 74,493 | |
| Telefonaktiebolaget LM Ericsson — | | | | | | | | |
| Class B ADR | | | 7,588 | | | | 69,278 | |
| InterDigital, Inc. | | | 1,635 | | | | 60,953 | |
| ViaSat, Inc.* | | | 1,569 | | | | 58,649 | |
| Polycom, Inc.* | | | 5,724 | | | | 56,496 | |
| NETGEAR, Inc.* | | | 1,452 | | | | 55,379 | |
| Arris Group, Inc.* | | | 4,219 | | | | 53,961 | |
| Ciena Corp.* | | | 3,882 | | | | 52,795 | |
| Acme Packet, Inc.* | | | 2,858 | | | | 48,872 | |
| Finisar Corp.* | | | 3,375 | | | | 48,263 | |
| ADTRAN, Inc. | | | 2,626 | | | | 45,377 | |
| Total Communications Equipment | | | | | | | 2,562,684 | |
| Integrated Telecommunication Services - 32.6% | | | | | | | | |
| AT&T, Inc. | | | 18,064 | | | | 681,013 | |
| Verizon Communications, Inc. | | | 11,655 | | | | 531,118 | |
| CenturyLink, Inc. | | | 5,660 | | | | 228,664 | |
| Windstream Corp.1 | | | 10,749 | | | | 108,672 | |
| Telefonica Brasil S.A. ADR | | | 3,393 | | | | 73,764 | |
| Telefonica S.A. ADR | | | 4,839 | | | | 64,262 | |
| BCE, Inc. | | | 1,436 | | | | 63,098 | |
| China Unicom Hong Kong Ltd. ADR | | | 3,809 | | | | 62,125 | |
| KT Corp. ADR | | | 3,796 | | | | 59,369 | |
| France Telecom S.A. ADR | | | 4,784 | | | | 58,460 | |
| Telekomunikasi Indonesia | | | | | | | | |
| Persero Tbk PT ADR | | | 1,355 | | | | 52,750 | |
| Cincinnati Bell, Inc.* | | | 8,800 | | | | 50,160 | |
| Total Integrated Telecommunication Services | | | | | | | 2,033,455 | |
| Wireless Telecommunication Services - 22.1% | | | | | | | | |
| Crown Castle International Corp.* | | | 3,093 | | | | 198,262 | |
| Sprint Nextel Corp.* | | | 34,320 | | | | 189,446 | |
| America Movil SAB de CV ADR | | | 5,457 | | | | 138,826 | |
| Vodafone Group plc ADR | | | 4,780 | | | | 136,206 | |
| SBA Communications Corp. — Class A* | | | 2,074 | | | | 130,455 | |
| MetroPCS Communications, Inc.* | | | 7,753 | | | | 90,788 | |
| China Mobile Ltd. ADR | | | 1,543 | | | | 85,420 | |
| Mobile Telesystems OJSC ADR | | | 4,707 | | | | 82,467 | |
| Telephone & Data Systems, Inc. | | | 3,004 | | | | 76,932 | |
| Tim Participacoes S.A. ADR | | | 3,468 | | | | 66,655 | |
| VimpelCom Ltd. ADR | | | 5,582 | | | | 66,426 | |
| SK Telecom Company Ltd. ADR | | | 4,373 | | | | 63,583 | |
| NII Holdings, Inc.*,1 | | | 6,920 | | | | 54,322 | |
| Total Wireless Telecommunication Services | | | | | | | 1,379,788 | |
| Alternative Carriers - 3.1% | | | | | | | | |
| Level 3 Communications, Inc.* | | | 4,460 | | | | 102,446 | |
| tw telecom, Inc. — Class A* | | | 3,550 | | | | 92,549 | |
| Total Alternative Carriers | | | | | | | 194,995 | |
| Total Common Stocks | | | | | | | | |
| (Cost $4,756,300) | | | | | | | 6,170,922 | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.7% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 42,561 | | | | 42,561 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $42,561) | | | | | | | 42,561 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.3% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 41,026 | | | | 41,026 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 40,374 | | | | 40,374 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $81,400) | | | | | | | 81,400 | |
| Total Investments - 100.9% | | | | | | | | |
| (Cost $4,880,261) | | | | | | $ | 6,294,883 | |
| Other Assets & Liabilities, net - (0.9)% | | | | | | | (55,804 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 6,239,079 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI - ANNUAL REPORT | 103 |
| STATEMENT OF ASSETS | | | |
| AND LIABILITIES (Unaudited) | | | |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Investments, at value - including $75,606 of | | | | |
| securities loaned | | | | |
| (cost $4,837,700) | | $ | 6,252,322 | |
| Repurchase agreements, at value | | | | |
| (cost $42,561) | | | 42,561 | |
| Total investments | | | | |
| (cost $4,880,261) | | | 6,294,883 | |
| Receivables: | | | | |
| Fund shares sold | | | 635,112 | |
| Dividends | | | 5,912 | |
| Foreign taxes reclaim | | | 959 | |
| Interest | | | 33 | |
| Total assets | | | 6,936,899 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 607,464 | |
| Payable upon return of securities loaned | | | 81,400 | |
| Management fees | | | 3,939 | |
| Transfer agent and administrative fees | | | 1,158 | |
| Distribution and service fees | | | 772 | |
| Portfolio accounting fees | | | 463 | |
| Miscellaneous | | | 2,624 | |
| Total liabilities | | | 697,820 | |
| Net assets | | $ | 6,239,079 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 10,784,390 | |
| Undistributed net investment income | | | 166,232 | |
| Accumulated net realized loss on investments | | | (6,126,165 | ) |
| Net unrealized appreciation on investments | | | 1,414,622 | |
| Net assets | | $ | 6,239,079 | |
| Investor Class: | | | | |
| Net assets | | $ | 4,510,619 | |
| Capital shares outstanding | | | 336,782 | |
| Net asset value per share | | $ | 13.39 | |
| Advisor Class: | | | | |
| Net assets | | $ | 151,505 | |
| Capital shares outstanding | | | 12,169 | |
| Net asset value per share | | $ | 12.45 | |
| A-Class: | | | | |
| Net assets | | $ | 864,742 | |
| Capital shares outstanding | | | 68,350 | |
| Net asset value per share | | $ | 12.65 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.28 | |
| C-Class: | | | | |
| Net assets | | $ | 712,213 | |
| Capital shares outstanding | | | 59,893 | |
| Net asset value per share | | $ | 11.89 | |
| STATEMENT OF | | | |
| OPERATIONS (Unaudited) | | | |
| Period Ended September 30, 2012 | | | |
| | | | |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $7,867) | | $ | 129,911 | |
| Income from securities lending, net | | | 32 | |
| Interest | | | 11 | |
| Total investment income | | | 129,954 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 29,174 | |
| Transfer agent and administrative fees | | | 8,581 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 415 | |
| A-Class | | | 962 | |
| C-Class | | | 3,776 | |
| Portfolio accounting fees | | | 3,432 | |
| Custodian fees | | | 920 | |
| Trustees’ fees* | | | 469 | |
| Miscellaneous | | | 3,664 | |
| Total expenses | | | 51,393 | |
| Net investment income | | | 78,561 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (1,323,428 | ) |
| Net realized loss | | | (1,323,428 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (277,402 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (277,402 | ) |
| Net realized and unrealized loss | | | (1,600,830 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,522,269 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 78,561 | | | $ | 175,835 | |
| Net realized gain (loss) on investments | | | (1,323,428 | ) | | | 446,580 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (277,402 | ) | | | (1,853,210 | ) |
| Net decrease in net assets resulting from operations | | | (1,522,269 | ) | | | (1,230,795 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (75,956 | ) |
| Advisor Class | | | — | | | | (26,034 | ) |
| A-Class | | | — | | | | (45,257 | ) |
| C-Class | | | — | | | | (22,099 | ) |
| Total distributions to shareholders | | | — | | | | (169,346 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 33,098,560 | | | | 47,973,211 | |
| Advisor Class | | | 83,911 | | | | 2,527,832 | |
| A-Class | | | 427,627 | | | | 2,925,127 | |
| C-Class | | | 19,975,651 | | | | 64,107,314 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 74,213 | |
| Advisor Class | | | — | | | | 23,065 | |
| A-Class | | | — | | | | 45,175 | |
| C-Class | | | — | | | | 21,048 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (34,236,125 | ) | | | (88,037,595 | ) |
| Advisor Class | | | (122,726 | ) | | | (2,967,150 | ) |
| A-Class | | | (1,091,668 | ) | | | (2,011,577 | ) |
| C-Class | | | (19,840,653 | ) | | | (66,192,569 | ) |
| Net decrease from capital share transactions | | | (1,705,423 | ) | | | (41,511,906 | ) |
| Net decrease in net assets | | | (3,227,692 | ) | | | (42,912,047 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 9,466,771 | | | | 52,378,818 | |
| End of period | | $ | 6,239,079 | | | $ | 9,466,771 | |
| Undistributed net investment income at end of period | | $ | 166,232 | | | $ | 87,671 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,510,567 | | | | 3,399,757 | |
| Advisor Class | | | 6,907 | | | | 180,932 | |
| A-Class | | | 35,746 | | | | 231,535 | |
| C-Class | | | 1,737,662 | | | | 5,027,824 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 5,970 | |
| Advisor Class | | | — | | | | 1,988 | |
| A-Class | | | — | | | | 3,841 | |
| C-Class | | | — | | | | 1,891 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,681,663 | ) | | | (5,959,087 | ) |
| Advisor Class | | | (10,275 | ) | | | (214,545 | ) |
| A-Class | | | (87,042 | ) | | | (162,618 | ) |
| C-Class | | | (1,732,181 | ) | | | (5,179,379 | ) |
| Net decrease in shares | | | (220,279 | ) | | | (2,661,891 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
| TELECOMMUNICATIONS FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.84 | | | $ | 15.71 | | | $ | 13.73 | | | $ | 10.29 | | | $ | 17.04 | | | $ | 19.02 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .14 | | | | .41 | | | | .10 | | | | .26 | | | | .27 | | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.59 | ) | | | (1.84 | ) | | | 1.96 | | | | 3.52 | | | | (6.68 | ) | | | (2.08 | ) |
| Total from investment operations | | | (.45 | ) | | | (1.43 | ) | | | 2.06 | | | | 3.78 | | | | (6.41 | ) | | | (1.96 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Total distributions | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Net asset value, end of period | | $ | 13.39 | | | $ | 13.84 | | | $ | 15.71 | | | $ | 13.73 | | | $ | 10.29 | | | $ | 17.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.25 | %) | | | (8.77 | %) | | | 15.06 | % | | | 36.88 | % | | | (37.55 | %) | | | (10.32 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,511 | | | $ | 7,028 | | | $ | 48,089 | | | $ | 4,677 | | | $ | 4,440 | | | $ | 11,134 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.23 | % | | | 2.86 | % | | | 0.73 | % | | | 2.03 | % | | | 1.92 | % | | | 0.58 | % |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.39 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 775 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % | | | 528 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.90 | | | $ | 14.74 | | | $ | 12.94 | | | $ | 9.75 | | | $ | 16.26 | | | $ | 18.24 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .15 | | | | .22 | | | | .03 | | | | .23 | | | | .17 | | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.60 | ) | | | (1.62 | ) | | | 1.85 | | | | 3.30 | | | | (6.34 | ) | | | (1.94 | ) |
| Total from investment operations | | | (.45 | ) | | | (1.40 | ) | | | 1.88 | | | | 3.53 | | | | (6.17 | ) | | | (1.96 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Total distributions | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Net asset value, end of period | | $ | 12.45 | | | $ | 12.90 | | | $ | 14.74 | | | $ | 12.94 | | | $ | 9.75 | | | $ | 16.26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.49 | %) | | | (9.15 | %) | | | 14.59 | % | | | 36.35 | % | | | (37.88 | %) | | | (10.76 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 152 | | | $ | 200 | | | $ | 695 | | | $ | 279 | | | $ | 9,991 | | | $ | 835 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 2.47 | % | | | 1.65 | % | | | 0.25 | % | | | 1.94 | % | | | 1.53 | % | | | (0.09 | %) |
| Total expenses | | | 1.85 | % | | | 1.85 | % | | | 1.88 | % | | | 1.89 | % | | | 1.81 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 775 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % | | | 528 | % |
| 106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.09 | | | $ | 14.91 | | | $ | 13.07 | | | $ | 9.83 | | | $ | 16.33 | | | $ | 18.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .17 | | | | .18 | | | | .14 | | | | .17 | | | | .27 | | | | .03 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.61 | ) | | | (1.56 | ) | | | 1.78 | | | | 3.41 | | | | (6.43 | ) | | | (1.96 | ) |
| Total from investment operations | | | (.44 | ) | | | (1.38 | ) | | | 1.92 | | | | 3.58 | | | | (6.16 | ) | | | (1.93 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Total distributions | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Net asset value, end of period | | $ | 12.65 | | | $ | 13.09 | | | $ | 14.91 | | | $ | 13.07 | | | $ | 9.83 | | | $ | 16.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.36 | %) | | | (8.91 | %) | | | 14.75 | % | | | 36.57 | % | | | (37.66 | %) | | | (10.57 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 865 | | | $ | 1,566 | | | $ | 699 | | | $ | 1,093 | | | $ | 1,317 | | | $ | 451 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.84 | % | | | 1.41 | % | | | 1.01 | % | | | 1.45 | % | | | 2.15 | % | | | 0.13 | % |
| Total expenses | | | 1.60 | % | | | 1.60 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % | | | 1.61 | % |
| Portfolio turnover rate | | | 775 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % | | | 528 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.35 | | | $ | 14.19 | | | $ | 12.50 | | | $ | 9.48 | | | $ | 15.91 | | | $ | 17.93 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .12 | | | | .05 | | | | (.01 | ) | | | .10 | | | | .13 | | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.58 | ) | | | (1.45 | ) | | | 1.78 | | | | 3.26 | | | | (6.22 | ) | | | (1.90 | ) |
| Total from investment operations | | | (.46 | ) | | | (1.40 | ) | | | 1.77 | | | | 3.36 | | | | (6.09 | ) | | | (2.00 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Total distributions | | | — | | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) | | | (.02 | ) |
| Net asset value, end of period | | $ | 11.89 | | | $ | 12.35 | | | $ | 14.19 | | | $ | 12.50 | | | $ | 9.48 | | | $ | 15.91 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (3.72 | %) | | | (9.52 | %) | | | 14.22 | % | | | 35.59 | % | | | (38.21 | %) | | | (11.17 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 712 | | | $ | 672 | | | $ | 2,896 | | | $ | 1,141 | | | $ | 1,281 | | | $ | 2,846 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 2.08 | % | | | 0.39 | % | | | (0.07 | %) | | | 0.86 | % | | | 0.99 | % | | | (0.50 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.39 | % | | | 2.42 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 775 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % | | | 528 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Transportation Fund
“Holdings 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 | 6.7% |
| Union Pacific Corp. | 6.0% |
| Ford Motor Co. | 4.8% |
| General Motors Co. | 4.6% |
| FedEx Corp. | 4.2% |
| CSX Corp. | 3.7% |
| Norfolk Southern Corp. | 3.6% |
| Johnson Controls, Inc. | 3.4% |
| CH Robinson Worldwide, Inc. | 2.5% |
| Harley-Davidson, Inc. | 2.5% |
| Top Ten Total | 42.0% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| TRANSPORTATION FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.5% | | | | | | | | |
| | | | | | | | | |
| RAILROADS - 19.9% | | | | | | | | |
| Union Pacific Corp. | | | 2,546 | | | $ | 302,210 | |
| CSX Corp. | | | 8,954 | | | | 185,796 | |
| Norfolk Southern Corp. | | | 2,852 | | | | 181,473 | |
| Kansas City Southern | | | 1,537 | | | | 116,474 | |
| Canadian National Railway Co. | | | 840 | | | | 74,113 | |
| Genesee & Wyoming, Inc. — Class A* | | | 1,074 | | | | 71,808 | |
| Canadian Pacific Railway Ltd. | | | 808 | | | | 66,975 | |
| Total Railroads | | | | | | | 998,849 | |
| AUTO PARTS & EQUIPMENT - 18.8% | | | | | | | | |
| Johnson Controls, Inc. | | | 6,286 | | | | 172,235 | |
| BorgWarner, Inc.* | | | 1,620 | | | | 111,958 | |
| Delphi Automotive plc* | | | 3,410 | | | | 105,710 | |
| TRW Automotive Holdings Corp.* | | | 2,080 | | | | 90,917 | |
| Lear Corp. | | | 2,020 | | | | 76,336 | |
| Autoliv, Inc. | | | 1,080 | | | | 66,928 | |
| Gentex Corp. | | | 3,670 | | | | 62,427 | |
| Magna International, Inc. | | | 1,440 | | | | 62,294 | |
| Visteon Corp.* | | | 1,375 | | | | 61,133 | |
| Dana Holding Corp. | | | 4,230 | | | | 52,029 | |
| Tenneco, Inc.* | | | 1,820 | | | | 50,960 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 3,190 | | | | 35,951 | |
| Total Auto Parts & Equipment | | | | | | | 948,878 | |
| AIR FREIGHT & LOGISTICS - 15.6% | | | | | | | | |
| United Parcel Service, Inc. — Class B | | | 4,713 | | | | 337,308 | |
| FedEx Corp. | | | 2,480 | | | | 209,858 | |
| CH Robinson Worldwide, Inc. | | | 2,163 | | | | 126,644 | |
| Expeditors International of Washington, Inc. | | | 3,071 | | | | 111,662 | |
| Total Air Freight & Logistics | | | | | | | 785,472 | |
| AUTOMOBILE MANUFACTURERS - 14.8% | | | | | | | | |
| Ford Motor Co. | | | 24,515 | | | | 241,719 | |
| General Motors Co.* | | | 10,140 | | | | 230,685 | |
| Tata Motors Ltd. ADR | | | 3,180 | | | | 81,662 | |
| Tesla Motors, Inc.*,1 | | | 2,375 | | | | 69,540 | |
| Toyota Motor Corp. ADR | | | 810 | | | | 63,593 | |
| Thor Industries, Inc. | | | 1,560 | | | | 56,659 | |
| Total Automobile Manufacturers | | | | | | | 743,858 | |
| AIRLINES - 12.0% | | | | | | | | |
| Delta Air Lines, Inc.* | | | 12,477 | | | | 114,290 | |
| Southwest Airlines Co. | | | 11,747 | | | | 103,021 | |
| United Continental Holdings, Inc.* | | | 5,250 | | | | 102,375 | |
| Alaska Air Group, Inc.* | | | 1,854 | | | | 65,001 | |
| Latam Airlines Group S.A. ADR | | | 2,490 | | | | 62,947 | |
| Copa Holdings S.A. — Class A | | | 722 | | | | 58,677 | |
| US Airways Group, Inc.*,1 | | | 5,074 | | | | 53,074 | |
| JetBlue Airways Corp.* | | | 9,660 | | | | 46,271 | |
| Total Airlines | | | | | | | 605,656 | |
| TRUCKING - 10.7% | | | | | | | | |
| J.B. Hunt Transport Services, Inc. | | | 1,932 | | | | 100,542 | |
| Hertz Global Holdings, Inc.* | | | 6,899 | | | | 94,723 | |
| Old Dominion Freight Line, Inc.* | | | 2,182 | | | | 65,809 | |
| Dollar Thrifty Automotive Group, Inc.* | | | 730 | | | | 63,459 | |
| Landstar System, Inc. | | | 1,268 | | | | 59,951 | |
| Ryder System, Inc. | | | 1,451 | | | | 56,676 | |
| Con-way, Inc. | | | 1,822 | | | | 49,868 | |
| Avis Budget Group, Inc.* | | | 3,214 | | | | 49,431 | |
| Total Trucking | | | | | | | 540,459 | |
| MOTORCYCLE MANUFACTURERS - 2.5% | | | | | | | | |
| Harley-Davidson, Inc. | | | 2,961 | | | | 125,458 | |
| TIRES & RUBBER - 2.3% | | | | | | | | |
| Goodyear Tire & Rubber Co.* | | | 5,659 | | | | 68,983 | |
| Cooper Tire & Rubber Co. | | | 2,310 | | | | 44,306 | |
| Total Tires & Rubber | | | | | | | 113,289 | |
| CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS - 1.5% | | | | | | | | |
| WABCO Holdings, Inc.* | | | 1,330 | | | | 76,701 | |
| MARINE - 1.4% | | | | | | | | |
| Kirby Corp.* | | | 1,268 | | | | 70,095 | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,969,906) | | | | | | | 5,008,715 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 23,715 | | | | 23,715 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $23,715) | | | | | | | 23,715 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.8% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 44,654 | | | | 44,654 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 43,946 | | | | 43,946 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $88,600) | | | | | | | 88,600 | |
| Total Investments - 101.8% | | | | | | | | |
| (Cost $3,082,221) | | | | | | $ | 5,121,030 | |
| Other Assets & Liabilities, net - (1.8)% | | | | | | | (88,654 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 5,032,376 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
ADR — American Depositary Receipt
plc — Public Limited Company
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
| STATEMENT OF ASSETS | | | |
| AND LIABILITIES (Unaudited) | | | |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Investments, at value - including $87,848 of | | | | |
| securities loaned | | | | |
| (cost $3,058,506) | | $ | 5,097,315 | |
| Repurchase agreements, at value | | | | |
| (cost $23,715) | | | 23,715 | |
| Total investments | | | | |
| (cost $3,082,221) | | | 5,121,030 | |
| Cash | | | 692 | |
| Receivables: | | | | |
| Dividends | | | 9,063 | |
| Interest | | | 52 | |
| Total assets | | | 5,130,837 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 88,600 | |
| Management fees | | | 4,538 | |
| Transfer agent and administrative fees | | | 1,335 | |
| Distribution and service fees | | | 1,095 | |
| Portfolio accounting fees | | | 534 | |
| Miscellaneous | | | 2,359 | |
| Total liabilities | | | 98,461 | |
| Net assets | | $ | 5,032,376 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 28,583,239 | |
| Accumulated net investment loss | | | (16,552 | ) |
| Accumulated net realized loss on investments | | | (25,573,120 | ) |
| Net unrealized appreciation on investments | | | 2,038,809 | |
| Net assets | | $ | 5,032,376 | |
| Investor Class: | | | | |
| Net assets | | $ | 2,393,145 | |
| Capital shares outstanding | | | 95,714 | |
| Net asset value per share | | $ | 25.00 | |
| Advisor Class: | | | | |
| Net assets | | $ | 394,856 | |
| Capital shares outstanding | | | 17,231 | |
| Net asset value per share | | $ | 22.92 | |
| A-Class: | | | | |
| Net assets | | $ | 1,465,430 | |
| Capital shares outstanding | | | 62,652 | |
| Net asset value per share | | $ | 23.39 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 24.56 | |
| C-Class: | | | | |
| Net assets | | $ | 778,945 | |
| Capital shares outstanding | | | 34,659 | |
| Net asset value per share | | $ | 22.47 | |
| STATEMENT OF | | | |
| OPERATIONS (Unaudited) | | | |
| Period Ended September 30, 2012 | | | |
| | | | |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $601) | | $ | 69,041 | |
| Income from securities lending, net | | | 52 | |
| Interest | | | 19 | |
| Total investment income | | | 69,112 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 42,060 | |
| Transfer agent and administrative fees | | | 12,371 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 1,451 | |
| A-Class | | | 3,300 | |
| C-Class | | | 5,068 | |
| Portfolio accounting fees | | | 4,948 | |
| Custodian fees | | | 1,011 | |
| Trustees’ fees* | | | 769 | |
| Miscellaneous | | | 4,733 | |
| Total expenses | | | 75,711 | |
| Net investment loss | | | (6,599 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (407,579 | ) |
| Net realized loss | | | (407,579 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (1,188,523 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (1,188,523 | ) |
| Net realized and unrealized loss | | | (1,596,102 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,602,701 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (6,599 | ) | | $ | (52,244 | ) |
| Net realized gain (loss) on investments | | | (407,579 | ) | | | 701,658 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,188,523 | ) | | | (1,537,677 | ) |
| Net decrease in net assets resulting from operations | | | (1,602,701 | ) | | | (888,263 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 52,368,959 | | | | 146,001,078 | |
| Advisor Class | | | 498,695 | | | | 11,497,718 | |
| A-Class | | | 3,300,541 | | | | 2,345,386 | |
| C-Class | | | 12,390,436 | | | | 53,815,378 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (56,760,821 | ) | | | (143,034,415 | ) |
| Advisor Class | | | (2,398,232 | ) | | | (11,458,698 | ) |
| A-Class | | | (3,266,312 | ) | | | (1,836,804 | ) |
| C-Class | | | (14,213,057 | ) | | | (53,256,215 | ) |
| Net increase (decrease) from capital share transactions | | | (8,079,791 | ) | | | 4,073,428 | |
| Net increase (decrease) in net assets | | | (9,682,492 | ) | | | 3,185,165 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 14,714,868 | | | | 11,529,703 | |
| End of period | | $ | 5,032,376 | | | $ | 14,714,868 | |
| Accmulated net investment loss at end of period | | $ | (16,552 | ) | | $ | (9,953 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,015,699 | | | | 5,515,828 | |
| Advisor Class | | | 21,073 | | | | 478,798 | |
| A-Class | | | 134,981 | | | | 91,969 | |
| C-Class | | | 540,689 | | | | 2,280,986 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,217,870 | ) | | | (5,408,959 | ) |
| Advisor Class | | | (98,938 | ) | | | (496,602 | ) |
| A-Class | | | (135,707 | ) | | | (75,967 | ) |
| C-Class | | | (618,145 | ) | | | (2,250,403 | ) |
| Net increase (decrease) in shares | | | (358,218 | ) | | | 135,650 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.96 | | | $ | 27.85 | | | $ | 23.79 | | | $ | 14.38 | | | $ | 25.21 | | | $ | 29.16 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | — | c | | | (.06 | ) | | | — | c | | | (.15 | ) | | | .07 | | | | .06 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.96 | ) | | | (.83 | ) | | | 4.06 | | | | 9.70 | | | | (10.90 | ) | | | (4.01 | ) |
| Total from investment operations | | | (1.96 | ) | | | (.89 | ) | | | 4.06 | | | | 9.55 | | | | (10.83 | ) | | | (3.95 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 25.00 | | | $ | 26.96 | | | $ | 27.85 | | | $ | 23.79 | | | $ | 14.38 | | | $ | 25.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.27 | %) | | | (3.20 | %) | | | 17.07 | % | | | 66.51 | % | | | (42.96 | %) | | | (13.55 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,393 | | | $ | 8,031 | | | $ | 5,320 | | | $ | 22,292 | | | $ | 20,990 | | | $ | 17,420 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.00 | % | | | (0.22 | %) | | | 0.02 | % | | | (0.68 | %) | | | 0.33 | % | | | 0.22 | % |
| Total expenses | | | 1.33 | % | | | 1.35 | % | | | 1.38 | % | | | 1.37 | % | | | 1.38 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 536 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % | | | 952 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.76 | | | $ | 25.70 | | | $ | 22.05 | | | $ | 13.40 | | | $ | 23.59 | | | $ | 27.42 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.08 | ) | | | (.14 | ) | | | (.17 | ) | | | (.18 | ) | | | .10 | | | | (.01 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.76 | ) | | | (.80 | ) | | | 3.82 | | | | 8.97 | | | | (10.29 | ) | | | (3.82 | ) |
| Total from investment operations | | | (1.84 | ) | | | (.94 | ) | | | 3.65 | | | | 8.79 | | | | (10.19 | ) | | | (3.83 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 22.92 | | | $ | 24.76 | | | $ | 25.70 | | | $ | 22.05 | | | $ | 13.40 | | | $ | 23.59 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.43 | %) | | | (3.66 | %) | | | 16.55 | % | | | 65.70 | % | | | (43.20 | %) | | | (13.97 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 395 | | | $ | 2,355 | | | $ | 2,902 | | | $ | 2,795 | | | $ | 1,139 | | | $ | 5,152 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.68 | %) | | | (0.55 | %) | | | (0.74 | %) | | | (0.95 | %) | | | 0.51 | % | | | (0.05 | %) |
| Total expenses | | | 1.83 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.90 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 536 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % | | | 952 | % |
| 112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.25 | | | $ | 26.15 | | | $ | 22.37 | | | $ | 13.55 | | | $ | 23.81 | | | $ | 27.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .01 | | | | (.12 | ) | | | (.10 | ) | | | (.04 | ) | | | .08 | | | | — | c |
| Net gain (loss) on investments (realized and unrealized) | | | (1.87 | ) | | | (.78 | ) | | | 3.88 | | | | 9.00 | | | | (10.34 | ) | | | (3.79 | ) |
| Total from investment operations | | | (1.86 | ) | | | (.90 | ) | | | 3.78 | | | | 8.96 | | | | (10.26 | ) | | | (3.79 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 23.39 | | | $ | 25.25 | | | $ | 26.15 | | | $ | 22.37 | | | $ | 13.55 | | | $ | 23.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.33 | %) | | | (3.48 | %) | | | 16.90 | % | | | 66.22 | % | | | (43.09 | %) | | | (13.73 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,465 | | | $ | 1,600 | | | $ | 1,239 | | | $ | 1,842 | | | $ | 561 | | | $ | 228 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.06 | % | | | (0.51 | %) | | | (0.42 | %) | | | (0.22 | %) | | | 0.43 | % | | | 0.00 | % |
| Total expenses | | | 1.59 | % | | | 1.61 | % | | | 1.64 | % | | | 1.62 | % | | | 1.67 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 536 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % | | | 952 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.34 | | | $ | 25.38 | | | $ | 21.87 | | | $ | 13.40 | | | $ | 23.70 | | | $ | 27.68 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.13 | ) | | | (.29 | ) | | | (.24 | ) | | | (.24 | ) | | | (.16 | ) | | | (.20 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.74 | ) | | | (.75 | ) | | | 3.75 | | | | 8.85 | | | | (10.14 | ) | | | (3.78 | ) |
| Total from investment operations | | | (1.87 | ) | | | (1.04 | ) | | | 3.51 | | | | 8.61 | | | | (10.30 | ) | | | (3.98 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 22.47 | | | $ | 24.34 | | | $ | 25.38 | | | $ | 21.87 | | | $ | 13.40 | | | $ | 23.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (7.68 | %) | | | (4.10 | %) | | | 16.05 | % | | | 64.35 | % | | | (43.46 | %) | | | (14.38 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 779 | | | $ | 2,729 | | | $ | 2,069 | | | $ | 3,375 | | | $ | 2,186 | | | $ | 845 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.10 | %) | | | (1.24 | %) | | | (1.04 | %) | | | (1.31 | %) | | | (0.79 | %) | | | (0.73 | %) |
| Total expenses | | | 2.33 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.40 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 536 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % | | | 952 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Net investment income is less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
Utilities Fund
“Holdings 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) | | | | |
| Duke Energy Corp. | | | 3.8 | % |
| Southern Co. | | | 3.6 | % |
| Exelon Corp. | | | 3.1 | % |
| NextEra Energy, Inc. | | | 3.1 | % |
| Dominion Resources, Inc. | | | 3.1 | % |
| American Electric Power Company, Inc. | | | 2.6 | % |
| FirstEnergy Corp. | | | 2.4 | % |
| PG&E Corp. | | | 2.4 | % |
| Consolidated Edison, Inc. | | | 2.4 | % |
| PPL Corp. | | | 2.3 | % |
| Top Ten Total | | | 28.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 114 | the RYDEX FUNDS SEMI - ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | | September 30, 2012 |
utilities fund
| | | Shares | | | | Value | |
| COMMON STOCKS† - 96.3% | | | | | | | | |
| | | | | | | | | |
| Electric Utilities - 46.3% | | | | | | | | |
| Duke Energy Corp. | | | 25,756 | | | $ | 1,668,988 | |
| Southern Co. | | | 34,095 | | | | 1,571,438 | |
| Exelon Corp. | | | 38,192 | | | | 1,358,870 | |
| NextEra Energy, Inc. | | | 19,290 | | | | 1,356,666 | |
| American Electric Power Company, Inc. | | | 25,816 | | | | 1,134,355 | |
| FirstEnergy Corp. | | | 24,036 | | | | 1,059,988 | |
| PPL Corp. | | | 35,010 | | | | 1,017,041 | |
| Edison International | | | 20,760 | | | | 948,524 | |
| Xcel Energy, Inc. | | | 32,763 | | | | 907,863 | |
| Entergy Corp. | | | 12,479 | | | | 864,795 | |
| Northeast Utilities | | | 22,533 | | | | 861,437 | |
| Cia Energetica de Minas Gerais ADR | | | 49,748 | | | | 602,946 | |
| Pinnacle West Capital Corp. | | | 11,163 | | | | 589,406 | |
| OGE Energy Corp. | | | 10,398 | | | | 576,673 | |
| Pepco Holdings, Inc. | | | 27,093 | | | | 512,058 | |
| N.V. Energy, Inc. | | | 28,156 | | | | 507,090 | |
| ITC Holdings Corp. | | | 6,470 | | | | 489,003 | |
| Westar Energy, Inc. | | | 16,137 | | | | 478,623 | |
| Great Plains Energy, Inc. | | | 20,378 | | | | 453,614 | |
| Cleco Corp. | | | 9,309 | | | | 390,792 | |
| Hawaiian Electric Industries, Inc. | | | 14,783 | | | | 388,941 | |
| Cia Paranaense de Energia ADR | | | 23,215 | | | | 381,190 | |
| Enersis S.A. ADR | | | 22,915 | | | | 375,577 | |
| CPFL Energia S.A. ADR | | | 16,705 | | | | 366,007 | |
| IDACORP, Inc. | | | 8,293 | | | | 358,838 | |
| Portland General Electric Co. | | | 12,998 | | | | 351,466 | |
| UNS Energy Corp. | | | 7,714 | | | | 322,908 | |
| PNM Resources, Inc. | | | 15,060 | | | | 316,712 | |
| Total Electric Utilities | | | | | | | 20,211,809 | |
| Multi-Utilities - 31.2% | | | | | | | | |
| Dominion Resources, Inc. | | | 25,501 | | | | 1,350,022 | |
| PG&E Corp. | | | 24,477 | | | | 1,044,433 | |
| Consolidated Edison, Inc. | | | 17,268 | | | | 1,034,180 | |
| Public Service Enterprise Group, Inc. | | | 30,962 | | | | 996,357 | |
| Sempra Energy | | | 14,999 | | | | 967,286 | |
| DTE Energy Co. | | | 13,285 | | | | 796,303 | |
| CenterPoint Energy, Inc. | | | 35,084 | | | | 747,289 | |
| Wisconsin Energy Corp. | | | 19,404 | | | | 730,949 | |
| Ameren Corp. | | | 21,207 | | | | 692,833 | |
| NiSource, Inc. | | | 25,918 | | | | 660,391 | |
| CMS Energy Corp. | | | 26,229 | | | | 617,693 | |
| SCANA Corp. | | | 12,740 | | | | 614,960 | |
| Alliant Energy Corp. | | | 12,386 | | | | 537,429 | |
| MDU Resources Group, Inc. | | | 22,531 | | | | 496,583 | |
| Integrys Energy Group, Inc. | | | 9,451 | | | | 493,342 | |
| TECO Energy, Inc. | | | 27,353 | | | | 485,242 | |
| National Grid plc ADR | | | 6,980 | | | | 386,413 | |
| Vectren Corp. | | | 13,125 | | | | 375,375 | |
| Black Hills Corp. | | | 8,639 | | | | 307,289 | |
| Avista Corp. | | | 11,617 | | | | 299,022 | |
| Total Multi-Utilities | | | | | | | 13,633,391 | |
| Gas Utilities - 9.8% | | | | | | | | |
| ONEOK, Inc. | | | 16,142 | | | | 779,820 | |
| AGL Resources, Inc. | | | 13,038 | | | | 533,385 | |
| National Fuel Gas Co. | | | 9,617 | | | | 519,703 | |
| Questar Corp. | | | 23,352 | | | | 474,746 | |
| UGI Corp. | | | 14,763 | | | | 468,725 | |
| Atmos Energy Corp. | | | 12,319 | | | | 440,897 | |
| Piedmont Natural Gas Company, Inc.1 | | | 11,430 | | | | 371,246 | |
| WGL Holdings, Inc. | | | 8,771 | | | | 353,033 | |
| New Jersey Resources Corp. | | | 7,293 | | | | 333,436 | |
| Total Gas Utilities | | | | | | | 4,274,991 | |
| Independent Power Producers & Energy Traders - 5.4% | | | | |
| AES Corp.* | | | 63,687 | | | | 698,647 | |
| Calpine Corp.* | | | 40,348 | | | | 698,020 | |
| NRG Energy, Inc. | | | 25,054 | | | | 535,905 | |
| Empresa Nacional de Electricidad | | | | | | | | |
| S.A. ADR | | | 8,550 | | | | 410,058 | |
| Total Independent Power Producers & Energy Traders | | | | | | | 2,342,630 | |
| Water Utilities - 3.6% | | | | | | | | |
| American Water Works Company, Inc. | | | 16,866 | | | | 625,055 | |
| Cia de Saneamento Basico do | | | | | | | | |
| Estado de Sao Paulo ADR | | | 5,935 | | | | 481,981 | |
| Aqua America, Inc. | | | 18,411 | | | | 455,856 | |
| Total Water Utilities | | | | | | | 1,562,892 | |
| Total Common Stocks | | | | | | | | |
| (Cost $31,665,903) | | | | | | | 42,025,713 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 141,766 | | | | 141,766 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $141,766) | | | | | | | 141,766 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 0.4% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 97,196 | | | | 97,196 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 95,654 | | | | 95,654 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $192,850) | | | | | | | 192,850 | |
| Total Investments - 97.0% | | | | | | | | |
| (Cost $32,000,519) | | | | | | $ | 42,360,329 | |
| Other Assets & Liabilities, net - 3.0% | | | | | | | 1,299,463 | |
| Total Net Assets - 100.0% | | | | | | $ | 43,659,792 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 8. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 8. |
ADR — American Depositary Receipt
plc — Public Limited Company
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 115 |
utilities fund
STATEMENT OF ASSETS
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $188,384 of | | | | |
| securities loaned | | | | |
| (cost $31,858,753) | | $ | 42,218,563 | |
| Repurchase agreements, at value | | | | |
| (cost $141,766) | | | 141,766 | |
| Total investments | | | | |
| (cost $32,000,519) | | | 42,360,329 | |
| Cash | | | 22,610 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,457,871 | |
| Dividends | | | 105,667 | |
| Total assets | | | 43,946,477 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 192,850 | |
| Management fees | | | 28,415 | |
| Fund shares redeemed | | | 22,754 | |
| Distribution and service fees | | | 9,138 | |
| Transfer agent and administrative fees | | | 8,357 | |
| Portfolio accounting fees | | | 3,343 | |
| Miscellaneous | | | 21,828 | |
| Total liabilities | | | 286,685 | |
| Net assets | | $ | 43,659,792 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 42,712,972 | |
| Undistributed net investment income | | | 1,254,642 | |
| Accumulated net realized loss on investments | | | (10,667,632 | ) |
| Net unrealized appreciation on investments | | | 10,359,810 | |
| Net assets | | $ | 43,659,792 | |
| Investor Class: | | | | |
| Net assets | | $ | 21,934,283 | |
| Capital shares outstanding | | | 717,117 | |
| Net asset value per share | | $ | 30.59 | |
| Advisor Class: | | | | |
| Net assets | | $ | 5,998,268 | |
| Capital shares outstanding | | | 211,336 | |
| Net asset value per share | | $ | 28.38 | |
| A-Class: | | | | |
| Net assets | | $ | 8,406,425 | |
| Capital shares outstanding | | | 289,485 | |
| Net asset value per share | | $ | 29.04 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 30.49 | |
| C-Class: | | | | |
| Net assets | | $ | 7,320,816 | |
| Capital shares outstanding | | | 276,830 | |
| Net asset value per share | | $ | 26.45 | |
STATEMENT OF
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,310) | | $ | 1,244,382 | |
| Interest | | | 100 | |
| Income from securities lending, net | | | 6 | |
| Total investment income | | | 1,244,488 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 292,450 | |
| Transfer agent and administrative fees | | | 86,015 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 16,058 | |
| A-Class | | | 11,561 | |
| C-Class | | | 40,291 | |
| Portfolio accounting fees | | | 34,405 | |
| Custodian fees | | | 5,556 | |
| Trustees’ fees* | | | 3,856 | |
| Miscellaneous | | | 41,929 | |
| Total expenses | | | 532,121 | |
| Net investment income | | | 712,367 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 2,507,460 | |
| Net realized gain | | | 2,507,460 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 695,331 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 695,331 | |
| Net realized and unrealized gain | | | 3,202,791 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 3,915,158 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 116 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
utilities fund
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 712,367 | | | $ | 1,266,642 | |
| Net realized gain (loss) on investments | | | 2,507,460 | | | | (3,259,840 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 695,331 | | | | 3,867,455 | |
| Net increase in net assets resulting from operations | | | 3,915,158 | | | | 1,874,257 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | — | | | | (570,365 | ) |
| Advisor Class | | | — | | | | (54,402 | ) |
| A-Class | | | — | | | | (183,282 | ) |
| C-Class | | | — | | | | (110,178 | ) |
| Total distributions to shareholders | | | — | | | | (918,227 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 162,850,082 | | | | 338,234,668 | |
| Advisor Class | | | 35,370,416 | | | | 87,974,041 | |
| A-Class | | | 13,906,697 | | | | 24,133,839 | |
| C-Class | | | 24,334,346 | | | | 76,501,438 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | — | | | | 471,912 | |
| Advisor Class | | | — | | | | 45,467 | |
| A-Class | | | — | | | | 174,040 | |
| C-Class | | | — | | | | 103,815 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (181,243,253 | ) | | | (310,540,659 | ) |
| Advisor Class | | | (37,642,734 | ) | | | (81,379,607 | ) |
| A-Class | | | (13,874,761 | ) | | | (20,137,942 | ) |
| C-Class | | | (24,333,048 | ) | | | (74,769,209 | ) |
| Net increase (decrease) from capital share transactions | | | (20,632,255 | ) | | | 40,811,803 | |
| Net increase (decrease) in net assets | | | (16,717,097 | ) | | | 41,767,833 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 60,376,889 | | | | 18,609,056 | |
| End of period | | $ | 43,659,792 | | | $ | 60,376,889 | |
| Undistributed net investment income at end of period | | $ | 1,254,642 | | | $ | 542,275 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 5,404,412 | | | | 12,034,044 | |
| Advisor Class | | | 1,249,675 | | | | 3,319,631 | |
| A-Class | | | 487,542 | | | | 900,431 | |
| C-Class | | | 931,239 | | | | 3,120,067 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | — | | | | 17,123 | |
| Advisor Class | | | — | | | | 1,771 | |
| A-Class | | | — | | | | 6,638 | |
| C-Class | | | — | | | | 4,322 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (5,973,413 | ) | | | (11,110,513 | ) |
| Advisor Class | | | (1,334,910 | ) | | | (3,073,927 | ) |
| A-Class | | | (483,748 | ) | | | (749,118 | ) |
| C-Class | | | (929,417 | ) | | | (3,049,349 | ) |
| Net increase (decrease) in shares | | | (648,620 | ) | | | 1,421,120 | |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 117 |
utilities fund
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.13 | | | $ | 27.00 | | | $ | 24.80 | | | $ | 20.56 | | | $ | 29.29 | | | $ | 31.89 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .34 | | | | .73 | | | | .86 | | | | .61 | | | | .72 | | | | .51 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.12 | | | | 1.80 | | | | 2.96 | | | | 4.85 | | | | (9.32 | ) | | | (2.31 | ) |
| Total from investment operations | | | 1.46 | | | | 2.53 | | | | 3.82 | | | | 5.46 | | | | (8.60 | ) | | | (1.80 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Total distributions | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Net asset value, end of period | | $ | 30.59 | | | $ | 29.13 | | | $ | 27.00 | | | $ | 24.80 | | | $ | 20.56 | | | $ | 29.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 5.01 | % | | | 9.44 | % | | | 15.94 | % | | | 26.58 | % | | | (29.40 | %) | | | (5.88 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 21,934 | | | $ | 37,469 | | | $ | 9,328 | | | $ | 9,912 | | | $ | 10,348 | | | $ | 11,242 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.23 | % | | | 2.59 | % | | | 3.35 | % | | | 2.49 | % | | | 2.90 | % | | | 1.57 | % |
| Total expenses | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % | | | 1.39 | % | | | 1.39 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 269 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % | | | 375 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.10 | | | $ | 25.26 | | | $ | 23.40 | | | $ | 19.56 | | | $ | 28.00 | | | $ | 30.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .21 | | | | .56 | | | | .62 | | | | .47 | | | | .63 | | | | .32 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.07 | | | | 1.68 | | | | 2.86 | | | | 4.59 | | | | (8.94 | ) | | | (2.17 | ) |
| Total from investment operations | | | 1.28 | | | | 2.24 | | | | 3.48 | | | | 5.06 | | | | (8.31 | ) | | | (1.85 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Total distributions | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Net asset value, end of period | | $ | 28.38 | | | $ | 27.10 | | | $ | 25.26 | | | $ | 23.40 | | | $ | 19.56 | | | $ | 28.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.76 | % | | | 8.90 | % | | | 15.43 | % | | | 25.89 | % | | | (29.72 | %) | | | (6.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,998 | | | $ | 8,036 | | | $ | 1,240 | | | $ | 1,184 | | | $ | 5,939 | | | $ | 2,960 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.49 | % | | | 2.11 | % | | | 2.53 | % | | | 2.07 | % | | | 2.72 | % | | | 1.02 | % |
| Total expenses | | | 1.85 | % | | | 1.84 | % | | | 1.87 | % | | | 1.88 | % | | | 1.90 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 269 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % | | | 375 | % |
| 118 | the RYDEX FUNDS SEMI - ANNUAL REPORT | See Notes to Financial Statements. |
utilities fund
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.69 | | | $ | 25.75 | | | $ | 23.77 | | | $ | 19.80 | | | $ | 28.27 | | | $ | 30.87 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .31 | | | | .67 | | | | .54 | | | | .65 | | | | .54 | | | | .42 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.04 | | | | 1.67 | | | | 3.06 | | | | 4.54 | | | | (8.88 | ) | | | (2.22 | ) |
| Total from investment operations | | | 1.35 | | | | 2.34 | | | | 3.60 | | | | 5.19 | | | | (8.34 | ) | | | (1.80 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Total distributions | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Net asset value, end of period | | $ | 29.04 | | | $ | 27.69 | | | $ | 25.75 | | | $ | 23.77 | | | $ | 19.80 | | | $ | 28.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.88 | % | | | 9.16 | % | | | 15.70 | % | | | 26.24 | % | | | (29.54 | %) | | | (6.07 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,406 | | | $ | 7,912 | | | $ | 3,289 | | | $ | 1,721 | | | $ | 1,489 | | | $ | 3,032 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.20 | % | | | 2.47 | % | | | 2.23 | % | | | 2.81 | % | | | 2.15 | % | | | 1.38 | % |
| Total expenses | | | 1.61 | % | | | 1.60 | % | | | 1.63 | % | | | 1.64 | % | | | 1.64 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 269 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % | | | 375 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.31 | | | $ | 23.76 | | | $ | 22.21 | | | $ | 18.71 | | | $ | 26.93 | | | $ | 29.66 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .20 | | | | .42 | | | | .39 | | | | .39 | | | | .32 | | | | .18 | |
| Net gain (loss) on investments (realized and unrealized) | | | .94 | | | | 1.53 | | | | 2.78 | | | | 4.33 | | | | (8.41 | ) | | | (2.11 | ) |
| Total from investment operations | | | 1.14 | | | | 1.95 | | | | 3.17 | | | | 4.72 | | | | (8.09 | ) | | | (1.93 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Total distributions | | | — | | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) | | | (.80 | ) |
| Net asset value, end of period | | $ | 26.45 | | | $ | 25.31 | | | $ | 23.76 | | | $ | 22.21 | | | $ | 18.71 | | | $ | 26.93 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 4.50 | % | | | 8.28 | % | | | 14.85 | % | | | 25.24 | % | | | (30.08 | %) | | | (6.77 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,321 | | | $ | 6,961 | | | $ | 4,751 | | | $ | 7,306 | | | $ | 4,127 | | | $ | 8,934 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.52 | % | | | 1.70 | % | | | 1.72 | % | | | 1.77 | % | | | 1.31 | % | | | 0.60 | % |
| Total expenses | | | 2.36 | % | | | 2.35 | % | | | 2.38 | % | | | 2.39 | % | | | 2.39 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 269 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % | | | 375 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| See Notes to Financial Statements. | the RYDEX FUNDS SEMI - ANNUAL REPORT | 119 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers eight separate classes of shares, Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.
At September 30, 2012, the Trust consisted of fifty-six separate funds. This report covers the Sector Funds (the “Funds”), while the other funds are contained in separate reports. Only Investor Class, Advisor Class, A-Class and C-Class shares had been issued in the Funds.
Guggenheim Investments (“GI”) 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. GI, RFS and RDL are affiliated entities.
The Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.
The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
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 GI 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) using general information as to how these securities and assets trade; and (ii) 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 discounts, 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.
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
| 120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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.
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. GAAP.
D. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.
E. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and 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 GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the period ended September 30, 2012:
| | | Management Fees | |
| Fund | | (as a % of Net Assets) | |
| | | | |
| Banking Fund | | | 0.85 | % |
| Basic Materials Fund | | | 0.85 | % |
| Biotechnology Fund | | | 0.85 | % |
| Consumer Products Fund | | | 0.85 | % |
| Electronics Fund | | | 0.85 | % |
| Energy Fund | | | 0.85 | % |
| Energy Services Fund | | | 0.85 | % |
| Financial Services Fund | | | 0.85 | % |
| Health Care Fund | | | 0.85 | % |
| Internet Fund | | | 0.85 | % |
| Leisure Fund | | | 0.85 | % |
| Precious Metals Fund | | | 0.75 | % |
| Retailing Fund | | | 0.85 | % |
| Technology Fund | | | 0.85 | % |
| Telecommunications Fund | | | 0.85 | % |
| Transportation Fund | | | 0.85 | % |
| Utilities Fund | | | 0.85 | % |
RFS provides transfer agent and administrative services to the Funds calculated at an annual percentage rate of 0.25% of the average daily net assets of each Fund.
RFS also provides accounting services to the Funds for fees calculated at annualized rates below, based on the average daily net assets of each Fund.
| Fund Accounting Fees | | (as a % of net assets) | |
| | | | |
| On the first $250 million | | | 0.10 | % |
| On the next $250 million | | | 0.075 | % |
| On the next $250 million | | | 0.05 | % |
| Over $750 million | | | 0.03 | % |
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution 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
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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 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 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 September 30, 2012, RDL retained sales charges of $112,708 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.
3. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009–2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.
The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carry-forwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
At September 30, 2012, 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:
| 122 | THE RYDEX FUNDS SEMI - ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
| | | | | | Tax | | | Tax | | | Net | |
| | | Tax | | | Unrealized | | | Unrealized | | | Unrealized | |
| Fund | | Cost | | | Gain | | | Loss | | | Gain (Loss) | |
| | | | | | | | | | | | | |
| Banking Fund | | $ | 21,956,569 | | | $ | — | | | $ | (915,639 | ) | | $ | (915,639 | ) |
| Basic Materials Fund | | | 45,745,145 | | | | 12,893,919 | | | | (749,197 | ) | | | 12,144,722 | |
| Biotechnology Fund | | | 177,884,593 | | | | 65,887,205 | | | | (6,464,651 | ) | | | 59,422,554 | |
| Consumer Products Fund | | | 138,808,580 | | | | 20,223,740 | | | | (707,162 | ) | | | 19,516,578 | |
| Electronics Fund | | | 3,416,554 | | | | — | | | | (240,555 | ) | | | (240,555 | ) |
| Energy Fund | | | 44,421,923 | | | | 15,129,112 | | | | (356,988 | ) | | | 14,772,124 | |
| Energy Services Fund | | | 42,845,014 | | | | 18,999,430 | | | | (503,510 | ) | | | 18,495,920 | |
| Financial Services Fund | | | 10,971,177 | | | | 383,622 | | | | (83,953 | ) | | | 299,669 | |
| Health Care Fund | | | 101,399,153 | | | | 11,088,091 | | | | (1,251,541 | ) | | | 9,836,550 | |
| Internet Fund | | | 4,531,628 | | | | 1,831,168 | | | | (63,867 | ) | | | 1,767,301 | |
| Leisure Fund | | | 22,693,490 | | | | 2,655,924 | | | | (216,279 | ) | | | 2,439,645 | |
| Precious Metals Fund | | | 132,508,337 | | | | 56,364,319 | | | | (1,114,454 | ) | | | 55,249,865 | |
| Retailing Fund | | | 23,640,879 | | | | 2,225,790 | | | | (334,763 | ) | | | 1,891,027 | |
| Technology Fund | | | 11,124,228 | | | | 4,603,029 | | | | (133,058 | ) | | | 4,469,971 | |
| Telecommunications Fund | | | 6,388,322 | | | | — | | | | (93,439 | ) | | | (93,439 | ) |
| Transportation Fund | | | 4,768,504 | | | | 359,795 | | | | (7,268 | ) | | | 352,527 | |
| Utilities Fund | | | 36,728,786 | | | | 5,861,760 | | | | (230,216 | ) | | | 5,631,544 | |
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2012:
| | | Level 1 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Investments | | | Investments | | | | |
| | | In Securities | | | In Securities | | | In Securities | | | Total | |
| Assets | | | | | | | | | | | | | | | | |
| Banking Fund | | $ | 20,880,615 | | | $ | 160,315 | | | $ | — | | | $ | 21,040,930 | |
| Basic Materials Fund | | | 56,806,950 | | | | 1,082,916 | | | | — | | | | 57,889,866 | |
| Biotechnology Fund | | | 228,299,631 | | | | 9,007,517 | | | | — | | | | 237,307,148 | |
| Consumer Products Fund | | | 155,344,948 | | | | 2,980,210 | | | | — | | | | 158,325,158 | |
| Electronics Fund | | | 3,175,999 | | | | — | | | | — | | | | 3,175,999 | |
| Energy Fund | | | 58,871,108 | | | | 322,939 | | | | — | | | | 59,194,047 | |
| Energy Services Fund | | | 60,558,848 | | | | 782,086 | | | | — | | | | 61,340,934 | |
| Financial Services Fund | | | 11,214,841 | | | | 56,005 | | | | — | | | | 11,270,846 | |
| Health Care Fund | | | 110,488,221 | | | | 747,481 | | | | — | | | | 111,235,702 | |
| Internet Fund | | | 6,217,141 | | | | 81,787 | | | | — | | | | 6,298,928 | |
| Leisure Fund | | | 25,043,115 | | | | 90,020 | | | | — | | | | 25,133,135 | |
| Precious Metals Fund | | | 183,110,462 | | | | 4,647,740 | | | | — | | | | 187,758,202 | |
| Retailing Fund | | | 25,082,077 | | | | 449,829 | | | | — | | | | 25,531,906 | |
| Technology Fund | | | 15,499,008 | | | | 95,191 | | | | — | | | | 15,594,199 | |
| Telecommunications Fund | | | 6,170,922 | | | | 123,961 | | | | — | | | | 6,294,883 | |
| Transportation Fund | | | 5,008,715 | | | | 112,315 | | | | — | | | | 5,121,030 | |
| Utilities Fund | | | 42,025,713 | | | | 334,616 | | | | — | | | | 42,360,329 | |
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
For the period ended September 30, 2012, there were no transfers between levels.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2012, 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 | |
| | | | | | | | | | | | | | | | |
| Credit Suisse Group | | | | | | | | | | | U.S. Treasury Note | | | | | | | | | |
| 0.12% | | | | | | | | | | | 1.25% | | | | | | | | | |
| Due 10/01/12 | | $ | 50,220,592 | | | $ | 50,221,095 | | | | 03/15/14 | | | $ | 50,429,500 | | | $ | 51,225,080 | |
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.
6. Securities Transactions
For the period ended September 30, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:
| | | Purchases | | | Sales | |
| | | | | | | |
| Banking Fund | | $ | 42,439,842 | | | $ | 56,639,144 | |
| Basic Materials Fund | | | 59,584,022 | | | | 60,945,338 | |
| Biotechnology Fund | | | 303,034,368 | | | | 213,738,534 | |
| Consumer Products Fund | | | 166,778,053 | | | | 213,035,316 | |
| Electronics Fund | | | 45,045,237 | | | | 48,311,329 | |
| Energy Fund | | | 49,580,983 | | | | 59,431,070 | |
| Energy Services Fund | | | 84,432,413 | | | | 80,981,228 | |
| Financial Services Fund | | | 48,745,720 | | | | 61,746,009 | |
| Health Care Fund | | | 176,433,277 | | | | 119,336,536 | |
| Internet Fund | | | 13,906,723 | | | | 15,535,913 | |
| Leisure Fund | | | 80,375,174 | | | | 70,898,990 | |
| Precious Metals Fund | | | 156,042,110 | | | | 113,322,609 | |
| Retailing Fund | | | 61,516,662 | | | | 83,391,725 | |
| Technology Fund | | | 25,856,484 | | | | 41,321,857 | |
| Telecommunications Fund | | | 45,065,153 | | | | 46,657,995 | |
| Transportation Fund | | | 52,760,225 | | | | 60,798,075 | |
| Utilities Fund | | | 166,741,962 | | | | 187,732,403 | |
7. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2013. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2012. On September 30, 2012, the Electronics Fund borrowed $40,000 under this agreement. As of and for the period ended September 30, 2012, the Funds did not have any other borrowings under this agreement.
| 124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
The following table illustrates the average daily balance borrowed for the period ended September 30, 2012:
| Fund | | Average Daily Balance | |
| | | | |
| Banking Fund | | $ | 58,093 | |
| Basic Materials Fund | | | 7,240 | |
| Biotechnology Fund | | | 1,142,235 | |
| Consumer Products Fund | | | 8,328 | |
| Electronics Fund | | | 4,791 | |
| Energy Fund | | | 24,628 | |
| Energy Services Fund | | | 11,514 | |
| Financial Services Fund | | | 6,115 | |
| Health Care Fund | | | 150,967 | |
| Internet Fund | | | 1,443 | |
| Leisure Fund | | | 11,224 | |
| Precious Metals Fund | | | 32,738 | |
| Retailing Fund | | | 8,055 | |
| Technology Fund | | | 152,126 | |
| Telecommunications Fund | | | 35,492 | |
| Transportation Fund | | | 2,672 | |
| Utilities Fund | | | 22,989 | |
8. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the statement of operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, Credit Suisse acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with Credit Suisse, cash collateral is invested in one or more joint repurchase agreements collateralized by obligations of U.S. Government Agencies. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand.
At September 30, 2012, the following Funds participated in securities lending and received cash collateral in the form of repurchase agreements:
| | | Value of | | | Cash | |
| Fund | | Securities Loaned | | | Collateral | |
| | | | | | | |
| Basic Materials Fund | | $ | 791,878 | | | $ | 829,900 | |
| Biotechnology Fund | | | 7,385,022 | | | | 7,649,225 | |
| Consumer Products Fund | | | 2,391,430 | | | | 2,488,500 | |
| Energy Services Fund | | | 440,440 | | | | 462,000 | |
| Health Care Fund | | | 175,528 | | | | 173,156 | * |
| Internet Fund | | | 39,032 | | | | 41,000 | |
| Leisure Fund | | | 71,175 | | | | 73,125 | |
| Precious Metals Fund | | | 3,611,790 | | | | 3,591,000 | * |
| Retailing Fund | | | 335,975 | | | | 349,850 | |
| Telecommunications Fund | | | 75,606 | | | | 81,400 | |
| Transportation Fund | | | 87,848 | | | | 88,600 | |
| Utilities Fund | | | 188,384 | | | | 192,850 | |
* Subsequent to September 30, 2012, additional collateral was received.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) |
The following represents a breakdown of the collateral for the repurchase agreements at September 30, 2012:
| Counterparty and | | | | | | | | | | | | | | | |
| Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | | Par Value | | | Fair Value | |
| | | | | | | | | | | | | | | | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | | | | Freddie Mac Note | | | | | | | | | |
| 0.15% | | | | | | | | | | | 6.25% | | | | | | | | | |
| Due 10/01/12 | | $ | 24,000,000 | | | $ | 24,000,300 | | | | 07/15/32 | | | $ | 49,137,000 | | | $ | 24,480,054 | |
| RBS Securities, Inc. | | | | | | | | | | | Freddie Mac Note | | | | | | | | | |
| 0.24% | | | | | | | | | | | 2.50% | | | | | | | | | |
| Due 10/01/12 | | | 24,387,000 | | | | 24,387,488 | | | | 05/27/16 | | | | 23,020,000 | | | | 24,683,885 | |
9. Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons” Action), as a result of ownership of shares in the Tribune Company (“Tribune”) in 2007 by certain series of the Rydex Series Funds when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In its complaint, the Unsecured Creditors Committee (the “UCC”) has alleged that, in connection with the LBO, insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave the Tribune insolvent. The UCC has asserted claims against certain insiders, shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding has now been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York captioned In re Tribune Co. Fraudulent Conveyance Litig., No. 11-2296 (S.D.N.Y.) (the “MDL Proceeding”).
Rydex Series Funds also has been named as a defendant in one or more of a group of lawsuits filed by a group of Tribune creditors that allege state law constructive fraudulent conveyance claims against former Tribune shareholders (the “SCLFC actions”). The SLCFC actions also have been consolidated into the MDL Proceeding.
On September 7, 2012, the District Court issued a Master Case Order in the MDL Proceeding. This order established a briefing schedule for motions to dismiss in the SLCFC actions; no schedule has yet been established in the Fitzsimons Action. The Court also extended the plaintiffs’ deadline to serve summonses and complaints through January 15, 2013. Finally, the Court ordered that merits discovery will be stayed until further order of the Court.
None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.
A motion to dismiss is currently pending before the Bankruptcy Court.
This lawsuit does not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $ 1,725,168; U.S. Long Short Momentum Fund - $2,193,600; Global 130/30 Strategy Fund - $37,920; Hedged Equity Fund - $1,440; and Multi-Hedge Strategies Fund - $1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
| 126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| |
| OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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 June 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.
Office Locations
The offices of Guggenheim Investments 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 FUNDS SEMI-ANNUAL REPORT | 127 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.
| TRUSTEE AND OFFICER | | | | |
| | | | | |
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Donald C. Cacciapaglia* | | Rydex Series Funds – 2012 | | 146 |
| (1951) | | Rydex Variable Trust – 2012 | | |
| | | Rydex Dynamic Funds – 2012 | | |
| | | Rydex ETF Trust – 2012 | | |
Principal Occupations During Past Five Years: Current: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Previous: Channel Capital Group, Inc.: Chairman and CEO from April 2002 to
February 2010
Positions held within the Trust: Trustee from 2012 to present; President from 2012 to present
| INDEPENDENT TRUSTEES | | | | |
| | | | | |
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Corey A. Colehour | | Rydex Series Funds – 1993 | | 146 |
| (1945) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: President and Senior Vice President of Schield Management Company (registered investment adviser) from 2003 to 2006
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
| J. Kenneth Dalton | | Rydex Series Funds – 1995 | | 146 |
| (1941) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1995 to present; Member and Chairman of the Audit Committee from 1997 to present; Member of the Governance and Nominating Committees from 1995 to present; and Member of the Risk Oversight Committee from 2010 to present
| John O. Demaret | | Rydex Series Funds – 1997 | | 146 |
| (1940) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1997 to present; Chairman of the Board from 2006 to present; Member of the Audit Committee from 1997 to present; and Member of the Risk Oversight Committee from 2010 to present
| 128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued) |
| INDEPENDENT TRUSTEES – concluded | | |
| | | | | |
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Werner E. Keller | | Rydex Series Funds – 2005 | | 146 |
| (1940) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: Founder and President of Keller Partners, LLC (investment research firm) from 2005 to present;
Previous: Retired from 2001 to 2005
Positions held within the Trust: Vice Chairman of the Board of Trustees from 2010 to present; Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present; and Chairman and Member of the Risk Oversight Committee from 2010 to present
| Thomas F. Lydon, Jr. | | Rydex Series Funds – 2005 | | 146 |
| (1960) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: President of Global Trends Investments (registered investment adviser) from 1996 to present
Positions held within the Trust: Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present
| Patrick T. McCarville | | Rydex Series Funds – 1997 | | 146 |
| (1942) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: Chief Executive Officer of Par Industries, Inc., d/b/a Par Leasing from 1977 to 2010
Positions held within the Trust: Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; and Chairman of the Governance and Nominating Committees from 1997 to present
| Roger Somers | | Rydex Series Funds – 1993 | | 146 |
| (1944) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Founder and Chief Executive Officer of Arrow Limousine from 1965 to present
| Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present |
| EXECUTIVE OFFICERS | | |
| | | |
| Name, Position and | | Principal Occupations |
| Year of Birth | | During Past Five Years |
| | | |
Michael P. Byrum* Vice President (1970) | | Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President & Chief Investment Officer, Rydex Holdings, LLC; Director & Chairman of the Board, Advisor Research Center, Inc.; and Manager, Rydex Specialized Products, LLC |
| | | |
| | | Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009–2010), Secretary (2002–2010), Executive Vice President (2002–2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Capital Partners, LLC, President & Secretary (2003–2007); Rydex Capital Partners II, LLC, (2003–2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary (2005–2008), Executive Vice President (2005–2006); Advisor Research Center, Inc., Secretary (2006–2009), Executive Vice President (2006); and Rydex Specialized Products, LLC, Secretary (2005–2008) |
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded) |
EXECUTIVE OFFICERS – concluded
| Name, Position and | | Principal Occupations |
| Year of Birth | | During Past Five Years |
| | | |
| Nikolaos Bonos* | | Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex |
| Vice President and Treasurer (1963) | | Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; and Vice President, Security |
| | | Benefit Asset Management Holdings, LLC |
| | | |
| | | Previous: Security Global Investors, LLC, Senior Vice President (2010–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006–2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) & Senior Vice President (2003–2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005–2009) |
| | | |
Elisabeth Miller* Chief Compliance Officer (1968) | | Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC |
| | | |
| | | Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004–2009) |
| | | |
Amy J. Lee* Vice President and Assistant Secretary (1961) | | Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital |
| | | |
| | | Previous: Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011); and Brecek & Young Advisors, Inc., Director (2004–2008) |
| | | |
Joseph M. Arruda* Assistant Treasurer (1966) | | Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC |
| | | |
| | | Previous: Security Global Investors, LLC, Vice President (2010–2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004–2011) |
| * | 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 Guggenheim Investments. |
| 130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies” tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
| THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded) |
How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
| 132 | THE RYDEX FUNDS SEMI - ANNUAL REPORT |
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RSECF-SEMI-0912x0313
GUGGENHEIM ALTERNATIVES FUNDS
GUGGENHEIM U.S. LONG SHORT MOMENTUM FUND
GUGGENHEIM EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
GUGGENHEIM LONG SHORT INTEREST RATE STRATEGY FUND
RYDEX INTERNATIONAL EQUITY FUNDS
RYDEX EMERGING MARKETS 2x STRATEGY FUND
RYDEX INVERSE EMERGING MARKETS 2x STRATEGY FUND
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| the GUGGENHEIM FUNDS SEMI-annual report | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for an extensive selection of our mutual funds (the “Funds”).
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
This report covers performance for the semiannual period ended September 30, 2012.
Rydex Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions; as of the date of this report we offer a wide range of domestic and global themes in our funds and a distinctive ETF line-up.
To learn more about economic and market conditions affecting the six months ending September 30, 2012, we encourage you to read the Economic and Market Overview section of the report. That and the six-month performance of each Fund follow this letter.
Sincerely,
Donald C. Cacciapaglia
President
October 31, 2012
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 guggenheiminvestments.com or call 800.820.0888.
| 2 | the GUGGENHEIM FUNDS SEMI-annual report |
| Economic and market overview | September 30, 2012 |
Amidst the negative headlines concerning the potential fiscal cliff in the U.S., further turmoil in Europe and worsening economic data from China, the U.S. economy has shown surprising resilience, with signs of rising consumer sentiment and a recovery in housing. The U.S. housing market appears to have passed its bottom and real estate prices have begun to pick up. Our expectation is that a period of continued low interest rates will likely reinforce the rise in home prices and sales. Rising home prices will increase household net worth, which will translate into greater consumption via the wealth effect, and is supportive of overall economic growth. The recent rise in headline inflation, led by increases in energy and food prices, is likely to be transitory. Inflationary pressures should remain muted in the medium-term given the substantial slack in the economy.
The U.S. economy continues to press forward despite the current headwinds, and we believe the current macroeconomic environment remains constructive for risk assets, especially in the U.S. Stocks in the U.S. appear to be undervalued by most measures, and should benefit from continued capital inflow and the Federal Reserve’s accommodative monetary policy. We continue to see attractive value in credit products on a relative basis. This positive outlook for fixed income, however, is limited to spread (or non-government) sectors. Treasury prices, particularly in the ten-year segment, appear rich. As a result, Treasuries are not a significant holding in the portfolios.
On the international front, uncertainty continues to weigh on European markets. European policymakers appear to be coming closer to a consensus on the need for a fiscal union, albeit at a glacial pace. This would be a positive development in our view and is necessary for a resolution of the current crisis. In China, a recent batch of economic data suggests that the odds of a hard landing have increased materially. We expect an announcement of additional stimulus measures after the government transition next year, but not on the scale of the previous round of stimulus from 2009. Although a stimulus would be supportive of economic growth, we expect China’s headline growth to slow from its breakneck pace of the past decade.
For the period covered by this report, the broad U.S. stock and bond markets have been, much like the economy, slowly moving up. The Standard & Poor’s 500 Index (the “S&P 500”)*, which is generally regarded as an indicator of the broad U.S. stock market, closed at a four-year high during September, and for the period returned 3.43% (all returns cited are for the 6-month period ended September 30, 2012). Foreign equity markets were weaker. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index*, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned -0.70%. The MSCI Emerging Markets Index*, which measures stock market performance in global emerging markets, returned -1.84%.
The search for yield continued to attract investors to the U.S. bond market, helping performance, with lower-rated bonds outperforming higher-quality issues. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, returned 3.68%, while return of the Barclays U.S. Corporate High Yield Index* was 6.45%.
Reflecting the Federal Reserve’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06%.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
All indices described are unmanaged and reflect no expenses. It is not possible to invest directly in any index.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Standard & Poor’s 500 Index (the “S&P 500”) is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
| the GUGGENHEIM FUNDS SEMI-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 per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%–in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| | | Index | | | 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 GUGGENHEIM FUNDS SEMI-annual report |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2012 and ending September 30, 2012.
The following tables illustrate a Fund’s costs in two ways:
Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| the GUGGENHEIM FUNDS SEMI-annual report | 5 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | (3.39 | %) | | $ | 1,000.00 | | | | $ 966.10 | | | $ | 8.06 | |
| C-Class | | | 2.39 | % | | | (3.74 | %) | | | 1,000.00 | | | | 962.60 | | | | 11.73 | |
| H-Class | | | 1.64 | % | | | (3.45 | %) | | | 1,000.00 | | | | 965.50 | | | | 8.06 | |
| Institutional Class | | | 1.39 | % | | | (3.23 | %) | | | 1,000.00 | | | | 967.70 | | | | 6.84 | |
| | | | | | | | | | | | | | | | | | | | | |
| Event Driven and Distressed Strategies Fund4 | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.90 | % | | | 3.71 | % | | | 1,000.00 | | | | 1,037.10 | | | | 9.68 | |
| C-Class | | | 2.65 | % | | | 3.36 | % | | | 1,000.00 | | | | 1,033.60 | | | | 13.47 | |
| H-Class | | | 1.90 | % | | | 3.71 | % | | | 1,000.00 | | | | 1,037.10 | | | | 9.68 | |
| Institutional Class | | | 1.65 | % | | | 3.81 | % | | | 1,000.00 | | | | 1,038.10 | | | | 8.41 | |
| | | | | | | | | | | | | | | | | | | | | |
| Long Short Interest Rate Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | (3.23 | %) | | | 1,000.00 | | | | 967.70 | | | | 7.28 | |
| C-Class | | | 2.23 | % | | | (3.61 | %) | | | 1,000.00 | | | | 963.90 | | | | 10.95 | |
| H-Class | | | 1.48 | % | | | (3.23 | %) | | | 1,000.00 | | | | 967.70 | | | | 7.28 | |
| Institutional Class | | | 1.23 | % | | | (3.13 | %) | | | 1,000.00 | | | | 968.70 | | | | 6.05 | |
| | | | | | | | | | | | | | | | | | | | | |
| Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.69 | % | | | (13.16 | %) | | | 1,000.00 | | | | 868.40 | | | | 7.89 | |
| C-Class | | | 2.43 | % | | | (13.57 | %) | | | 1,000.00 | | | | 864.30 | | | | 11.33 | |
| H-Class | | | 1.68 | % | | | (13.22 | %) | | | 1,000.00 | | | | 867.80 | | | | 7.84 | |
| | | | | | | | | | | | | | | | | | | | | |
| Inverse Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 3.58 | % | | | 1,000.00 | | | | 1,035.80 | | | | 8.55 | |
| C-Class | | | 2.44 | % | | | 3.36 | % | | | 1,000.00 | | | | 1,033.60 | | | | 12.40 | |
| H-Class | | | 1.67 | % | | | 3.53 | % | | | 1,000.00 | | | | 1,035.30 | | | | 8.50 | |
| 6 | the GUGGENHEIM FUNDS SEMI-annual report |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.64 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,016.80 | | | $ | 8.27 | |
| C-Class | | | 2.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.05 | | | | 12.03 | |
| H-Class | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.27 | |
| Institutional Class | | | 1.39 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.05 | | | | 7.01 | |
| | | | | | | | | | | | | | | | | | | | |
| Event Driven and Distressed Strategies Fund4 | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.90 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.50 | | | | 9.57 | |
| C-Class | | | 2.65 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,011.75 | | | | 13.33 | |
| H-Class | | | 1.90 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.50 | | | | 9.57 | |
| Institutional Class | | | 1.65 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.75 | | | | 8.32 | |
| | | | | | | | | | | | | | | | | | | | | |
| Long Short Interest Rate Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| C-Class | | | 2.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.85 | | | | 11.23 | |
| H-Class | | | 1.48 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.47 | |
| Institutional Class | | | 1.23 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.85 | | | | 6.21 | |
| | | | | | | | | | | | | | | | | | | | | |
| Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.69 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.52 | |
| C-Class | | | 2.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.85 | | | | 12.23 | |
| H-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.60 | | | | 8.47 | |
| | | | | | | | | | | | | | | | | | | | | |
| Inverse Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.60 | | | | 8.47 | |
| C-Class | | | 2.44 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.80 | | | | 12.28 | |
| H-Class | | | 1.67 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.65 | | | | 8.42 | |
| 2 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period March 31, 2012 to September 30, 2012. |
| 4 | Excludes expenses of the underlying funds in which the Fund invests. |
| the GUGGENHEIM FUNDS SEMI-annual report | 7 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
U.S. Long short momentum FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | March 31, 2004 |
| C-Class | March 22, 2002 |
| H-Class | March 22, 2002 |
| Institutional Class | November 30, 2011 |
| Ten Largest Long Holdings (% of Total Net Assets) |
| Tempur-Pedic International, Inc. | | | 1.1 | % |
| AOL, Inc. | | | 1.1 | % |
| Ariad Pharmaceuticals, Inc. | | | 1.1 | % |
| SBA Communications Corp. — Class A | | | 1.0 | % |
| Myriad Genetics, Inc. | | | 1.0 | % |
| Yahoo!, Inc. | | | 1.0 | % |
| Incyte Corporation Ltd. | | | 1.0 | % |
| VeriSign, Inc. | | | 1.0 | % |
| Hasbro, Inc. | | | 1.0 | % |
| Leggett & Platt, Inc. | | | 1.0 | % |
| Top Ten Total | | | 10.3 | % |
“Ten Largest Long Holdings” exclude any temporary cash or derivative investments.
| 8 | the GUGGENHEIM FUNDS SEMI-annual report |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| U.S. Long short momentum fund | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 65.3% | | | | | | | | |
| | | | | | | | | |
| CONSUMER DISCRETIONARY - 19.7% | | | | | | | | |
| Tempur-Pedic International, Inc.*,1 | | | 27,374 | | | $ | 818,209 | |
| Hasbro, Inc.1 | | | 20,109 | | | | 767,561 | |
| Leggett & Platt, Inc.1 | | | 30,419 | | | | 761,996 | |
| Jarden Corp.1 | | | 14,399 | | | | 760,843 | |
| Washington Post Co. — Class B1 | | | 2,094 | | | | 760,185 | |
| Morningstar, Inc.1 | | | 12,125 | | | | 759,510 | |
| Newell Rubbermaid, Inc.1 | | | 39,555 | | | | 755,105 | |
| Cablevision Systems Corp. — Class A1 | | | 47,466 | | | | 752,336 | |
| Mohawk Industries, Inc.*,1 | | | 9,390 | | | | 751,388 | |
| Whirlpool Corp.1 | | | 9,055 | | | | 750,750 | |
| Harman International Industries, Inc.1 | | | 16,095 | | | | 742,945 | |
| Cinemark Holdings, Inc.1 | | | 33,086 | | | | 742,119 | |
| NVR, Inc.*,1 | | | 875 | | | | 738,937 | |
| Tupperware Brands Corp.1 | | | 13,774 | | | | 738,149 | |
| John Wiley & Sons, Inc. — Class A1 | | | 16,051 | | | | 737,543 | |
| Lennar Corp. — Class A1 | | | 20,813 | | | | 723,668 | |
| DR Horton, Inc.1 | | | 34,715 | | | | 716,518 | |
| Toll Brothers, Inc.*,1 | | | 21,265 | | | | 706,636 | |
| Genuine Parts Co.1 | | | 8,907 | | | | 543,594 | |
| Staples, Inc.1 | | | 30,710 | | | | 353,779 | |
| Clear Channel Outdoor Holdings, | | | | | | | | |
| Inc. — Class A1 | | | 32,252 | | | | 192,867 | |
| Williams-Sonoma, Inc.1 | | | 3,847 | | | | 169,153 | |
| Total Consumer Discretionary | | | | | | | 14,743,791 | |
| | | | | | | | | |
| Information Technology - 12.3% | | | | | | | | |
| AOL, Inc.*,1 | | | 22,421 | | | | 789,891 | |
| Yahoo!, Inc.*,1 | | | 48,147 | | | | 769,147 | |
| VeriSign, Inc.*,1 | | | 15,782 | | | | 768,425 | |
| Rackspace Hosting, Inc.*,1 | | | 11,529 | | | | 761,952 | |
| eBay, Inc.*,1 | | | 15,713 | | | | 760,666 | |
| Booz Allen Hamilton Holding Corp.1 | | | 54,888 | | | | 760,199 | |
| Google, Inc. — Class A*,1 | | | 1,007 | | | | 759,782 | |
| Broadridge Financial Solutions, Inc.1 | | | 32,544 | | | | 759,252 | |
| Akamai Technologies, Inc.*,1 | | | 19,625 | | | | 750,853 | |
| IAC/InterActiveCorp1 | | | 14,323 | | | | 745,655 | |
| SAIC, Inc.1 | | | 61,862 | | | | 744,818 | |
| Equinix, Inc.*,1 | | | 2,632 | | | | 542,324 | |
| LinkedIn Corp. — Class A*,1 | | | 2,304 | | | | 277,402 | |
| Total Information Technology | | | | | | | 9,190,366 | |
| | | | | | | | | |
| Health Care - 12.1% | | | | | | | | |
| Ariad Pharmaceuticals, Inc.*,1 | | | 32,559 | | | | 788,742 | |
| Myriad Genetics, Inc.*,1 | | | 28,598 | | | | 771,860 | |
| Incyte Corporation Ltd.*,1,2 | | | 42,591 | | | | 768,768 | |
| Amgen, Inc.1 | | | 9,004 | | | | 759,217 | |
| Alexion Pharmaceuticals, Inc.*,1 | | | 6,625 | | | | 757,900 | |
| Celgene Corp.*,1 | | | 9,911 | | | | 757,200 | |
| BioMarin Pharmaceutical, Inc.*,1 | | | 18,750 | | | | 755,063 | |
| Vertex Pharmaceuticals, Inc.*,1 | | | 13,414 | | | | 750,513 | |
| Gilead Sciences, Inc.*,1 | | | 11,215 | | | | 743,891 | |
| Biogen Idec, Inc.*,1 | | | 4,938 | | | | 736,898 | |
| United Therapeutics Corp.*,1 | | | 13,125 | | | | 733,425 | |
| LifePoint Hospitals, Inc.*,1 | | | 16,339 | | | | 698,982 | |
| Regeneron Pharmaceuticals, Inc.*,1 | | | 387 | | | | 59,079 | |
| Total Health Care | | | | | | | 9,081,538 | |
| | | | | | | | | |
| Financials - 8.2% | | | | | | | | |
| Valley National Bancorp1 | | | 75,699 | | | | 758,504 | |
| CommonWealth REIT1 | | | 51,693 | | | | 752,650 | |
| MFA Financial, Inc.1 | | | 88,168 | | | | 749,429 | |
| Ares Capital Corp.1 | | | 43,600 | | | | 747,304 | |
| Hatteras Financial Corp.1 | | | 25,775 | | | | 726,597 | |
| Annaly Capital Management, Inc.1 | | | 43,126 | | | | 726,242 | |
| Chimera Investment Corp.1 | | | 260,251 | | | | 705,280 | |
| Bank of Hawaii Corp.1 | | | 12,386 | | | | 565,049 | |
| American National Insurance Co.1 | | | 2,651 | | | | 190,421 | |
| Alexander & Baldwin, Inc.*,1 | | | 6,324 | | | | 186,748 | |
| Total Financials | | | | | | | 6,108,224 | |
| | | | | | | | | |
| Industrials - 7.1% | | | | | | | | |
| L-3 Communications Holdings, Inc.1 | | | 10,486 | | | | 751,951 | |
| Armstrong World Industries, Inc.1 | | | 16,174 | | | | 749,988 | |
| Fortune Brands Home & Security, Inc.*,1 | | | 27,374 | | | | 739,372 | |
| Owens Corning*,1 | | | 21,945 | | | | 734,280 | |
| Lennox International, Inc.1 | | | 15,133 | | | | 731,832 | |
| Masco Corp.1 | | | 48,566 | | | | 730,918 | |
| MSC Industrial Direct Company, | | | | | | | | |
| Inc. — Class A1 | | | 10,395 | | | | 701,247 | |
| MRC Global, Inc.*,1 | | | 7,616 | | | | 187,277 | |
| Total Industrials | | | | | | | 5,326,865 | |
| | | | | | | | | |
| Materials - 2.9% | | | | | | | | |
| International Flavors & Fragrances, Inc.1 | | | 10,531 | | | | 627,437 | |
| RPM International, Inc.1 | | | 19,141 | | | | 546,284 | |
| Huntsman Corp.1 | | | 22,833 | | | | 340,897 | |
| MeadWestvaco Corp.1 | | | 8,912 | | | | 272,708 | |
| Domtar Corp.1 | | | 2,784 | | | | 217,959 | |
| Cabot Corp.1 | | | 2,025 | | | | 74,054 | |
| Scotts Miracle-Gro Co. — Class A1 | | | 1,215 | | | | 52,816 | |
| Total Materials | | | | | | | 2,132,155 | |
| | | | | | | | | |
| Telecommunication Services - 2.3% | | | | | | | | |
| SBA Communications Corp. — Class A*,1 | | | 12,328 | | | | 775,431 | |
| Telephone & Data Systems, Inc.1 | | | 29,596 | | | | 757,954 | |
| United States Cellular Corp.*,1 | | | 4,855 | �� | | | 189,976 | |
| Total Telecommunication Services | | | | | | | 1,723,361 | |
| | | | | | | | | |
| Utilities - 0.4% | | | | | | | | |
| Aqua America, Inc.1 | | | 11,795 | | | | 292,044 | |
| | | | | | | | | |
| Consumer Staples - 0.3% | | | | | | | | |
| Safeway, Inc.1,2 | | | 16,160 | | | | 260,029 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $47,346,491) | | | | | | | 48,858,373 | |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 9 |
| SCHEDULE OF INVESTMENTS (Unaudited) (continued) | September 30, 2012 |
| U.S. Long short momentum fund | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,3 - 3.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 1,474,230 | | | $ | 1,474,230 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 848,213 | | | | 848,213 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 483,883 | | | | 483,883 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,806,326) | | | | | | | 2,806,326 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.7% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 257,884 | | | | 257,884 | |
| Merrill Lynch, Pierce, Fenner & | | | | | | | | |
| Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 253,791 | | | | 253,791 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $511,675) | | | | | | | 511,675 | |
| Total Long Investments - 69.7% | | | | | | | | |
| (Cost $50,664,492) | | | | | | | 52,176,374 | |
| | | Shares | | | | |
| COMMON STOCKS SOLD SHORT† - (27.7)% | | | | | | | | |
| | | | | | | | | |
| Financials - (0.3)% | | | | | | | | |
| Citigroup, Inc. | | | 6,616 | | | | (216,476 | ) |
| | | | | | | | | |
| Consumer Staples - (2.1)% | | | | | | | | |
| Green Mountain Coffee Roasters, Inc.* | | | 15,802 | | | | (375,298 | ) |
| Estee Lauder Companies, Inc. — Class A | | | 6,146 | | | | (378,409 | ) |
| Herbalife Ltd. | | | 8,272 | | | | (392,093 | ) |
| Nu Skin Enterprises, Inc. — Class A | | | 10,280 | | | | (399,172 | ) |
| Total Consumer Staples | | | | | | | (1,544,972 | ) |
| | | | | | | | | |
| Materials - (2.6)% | | | | | | | | |
| Cliffs Natural Resources, Inc. | | | 2,971 | | | | (116,255 | ) |
| Allied Nevada Gold Corp.* | | | 7,903 | | | | (308,691 | ) |
| Walter Energy, Inc. | | | 11,653 | | | | (378,256 | ) |
| Freeport-McMoRan Copper & Gold, Inc. | | | 9,599 | | | | (379,929 | ) |
| Newmont Mining Corp. | | | 6,853 | | | | (383,837 | ) |
| Royal Gold, Inc. | | | 4,029 | | | | (402,336 | ) |
| Total Materials | | | | | | | (1,969,304 | ) |
| | | | | | | | | |
| Health Care - (2.8)% | | | | | | | | |
| Endo Health Solutions, Inc.* | | | 3,292 | | | | (104,422 | ) |
| Salix Pharmaceuticals Ltd.* | | | 8,759 | | | | (370,856 | ) |
| Warner Chilcott plc — Class A | | | 28,469 | | | | (384,332 | ) |
| Watson Pharmaceuticals, Inc.* | | | 4,538 | | | | (386,456 | ) |
| Cerner Corp.* | | | 5,043 | | | | (390,379 | ) |
| Allscripts Healthcare Solutions, Inc.* | | | 35,006 | | | | (435,124 | ) |
| Total Health Care | | | | | | | (2,071,569 | ) |
| | | | | | | | | |
| Industrials - (2.9)% | | | | | | | | |
| Verisk Analytics, Inc. — Class A* | | | 441 | | | | (20,996 | ) |
| Expeditors International of | | | | | | | | |
| Washington, Inc. | | | 1,451 | | | | (52,758 | ) |
| IHS, Inc. — Class A* | | | 2,472 | | | | (240,649 | ) |
| Towers Watson & Co. — Class A | | | 7,041 | | | | (373,525 | ) |
| United Parcel Service, Inc. — Class B | | | 5,236 | | | | (374,741 | ) |
| Dun & Bradstreet Corp. | | | 4,710 | | | | (375,010 | ) |
| Hertz Global Holdings, Inc.* | | | 27,404 | | | | (376,257 | ) |
| FedEx Corp. | | | 4,463 | | | | (377,659 | ) |
| Total Industrials | | | | | | | (2,191,595 | ) |
| | | | | | | | | |
| Consumer Discretionary - (7.6)% | | | | | | | | |
| TripAdvisor, Inc.* | | | 11,184 | | | | (368,289 | ) |
| Priceline.com, Inc.* | | | 597 | | | | (369,382 | ) |
| JC Penney Company, Inc. | | | 15,296 | | | | (371,540 | ) |
| BorgWarner, Inc.* | | | 5,402 | | | | (373,332 | ) |
| Expedia, Inc. | | | 6,491 | | | | (375,439 | ) |
| Fossil, Inc.* | | | 4,446 | | | | (376,576 | ) |
| Goodyear Tire & Rubber Co.* | | | 31,007 | | | | (377,975 | ) |
| Amazon.com, Inc.* | | | 1,495 | | | | (380,208 | ) |
| Service Corporation International | | | 28,288 | | | | (380,756 | ) |
| Netflix, Inc.* | | | 7,014 | | | | (381,843 | ) |
| Visteon Corp.* | | | 8,618 | | | | (383,157 | ) |
| DeVry, Inc. | | | 16,891 | | | | (384,439 | ) |
| Weight Watchers International, Inc. | | | 7,292 | | | | (385,018 | ) |
| H&R Block, Inc. | | | 22,263 | | | | (385,818 | ) |
| Apollo Group, Inc. — Class A* | | | 13,420 | | | | (389,851 | ) |
| Total Consumer Discretionary | | | | | | | (5,683,623 | ) |
| | | | | | | | | |
| Information Technology - (9.4)% | | | | | | | | |
| Marvell Technology Group Ltd. | | | 2,825 | | | | (25,849 | ) |
| Rovi Corp.* | | | 2,710 | | | | (39,322 | ) |
| Texas Instruments, Inc. | | | 4,683 | | | | (129,017 | ) |
| Teradyne, Inc.* | | | 9,424 | | | | (134,009 | ) |
| Apple, Inc. | | | 267 | | | | (178,158 | ) |
| IPG Photonics Corp.* | | | 3,501 | | | | (200,607 | ) |
| PMC - Sierra, Inc.* | | | 44,603 | | | | (251,561 | ) |
| Atmel Corp.* | | | 69,050 | | | | (363,203 | ) |
| Acme Packet, Inc.* | | | 21,527 | | | | (368,112 | ) |
| Micron Technology, Inc.* | | | 61,811 | | | | (369,939 | ) |
| LSI Corp.* | | | 53,602 | | | | (370,390 | ) |
| NVIDIA Corp.* | | | 28,141 | | | | (375,401 | ) |
| Lam Research Corp.* | | | 11,851 | | | | (376,684 | ) |
| Cree, Inc.* | | | 14,776 | | | | (377,231 | ) |
| Broadcom Corp. — Class A | | | 10,916 | | | | (377,475 | ) |
| Skyworks Solutions, Inc.* | | | 16,051 | | | | (378,242 | ) |
| Salesforce.com, Inc.* | | | 2,481 | | | | (378,824 | ) |
| 10 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2012 |
| U.S. Long short momentum fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Intel Corp. | | | 16,745 | | | $ | (379,777 | ) |
| Zynga, Inc. — Class A* | | | 133,816 | | | | (380,037 | ) |
| ON Semiconductor Corp.* | | | 61,863 | | | | (381,695 | ) |
| Advanced Micro Devices, Inc.* | | | 115,049 | | | | (387,715 | ) |
| Freescale Semiconductor Ltd.* | | | 41,242 | | | | (392,211 | ) |
| Avago Technologies Ltd. | | | 11,432 | | | | (398,576 | ) |
| Total Information Technology | | | | | | | (7,014,035 | ) |
| Total Common Stock Sold Short | | | | | | | | |
| (Proceeds $20,411,786) | | | | | | $ | (20,691,574 | ) |
| Other Assets & Liabilities, net - 58.0% | | | | | | | 43,395,942 | |
| Total Net Assets - 100.0% | | | | | | $ | 74,880,742 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or a portion of this security is pledged as short security collateral at September 30, 2012. |
| 2 | All or portion of this security is on loan at September 30, 2012 — See Note 10. |
| 3 | Repurchase Agreements — See Note 5. |
| 4 | Securities lending collateral — See Note 10.
plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 11 |
| U.S. Long short momentum fund |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets | | | | |
| Investments, at value - including $501,212 of | | | | |
| securities loaned | | | | |
| (cost $47,858,166) | | $ | 49,370,048 | |
| Repurchase agreements, at value | | | | |
| (cost $2,806,326) | | | 2,806,326 | |
| Total investments | | | | |
| (cost $50,664,492) | | | 52,176,374 | |
| Cash | | | 2,525 | |
| Receivables: | | | | |
| Securities sold | | | 84,600,819 | |
| Dividends | | | 175,367 | |
| Fund shares sold | | | 7,761 | |
| Interest | | | 756 | |
| Total assets | | | 136,963,602 | |
| Liabilities: | | | | |
| Securities sold short, at value | | | | |
| (proceeds $20,411,786) | | | 20,691,574 | |
| Payable for: | | | | |
| Securities purchased | | | 40,656,792 | |
| Payable upon return of securities loaned | | | 511,675 | |
| Fund shares redeemed | | | 82,647 | |
| Management fees | | | 53,417 | |
| Distribution and service fees | | | 30,044 | |
| Transfer agent and administrative fees | | | 14,838 | |
| Portfolio accounting fees | | | 5,935 | |
| Miscellaneous | | | 35,938 | |
| Total liabilities | | | 62,082,860 | |
| Net assets | | $ | 74,880,742 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 152,319,260 | |
| Accumulated net investment loss | | | (19,839 | ) |
| Accumulated net realized loss on investments | | | (78,650,773 | ) |
| Net unrealized appreciation on investments | | | 1,232,094 | |
| Net assets | | $ | 74,880,742 | |
| A-Class: | | | | |
| Net assets | | $ | 14,154,672 | |
| Capital shares outstanding | | | 1,103,245 | |
| Net asset value per share | | $ | 12.83 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.47 | |
| C-Class: | | | | |
| Net assets | | $ | 26,871,374 | |
| Capital shares outstanding | | | 2,267,798 | |
| Net asset value per share | | $ | 11.85 | |
| H-Class: | | | | |
| Net assets | | $ | 33,844,287 | |
| Capital shares outstanding | | | 2,628,848 | |
| Net asset value per share | | $ | 12.87 | |
| Institutional Class: | | | | |
| Net assets | | $ | 10,409 | |
| Capital shares outstanding | | | 807 | |
| Net asset value per share | | $ | 12.90 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 863,366 | |
| Interest | | | 3,567 | |
| Income from securities lending, net | | | 718 | |
| Total investment income | | | 867,651 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 409,365 | |
| Transfer agent and administrative fees | | | 113,712 | |
| Distribution and service fees: | | | | |
| A-Class | | | 18,922 | |
| C-Class | | | 145,619 | |
| H-Class | | | 58,373 | |
| Portfolio accounting fees | | | 45,484 | |
| Custodian fees | | | 8,590 | |
| Trustees’ fees* | | | 8,074 | |
| Miscellaneous | | | 46,519 | |
| Total expenses | | | 854,658 | |
| Net investment income | | | 12,993 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 8,629,236 | |
| Futures contracts | | | (2,036,347 | ) |
| Net realized gain | | | 6,592,889 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (9,918,449 | ) |
| Securities sold short | | | (279,788 | ) |
| Futures contracts | | | 212,043 | |
| Net change in unrealized appreciation (depreciation) | | | (9,986,194 | ) |
| Net realized and unrealized loss | | | (3,393,305 | ) |
| Net decrease in net assets resulting from operations | | $ | (3,380,312 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 12 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| U.S. Long short momentum fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 12,993 | | | $ | (31,700 | ) |
| Net realized gain (loss) on investments | | | 6,592,889 | | | | (1,222,219 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (9,986,194 | ) | | | (11,338,590 | ) |
| Net decrease in net assets resulting from operations | | | (3,380,312 | ) | | | (12,592,509 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 2,758,058 | | | | 7,600,825 | |
| C-Class | | | 144,647 | | | | 1,083,648 | |
| H-Class | | | 2,894,743 | | | | 27,684,775 | |
| Institutional Class | | | — | | | | 10,000 | * |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (4,569,096 | ) | | | (14,808,494 | ) |
| C-Class | | | (4,564,683 | ) | | | (14,982,720 | ) |
| H-Class | | | (22,014,345 | ) | | | (53,424,983 | ) |
| Institutional Class | | | — | | | | — | * |
| Net decrease from capital share transactions | | | (25,350,676 | ) | | | (46,836,949 | ) |
| Net decrease in net assets | | | (28,730,988 | ) | | | (59,429,458 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 103,611,730 | | | | 163,041,188 | |
| End of period | | $ | 74,880,742 | | | $ | 103,611,730 | |
| Accumulated net investment loss at end of period | | $ | (19,839 | ) | | $ | (32,832 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 214,152 | | | | 581,398 | |
| C-Class | | | 12,061 | | | | 85,372 | |
| H-Class | | | 222,974 | | | | 2,126,165 | |
| Institutional Class | | | �� | | | | 807 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (354,022 | ) | | | (1,120,843 | ) |
| C-Class | | | (384,273 | ) | | | (1,224,264 | ) |
| H-Class | | | (1,690,605 | ) | | | (4,118,953 | ) |
| Institutional Class | | | — | | | | — | * |
| Net decrease in shares | | | (1,979,713 | ) | | | (3,670,318 | ) |
* Since commencement of operations: November 30, 2011–Institutional Class.
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 13 |
| U.S. Long short momentum fund |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.28 | | | $ | 14.28 | | | $ | 12.59 | | | $ | 8.62 | | | $ | 13.45 | | | $ | 14.08 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .02 | | | | .03 | | | | (.04 | ) | | | (.07 | ) | | | .01 | | | | (.01 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.47 | ) | | | (1.03 | ) | | | 1.73 | | | | 4.04 | | | | (4.84 | ) | | | .30 | |
| Total from investment operations | | | (.45 | ) | | | (1.00 | ) | | | 1.69 | | | | 3.97 | | | | (4.83 | ) | | | .29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .01 | |
| Net asset value, end of period | | $ | 12.83 | | | $ | 13.28 | | | $ | 14.28 | | | $ | 12.59 | | | $ | 8.62 | | | $ | 13.45 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (3.39 | %) | | | (7.00 | %) | | | 13.42 | % | | | 46.06 | % | | | (35.91 | %) | | | 1.50 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 14,155 | | | $ | 16,510 | | | $ | 25,447 | | | $ | 36,231 | | | $ | 31,925 | | | $ | 49,148 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.29 | % | | | 0.21 | % | | | (0.33 | %) | | | (0.62 | %) | | | 0.13 | % | | | (0.08 | %) |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.71 | % | | | 1.68 | % | | | 1.69 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 98 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % | | | 278 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.31 | | | $ | 13.33 | | | $ | 11.85 | | | $ | 8.17 | | | $ | 12.85 | | | $ | 13.58 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment lossb | | | (.03 | ) | | | (.07 | ) | | | (.13 | ) | | | (.14 | ) | | | (.07 | ) | | | (.12 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.43 | ) | | | (.95 | ) | | | 1.61 | | | | 3.82 | | | | (4.61 | ) | | | .31 | |
| Total from investment operations | | | (.46 | ) | | | (1.02 | ) | | | 1.48 | | | | 3.68 | | | | (4.68 | ) | | | .19 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .01 | |
| Net asset value, end of period | | $ | 11.85 | | | $ | 12.31 | | | $ | 13.33 | | | $ | 11.85 | | | $ | 8.17 | | | $ | 12.85 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (3.74 | %) | | | (7.65 | %) | | | 12.49 | % | | | 45.04 | % | | | (36.42 | %) | | | 0.81 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26,871 | | | $ | 32,503 | | | $ | 50,381 | | | $ | 64,918 | | | $ | 57,792 | | | $ | 115,136 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.47 | %) | | | (0.54 | %) | | | (1.08 | %) | | | (1.37 | %) | | | (0.66 | %) | | | (0.80 | %) |
| Total expenses | | | 2.39 | % | | | 2.41 | % | | | 2.46 | % | | | 2.43 | % | | | 2.44 | % | | | 2.41 | % |
| Portfolio turnover rate | | | 98 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % | | | 278 | % |
| 14 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| U.S. Long short momentum fund |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.33 | | | $ | 14.32 | | | $ | 12.63 | | | $ | 8.65 | | | $ | 13.49 | | | $ | 14.12 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | .02 | | | | .03 | | | | (.04 | ) | | | (.07 | ) | | | (— | )e | | | (.02 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (.48 | ) | | | (1.02 | ) | | | 1.73 | | | | 4.05 | | | | (4.84 | ) | | | .31 | |
| Total from investment operations | | | (.46 | ) | | | (.99 | ) | | | 1.69 | | | | 3.98 | | | | (4.84 | ) | | | .29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (.93 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .01 | |
| Net asset value, end of period | | $ | 12.87 | | | $ | 13.33 | | | $ | 14.32 | | | $ | 12.63 | | | $ | 8.65 | | | $ | 13.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (3.45 | %) | | | (6.91 | %) | | | 13.38 | % | | | 46.01 | % | | | (35.88 | %) | | | 1.50 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 33,844 | | | $ | 54,589 | | | $ | 87,212 | | | $ | 99,418 | | | $ | 76,080 | | | $ | 178,949 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.26 | % | | | 0.20 | % | | | (0.31 | %) | | | (0.63 | %) | | | (0.01 | %) | | | (0.13 | %) |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.70 | % | | | 1.68 | % | | | 1.68 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 98 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % | | | 278 | % |
| | | Period Ended | | | Period Ended | |
| | | September 30, | | | March 31, | |
| Institutional Class | | 2012a | | | 2012f | |
| Per Share Data | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.33 | | | $ | 12.39 | |
| Income (loss) from investment operations: | | | | | | | | |
| Net investment incomeb | | | .04 | | | | .06 | |
| Net gain (loss) on investments | | | | | | | | |
| (realized and unrealized) | | | (.47 | ) | | | .88 | |
| Total from investment operations | | | (.43 | ) | | | .94 | |
| Net asset value, end of period | | $ | 12.90 | | | $ | 13.33 | |
| | | | | | | | | |
| Total Returnd | | | (3.23 | %) | | | 7.59 | % |
| Ratios/Supplemental Data | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10 | | | $ | 11 | |
| Ratios to average net assets: | | | | | | | | |
| Net investment income | | | 0.55 | % | | | 1.29 | % |
| Total expenses | | | 1.39 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 98 | % | | | 190 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Redemption fees collected are less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| e | Net investment loss is less than $0.01 per share. |
| f | Since commencement of operations: November 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 15 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
OBJECTIVE: Seeks to achieve capital growth.
Holdings Diversification (Market Exposure as % of Net Assets)
Event Driven and
Distressed Strategies Fund
“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 exchange traded funds and derivative investments such as swap agreements and futures contracts.
| 16 | the GUGGENHEIM FUNDS SEMI-annual report |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES fund | |
| | | Shares | | | Value | |
| | | | | | | |
| EXCHANGE TRADED FUNDS† - 11.2% | | | | | | | | |
| iShares iBoxx $ High Yield | | | | | | | | |
| Corporate Bond Fund1 | | | 11,000 | | | $ | 1,016,070 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $1,022,672) | | | | | | | 1,016,070 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 88.6% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 3,644,737 | | | | 3,644,737 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 2,097,037 | | | | 2,097,037 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 1,196,303 | | | | 1,196,303 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/123 | | | 1,096,202 | | | | 1,096,202 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $8,034,279) | | | | | | | 8,034,279 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 5.8% | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 09/28/12 at 0.24% | | | | | | | | |
| due 10/01/12 | | | 262,646 | | | | 262,646 | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | | |
| issued 09/28/12 at 0.15% | | | | | | | | |
| due 10/01/12 | | | 258,479 | | | | 258,479 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $521,125) | | | | | | | 521,125 | |
| Total Investments - 105.6% | | | | | | | | |
| (Cost $9,578,076) | | | | | | $ | 9,571,474 | |
| Other Assets & Liabilities, net - (5.6)% | | | | | | | (503,694 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 9,067,780 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $917,620) | | | 11 | | | $ | (11,146 | ) |
| | | Units | | | | |
| CORPORATE BOND INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Credit Suisse Capital LLC | | | | | | | | |
| October 2012 iShares iBoxx | | | | | | | | |
| High Yield Corporate Bond | | | | | | | | |
| Fund Index Swap, | | | | | | | | |
| Terminating 10/31/125 | | | | | | | | |
| (Notional Value $7,391,078) | | | 80,016 | | | $ | (29,748 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | All or portion of this security is on loan at September 30, 2012 — See Note 10. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | All or a portion of this security is pledged as corporate bond index swap collateral at September 30, 2012. |
| 4 | Securities lending collateral — See Note 10. |
| 5 | Total Return based on iShares iBoxx High Yield Corporate Bond Fund Index +/- financing at a variable rate. |
| See Notes to Financial Statements. | THE GUGGENHEIM FUNDS SEMI-annual report | 17 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES fund |
| STATEMENT OF ASSETS |
| AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value - including $508,035 of | | | | |
| securities loaned | | | | |
| (cost $1,543,797) | | $ | 1,537,195 | |
| Repurchase agreements, at value | | | | |
| (cost $8,034,279) | | | 8,034,279 | |
| Total investments | | | | |
| (cost $9,578,076) | | | 9,571,474 | |
| Segregated cash with broker | | | 73,041 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,500 | |
| Investment advisor | | | 914 | |
| Interest | | | 108 | |
| Total assets | | | 9,647,037 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 29,748 | |
| Payable for: | | | | |
| Payable upon return of securities loaned | | | 521,125 | |
| Variation margin | | | 7,040 | |
| Management fees | | | 5,833 | |
| Distribution and service fees | | | 2,165 | |
| Transfer agent and administrative fees | | | 1,620 | |
| Portfolio accounting fees | | | 648 | |
| Fund shares redeemed | | | 22 | |
| Miscellaneous | | | 11,056 | |
| Total liabilities | | | 579,257 | |
| Net assets | | $ | 9,067,780 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 9,405,927 | |
| Accumulated net investment loss | | | (84,334 | ) |
| Accumulated net realized loss on investments | | | (206,317 | ) |
| Net unrealized depreciation on investments | | | (47,496 | ) |
| Net assets | | $ | 9,067,780 | |
| A-Class: | | | | |
| Net assets | | $ | 1,330,316 | |
| Capital shares outstanding | | | 50,570 | |
| Net asset value per share | | $ | 26.31 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 27.62 | |
| C-Class: | | | | |
| Net assets | | $ | 1,166,891 | |
| Capital shares outstanding | | | 45,201 | |
| Net asset value per share | | $ | 25.82 | |
| H-Class: | | | | |
| Net assets | | $ | 5,721,454 | |
| Capital shares outstanding | | | 217,478 | |
| Net asset value per share | | $ | 26.31 | |
| Institutional Class: | | | | |
| Net assets | | $ | 849,119 | |
| Capital shares outstanding | | | 32,088 | |
| Net asset value per share | | $ | 26.46 | |
| STATEMENT OF |
| OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends | | $ | 46,514 | |
| Interest | | | 4,825 | |
| Income from securities lending, net | | | 3 | |
| Total investment income | | | 51,342 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 40,869 | |
| Transfer agent and administrative fees | | | 11,352 | |
| Distribution and service fees: | | | | |
| A-Class | | | 2,347 | |
| C-Class | | | 4,969 | |
| H-Class | | | 7,353 | |
| Portfolio accounting fees | | | 4,541 | |
| Licensing fees | | | 16,482 | |
| Trustees’ fees* | | | 971 | |
| Custodian fees | | | 815 | |
| Miscellaneous | | | 4,222 | |
| Total expenses | | | 93,921 | |
| Less: | | | | |
| Expenses waived by Advisor | | | (4,359 | ) |
| Net expenses | | | 89,562 | |
| Net investment loss | | | (38,220 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 69,883 | |
| Swap agreements | | | 350,568 | |
| Futures contracts | | | 21,965 | |
| Net realized gain | | | 442,416 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (77,763 | ) |
| Swap agreements | | | (17,380 | ) |
| Futures contracts | | | (11,146 | ) |
| Net change in unrealized appreciation (depreciation) | | | (106,289 | ) |
| Net realized and unrealized gain | | | 336,127 | |
| Net increase in net assets resulting from operations | | $ | 297,907 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 18 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| EVENT DRIVEN AND DISTRESSED STRATEGIES fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (38,220 | ) | | $ | (227,787 | ) |
| Net realized gain (loss) on investments | | | 442,416 | | | | (648,862 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (106,289 | ) | | | (114,048 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 297,907 | | | | (990,697 | ) |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | — | | | | (123,350 | ) |
| C-Class | | | — | | | | (34,259 | ) |
| H-Class | | | — | | | | (195,843 | ) |
| Institutional Class | | | — | | | | (7,071 | ) |
| Total distributions to shareholders | | | — | | | | (360,523 | ) |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 631,252 | | | | 9,458,376 | |
| C-Class | | | 288,371 | | | | 503,350 | |
| H-Class | | | 1,266,117 | | | | 12,381,886 | |
| Institutional Class | | | 568,359 | | | | 303,221 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 120,912 | |
| C-Class | | | — | | | | 32,777 | |
| H-Class | | | — | | | | 195,843 | |
| Institutional Class | | | — | | | | 7,071 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,946,447 | ) | | | (17,938,484 | ) |
| C-Class | | | (173,086 | ) | | | (770,952 | ) |
| H-Class | | | (1,943,957 | ) | | | (14,678,435 | ) |
| Institutional Class | | | (50,676 | ) | | | (33,231 | ) |
| Net decrease from capital share transactions | | | (1,360,067 | ) | | | (10,417,666 | ) |
| Net decrease in net assets | | | (1,062,160 | ) | | | (11,768,886 | ) |
| Net assets: | | | | | | | | |
| Beginning of period | | | 10,129,940 | | | | 21,898,826 | |
| End of period | | $ | 9,067,780 | | | $ | 10,129,940 | |
| Accumulated net investment loss at end of period | | $ | (84,334 | ) | | $ | (46,114 | ) |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 24,257 | | | | 358,306 | |
| C-Class | | | 11,284 | | | | 19,545 | |
| H-Class | | | 49,494 | | | | 468,085 | |
| Institutional Class | | | 21,153 | | | | 11,688 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 4,947 | |
| C-Class | | | — | | | | 1,358 | |
| H-Class | | | — | | | | 8,013 | |
| Institutional Class | | | — | | | | 288 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (75,990 | ) | | | (692,503 | ) |
| C-Class | | | (6,996 | ) | | | (31,104 | ) |
| H-Class | | | (75,753 | ) | | | (563,225 | ) |
| Institutional Class | | | (1,988 | ) | | | (1,250 | ) |
| Net decrease in shares | | | (54,539 | ) | | | (415,852 | ) |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 19 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES fund |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.37 | | | $ | 26.86 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.07 | ) | | | (.37 | ) | | | (.33 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.01 | | | | (.36 | ) | | | 4.27 | |
| Total from investment operations | | | .94 | | | | (.73 | ) | | | 3.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 26.31 | | | $ | 25.37 | | | $ | 26.86 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.71 | % | | | (2.60 | %) | | | 16.24 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,330 | | | $ | 2,595 | | | $ | 11,591 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.55 | %) | | | (1.43 | %) | | | (1.65 | %) |
| Total expensese | | | 1.99 | % | | | 1.93 | % | | | 2.03 | % |
| Net expensesf | | | 1.90 | % | | | 1.85 | % | | | 1.89 | % |
| Portfolio turnover rate | | | 151 | % | | | 513 | % | | | — | |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.99 | | | $ | 26.67 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.21 | ) | | | (.52 | ) | | | (.48 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.04 | | | | (.40 | ) | | | 4.23 | |
| Total from investment operations | | | .83 | | | | (.92 | ) | | | 3.75 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 25.82 | | | $ | 24.99 | | | $ | 26.67 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.36 | % | | | (3.38 | %) | | | 15.46 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,167 | | | $ | 1,022 | | | $ | 1,363 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.65 | %) | | | (2.04 | %) | | | (2.42 | %) |
| Total expensese | | | 2.75 | % | | | 2.66 | % | | | 2.79 | % |
| Net expensesf | | | 2.65 | % | | | 2.60 | % | | | 2.65 | % |
| Portfolio turnover rate | | | 151 | % | | | 513 | % | | | — | |
| 20 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| EVENT DRIVEN AND DISTRESSED STRATEGIES fund |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.37 | | | $ | 26.86 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.10 | ) | | | (.34 | ) | | | (.33 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.04 | | | | (.39 | ) | | | 4.27 | |
| Total from investment operations | | | .94 | | | | (.73 | ) | | | 3.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 26.31 | | | $ | 25.37 | | | $ | 26.86 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.71 | % | | | (2.60 | %) | | | 16.24 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,721 | | | $ | 6,183 | | | $ | 8,886 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.80 | %) | | | (1.33 | %) | | | (1.67 | %) |
| Total expensese | | | 2.00 | % | | | 1.91 | % | | | 2.04 | % |
| Net expensesf | | | 1.90 | % | | | 1.85 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 151 | % | | | 513 | % | | | — | |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| Institutional Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.49 | | | $ | 26.91 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.09 | ) | | | (.23 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.06 | | | | (.43 | ) | | | 4.26 | |
| Total from investment operations | | | .97 | | | | (.66 | ) | | | 3.99 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 26.46 | | | $ | 25.49 | | | $ | 26.91 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.81 | % | | | (2.34 | %) | | | 16.45 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 849 | | | $ | 329 | | | $ | 59 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.71 | %) | | | (0.90 | %) | | | (1.42 | %) |
| Total expensese | | | 1.75 | % | | | 1.61 | % | | | 1.79 | % |
| Net expensesf | | | 1.65 | % | | | 1.58 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 151 | % | | | 513 | % | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| 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 | Does not include expenses of the underlying funds in which the Fund invests. |
| f | Net expense information reflects the expense ratios after expense waivers. |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 21 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
LONG SHORT INTEREST RATE STRATEGY FUND
OBJECTIVE: Seeks to maximize total return by taking advantage of price movements in the U.S. Treasury bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“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.
| 22 | the GUGGENHEIM FUNDS SEMI-annual report |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| LONG SHORT INTEREST RATE STRATEGY fund | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| FEDERAL AGENCY NOTES†† - 44.2% | | | | | | | | |
| Federal Home Loan Bank1 | | | | | | | | |
| 0.20% due 12/28/12 | | $ | 15,290,000 | | | $ | 15,290,734 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $15,289,857) | | | | | | | 15,290,734 | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 24.3% | | | | | | | | |
| Federal Home Loan Bank1 | | | | | | | | |
| 0.12% due 10/22/12 | | | 8,412,000 | | | | 8,411,899 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $8,411,436) | | | | | | | 8,411,899 | |
| REPURCHASE AGREEMENTS††,2 - 31.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 5,807,703 | | | | 5,807,703 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 3,341,521 | | | | 3,341,521 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 1,906,248 | | | | 1,906,248 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $11,055,472) | | | | | | | 11,055,472 | |
| Total Investments - 100.4% | | | | | | | | |
| (Cost $34,756,765) | | | | | | $ | 34,758,105 | |
| Other Assets & Liabilities, net - (0.4)% | | | | | | | (140,522 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 34,617,583 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 U.S. Treasury Ultra Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $6,453,281) | | | 39 | | | $ | 4,818 | |
| December 2012 U.S. Treasury Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $7,174,500) | | | 48 | | | | (3,145 | ) |
| December 2012 U.S. Treasury 2 Year | �� | | | | | | | |
| Note Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $26,463,750) | | | 120 | | | | (10,682 | ) |
| December 2012 U.S. Treasury 10 Year | | | | | | | | |
| Note Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $8,813,063) | | | 66 | | | | (30,780 | ) |
| December 2012 U.S. Treasury 5 Year | | | | | | | | |
| Note Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $22,062,773) | | | 177 | | | | (35,109 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $70,967,367) | | | | | | $ | (74,898 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 2 | Repurchase Agreements — See Note 5. |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 23 |
| LONG SHORT INTEREST RATE STRATEGY fund |
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $23,701,293) | | $ | 23,702,633 | |
| Repurchase agreements, at value | | | | |
| (cost $11,055,472) | | | 11,055,472 | |
| Total investments | | | | |
| (cost $34,756,765) | | | 34,758,105 | |
| Segregated cash with broker | | | 503,100 | |
| Receivables: | | | | |
| Interest | | | 8,048 | |
| Fund shares sold | | | 592 | |
| Total assets | | | 35,269,845 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 546,510 | |
| Management fees | | | 24,966 | |
| Variation margin | | | 17,579 | |
| Distribution and service fees | | | 10,010 | |
| Transfer agent and administrative fees | | | 8,322 | |
| Portfolio accounting fees | | | 3,329 | |
| Miscellaneous | | | 41,546 | |
| Total liabilities | | | 652,262 | |
| Net assets | | $ | 34,617,583 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 48,398,678 | |
| Accumulated net investment loss | | | (785,273 | ) |
| Accumulated net realized loss on investments | | | (12,922,264 | ) |
| Net unrealized depreciation on investments | | | (73,558 | ) |
| Net assets | | $ | 34,617,583 | |
| A-Class: | | | | |
| Net assets | | $ | 13,393,974 | |
| Capital shares outstanding | | | 580,596 | |
| Net asset value per share | | $ | 23.07 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 24.22 | |
| C-Class: | | | | |
| Net assets | | $ | 6,749,551 | |
| Capital shares outstanding | | | 297,569 | |
| Net asset value per share | | $ | 22.68 | |
| H-Class: | | | | |
| Net assets | | $ | 5,688,416 | |
| Capital shares outstanding | | | 246,584 | |
| Net asset value per share | | $ | 23.07 | |
| Institutional Class: | | | | |
| Net assets | | $ | 8,785,642 | |
| Capital shares outstanding | | | 378,797 | |
| Net asset value per share | | $ | 23.19 | |
| STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2012
| Investment Income: | | | | |
| Interest | | $ | 55,791 | |
| Total investment income | | | 55,791 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 263,121 | |
| Transfer agent and administrative fees | | | 87,707 | |
| Distribution and service fees: | | | | |
| A-Class | | | 25,553 | |
| C-Class | | | 46,676 | |
| H-Class | | | 18,456 | |
| Portfolio accounting fees | | | 35,082 | |
| Registration fees | | | 34,216 | |
| Trustees’ fees* | | | 8,281 | |
| Custodian fees | | | 6,370 | |
| Miscellaneous | | | (2,752 | ) |
| Total expenses | | | 522,710 | |
| Net investment loss | | | (466,919 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 269 | |
| Futures contracts | | | (130,584 | ) |
| Net realized loss | | | (130,315 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (6,068 | ) |
| Futures contracts | | | (2,272,025 | ) |
| Net change in unrealized appreciation (depreciation) | | | (2,278,093 | ) |
| Net realized and unrealized loss | | | (2,408,408 | ) |
| Net decrease in net assets resulting from operations | | $ | (2,875,327 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 24 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| LONG SHORT INTEREST RATE STRATEGY fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (466,919 | ) | | $ | (1,777,946 | ) |
| Net realized loss on investments | | | (130,315 | ) | | | (9,591,081 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,278,093 | ) | | | 2,528,478 | |
| Net decrease in net assets resulting from operations | | | (2,875,327 | ) | | | (8,840,549 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 1,143,584 | | | | 23,645,537 | |
| C-Class | | | 71,688 | | | | 7,494,316 | |
| H-Class | | | 1,433,435 | | | | 25,597,870 | |
| Institutional Class | | | 1,118,125 | | | | 28,451,019 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (12,484,221 | ) | | | (46,966,821 | ) |
| C-Class | | | (5,352,160 | ) | | | (9,100,331 | ) |
| H-Class | | | (13,432,015 | ) | | | (51,941,799 | ) |
| Institutional Class | | | (28,159,963 | ) | | | (26,789,213 | ) |
| Net decrease from capital share transactions | | | (55,661,527 | ) | | | (49,609,422 | ) |
| Net decrease in net assets | | | (58,536,854 | ) | | | (58,449,971 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 93,154,437 | | | | 151,604,408 | |
| End of period | | $ | 34,617,583 | | | $ | 93,154,437 | |
| Accumulated net investment loss at end of period | | $ | (785,273 | ) | | $ | (318,354 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 49,424 | | | | 978,397 | |
| C-Class | | | 3,128 | | | | 310,507 | |
| H-Class | | | 61,949 | | | | 1,063,468 | |
| Institutional Class | | | 47,930 | | | | 1,177,662 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (539,706 | ) | | | (1,986,372 | ) |
| C-Class | | | (234,539 | ) | | | (389,005 | ) |
| H-Class | | | (580,330 | ) | | | (2,190,686 | ) |
| Institutional Class | | | (1,211,439 | ) | | | (1,128,561 | ) |
| Net decrease in shares | | | (2,403,583 | ) | | | (2,164,590 | ) |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-annual report | 25 |
| LONG SHORT INTEREST RATE STRATEGY fund |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.85 | | | $ | 24.97 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.15 | ) | | | (.31 | ) | | | (.26 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.63 | ) | | | (.81 | ) | | | .50 | |
| Total from investment operations | | | (.78 | ) | | | (1.12 | ) | | | .24 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | (.27 | ) |
| Total distributions | | | — | | | | — | | | | (.27 | ) |
| Net asset value, end of period | | $ | 23.07 | | | $ | 23.85 | | | $ | 24.97 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (3.23 | %) | | | (4.53 | %) | | | 0.92 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 13,394 | | | $ | 25,536 | | | $ | 51,915 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.32 | %) | | | (1.32 | %) | | | (1.35 | %) |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.54 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.53 | | | $ | 24.83 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.24 | ) | | | (.49 | ) | | | (.40 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.61 | ) | | | (.81 | ) | | | .50 | |
| Total from investment operations | | | (.85 | ) | | | (1.30 | ) | | | .10 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | (.27 | ) |
| Total distributions | | | — | | | | — | | | | (.27 | ) |
| Net asset value, end of period | | $ | 22.68 | | | $ | 23.53 | | | $ | 24.83 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (3.61 | %) | | | (5.24 | %) | | | 0.36 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,750 | | | $ | 12,449 | | | $ | 15,086 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (2.07 | %) | | | (2.06 | %) | | | (2.12 | %) |
| Total expenses | | | 2.23 | % | | | 2.26 | % | | | 2.30 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| 26 | the GUGGENHEIM FUNDS SEMI-annual report | See Notes to Financial Statements. |
| LONG SHORT INTEREST RATE STRATEGY fund |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.84 | | | $ | 24.97 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.15 | ) | | | (.32 | ) | | | (.26 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | (.81 | ) | | | .50 | |
| Total from investment operations | | | (.77 | ) | | | (1.13 | ) | | | .24 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | (.27 | ) |
| Total distributions | | | — | | | | — | | | | (.27 | ) |
| Net asset value, end of period | | $ | 23.07 | | | $ | 23.84 | | | $ | 24.97 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (3.23 | %) | | | (4.53 | %) | | | 0.92 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,688 | | | $ | 18,240 | | | $ | 47,252 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.32 | %) | | | (1.32 | %) | | | (1.36 | %) |
| Total expenses | | | 1.48 | % | | | 1.51 | % | | | 1.54 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| Institutional Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.94 | | | $ | 25.01 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.12 | ) | | | (.25 | ) | | | (.21 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.63 | ) | | | (.82 | ) | | | .49 | |
| Total from investment operations | | | (.75 | ) | | | (1.07 | ) | | | .28 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | (.27 | ) |
| Total distributions | | | — | | | | — | | | | (.27 | ) |
| Net asset value, end of period | | $ | 23.19 | | | $ | 23.94 | | | $ | 25.01 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (3.13 | %) | | | (4.28 | %) | | | 1.08 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,786 | | | $ | 36,929 | | | $ | 37,351 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.07 | %) | | | (1.06 | %) | | | (1.13 | %) |
| Total expenses | | | 1.23 | % | | | 1.25 | % | | | 1.30 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| 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. |
| See Notes to Financial Statements. | THE GUGGENHEIM FUNDS SEMI-annual report | 27 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, 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.
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 | | | October 29, 2010 |
| C-Class | | | October 29, 2010 |
| H-Class | | | October 29, 2010 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Taiwan Semiconductor Manufacturing | | | | |
| Company Ltd. ADR | | | 3.8 | % |
| China Mobile Ltd. ADR | | | 3.8 | % |
| Petroleo Brasileiro S.A. ADR — Class A | | | 3.1 | % |
| America Movil SAB de CV ADR | | | 3.0 | % |
| Petroleo Brasileiro S.A. ADR | | | 2.5 | % |
| Vale S.A. Preferred ADR | | | 2.4 | % |
| Itau Unibanco Holding S.A. ADR | | | 2.3 | % |
| CNOOC Ltd. ADR | | | 2.1 | % |
| Baidu, Inc. ADR | | | 2.1 | % |
| Banco Bradesco S.A. ADR | | | 2.0 | % |
| Top Ten Total | | | 27.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 28 | the GUGGENHEIM FUNDS SEMI-annual report |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 58.6% | | | | | | | | |
| | | | | | | | | |
| ENERGY - 13.6% | | | | | | | | |
| Petroleo Brasileiro S.A. ADR — Class A | | | 6,898 | | | $ | 152,240 | |
| Petroleo Brasileiro S.A. ADR | | | 5,342 | | | | 122,546 | |
| CNOOC Ltd. ADR | | | 521 | | | | 105,622 | |
| PetroChina Company Ltd. ADR | | | 684 | | | | 88,345 | |
| Sasol Ltd. ADR | | | 1,642 | | | | 73,200 | |
| China Petroleum & Chemical Corp. ADR | | | 550 | | | | 50,831 | |
| Ecopetrol S.A. ADR | | | 799 | | | | 47,085 | |
| Ultrapar Participacoes S.A. ADR | | | 1,350 | | | | 30,119 | |
| Total Energy | | | | | | | 669,988 | |
| | | | | | | | | |
| TELECOMMUNICATION SERVICES - 11.0% | | | | | | | | |
| China Mobile Ltd. ADR | | | 3,387 | | | | 187,505 | |
| America Movil SAB de CV ADR | | | 5,819 | | | | 148,035 | |
| Chunghwa Telecom Company Ltd. ADR | | | 1,252 | | | | 39,750 | |
| Telekomunikasi Indonesia Persero | | | | | | | | |
| Tbk PT ADR | | | 806 | | | | 31,378 | |
| Mobile Telesystems OJSC ADR | | | 1,641 | | | | 28,750 | |
| China Telecom Corporation Ltd. ADR | | | 455 | | | | 26,376 | |
| China Unicom Hong Kong Ltd. ADR | | | 1,383 | | | | 22,557 | |
| Telefonica Brasil S.A. ADR | | | 951 | | | | 20,675 | |
| Philippine Long Distance | | | | | | | | |
| Telephone Co. ADR | | | 270 | | | | 17,823 | |
| SK Telecom Company Ltd. ADR | | | 1,154 | | | | 16,779 | |
| Total Telecommunication Services | | | | | | | 539,628 | |
| | | | | | | | | |
| FINANCIALS - 9.7% | | | | | | | | |
| Itau Unibanco Holding S.A. ADR | | | 7,394 | | | | 112,980 | |
| Banco Bradesco S.A. ADR | | | 6,198 | | | | 99,602 | |
| China Life Insurance Company Ltd. ADR | | | 1,625 | | | | 70,476 | |
| Shinhan Financial Group | | | | | | | | |
| Company Ltd. ADR | | | 768 | | | | 51,564 | |
| HDFC Bank Ltd. ADR | | | 1,242 | | | | 46,674 | |
| KB Financial Group, Inc. ADR | | | 1,244 | | | | 43,901 | |
| ICICI Bank Ltd. ADR | | | 921 | | | | 36,969 | |
| Bancolombia S.A. ADR | | | 278 | | | | 16,599 | |
| Total Financials | | | | | | | 478,765 | |
| | | | | | | | | |
| MATERIALS – 9.3% | | | | | | | | |
| Vale S.A. Preferred ADR | | | 6,833 | | | | 118,621 | |
| POSCO ADR | | | 1,074 | | | | 87,574 | |
| Vale S.A. ADR | | | 4,327 | | | | 77,453 | |
| AngloGold Ashanti Ltd. ADR | | | 1,251 | | | | 43,847 | |
| Gold Fields Ltd. ADR | | | 2,361 | | | | 30,339 | |
| Cemex SAB de CV ADR* | | | 3,459 | | | | 28,813 | |
| Gerdau S.A. ADR | | | 2,929 | | | | 27,855 | |
| Cia de Minas Buenaventura S.A. ADR | | | 609 | | | | 23,727 | |
| Sociedad Quimica y Minera de Chile | | | | | | | | |
| S.A. ADR | | | 292 | | | | 17,999 | |
| Total Materials | | | | | | | 456,228 | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY - 8.1% | | | | | | | | |
| Taiwan Semiconductor Manufacturing | | | | | | | | |
| Company Ltd. ADR | | | 11,912 | | | | 188,449 | |
| Baidu, Inc. ADR* | | | 876 | | | | 102,334 | |
| Infosys Ltd. ADR | | | 1,555 | | | | 75,480 | |
| LG Display Company Ltd. ADR* | | | 1,438 | | | | 18,076 | |
| United Microelectronics Corp. ADR | | | 7,882 | | | | 16,158 | |
| Total Information Technology | | | | | | | 400,497 | |
| | | | | | | | | |
| CONSUMER STAPLES - 4.6% | | | | | | | | |
| Cia de Bebidas das Americas ADR | | | 2,442 | | | | 93,455 | |
| Fomento Economico Mexicano | | | | | | | | |
| SAB de CV ADR | | | 616 | | | | 56,660 | |
| BRF - Brasil Foods S.A. ADR | | | 2,184 | | | | 37,783 | |
| Cia Brasileira de Distribuicao Grupo | | | | | | | | |
| Pao de Acucar ADR | | | 461 | | | | 20,796 | |
| Cencosud S.A. ADR | | | 1,029 | | | | 18,882 | |
| Total Consumer Staples | | | | | | | 227,576 | |
| | | | | | | | | |
| UTILITIES - 1.2% | | | | | | | | |
| Korea Electric Power Corp. ADR* | | | 1,776 | | | | 22,057 | |
| Cia Energetica de Minas Gerais ADR | | | 1,573 | | | | 19,065 | |
| Empresa Nacional de Electricidad | | | | | | | | |
| S.A. ADR | | | 358 | | | | 17,170 | |
| Total Utilities | | | | | | | 58,292 | |
| | | | | | | | | |
| CONSUMER DISCRETIONARY - 0.6% | | | | | | | | |
| Grupo Televisa SAB ADR | | | 1,301 | | | | 30,587 | |
| | | | | | | | | |
| INDUSTRIALS - 0.5% | | | | | | | | |
| Latam Airlines Group S.A. ADR | | | 1,003 | | | | 25,356 | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,809,599) | | | | | | | 2,886,917 | |
| | | Face
Amount | | | | |
| REPURCHASE AGREEMENTS††,1 - 80.8% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | $ | 1,761,151 | | | | 1,761,151 | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 1,165,353 | | | | 1,165,353 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 670,498 | | | | 670,498 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 382,501 | | | | 382,501 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $3,979,503) | | | | | | | 3,979,503 | |
| Total Investments - 139.4% | | | | | | | | |
| (Cost $6,789,102) | | | | | | $ | 6,866,420 | |
| Other Assets & Liabilities, net - (39.4)% | | | | | | | (1,939,755 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 4,926,665 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| | | Contracts | | | Unrealized
Gain (Loss) | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 MSCI Emerging Markets | | | | | | | | |
| Index Mini | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $845,325) | | | 17 | | | $ | (3,322 | ) |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 BNY | | | | | | | | |
| Mellon Emerging Markets | | | | | | | | |
| 50 ADR Index Swap, | | | | | | | | |
| Terminating 10/29/123 | | | | | | | | |
| (Notional Value $7,806,036) | | | 3,166 | | | $ | 67,458 | |
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 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 3 | Total Return based on BNY Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. |
ADR — American Depositary Receipt
| 30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EMERGING MARKETS 2x STRATEGY FUND | |
| | |
| STATEMENT OF ASSETS | |
| AND LIABILITIES (Unaudited) | |
| September 30, 2012 | |
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $2,809,599) | | $ | 2,886,917 | |
| Repurchase agreements, at value | | | | |
| (cost $3,979,503) | | | 3,979,503 | |
| Total investments | | | | |
| (cost $6,789,102) | | | 6,866,420 | |
| Unrealized appreciation on swap agreements | | | 67,458 | |
| Segregated cash with broker | | | 44,200 | |
| Receivable for swap settlement | | | 39,352 | |
| Cash | | | 50 | |
| Receivables: | | | | |
| Fund shares sold | | | 149,514 | |
| Variation margin | | | 13,892 | |
| Dividends | | | 8,151 | |
| Interest | | | 47 | |
| Total assets | | | 7,189,084 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,254,683 | |
| Management fees | | | 3,598 | |
| Distribution and service fees | | | 1,055 | |
| Transfer agent and administrative fees | | | 999 | |
| Portfolio accounting fees | | | 400 | |
| Miscellaneous | | | 1,684 | |
| Total liabilities | | | 2,262,419 | |
| Net Assets | | $ | 4,926,665 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 6,158,445 | |
| Accumulated net investment loss | | | (23,865 | ) |
| Accumulated net realized loss on investments | | | (1,349,369 | ) |
| Net unrealized appreciation on investments | | | 141,454 | |
| Net assets | | $ | 4,926,665 | |
| A-class: | | | | |
| Net assets | | $ | 256,145 | |
| Capital shares outstanding | | | 16,876 | |
| Net asset value per share | | $ | 15.18 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 15.94 | |
| C-class: | | | | |
| Net assets | | $ | 117,280 | |
| Capital shares outstanding | | | 7,773 | |
| Net asset value per share | | $ | 15.09 | |
| H-class: | | | | |
| Net assets | | $ | 4,553,240 | |
| Capital shares outstanding | | | 298,920 | |
| Net asset value per share | | $ | 15.23 | |
| STATEMENT OF | | | |
| OPERATIONS (Unaudited) | | | |
| Period ended September 30, 2012 | | | |
| | | | |
| Investment income: | | | | |
| Dividends (net of foreign withholding tax of $421) | | $ | 23,434 | |
| Interest | | | 1,183 | |
| Total investment income | | | 24,617 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 15,688 | |
| Transfer agent and administrative fees | | | 4,358 | |
| Distribution and service fees: | | | | |
| A-class | | | 289 | |
| C-class | | | 890 | |
| H-Class | | | 3,847 | |
| Portfolio accounting fees | | | 1,743 | |
| Licensing fees | | | 2,960 | |
| Custodian fees | | | 436 | |
| Trustees’ fees* | | | 290 | |
| Miscellaneous | | | 1,738 | |
| Total expenses | | | 32,239 | |
| Less: | | | | |
| Expenses waived by advisor | | | (2,263 | ) |
| Net expenses | | | 29,976 | |
| Net investment loss | | | (5,359 | ) |
| | | | | |
| Net realized and unrealized gain (loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (100,884 | ) |
| Swap agreements | | | (774,910 | ) |
| Futures contracts | | | (98,638 | ) |
| Net realized loss | | | (974,432 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 33,441 | |
| Swap agreements | | | 262,692 | |
| Futures contracts | | | (3,322 | ) |
| Net change in unrealized appreciation (depreciation) | | | 292,811 | |
| Net realized and unrealized loss | | | (681,621 | ) |
| Net decrease in net assets resulting from operations | | $ | (686,980 | ) |
* 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
| EMERGING MARKETS 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (5,359 | ) | | $ | (18,506 | ) |
| Net realized loss on investments | | | (974,432 | ) | | | (274,258 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 292,811 | | | | (513,638 | ) |
| Net decrease in net assets resulting from operations | | | (686,980 | ) | | | (806,402 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | — | | | | (1,547 | ) |
| C-Class | | | — | | | | (1,676 | ) |
| H-Class | | | — | | | | (191,123 | ) |
| Total distributions to shareholders | | | — | | | | (194,346 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 249,484 | | | | 2,133,102 | |
| C-Class | | | 12,065,560 | | | | 67,533,983 | |
| H-Class | | | 50,985,896 | | | | 112,547,354 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 1,547 | |
| C-Class | | | — | | | | 1,676 | |
| H-Class | | | — | | | | 189,012 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (295,655 | ) | | | (2,733,563 | ) |
| C-Class | | | (11,911,583 | ) | | | (68,198,547 | ) |
| H-Class | | | (50,618,511 | ) | | | (110,758,822 | ) |
| Net increase from capital share transactions | | | 475,191 | | | | 715,742 | |
| Net decrease in net assets | | | (211,789 | ) | | | (285,006 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 5,138,454 | | | | 5,423,460 | |
| End of period | | $ | 4,926,665 | | | $ | 5,138,454 | |
| Accumulated net investment loss at end of period | | $ | (23,865 | ) | | $ | (18,506 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 17,503 | | | | 93,188 | |
| C-Class | | | 835,809 | | | | 3,321,992 | |
| H-Class | | | 3,542,103 | | | | 5,747,087 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 110 | |
| C-Class | | | — | | | | 119 | |
| H-Class | | | — | | | | 13,358 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (21,422 | ) | | | (109,307 | ) |
| C-Class | | | (831,583 | ) | | | (3,345,630 | ) |
| H-Class | | | (3,511,768 | ) | | | (5,629,413 | ) |
| Net increase in shares | | | 30,642 | | | | 91,504 | |
| 32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| 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 | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.48 | | | $ | 26.95 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.01 | ) | | | (— | )d | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.29 | ) | | | (8.35 | ) | | | 2.08 | |
| Total from investment operations | | | (2.30 | ) | | | (8.35 | ) | | | 1.95 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 15.18 | | | $ | 17.48 | | | $ | 26.95 | |
| | | | | | | | | | | | | |
| Total Returne | | | (13.16 | %) | | | (30.00 | %) | | | 7.80 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 256 | | | $ | 363 | | | $ | 992 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.07 | %) | | | (0.01 | %) | | | (1.42 | %) |
| Total expenses | | | 1.82 | % | | | 1.77 | % | | | 1.85 | % |
| Net expensesf | | | 1.69 | % | | | 1.69 | % | | | 1.73 | % |
| Portfolio turnover rate | | | 183 | % | | | 883 | % | | | 58 | % |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.46 | | | $ | 26.83 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.11 | ) | | | (.18 | ) | | | (.31 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.26 | ) | | | (8.07 | ) | | | 2.14 | |
| Total from investment operations | | | (2.37 | ) | | | (8.25 | ) | | | 1.83 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 15.09 | | | $ | 17.46 | | | $ | 26.83 | |
| | | | | | | | | | | | | |
| Total Returne | | | (13.57 | %) | | | (29.75 | %) | | | 7.32 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 117 | | | $ | 62 | | | $ | 726 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.56 | %) | | | (0.87 | %) | | | (1.98 | %) |
| Total expenses | | | 2.56 | % | | | 2.54 | % | | | 2.60 | % |
| Net expensesf | | | 2.43 | % | | | 2.46 | % | | | 2.49 | % |
| Portfolio turnover rate | | | 183 | % | | | 883 | % | | | 58 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
| EMERGING MARKETS 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.55 | | | $ | 26.94 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.02 | ) | | | (.07 | ) | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.30 | ) | | | (8.20 | ) | | | 2.05 | |
| Total from investment operations | | | (2.32 | ) | | | (8.27 | ) | | | 1.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 15.23 | | | $ | 17.55 | | | $ | 26.94 | |
| | | | | | | | | | | | | |
| Total Returne | | | (13.22 | %) | | | (29.70 | %) | | | 7.76 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,553 | | | $ | 4,713 | | | $ | 3,705 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.25 | %) | | | (0.37 | %) | | | (1.05 | %) |
| Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.85 | % |
| Net expensesf | | | 1.68 | % | | | 1.69 | % | | | 1.74 | % |
| Portfolio turnover rate | | | 183 | % | | | 883 | % | | | 58 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: October 29, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| c | Net investment loss per share was computed using average shares outstanding throughout the period. |
| d | Net investment loss is less than $0.01 per share. |
| e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| f | Net expense information reflects the expense ratios after expense waivers. |
| 34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, 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.
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 | | | October 29, 2010 | |
| C-Class | | | October 29, 2010 | |
| H-Class | | | October 29, 2010 | |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 81.1% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | $ | 1,039,494 | | | $ | 1,039,494 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 09/28/12 at 0.17% | | | | | | | | |
| due 10/01/12 | | | 598,083 | | | | 598,083 | |
| Deutsche Bank | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | | 341,190 | | | | 341,190 | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/122 | | | 140,770 | | | | 140,770 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,119,537) | | | | | | | 2,119,537 | |
| Total Investments - 81.1% | | | | | | | | |
| (Cost $2,119,537) | | | | | | $ | 2,119,537 | |
| Other Assets & liabilities, net - 18.9% | | | | | | | 494,351 | |
| Total net Assets - 100.0% | | | | | | $ | 2,613,888 | |
| | | Contracts | | | Unrealized
Gain (loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 MSCI Emerging | | | | | | | | |
| Markets Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,828,825) | | | 77 | | | $ | 34,871 | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| October 2012 BNY | | | | | | | | |
| Mellon Emerging Markets | | | | | | | | |
| 50 ADR Index Swap, | | | | | | | | |
| Terminating 10/29/123 | | | | | | | | |
| (Notional Value $1,382,375) | | | 561 | | | $ | (8,238 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | Repurchase Agreements — See Note 5. |
| 2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2012. |
| 3 | Total Return based on BNY Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. |
| 36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| STATEMENT OF ASSETS | | | |
| AND LIABILITIES (Unaudited) | | | |
| September 30, 2012 | | | |
| | | | |
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $2,119,537) | | $ | 2,119,537 | |
| Segregated cash with broker | | | 187,200 | |
| Receivables: | | | | |
| Fund shares sold | | | 489,943 | |
| Variation margin | | | 30,430 | |
| Interest | | | 28 | |
| Total assets | | | 2,827,138 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 8,238 | |
| Overdraft due to custodian bank | | | 165 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 200,696 | |
| Management fees | | | 1,519 | |
| Distribution and service fees | | | 438 | |
| Transfer agent and administrative fees | | | 422 | |
| Portfolio accounting fees | | | 169 | |
| Miscellaneous | | | 1,603 | |
| Total liabilities | | | 213,250 | |
| Net assets | | $ | 2,613,888 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 3,817,503 | |
| Accumulated net investment loss | | | (31,053 | ) |
| Accumulated net realized loss on investments | | | (1,199,195 | ) |
| Net unrealized appreciation on investments | | | 26,633 | |
| Net assets | | $ | 2,613,888 | |
| A-class: | | | | |
| Net assets | | $ | 231,356 | |
| Capital shares outstanding | | | 11,588 | |
| Net asset value per share | | $ | 19.97 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 20.97 | |
| C-Class: | | | | |
| Net assets | | $ | 17,391 | |
| Capital shares outstanding | | | 831 | |
| Net asset value per share | | $ | 20.93 | |
| H-Class: | | | | |
| Net assets | | $ | 2,365,141 | |
| Capital shares outstanding | | | 118,462 | |
| Net asset value per share | | $ | 19.97 | |
| STATEMENT OF | | | |
| OPERATIONS (Unaudited) | | | |
| Period Ended September 30, 2012 | | | |
| | | | |
| Investment Income: | | | | |
| Interest | | $ | 1,298 | |
| Total investment income | | | 1,298 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 10,351 | |
| Transfer agent and administrative fees | | | 2,876 | |
| Distribution and service fees: | | | | |
| A-Class | | | 224 | |
| C-Class | | | 1,202 | |
| H-Class | | | 2,351 | |
| Portfolio accounting fees | | | 1,150 | |
| Licensing fees | | | 2,048 | |
| Custodian fees | | | 210 | |
| Trustees’ fees* | | | 209 | |
| Miscellaneous | | | 1,104 | |
| Total expenses | | | 21,725 | |
| Less: | | | | |
| Expenses waived by Advisor | | | (1,588 | ) |
| Net expenses | | | 20,137 | |
| Net investment loss | | | (18,839 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | 106,112 | |
| Futures contracts | | | (36,811 | ) |
| Net realized gain | | | 69,301 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (61,842 | ) |
| Futures contracts | | | 37,090 | |
| Net change in unrealized appreciation (depreciation) | | | (24,752 | ) |
| Net realized and unrealized gain | | | 44,549 | |
| Net increase in net assets resulting from operations | | $ | 25,710 | |
* 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (18,839 | ) | | $ | (57,122 | ) |
| Net realized gain (loss) on investments | | | 69,301 | | | | (953,332 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (24,752 | ) | | | 247,396 | |
| Net increase (decrease) in net assets resulting from operations | | | 25,710 | | | | (763,058 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 315,431 | | | | 648,870 | |
| C-Class | | | 21,002,970 | | | | 87,793,549 | |
| H-Class | | | 60,062,379 | | | | 73,854,823 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (40,155 | ) | | | (567,237 | ) |
| C-Class | | | (22,286,073 | ) | | | (86,340,121 | ) |
| H-Class | | | (59,950,877 | ) | | | (74,083,821 | ) |
| Net increase (decrease) from capital share transactions | | | (896,325 | ) | | | 1,306,063 | |
| Net increase (decrease) in net assets | | | (870,615 | ) | | | 543,005 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 3,484,503 | | | | 2,941,498 | |
| End of period | | $ | 2,613,888 | | | $ | 3,484,503 | |
| Accumulated net investment loss at end of period | | $ | (31,053 | ) | | $ | (12,214 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 12,906 | | | | 24,792 | |
| C-Class | | | 905,111 | | | | 3,786,907 | |
| H-Class | | | 2,700,011 | | | | 3,190,564 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,750 | ) | | | (25,988 | ) |
| C-Class | | | (966,557 | ) | | | (3,725,324 | ) |
| H-Class | | | (2,696,384 | ) | | | (3,212,511 | ) |
| Net increase (decrease) in shares | | | (46,663 | ) | | | 38,440 | |
| 38 | THE GUGGENHEIM FUNDS SEMI-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 | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| A-Class | | | 2012a | | | | 2012 | | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 19.29 | | | $ | 21.15 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.18 | ) | | | (.39 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .86 | | | | (1.47 | ) | | | (3.69 | ) |
| Total from investment operations | | | .68 | | | | (1.86 | ) | | | (3.85 | ) |
| Net asset value, end of period | | $ | 19.97 | | | $ | 19.29 | | | $ | 21.15 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.58 | % | | | (8.84 | %) | | | (15.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 231 | | | $ | 8 | | | $ | 34 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.56 | %) | | | (1.66 | %) | | | (1.61 | %) |
| Total expenses | | | 1.82 | % | | | 1.78 | % | | | 1.85 | % |
| Net expensese | | | 1.68 | % | | | 1.69 | % | | | 1.73 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 20.25 | | | $ | 21.33 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.26 | ) | | | (.55 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .94 | | | | (.53 | ) | | | (3.42 | ) |
| Total from investment operations | | | .68 | | | | (1.08 | ) | | | (3.67 | ) |
| Net asset value, end of period | | $ | 20.93 | | | $ | 20.25 | | | $ | 21.33 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.36 | % | | | (5.06 | %)f | | | (14.68 | %)f |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 17 | | | $ | 1,261 | | | $ | 15 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (2.35 | %) | | | (2.41 | %) | | | (2.37 | %) |
| Total expenses | | | 2.58 | % | | | 2.53 | % | | | 2.57 | % |
| Net expensese | | | 2.44 | % | | | 2.44 | % | | | 2.46 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Period Ended | |
| | | September 30, | | | March 31, | | | March 31, | |
| H-Class | | | 2012a | | | | 2012 | | | | 2011b | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 19.29 | | | $ | 21.15 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossc | | | (.17 | ) | | | (.38 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .85 | | | | (1.48 | ) | | | (3.69 | ) |
| Total from investment operations | | | .68 | | | | (1.86 | ) | | | (3.85 | ) |
| Net asset value, end of period | | $ | 19.97 | | | $ | 19.29 | | | $ | 21.15 | |
| | | | | | | | | | | | | |
| Total Returnd | | | 3.53 | % | | | (8.79 | %) | | | (15.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,365 | | | $ | 2,215 | | | $ | 2,892 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.56 | %) | | | (1.67 | %) | | | (1.63 | %) |
| Total expenses | | | 1.81 | % | | | 1.79 | % | | | 1.85 | % |
| Net expensese | | | 1.67 | % | | | 1.70 | % | | | 1.74 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Since commencement of operations: October 29, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| 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 | Generally, the performance of the Fund’s C-Class shares will under perform the Fund’s H-Class shares and A-Class shares due to the C-Class shares’ higher expense ratio. However, the performance of the Fund’s C-Class shares is greater than that of the H-Class shares and A-Class shares due to the impact large redemptions of C-Class shares had on the expense accruals for C-Class shares. The effect of the expense accruals on the performance of the C-Class shares of the Fund was magnified by the small asset base of the C-Class shares. |
| 40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS . |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers eight separate classes of shares, Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.
At September 30, 2012, the Trust consisted of fifty-six separate funds. This report covers the Alternatives Funds and the International Equity Funds (the “Funds”), while the other funds are contained in separate reports. Only A-Class, C-Class, H-Class and Institutional Class shares had been issued in the Funds.
Guggenheim Investments (“GI”) 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. GI, RFS and RDL are affiliated entities.
The International Equity 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 (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. The Trust calculates a NAV twice each business day, first in the morning and again in the afternoon for the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund. All other Funds in this report will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the September 30, 2012, 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, 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 Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00p.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 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.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition 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 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 GI under the
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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) using 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 discounts, 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. GAAP.
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. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account.
Fees, if any, paid to brokers to borrow securities in connection with short sales are 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 dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
E. 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.
F. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
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 or 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
| 42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
related to 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.
2. Financial Instruments
As part of their 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 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.
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund or an underlying fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
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.
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
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 GI, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile. As a result, the securities of emerging market issuers may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in securities of developed foreign countries. In addition, the risks associated with investing in a narrowly defined geographic area are generally more pronounced with respect to investments in emerging market countries. The Fund may also be subject to this risk with respect to its investments in derivatives or other securities or financial instruments whose returns are related to the returns of emerging market securities.
The 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. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
| | | Management Fees | |
| Fund | | (as a % of Net Assets) | |
| U.S. Long Short Momentum Fund | | | 0.90 | % |
| Event Driven and Distressed Strategies Fund | | | 0.90 | % |
| Long Short Interest Rate Strategy Fund | | | 0.75 | % |
| Emerging Markets 2x Strategy Fund | | | 0.90 | % |
| Inverse Emerging Markets 2x Strategy Fund | | | 0.90 | % |
GI has contractually agreed to reduce fees and/or reimburse expenses for the Event Driven and Distressed Strategies 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 August 1, 2013. 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.
For the period ended September 30, 2012, GI 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 also provides accounting services to the Funds for fees calculated at annualized rates below, based on the average daily net assets of each Fund.
| Fund Accounting Fees | | (as a % of net assets) | |
| On the first $250 million | | | 0.10 | % |
| On the next $250 million | | | 0.075 | % |
| On the next $250 million | | | 0.05 | % |
| Over $750 million | | | 0.03 | % |
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which 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
| 44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 September 30, 2012, RDL retained sales charges of $112,708 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments.
The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2012:
| | | Level 1 | | | Level 1 | | | Level 2 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Other Financial | | | Investments | | | Other Financial | | | Investments | | | | |
| | | In Securities | | | Instruments* | | | In Securities | | | Instruments* | | | In Securities | | | Total | |
| Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | $ | 48,858,373 | | | $ | — | | | $ | 3,318,001 | | | $ | — | | | $ | — | | | $ | 52,176,374 | |
| Event Driven and Distressed Strategies Fund | | | 1,016,070 | | | | — | | | | 8,555,404 | | | | — | | | | — | | | | 9,571,474 | |
| Long Short Interest Rate Strategy Fund | | | — | | | | 4,818 | | | | 34,758,105 | | | | — | | | | — | | | | 34,762,923 | |
| Emerging Markets 2x Strategy Fund | | | 2,886,917 | | | | — | | | | 3,979,503 | | | | 67,458 | | | | — | | | | 6,933,878 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 34,871 | | | | 2,119,537 | | | | — | | | | — | | | | 2,154,408 | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | $ | 20,691,574 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 20,691,574 | |
| Event Driven and Distressed Strategies Fund | | | — | | | | 11,146 | | | | — | | | | 29,748 | | | | — | | | | 40,894 | |
| Long Short Interest Rate Strategy Fund | | | — | | | | 79,716 | | | | — | | | | — | | | | — | | | | 79,716 | |
| Emerging Markets 2x Strategy Fund | | | — | | | | 3,322 | | | | — | | | | — | | | | — | | | | 3,322 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | 8,238 | | | | — | | | | 8,238 | |
* Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.
For the period ended September 30, 2012, there were no transfers between levels.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At September 30, 2012, 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 | |
| HSBC Group | | | | | | | | | | Federal Farm Credit Bank Notes | | | | | | | | |
| 0.17% | | | | | | | | | | 0.15% - 1.13% | | | | | | | | |
| Due 10/01/12 | | $ | 914,000,000 | | | $ | 914,012,948 | | | 01/06/14 - 02/27/14 | | $ | 422,477,000 | | | $ | 464,919,327 | |
| | | | | | | | | | | Freddie Mac Notes | | | | | | | | |
| | | | | | | | | | | 0.65% - 4.75% | | | | | | | | |
| | | | | | | | | | | 03/12/15 - 07/10/19 | | | 300,000,000 | | | | 302,288,410 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 3.13% | | | | | | | | |
| | | | | | | | | | | 11/15/41 | | | 150,000,000 | | | | 165,072,575 | |
| Mizuho Financial Group, Inc. | | | | | | | | | | U.S. Treasury Bills | | | | | | | | |
| 0.17% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 10/01/12 | | | 525,879,171 | | | | 525,886,621 | | | 03/07/13 - 05/30/13 | | | 455,835,000 | | | | 455,479,165 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 1.75% | | | | | | | | |
| | | | | | | | | | | 05/31/16 | | | 76,370,900 | | | | 80,917,681 | |
| Deutsche Bank | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.12% | | | | | | | | | | 2.63% | | | | | | | | |
| Due 10/01/12 | | | 300,000,000 | | | | 300,003,000 | | | 12/31/14 | | | 288,794,900 | | | | 306,000,061 | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.12% | | | | | | | | | | 1.25% | | | | | | | | |
| Due 10/01/12 | | | 113,451,718 | | | | 113,452,853 | | | 03/15/14 | | | 113,923,600 | | | | 115,720,867 | |
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.
6. Derivative Investment Holdings Categorized by Risk Exposure
U.S. GAAP requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.
The following Funds utilized derivatives for the following purposes:
| Fund | | Index Exposure | | | Liquidity | |
| U.S. Long Short Momentum Fund | | | | | x | |
| Event Driven and Distressed Strategies 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 | |
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 | |
| Event Driven and Distressed Strategies Fund | | | 90 | % | | | — | |
| Long Short Interest Rate Strategy Fund | | | — | | | | 205 | % |
| Emerging Markets 2x Strategy Fund | | | 160 | % | | | 15 | % |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 200 | % |
| 46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2012:
| Derivative Investment Type | Asset Derivatives | Liability Derivatives |
| Equity/Interest Rate/Corporate Bond | Variation margin | Variation margin |
| contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2012:
Asset Derivative Investments Value
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Interest Rate | | | Corporate Bond | | | September 30, | |
| | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2012 | |
| Long Short Interest Rate Strategy Fund | | $ | — | | | $ | — | | | $ | 4,818 | | | $ | — | | | $ | 4,818 | |
| Emerging Markets 2x Strategy Fund | | | — | | | | 67,458 | | | | — | | | | — | | | | 67,458 | |
| Inverse Emerging Markets 2x Strategy Fund | | | 34,871 | | | | — | | | | — | | | | — | | | | 34,871 | |
Liability Derivative Investments Value
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Interest Rate | | | Corporate Bond | | | September 30, | |
| | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2012 | |
| Event Driven and Distressed Strategies Fund | | $ | 11,146 | | | $ | — | | | $ | — | | | $ | 29,748 | | | $ | 40,894 | |
| Long Short Interest Rate Strategy Fund | | | — | | | | — | | | | 79,716 | | | | — | | | | 79,716 | |
| Emerging Markets 2x Strategy Fund | | | 3,322 | | | | — | | | | — | | | | — | | | | 3,322 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 8,238 | | | | — | | | | — | | | | 8,238 | |
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2012:
| Derivative Investment Type | Location of Gain (Loss) on Derivatives |
| Equity/Interest Rate/Corporate Bond contracts | Net realized gain (loss) on swap agreements |
| | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
| | Net change in 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 on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2012:
Realized Gain (Loss) on Derivative Investments Recognized in the Statements of Operations
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Interest Rate | | | Corporate Bond | | | | |
| | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| U.S. Long Short Momentum Fund | | $ | (2,036,347 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (2,036,347 | ) |
| Event Driven and Distressed Strategies Fund | | | 21,965 | | | | (50,204 | ) | | | — | | | | 400,772 | | | | 372,533 | |
| Long Short Interest Rate Strategy Fund | | | — | | | | — | | | | (130,584 | ) | | | — | | | | (130,584 | ) |
| Emerging Markets 2x Strategy Fund | | | (98,638 | ) | | | (774,910 | ) | | | — | | | | — | | | | (873,548 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | (36,811 | ) | | | 106,112 | | | | — | | | | — | | | | 69,301 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Interest Rate | | | Corporate Bond | | | | |
| | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| U.S. Long Short Momentum Fund | | $ | 212,043 | | | $ | — | | | $ | — | | | $ | — | | | $ | 212,043 |
| Event Driven and Distressed Strategies Fund | | | (11,146 | ) | | | (4,370 | ) | | | — | | | | (13,010 | ) | | | (28,526 | ) |
| Long Short Interest Rate Strategy Fund | | | — | | | | — | | | | (2,272,025 | ) | | | — | | | | (2,272,025 | ) |
| Emerging Markets 2x Strategy Fund | | | (3,322 | ) | | | 262,692 | | | | — | | | | — | | | | 259,370 | |
| Inverse Emerging Markets 2x Strategy Fund | | | 37,090 | | | | (61,842 | ) | | | — | | | | — | | | | (24,752 | ) |
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
7. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009 – 2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.
The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
At September 30, 2012, 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 | | | Unrealized | | | Unrealized | | | Net Unrealized | |
| Fund | | Cost | | | Gain | | | Loss | | | Gain (Loss) | |
| U.S. Long Short Momentum Fund | | $ | 50,669,650 | | | $ | 1,840,596 | | | $ | (333,871 | ) | | $ | 1,506,725 | |
| Event Driven and Distressed Strategies Fund | | | 9,578,076 | | | | — | | | | (6,602 | ) | | | (6,602 | ) |
| Long Short Interest Rate Strategy Fund | | | 34,756,765 | | | | 1,340 | | | | — | | | | 1,340 | |
| Emerging Markets 2x Strategy Fund | | | 7,041,472 | | | | — | | | | (175,052 | ) | | | (175,052 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | 2,119,537 | | | | — | | | | — | | | | — | |
8. Securities Transactions
For the period ended September 30, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:
| | | Purchases | | | Sales | |
| U.S. Long Short Momentum Fund | | $ | 76,709,080 | | | $ | 148,474,248 | |
| Event Driven and Distressed Strategies Fund | | | 1,924,708 | | | | 2,817,502 | |
| Long Short Interest Rate Strategy Fund | | | — | | | | — | |
| Emerging Markets 2x Strategy Fund | | | 5,690,242 | | | | 2,992,175 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | |
9. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2013. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2012. The Funds did not have any borrowings under this agreement at September 30, 2012.
| 48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
The following table illustrates the average daily balance borrowed for the period ended September 30, 2012:
| Fund | | Average Daily Balance | |
| U.S. Long Short Momentum Fund | | $ | 87,618 | |
| Long Short Interest Rate Strategy Fund | | | 52,967 | |
| Emerging Markets 2x Strategy Fund | | | 15,945 | |
10. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the statement of operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, Credit Suisse acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with Credit Suisse, cash collateral is invested in one or more joint repurchase agreements collateralized by obligations of U.S. Government Agencies. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand.
At September 30, 2012, the following Funds participated in securities lending and received cash collateral in the form of repurchase agreements:
| Fund | | Value of Securities Loaned | | | Cash Collateral | |
| U.S. Long Short Momentum Fund | | $ | 501,212 | | | $ | 511,675 | |
| Event Driven and Distressed Strategies Fund | | | 508,035 | | | | 521,125 | |
The following represents a breakdown of the collateral for the repurchase agreements at September 30, 2012:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | | | | Freddie Mac Note | | | | | | | | |
| 0.15% | | | | | | | | | | 6.25% | | | | | | | | |
| Due 10/01/12 | | $ | 24,000,000 | | | $ | 24,000,300 | | | 07/15/32 | | $ | 49,137,000 | | | $ | 24,480,054 | |
| RBS Securities, Inc. | | | | | | | | | | Freddie Mac Note | | | | | | | | |
| 0.24% | | | | | | | | | | 2.50% | | | | | | | | |
| Due 10/01/12 | | | 24,387,000 | | | | 24,387,488 | | | 05/27/16 | | | 23,020,000 | | | | 24,683,885 | |
11. Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons” Action), as a result of ownership of shares in the Tribune Company (“Tribune”) in 2007 by certain series of the Rydex Series Funds when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In its complaint, the Unsecured Creditors Committee (the “UCC”) has alleged that, in connection with the LBO, insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave the Tribune insolvent. The UCC has asserted claims against certain insiders, shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding has now been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York captioned In re Tribune Co. Fraudulent Conveyance Litig., No. 11-2296 (S.D.N.Y.) (the “MDL Proceeding”).
Rydex Series Funds also has been named as a defendant in one or more of a group of lawsuits filed by a group of Tribune creditors that allege state law constructive fraudulent conveyance claims against former Tribune shareholders (the “SCLFC actions”). The SLCFC actions also have been consolidated into the MDL Proceeding.
| the GUGGENHEIM FUNDS SEMI-annual report | 49 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) |
On September 7, 2012, the District Court issued a Master Case Order in the MDL Proceeding. This order established a briefing schedule for motions to dismiss in the SLCFC actions; no schedule has yet been established in the Fitzsimons Action. The Court also extended the plaintiffs’ deadline to serve summonses and complaints through January 15, 2013. Finally, the Court ordered that merits discovery will be stayed until further order of the Court.
None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.
A motion to dismiss is currently pending before the Bankruptcy Court.
This lawsuit does not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $ 1,725,168; U.S. Long Short Momentum Fund - $2,193,600; Global 130/30 Strategy Fund - $37,920; Hedged Equity Fund - $1,440; and Multi-Hedge Strategies Fund - $1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
12. Subsequent Event
American Independence Financial Services, LLC (“American Independence”), the sub-adviser to the Long Short Interest Rate Strategy Fund, provided notice that it intends to resign as the Fund’s sub-adviser, effective October 2, 2012. In connection with the resignation of American Independence, the Board of Trustees (the “Board”) of Rydex Series Funds approved a change to the investment program of the Fund to permit Security Investors, LLC, which operates under the name GI, to manage the Fund in accordance with a macro opportunities strategy.
The Board approved the following changes with respect to the Long Short Interest Rate Strategy Fund’s investment program effective October 2, 2012:
| • | a change to the Fund’s name from “Long Short Interest Rate Strategy Fund” to the “Flexible Strategies Fund”; |
| • | changes to the investment objective, strategies, risks and benchmark, including a change to the Fund’s strategy to invest “substantially all of its assets in cash, U.S. Treasury Bills, Notes and Bonds as well as futures linked to those instruments and exchange-traded funds (“ETFs”)” (such that as a result, the Fund will no longer invest in those securities to the same extent); |
| • | changes to the portfolio management team; and |
| • | changes to the non-fundamental investment policies. |
The transition to the new investment program will result in adjustments to the Fund’s portfolio holdings, which will increase the Fund’s portfolio turnover rate and could result in increased costs and the realization of taxable gains or losses (which, to the extent of actual gains or losses, would ultimately be borne by shareholders). The Advisor will attempt to minimize these costs, but there is no guarantee these efforts will be successful.
| 50 | the GUGGENHEIM FUNDS SEMI-annual report |
| OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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 June 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.
Office Locations
The offices of Guggenheim Investments 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 GUGGENHEIM FUNDS SEMI-annual report | 51 |
| INFORMATION on board of trustees and officers (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.
TRUSTEE AND OFFICER
| | | Length of Service as Trustee | | Number of Funds |
| Name and Year of Birth | | (Year Began) | | Overseen |
| Donald C. Cacciapaglia* | | Rydex Series Funds – 2012 | | 146 |
| (1951) | | Rydex Variable Trust – 2012 | | |
| | | Rydex Dynamic Funds – 2012 | | |
| | | Rydex ETF Trust – 2012 | | |
Principal Occupations During Past Five Years: Current: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Previous: Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010
Positions held within the Trust: Trustee from 2012 to present; President from 2012 to present
INDEPENDENT TRUSTEES
| | | Length of Service as Trustee | | Number of Funds |
| Name and Year of Birth | | (Year Began) | | Overseen |
| Corey A. Colehour | | Rydex Series Funds – 1993 | | 146 |
| (1945) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: President and Senior Vice President of Schield Management Company (registered investment adviser) from 2003 to 2006
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
| J. Kenneth Dalton | Rydex Series Funds – 1995 | 146 |
| (1941) | Rydex Variable Trust – 1998 | |
| | Rydex Dynamic Funds – 1999 | |
| | Rydex ETF Trust – 2003 | |
| |
| Principal Occupations During Past Five Years: Current: Retired |
Positions held within the Trust: Trustee from 1995 to present; Member and Chairman of the Audit Committee from 1997 to present; Member of the Governance and Nominating Committees from 1995 to present; and Member of the Risk Oversight Committee from 2010 to present
| John O. Demaret | Rydex Series Funds – 1997 | 146 |
| (1940) | Rydex Variable Trust – 1998 | |
| | Rydex Dynamic Funds – 1999 | |
| | Rydex ETF Trust – 2003 | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1997 to present; Chairman of the Board from 2006 to present; Member of the Audit Committee from 1997 to present; and Member of the Risk Oversight Committee from 2010 to present
| Werner E. Keller | Rydex Series Funds – 2005 | 146 |
| (1940) | Rydex Variable Trust – 2005 | |
| | Rydex Dynamic Funds – 2005 | |
| | Rydex ETF Trust – 2005 | |
Principal Occupations During Past Five Years: Current: Founder and President of Keller Partners, LLC (investment research firm) from 2005 to present;
Previous: Retired from 2001 to 2005
Positions held within the Trust: Vice Chairman of the Board of Trustees from 2010 to present; Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present; and Chairman and Member of the Risk Oversight Committee from 2010 to present
| 52 | the GUGGENHEIM FUNDS SEMI-annual report |
| INFORMATION on board of trustees and officers (Unaudited) (continued) |
INDEPENDENT TRUSTEES - concluded
| | | Length of Service as Trustee | | Number of Funds |
| Name and Year of Birth | | (Year Began) | | Overseen |
| Thomas F. Lydon, Jr. | | Rydex Series Funds – 2005 | | 146 |
| (1960) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: President of Global Trends Investments (registered investment adviser) from 1996 to present Positions held within the Trust: Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present
| Patrick T. McCarville | Rydex Series Funds – 1997 | 146 |
| (1942) | Rydex Variable Trust – 1998 | |
| | Rydex Dynamic Funds – 1999 | |
| | Rydex ETF Trust – 2003 | |
Principal Occupations During Past Five Years: Current: Retired; Previous: Chief Executive Officer of Par Industries, Inc., d/b/a Par Leasing from 1977 to 2010
Positions held within the Trust: Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; and Chairman of the Governance and Nominating Committees from 1997 to present
| Roger Somers | Rydex Series Funds – 1993 | 146 |
| (1944) | Rydex Variable Trust – 1998 | |
| | Rydex Dynamic Funds – 1999 | |
| | Rydex ETF Trust – 2003 | |
Principal Occupations During Past Five Years: Current: Founder and Chief Executive Officer of Arrow Limousine from 1965 to present
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
| the GUGGENHEIM FUNDS SEMI-annual report | 53 |
| INFORMATION on board of trustees and officers (Unaudited) (concluded) |
EXECUTIVE OFFICERS
| Name, Position and | | | Principal Occupations | |
| Year of Birth | | | During Past Five Years | |
Michael P. Byrum* Vice President (1970) | Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President & Chief Investment Officer, Rydex Holdings, LLC; Director & Chairman of the Board, Advisor Research Center, Inc.; and Manager, Rydex Specialized Products, LLC |
| | |
| | Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009–2010), Secretary (2002–2010), Executive Vice President (2002–2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Capital Partners, LLC, President & Secretary (2003–2007); Rydex Capital Partners II, LLC, (2003–2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary (2005–2008), Executive Vice President (2005–2006); Advisor Research Center, Inc., Secretary (2006–2009), Executive Vice President (2006); and Rydex Specialized Products, LLC, Secretary (2005–2008) |
| | |
Nikolaos Bonos* Vice President and Treasurer (1963) | Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; and Vice President, Security Benefit Asset Management Holdings, LLC |
| | |
| | Previous: Security Global Investors, LLC, Senior Vice President (2010–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006–2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) & Senior Vice President (2003–2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005–2009) |
| | |
Elisabeth Miller* Chief Compliance Officer (1968) | Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC |
| | |
| | Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004–2009) |
| | |
Amy J. Lee* Vice President and Assistant Secretary (1961) | Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital |
| | |
| | Previous: Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011); and Brecek & Young Advisors, Inc., Director (2004–2008) |
| | |
Joseph M. Arruda* Assistant Treasurer (1966) | Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC |
| | |
| | Previous: Security Global Investors, LLC, Vice President (2010–2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004–2011) |
| * | 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 Guggenheim Investments. |
| 54 | the GUGGENHEIM FUNDS SEMI-annual report |
| GUGGENHEIM INVESTMeNTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
| the GUGGENHEIM FUNDS SEMI-annual report | 55 |
| GUGGENHEIM INVESTMeNTS PRIVACY POLICIES (concluded) |
How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
| 56 | the GUGGENHEIM FUNDS SEMI-annual report |
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Rockville, MD 20850
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RSTF-Semi-0912x0313
ASSET ALLOCATION FUNDS
ALL-ASSET CONSERVATIVE STRATEGY FUND
ALL-ASSET MODERATE STRATEGY FUND
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With Guggenheim Investments eDelivery you can:
| · | View online confirmations and statements at your convenience. |
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| · | Access prospectuses, annual reports and semiannual reports online. |
If you have questions about Guggenheim Investments 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.
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for an extensive selection of our mutual funds (the “Funds”).
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
This report covers performance for the semiannual period ended September 30, 2012.
Rydex Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions; as of the date of this report we offer a wide range of domestic and global themes in our funds and a distinctive ETF line-up.
To learn more about economic and market conditions affecting the six months ending September 30, 2012, we encourage you to read the Economic and Market Overview section of the report. That and the six-month performance of each Fund follow this letter.
Sincerely,
Donald C. Cacciapaglia
President
October 31, 2012
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 guggenheiminvestments.com or call 800.820.0888.
| 2 | the GUGGENHEIM FUNDS SEMI-ANNUAL report |
| ECONOMIC AND MARKET OVERVIEW | September 30, 2012 |
Amidst the negative headlines concerning the potential fiscal cliff in the U.S., further turmoil in Europe and worsening economic data from China, the U.S. economy has shown surprising resilience, with signs of rising consumer sentiment and a recovery in housing. The U.S. housing market appears to have passed its bottom and real estate prices have begun to pick up. Our expectation is that a period of continued low interest rates will likely reinforce the rise in home prices and sales. Rising home prices will increase household net worth, which will translate into greater consumption via the wealth effect, and is supportive of overall economic growth. The recent rise in headline inflation, led by increases in energy and food prices, is likely to be transitory. Inflationary pressures should remain muted in the medium-term given the substantial slack in the economy.
The U.S. economy continues to press forward despite the current headwinds, and we believe the current macroeconomic environment remains constructive for risk assets, especially in the U.S. Stocks in the U.S. appear to be undervalued by most measures, and should benefit from continued capital inflow and the Federal Reserve’s accommodative monetary policy. We continue to see attractive value in credit products on a relative basis. This positive outlook for fixed income, however, is limited to spread (or non-government) sectors. Treasury prices, particularly in the ten-year segment, appear rich. As a result, Treasuries are not a significant holding in the portfolios.
On the international front, uncertainty continues to weigh on European markets. European policymakers appear to be coming closer to a consensus on the need for a fiscal union, albeit at a glacial pace. This would be a positive development in our view and is necessary for a resolution of the current crisis. In China, a recent batch of economic data suggests that the odds of a hard landing have increased materially. We expect an announcement of additional stimulus measures after the government transition next year, but not on the scale of the previous round of stimulus from 2009. Although a stimulus would be supportive of economic growth, we expect China’s headline growth to slow from its breakneck pace of the past decade.
For the period covered by this report, the broad U.S. stock and bond markets have been, much like the economy, slowly moving up. The Standard & Poor’s 500 Index (the “S&P 500”)*, which is generally regarded as an indicator of the broad U.S. stock market, closed at a four-year high during September, and for the period returned 3.43% (all returns cited are for the 6-month period ended September 30, 2012). Foreign equity markets were weaker. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index*, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned -0.70%. The MSCI Emerging Markets Index*, which measures stock market performance in global emerging markets, returned -1.84%.
The search for yield continued to attract investors to the U.S. bond market, helping performance, with lower-rated bonds outperforming higher-quality issues. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, returned 3.68%, while return of the Barclays U.S. Corporate High Yield Index* was 6.45%.
Reflecting the Federal Reserve’s continuing accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06%.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
All indices described are unmanaged and reflect no expenses. It is not possible to invest directly in any index.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a capitalization weighted measure of stock markets in Europe, Australasia and the Far East.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Standard & Poor’s 500 Index (the “S&P 500”) is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
| the GUGGENHEIM FUNDS SEMI-ANNUAL report | 3 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2012 and ending September 30, 2012.
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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
| 4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded) |
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | March 31, 2012 | | | September 30, 2012 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Conservative Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 1.49 | % | | $ | 1,000.00 | | | $ | 1,014.90 | | | $ | — | |
| C-Class | | | 0.75 | % | | | 1.17 | % | | | 1,000.00 | | | | 1,011.70 | | | | 3.77 | |
| H-Class | | | 0.00 | %4 | | | 1.49 | % | | | 1,000.00 | | | | 1,014.90 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Moderate Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 0.94 | % | | | 1,000.00 | | | | 1,009.40 | | | | — | |
| C-Class | | | 0.75 | % | | | 0.49 | % | | | 1,000.00 | | | | 1,004.90 | | | | 3.76 | |
| H-Class | | | 0.00 | %4 | | | 0.84 | % | | | 1,000.00 | | | | 1,008.40 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Aggressive Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 0.19 | % | | | 1,000.00 | | | | 1,001.90 | | | | — | |
| C-Class | | | 0.75 | % | | | (0.20 | %) | | | 1,000.00 | | | | 998.00 | | | | 3.75 | |
| H-Class | | | 0.00 | %4 | | | 0.19 | % | | | 1,000.00 | | | | 1,001.90 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Conservative Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,025.00 | | | $ | — | |
| C-Class | | | 0.75 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,021.25 | | | | 3.79 | |
| H-Class | | | 0.00 | %4 | | | 5.00 | % | | | 1,000.00 | | | | 1,025.00 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Moderate Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 5.00 | % | | | 1,000.00 | | | | 1,025.00 | | | | — | |
| C-Class | | | 0.75 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,021.25 | | | | 3.79 | |
| H-Class | | | 0.00 | %4 | | | 5.00 | % | | | 1,000.00 | | | | 1,025.00 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| All-Asset Aggressive Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 0.00 | %4 | | | 5.00 | % | | | 1,000.00 | | | | 1,025.00 | | | | — | |
| C-Class | | | 0.75 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,021.25 | | | | 3.79 | |
| H-Class | | | 0.00 | %4 | | | 5.00 | % | | | 1,000.00 | | | | 1,025.00 | | | | — | |
| 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 183/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period March 31, 2012 to September 30, 2012. |
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
ALL-ASSET CONSERVATIVE STRATEGY FUND
OBJECTIVE: Seeks to primarily provide preservation of capital and, secondarily, long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
All-Asset Conservative Strategy Fund
“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) | | | |
| GF – U.S. Intermediate Bond Fund1 | | | 18.4 | % |
| iShares Barclays Aggregate Bond Fund | | | 15.1 | % |
| GF – U.S. Long Short Momentum Fund1 | | | 11.0 | % |
| GF – Multi-Hedge Strategies Fund1 | | | 6.5 | % |
| GF – High Yield Fund1 | | | 6.2 | % |
| GF – Large Cap Value Fund1 | | | 4.2 | % |
| GF – Large Cap Concentrated Growth Fund1 | | | 4.2 | % |
| GF – MSCI EAFE Equal Weight Fund1 | | | 2.2 | % |
| GF – Event Driven and Distressed Strategies Fund1 | | | 1.5 | % |
| GF – Mid Cap Growth Fund1 | | | 1.2 | % |
| Top Ten Total | | | 70.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
GF – Guggenheim Funds
1A-Class Shares
| 6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| All-Asset Conservative Strategy Fund |
| | | Shares | | | Value | |
| | | | | | | |
| EXCHANGE TRADED FUNDS† - 15.1% | | | | | | | | |
| iShares Barclays Aggregate Bond Fund | | | 20,159 | | | $ | 2,266,880 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $2,209,348) | | | | | | | 2,266,880 | |
| | | | | | | | | |
| MUTUAL FUNDS†,1 - 58.3% | | | | | | | | |
| Fixed Income Funds - 24.6% | | | | | | | | |
| GF – U.S. Intermediate Bond Fund | | | 154,687 | | | | 2,771,989 | |
| GF – High Yield Fund | | | 77,419 | | | | 925,156 | |
| Total Fixed Income Funds | | | | | | | 3,697,145 | |
| Alternatives Funds - 20.6% | | | | | | | | |
| GF – U.S. Long Short Momentum Fund* | | | 128,798 | | | | 1,652,481 | |
| GF – Multi-Hedge Strategies Fund | | | 43,371 | | | | 978,894 | |
| GF – Event Driven and Distressed Strategies Fund* | | | 8,285 | | | | 217,973 | |
| GF – Long/Short Commodities Strategy Fund | | | 7,656 | | | | 141,170 | |
| GF – Long Short Interest Rate Strategy Fund* | | | 2,729 | | | | 62,957 | |
| GF – Managed Futures Strategy Fund* | | | 1,872 | | | | 40,524 | |
| Total Alternatives Funds | | | | | | | 3,093,999 | |
| Domestic Equity Funds - 10.9% | | | | | | | | |
| GF – Large Cap Value Fund | | | 20,168 | | | | 630,243 | |
| GF – Large Cap Concentrated Growth Fund* | | | 67,320 | | | | 628,096 | |
| GF – Mid Cap Growth Fund* | | | 4,768 | | | | 173,542 | |
| GF – Mid Cap Value Fund* | | | 5,224 | | | | 172,650 | |
| GF – Small Cap Growth Fund* | | | 977 | | | | 14,956 | |
| GF – Small Cap Value Fund* | | | 989 | | | | 14,871 | |
| Total Domestic Equity Funds | | | | | | | 1,634,358 | |
| International Equity Funds - 2.2% | | | | | | | | |
| GF – MSCI EAFE Equal Weight Fund | | | 31,915 | | | | 336,701 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $7,540,612) | | | | | | | 8,762,203 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 25.6% | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 3,841,135 | | | | 3,841,135 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $3,841,135) | | | | | | | 3,841,135 | |
| Total Investments - 99.0% | | | | | | | | |
| (Cost $13,591,095) | | | | | | $ | 14,870,218 | |
| Other Assets & Liabilities, net - 1.0% | | | | | | | 150,689 | |
| Total Net Assets - 100.0% | | | | | | $ | 15,020,907 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (loss) | |
| | | | | | | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Treasury 10 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,735,906) | | | 13 | | | $ | 10,426 | |
| December 2012 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,869,726) | | | 15 | | | | 7,853 | |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $3,605,632) | | | | | | $ | 18,279 | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Canadian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $101,540) | | | 1 | | | $ | (978 | ) |
| December 2012 Australian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $103,050) | | | 1 | | | | (1,634 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $204,590) | | | | | | $ | (2,612 | ) |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Nikkei 225 (CME) Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $133,125) | | | 3 | | | $ | 1,565 | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,720,501) | | | 24 | | | | 1,349 | |
| December 2012 S&P/TSX 60 IX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $142,405) | | | 1 | | | | 1,212 | |
| December 2012 SPI 200 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $113,350) | | | 1 | | | | (671 | ) |
| December 2012 MSCI EAFE Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $823,735) | | | 11 | | | | (29,293 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $2,933,116) | | | | | | $ | (25,838 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
| SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2012 |
| ALL-ASSET CONSERVATIVE STRATEGY FUND | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 DAX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $232,539) | | | 1 | | | $ | 7,058 | |
| October 2012 CAC40 10 Euro Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $129,442) | | | 3 | | | | 5,992 | |
| December 2012 FTSE 100 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $184,648) | | | 2 | | | | 4,280 | |
| December 2012 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $250,260) | | | 3 | | | | 2,440 | |
| October 2012 Hang Seng Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $134,532) | | | 1 | | | | (2,368 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $931,421) | | | | | | $ | 17,402 | |
| | | | | | | | | |
| CURRENCY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 Euro FX Currency | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $160,762) | | | 1 | | | $ | 1,718 | |
| December 2012 British Pound | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $100,869) | | | 1 | | | | (471 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $261,631) | | | | | | $ | 1,247 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | A-Class shares of affiliated funds. |
| 2 | Repurchase Agreement — See Note 5.
GF — Guggenheim Funds |
| 8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| ALL-ASSET CONSERVATIVE STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments in unaffiliated issuers, at value | | | | |
| (cost $2,209,348) | | $ | 2,266,880 | |
| Investments in affiliated issuers, at value | | | | |
| (cost $7,540,612) | | | 8,762,203 | |
| Repurchase agreement, at value | | | | |
| (cost $3,841,135) | | | 3,841,135 | |
| Total investments | | | | |
| (cost $13,591,095) | | | 14,870,218 | |
| Segregated cash with broker | | | 236,046 | |
| Cash | | | 36,797 | |
| Receivables: | | | | |
| Dividends | | | 10,186 | |
| Fund shares sold | | | 9,155 | |
| Interest | | | 39 | |
| Total assets | | | 15,162,441 | |
| Liabilities: | | | | |
| Foreign currency, at value | | | | |
| (cost $36,021) | | | 36,827 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 84,170 | |
| Variation margin | | | 16,744 | |
| Distribution and service fees | | | 3,793 | |
| Total liabilities | | | 141,534 | |
| Net assets | | $ | 15,020,907 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 15,000,647 | |
| Undistributed net investment income | | | 229,102 | |
| Accumulated net realized loss on investments | | | (1,495,655 | ) |
| Net unrealized appreciation on investments | | | 1,286,813 | |
| Net assets | | $ | 15,020,907 | |
| A-Class: | | | | |
| Net assets | | $ | 3,327,727 | |
| Capital shares outstanding | | | 305,310 | |
| Net asset value per share | | $ | 10.90 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 11.44 | |
| C-Class: | | | | |
| Net assets | | $ | 6,725,861 | |
| Capital shares outstanding | | | 648,198 | |
| Net asset value per share | | $ | 10.38 | |
| H-Class: | | | | |
| Net assets | | $ | 4,967,319 | |
| Capital shares outstanding | | | 455,199 | |
| Net asset value per share | | $ | 10.91 | |
STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends from securities of affiliated issuers | | $ | 73,887 | |
| Dividends from securities of unaffiliated issuers | | | 32,812 | |
| Interest | | | 1,400 | |
| Total investment income | | | 108,099 | |
| | | | | |
| Expenses: | | | | |
| Distribution and service fees: | | | | |
| C-Class | | | 25,765 | |
| Custodian fees | | | 79 | |
| Miscellaneous | | | 131 | |
| Total expenses | | | 25,975 | |
| Net investment income | | | 82,124 | |
| | | | | |
| Net Real and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments in unaffiliated issuers | | | 4,960 | |
| Investments in affiliated issuers | | | (27,842 | ) |
| Futures contracts | | | 114,121 | |
| Foreign currency | | | (1,286 | ) |
| Net realized gain | | | 89,953 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments in unaffiliated issuers | | | 50,801 | |
| Investments in affiliated issuers | | | (28,294 | ) |
| Futures contracts | | | (21,450 | ) |
| Foreign currency | | | (504 | ) |
| Net change in unrealized appreciation (depreciation) | | | 553 | |
| Net realized and unrealized gain | | | 90,506 | |
| Net increase in net assets resulting from operations | | $ | 172,630 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
| All-Asset Conservative Strategy Fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 82,124 | | | $ | 137,107 | |
| Net realized gain on investments | | | 89,953 | | | | 187,949 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 553 | | | | (301,536 | ) |
| Net increase in net assets resulting from operations | | | 172,630 | | | | 23,520 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (43,707 | ) |
| C-Class | | | — | | | | (97,577 | ) |
| H-Class | | | — | | | | (40,701 | ) |
| Total distributions to shareholders | | | — | | | | (181,985 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 620,737 | | | | 9,397,815 | |
| C-Class | | | 726,786 | | | | 1,754,348 | |
| H-Class | | | 9,931,782 | | | | 3,738,975 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 36,459 | |
| C-Class | | | — | | | | 88,690 | |
| H-Class | | | — | | | | 35,178 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (553,491 | ) | | | (9,129,139 | ) |
| C-Class | | | (1,020,497 | ) | | | (3,446,312 | ) |
| H-Class | | | (9,646,459 | ) | | | (1,694,933 | ) |
| Net increase from capital share transactions | | | 58,858 | | | | 781,081 | |
| Net increase in net assets | | | 231,488 | | | | 622,616 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 14,789,419 | | | | 14,166,803 | |
| End of period | | $ | 15,020,907 | | | $ | 14,789,419 | |
| Undistributed net investment income at end of period | | $ | 229,102 | | | $ | 146,978 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 58,281 | | | | 886,084 | |
| C-Class | | | 71,056 | | | | 175,048 | |
| H-Class | | | 930,083 | | | | 352,100 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 3,599 | |
| C-Class | | | — | | | | 9,143 | |
| H-Class | | | — | | | | 3,469 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (52,134 | ) | | | (860,201 | ) |
| C-Class | | | (99,327 | ) | | | (341,306 | ) |
| H-Class | | | (906,305 | ) | | | (161,461 | ) |
| Net increase in shares | | | 1,654 | | | | 66,475 | |
| 10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| ALL-ASSET CONSERVATIVE STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.74 | | | $ | 10.81 | | | $ | 10.11 | | | $ | 8.64 | | | $ | 10.74 | | | $ | 10.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .07 | | | | .15 | | | | .14 | | | | .12 | | | | .28 | | | | .26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net gain (loss) on investments (realized and unrealized) | | | .09 | | | | (.08 | ) | | | .65 | | | | 1.52 | | | | (2.08 | ) | | | .12 | |
| Total from investment operations | | | .16 | | | | .07 | | | | .79 | | | | 1.64 | | | | (1.80 | ) | | | .38 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.14 | ) | | | (.07 | )f | | | (.16 | )f | | | (.14 | )f | | | (.22 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.16 | )f | | | (.14 | )f |
| Total distributions | | | — | | | | (.14 | ) | | | (.09 | ) | | | (.17 | ) | | | (.30 | ) | | | (.36 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .02 | |
| Net asset value, end of period | | $ | 10.90 | | | $ | 10.74 | | | $ | 10.81 | | | $ | 10.11 | | | $ | 8.64 | | | $ | 10.74 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 1.49 | % | | | 0.72 | % | | | 7.86 | % | | | 19.02 | % | | | (17.05 | %) | | | 3.70 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,328 | | | $ | 3,212 | | | $ | 2,915 | | | $ | 2,805 | | | $ | 2,274 | | | $ | 4,431 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.22 | % | | | 1.41 | % | | | 1.39 | % | | | 1.27 | % | | | 2.84 | % | | | 2.39 | % |
| Total expensese | | | — | g | | | — | | | | — | | | | — | | | | — | | | | 0.01 | % |
| Portfolio turnover rate | | | 71 | % | | | 134 | % | | | 112 | % | | | 174 | % | | | 230 | % | | | 119 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.26 | | | $ | 10.42 | | | $ | 9.82 | | | $ | 8.46 | | | $ | 10.60 | | | $ | 10.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .02 | | | | .07 | | | | .07 | | | | .05 | | | | .28 | | | | .17 | |
| Net gain (loss) on investments (realized and unrealized) | | | .10 | | | | (.09 | ) | | | .62 | | | | 1.48 | | | | (2.12 | ) | | | .12 | |
| Total from investment operations | | | .12 | | | | (.02 | ) | | | .69 | | | | 1.53 | | | | (1.84 | ) | | | .29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.14 | ) | | | (.07 | )f | | | (.16 | )f | | | (.14 | )f | | | (.22 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.16 | )f | | | (.14 | )f |
| Total distributions | | | — | | | | (.14 | ) | | | (.09 | ) | | | (.17 | ) | | | (.30 | ) | | | (.36 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .02 | |
| Net asset value, end of period | | $ | 10.38 | | | $ | 10.26 | | | $ | 10.42 | | | $ | 9.82 | | | $ | 8.46 | | | $ | 10.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 1.17 | % | | | (0.12 | %) | | | 7.07 | % | | | 18.12 | % | | | (17.65 | %) | | | 2.86 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,726 | | | $ | 6,941 | | | $ | 8,683 | | | $ | 9,474 | | | $ | 5,107 | | | $ | 5,074 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.47 | % | | | 0.65 | % | | | 0.66 | % | | | 0.58 | % | | | 2.87 | % | | | 1.53 | % |
| Total expensese | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
| Portfolio turnover rate | | | 71 | % | | | 134 | % | | | 112 | % | | | 174 | % | | | 230 | % | | | 119 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-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 Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.75 | | | $ | 10.82 | | | $ | 10.12 | | | $ | 8.65 | | | $ | 10.75 | | | $ | 10.71 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .07 | | | | .15 | | | | .14 | | | | .12 | | | | .31 | | | | .25 | |
| Net gain (loss) on investments (realized and unrealized) | | | .09 | | | | (.08 | ) | | | .65 | | | | 1.52 | | | | (2.11 | ) | | | .13 | |
| Total from investment operations | | | .16 | | | | .07 | | | | .79 | | | | 1.64 | | | | (1.80 | ) | | | .38 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.14 | ) | | | (.07 | )f | | | (.16 | )f | | | (.14 | )f | | | (.22 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.16 | )f | | | (.14 | )f |
| Total distributions | | | — | | | | (.14 | ) | | | (.09 | ) | | | (.17 | ) | | | (.30 | ) | | | (.36 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | .02 | |
| Net asset value, end of period | | $ | 10.91 | | | $ | 10.75 | | | $ | 10.82 | | | $ | 10.12 | | | $ | 8.65 | | | $ | 10.75 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 1.49 | % | | | 0.71 | % | | | 7.85 | % | | | 19.00 | % | | | (17.03 | %) | | | 3.69 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,967 | | | $ | 4,636 | | | $ | 2,568 | | | $ | 4,667 | | | $ | 3,022 | | | $ | 7,014 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.26 | % | | | 1.46 | % | | | 1.33 | % | | | 1.28 | % | | | 3.14 | % | | | 2.28 | % |
| Total expensese | | | — | g | | | — | | | | — | | | | — | | | | — | | | | 0.01 | % |
| Portfolio turnover rate | | | 71 | % | | | 134 | % | | | 112 | % | | | 174 | % | | | 230 | % | | | 119 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Redemption fees collected are less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| e | Does not include expenses of the underlying funds in which the Fund invests. |
| f | For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains. |
| 12 | the GUGGENHEIM FUNDS SEMI-ANNUAL report | See Notes to Financial Statements. |
| FUND PROFILE (Unaudited) | September 30, 2012 |
| ALL-ASSET MODERATE STRATEGY FUND |
OBJECTIVE: Seeks to primarily provide growth of capital and, secondarily, preservation of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
All-Asset Moderate Strategy Fund
“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) | | | |
| GF – U.S. Intermediate Bond Fund1 | | | 18.6 | % |
| GF – U.S. Long Short Momentum Fund1 | | | 17.5 | % |
| iShares Barclays Aggregate Bond Fund | | | 11.4 | % |
| GF – Large Cap Value Fund1 | | | 6.7 | % |
| GF – Large Cap Concentrated Growth Fund1 | | | 6.7 | % |
| GF – Multi-Hedge Strategies Fund1 | | | 6.5 | % |
| GF – MSCI EAFE Equal Weight Fund1 | | | 4.2 | % |
| GF – Mid Cap Growth Fund1 | | | 1.8 | % |
| GF – Mid Cap Value Fund1 | | | 1.7 | % |
| GF – Event Driven and Distressed Strategies Fund1 | | | 1.3 | % |
| Top Ten Total | | | 76.4 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
GF – Guggenheim Funds
1A-Class Shares
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| all-asset MODERATE STRATEGY fund | |
| | | Shares | | | Value | |
| | | | | | | |
| EXCHANGE TRADED FUNDS† - 11.4% | | | | | | | | |
| iShares Barclays Aggregate Bond Fund | | | 21,812 | | | $ | 2,452,759 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $2,389,324) | | | | | | | 2,452,759 | |
| | | | | | | | | |
| MUTUAL FUNDS†,1 - 67.7% | | | | | | | | |
| Alternatives Funds - 26.3% | | | | | | | | |
| GF – U.S. Long Short Momentum Fund* | | | 292,839 | | | | 3,757,122 | |
| GF – Multi-Hedge Strategies Fund | | | 61,432 | | | | 1,386,528 | |
| GF – Event Driven and Distressed Strategies Fund* | | | 10,540 | | | | 277,311 | |
| GF – Long/Short Commodities Strategy Fund | | | 7,233 | | | | 133,371 | |
| GF – Long Short Interest Rate Strategy Fund* | | | 2,697 | | | | 62,218 | |
| GF – Managed Futures Strategy Fund* | | | 1,013 | | | | 21,941 | |
| Total Alternatives Funds | | | | | | | 5,638,491 | |
| Fixed Income Funds - 19.5% | | | | | | | | |
| GF – U.S. Intermediate Bond Fund | | | 222,474 | | | | 3,986,734 | |
| GF – High Yield Fund | | | 15,538 | | | | 185,675 | |
| Total Fixed Income Funds | | | | | | | 4,172,409 | |
| Domestic Equity Funds - 17.7% | | | | | | | | |
| GF – Large Cap Value Fund | | | 46,136 | | | | 1,441,757 | |
| GF – Large Cap Concentrated Growth Fund* | | | 153,924 | | | | 1,436,110 | |
| GF – Mid Cap Growth Fund* | | | 10,260 | | | | 373,464 | |
| GF – Mid Cap Value Fund* | | | 11,254 | | | | 371,931 | |
| GF – Small Cap Growth Fund* | | | 5,600 | | | | 85,740 | |
| GF – Small Cap Value Fund* | | | 5,676 | | | | 85,361 | |
| Total Domestic Equity Funds | | | | | | | 3,794,363 | |
| International Equity Funds - 4.2% | | | | | | | | |
| GF – MSCI EAFE Equal Weight Fund | | | 85,955 | | | | 906,828 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $11,947,310) | | | | | | | 14,512,091 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 19.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 4,203,456 | | | | 4,203,456 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $4,203,456) | | | | | | | 4,203,456 | |
| Total Investments - 98.7% | | | | | | | | |
| (Cost $18,540,090) | | | | | | $ | 21,168,306 | |
| Other Assets & Liabilities, net - 1.3% | | | | | | | 286,825 | |
| Total Net Assets - 100.0% | | | | | | $ | 21,455,131 | |
| | | | | | Unrealized | |
| | | Contracts | | | gain (Loss) | |
| | | | | | | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Treasury 10 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $2,537,093) | | | 19 | | | $ | 14,472 | |
| December 2012 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $747,891) | | | 6 | | | | 3,141 | |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $3,284,984) | | | | | | $ | 17,613 | |
| | | | | | | | | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Australian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $206,100) | | | 2 | | | $ | (1,305 | ) |
| December 2012 Canadian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $203,080) | | | 2 | | | | (1,955 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $409,180) | | | | | | $ | (3,260 | ) |
| | | | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Nikkei 225 (CME) Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $221,875) | | | 5 | | | $ | 2,608 | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,154,251) | | | 44 | | | | 2,473 | |
| December 2012 S&P/TSX 60 IX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $284,810) | | | 2 | | | | 2,425 | |
| December 2012 SPI 200 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $226,700) | | | 2 | | | | (1,862 | ) |
| December 2012 MSCI EAFE Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,497,700) | | | 20 | | | | (56,054 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $5,385,336) | | | | | | $ | (50,410 | ) |
| 14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2012 |
| All-asset MODERATE STRATEGY fund | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| October 2012 CAC40 10 Euro Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $215,736) | | | 5 | | | $ | 9,987 | |
| December 2012 DAX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $232,539) | | | 1 | | | | 7,058 | |
| December 2012 FTSE 100 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $184,648) | | | 2 | | | | 4,280 | |
| December 2012 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $333,680) | | | 4 | | | | 3,253 | |
| October 2012 Hang Seng Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $134,532) | | | 1 | | | | (2,368 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $1,101,135) | | | | | | $ | 22,210 | |
| | | | | | | | | |
| CURRENCY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 Euro FX Currency | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $321,525) | | | 2 | | | $ | 3,435 | |
| December 2012 British Pound | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $201,738) | | | 2 | | | | (943 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $523,263) | | | | | | $ | 2,492 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | A-Class shares of affiliated funds. |
| 2 | Repurchase Agreement — See Note 5.
GF — Guggenheim Funds |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
| ALL-ASSET MODERATE STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2012
| Assets: | | | | |
| Investments in unaffiliated issuers, at value | | | | |
| (cost $2,389,324) | | $ | 2,452,759 | |
| Investments in affiliated issuers, at value | | | | |
| (cost $11,947,310) | | | 14,512,091 | |
| Repurchase agreement, at value | | | | |
| (cost $4,203,456) | | | 4,203,456 | |
| Total investments | | | | |
| (cost $18,540,090) | | | 21,168,306 | |
| Segregated cash with broker | | | 377,156 | |
| Cash | | | 30,381 | |
| Receivables: | | | | |
| Fund shares sold | | | 59,382 | |
| Dividends | | | 8,281 | |
| Interest | | | 42 | |
| Total assets | | | 21,643,548 | |
| Liabilities: | | | | |
| Foreign currency, at value | | | | |
| (cost $29,710) | | | 30,402 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 115,894 | |
| Variation margin | | | 35,838 | |
| Distribution and service fees | | | 6,283 | |
| Total liabilities | | | 188,417 | |
| Net assets | | $ | 21,455,131 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 24,998,891 | |
| Undistributed net investment income | | | 182,070 | |
| Accumulated net realized loss on investments | | | (6,342,023 | ) |
| Net unrealized appreciation on investments | | | 2,616,193 | |
| Net assets | | $ | 21,455,131 | |
| A-Class: | | | | |
| Net assets | | $ | 6,548,912 | |
| Capital shares outstanding | | | 606,895 | |
| Net asset value per share | | $ | 10.79 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 11.33 | |
| C-Class: | | | | |
| Net assets | | $ | 11,301,566 | |
| Capital shares outstanding | | | 1,099,086 | |
| Net asset value per share | | $ | 10.28 | |
| H-Class: | | | | |
| Net assets | | $ | 3,604,653 | |
| Capital shares outstanding | | | 333,983 | |
| Net asset value per share | | $ | 10.79 | |
STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends from securities of affiliated issuers | | $ | 51,366 | |
| Dividends from securities of unaffiliated issuers | | | 33,370 | |
| Interest | | | 1,313 | |
| Total investment income | | | 86,049 | |
| | | | | |
| Expenses: | | | | |
| Distribution and service fees: | | | | |
| C-Class | | | 44,986 | |
| Miscellaneous | | | 141 | |
| Total expenses | | | 45,127 | |
| Net investment income | | | 40,922 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments in unaffiliated issuers | | | 8,277 | |
| Investments in affiliated issuers | | | 295,039 | |
| Futures contracts | | | 304,976 | |
| Foreign currency | | | (1,642 | ) |
| Net realized gain | | | 606,650 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments in unaffiliated issuers | | | 55,068 | |
| Investments in affiliated issuers | | | (490,765 | ) |
| Futures contracts | | | (142,971 | ) |
| Foreign currency | | | (450 | ) |
| Net change in unrealized appreciation (depreciation) | | | (579,118 | ) |
| Net realized and unrealized gain | | | 27,532 | |
| Net increase in net assets resulting from operations | | $ | 68,454 | |
| 16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | See Notes to Financial Statements. |
| all-asset MODERATE STRATEGY fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 40,922 | | | $ | 119,686 | |
| Net realized gain on investments | | | 606,650 | | | | 890,125 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (579,118 | ) | | | (1,141,591 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 68,454 | | | | (131,780 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (69,182 | ) |
| C-Class | | | — | | | | (138,307 | ) |
| H-Class | | | — | | | | (38,073 | ) |
| Total distributions to shareholders | | | — | | | | (245,562 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 328,140 | | | | 953,533 | |
| C-Class | | | 995,305 | | | | 1,660,360 | |
| H-Class | | | 891,070 | | | | 2,213,182 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 63,638 | |
| C-Class | | | — | | | | 127,152 | |
| H-Class | | | — | | | | 37,295 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (862,412 | ) | | | (2,396,111 | ) |
| C-Class | | | (2,953,602 | ) | | | (6,071,901 | ) |
| H-Class | | | (1,337,033 | ) | | | (2,662,165 | ) |
| Net decrease from capital share transactions | | | (2,938,532 | ) | | | (6,074,917 | ) |
| Net decrease in net assets | | | (2,870,078 | ) | | | (6,452,259 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 24,325,209 | | | | 30,777,468 | |
| End of period | | $ | 21,455,131 | | | $ | 24,325,209 | |
| Undistributed net investment income at end of period | | $ | 182,070 | | | $ | 141,148 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 31,469 | | | | 92,258 | |
| C-Class | | | 99,191 | | | | 166,888 | |
| H-Class | | | 83,385 | | | | 214,253 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 6,500 | |
| C-Class | | | — | | | | 13,566 | |
| H-Class | | | — | | | | 3,810 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (82,589 | ) | | | (234,397 | ) |
| C-Class | | | (294,758 | ) | | | (614,294 | ) |
| H-Class | | | (127,908 | ) | | | (258,330 | ) |
| Net decrease in shares | | | (291,210 | ) | | | (609,746 | ) |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-ANNUAL report | 17 |
| all-asset MODERATE STRATEGY fund |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.69 | | | $ | 10.69 | | | $ | 9.84 | | | $ | 7.93 | | | $ | 10.18 | | | $ | 10.56 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .04 | | | | .09 | | | | .10 | | | | .09 | | | | .20 | | | | .17 | |
| Net gain (loss) on investments (realized and unrealized) | | | .06 | | | | .01 | | | | .82 | | | | 1.99 | | | | (2.31 | ) | | | (.24 | ) |
| Total from investment operations | | | .10 | | | | .10 | | | | .92 | | | | 2.08 | | | | (2.11 | ) | | | (.07 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.10 | ) | | | (.05 | )g | | | (.17 | )g | | | (.02 | )g | | | (.12 | )g |
| Net realized gains | | | — | | | | — | | | | (.02 | )g | | | (.01 | )g | | | (.12 | )g | | | (.19 | )g |
| Total distributions | | | — | | | | (.10 | ) | | | (.07 | ) | | | (.18 | ) | | | (.14 | ) | | | (.31 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | .01 | | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 10.79 | | | $ | 10.69 | | | $ | 10.69 | | | $ | 9.84 | | | $ | 7.93 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 0.94 | % | | | 1.04 | % | | | 9.39 | % | | | 26.34 | % | | | (20.85 | %) | | | (0.75 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,549 | | | $ | 7,036 | | | $ | 8,485 | | | $ | 9,907 | | | $ | 7,907 | | | $ | 10,214 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.77 | % | | | 0.89 | % | | | 0.95 | % | | | 0.94 | % | | | 2.14 | % | | | 1.58 | % |
| Total expensese | | | — | h | | | — | | | | — | | | | — | | | | — | | | | 0.01 | % |
| Portfolio turnover rate | | | 24 | % | | | 77 | % | | | 93 | % | | | 170 | % | | | 220 | % | | | 125 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.23 | | | $ | 10.31 | | | $ | 9.56 | | | $ | 7.77 | | | $ | 10.05 | | | $ | 10.50 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | — | f | | | .01 | | | | .02 | | | | .02 | | | | .11 | | | | .10 | |
| Net gain (loss) on investments (realized and unrealized) | | | .05 | | | | .01 | | | | .80 | | | | 1.94 | | | | (2.25 | ) | | | (.24 | ) |
| Total from investment operations | | | .05 | | | | .02 | | | | .82 | | | | 1.96 | | | | (2.14 | ) | | | (.14 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.10 | ) | | | (.05 | )g | | | (.17 | )g | | | (.02 | )g | | | (.12 | )g |
| Net realized gains | | | — | | | | — | | | | (.02 | )g | | | (.01 | )g | | | (.12 | )g | | | (.19 | )g |
| Total distributions | | | — | | | | (.10 | ) | | | (.07 | ) | | | (.18 | ) | | | (.14 | ) | | | (.31 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | .01 | | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 10.28 | | | $ | 10.23 | | | $ | 10.31 | | | $ | 9.56 | | | $ | 7.77 | | | $ | 10.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 0.49 | % | | | 0.30 | % | | | 8.62 | % | | | 25.33 | % | | | (21.42 | %) | | | (1.43 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,302 | | | $ | 13,241 | | | $ | 17,815 | | | $ | 19,607 | | | $ | 17,885 | | | $ | 30,282 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.02 | % | | | 0.12 | % | | | 0.21 | % | | | 0.17 | % | | | 1.22 | % | | | 0.90 | % |
| Total expensese | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.76 | % |
| Portfolio turnover rate | | | 24 | % | | | 77 | % | | | 93 | % | | | 170 | % | | | 220 | % | | | 125 | % |
| 18 | the GUGGENHEIM FUNDS SEMI-ANNUAL report | See Notes to Financial Statements. |
| 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 Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.70 | | | $ | 10.69 | | | $ | 9.84 | | | $ | 7.94 | | | $ | 10.18 | | | $ | 10.56 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .04 | | | | .09 | | | | .09 | | | | .08 | | | | .16 | | | | .13 | |
| Net gain (loss) on investments (realized and unrealized) | | | .05 | | | | .02 | | | | .83 | | | | 1.99 | | | | (2.26 | ) | | | (.20 | ) |
| Total from investment operations | | | .09 | | | | .11 | | | | .92 | | | | 2.07 | | | | (2.10 | ) | | | (.07 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.10 | ) | | | (.05 | )g | | | (.17 | )g | | | (.02 | )g | | | (.12 | )g |
| Net realized gains | | | — | | | | — | | | | (.02 | )g | | | (.01 | )g | | | (.12 | )g | | | (.19 | )g |
| Total distributions | | | — | | | | (.10 | ) | | | (.07 | ) | | | (.18 | ) | | | (.14 | ) | | | (.31 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | .01 | | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 10.79 | | | $ | 10.70 | | | $ | 10.69 | | | $ | 9.84 | | | $ | 7.94 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 0.84 | % | | | 1.13 | % | | | 9.39 | % | | | 26.18 | % | | | (20.75 | %) | | | (0.75 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,605 | | | $ | 4,048 | | | $ | 4,478 | | | $ | 7,660 | | | $ | 6,279 | | | $ | 11,359 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.77 | % | | | 0.90 | % | | | 0.92 | % | | | 0.92 | % | | | 1.73 | % | | | 1.22 | % |
| Total expensese | | | — | h | | | — | | | | — | | | | — | | | | — | | | | 0.01 | % |
| Portfolio turnover rate | | | 24 | % | | | 77 | % | | | 93 | % | | | 170 | % | | | 220 | % | | | 125 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income per share was computed using average shares outstanding throughout the period. |
| c | Redemption fees collected are less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| e | Does not include expenses of the underlying funds in which the Fund invests. |
| f | Net investment income is less than $0.01 per share. |
| g | For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains. |
| See Notes to Financial Statements. | the GUGGENHEIM FUNDS SEMI-ANNUAL report | 19 |
| FUND PROFILE (Unaudited) | September 30, 2012 |
ALL-ASSET AGGRESSIVE STRATEGY FUND
OBJECTIVE: Seeks to primarily provide growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
All-Asset Aggressive Strategy Fund
“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) | | | |
| GF – U.S. Long Short Momentum Fund1 | | | 18.9 | % |
| GF – U.S. Intermediate Bond Fund1 | | | 9.1 | % |
| GF – Large Cap Value Fund1 | | | 9.0 | % |
| GF – Large Cap Concentrated Growth Fund1 | | | 8.9 | % |
| GF – Multi-Hedge Strategies Fund1 | | | 5.6 | % |
| iShares Barclays Aggregate Bond Fund | | | 4.6 | % |
| GF – MSCI EAFE Equal Weight Fund1 | | | 4.2 | % |
| GF – Mid Cap Growth Fund1 | | | 2.0 | % |
| GF – Mid Cap Value Fund1 | | | 1.9 | % |
| GF – Event Driven and Distressed Strategies Fund1 | | | 1.4 | % |
| Top Ten Total | | | 65.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
GF – Guggenheim Funds
1A-Class Shares
| 20 | the GUGGENHEIM FUNDS SEMI-ANNUAL report |
| SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2012 |
| all-asset AGGRESSIVE STRATEGY fund | |
| | | Shares | | | Value | |
| | | | | | | |
| EXCHANGE TRADED FUNDS† - 4.6% | | | | | | | | |
| iShares Barclays Aggregate Bond Fund | | | 4,009 | | | $ | 450,812 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $439,498) | | | | | | | 450,812 | |
| MUTUAL FUNDS†,1 - 65.0% | | | | | | | | |
| Alternatives Funds - 27.1% | | | | | | | | |
| GF – U.S. Long Short Momentum Fund* | | | 144,349 | | | | 1,851,992 | |
| GF – Multi-Hedge Strategies Fund | | | 24,195 | | | | 546,074 | |
| GF – Event Driven and Distressed Strategies Fund* | | | 5,026 | | | | 132,227 | |
| GF – Long/Short Commodities Strategy Fund | | | 2,798 | | | | 51,602 | |
| GF – Long Short Interest Rate Strategy Fund* | | | 1,960 | | | | 45,213 | |
| GF – Managed Futures Strategy Fund* | | | 852 | | | | 18,445 | |
| Total Alternatives Funds | | | | | | | 2,645,553 | |
| Domestic Equity Funds - 23.8% | | | | | | | | |
| GF – Large Cap Value Fund | | | 28,141 | | | | 879,403 | |
| GF – Large Cap Concentrated Growth Fund* | | | 93,576 | | | | 873,062 | |
| GF – Mid Cap Growth Fund* | | | 5,314 | | | | 193,423 | |
| GF – Mid Cap Value Fund* | | | 5,844 | | | | 193,141 | |
| GF – Small Cap Value Fund* | | | 6,448 | | | | 96,975 | |
| GF – Small Cap Growth Fund* | | | 6,300 | | | | 96,447 | |
| Total Domestic Equity Funds | | | | | | | 2,332,451 | |
| Fixed Income Funds - 9.9% | | | | | | | | |
| GF – U.S. Intermediate Bond Fund | | | 49,438 | | | | 885,935 | |
| GF – High Yield Fund | | | 6,600 | | | | 78,866 | |
| Total Fixed Income Funds | | | | | | | 964,801 | |
| International Equity Funds - 4.2% | | | | | | | | |
| GF – MSCI EAFE Equal Weight Fund | | | 39,358 | | | | 415,229 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $5,054,418) | | | | | | | 6,358,034 | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 28.4% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 09/28/12 at 0.12% | | | | | | | | |
| due 10/01/12 | | $ | 2,773,148 | | | | 2,773,148 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $2,773,148) | | | | | | | 2,773,148 | |
| Total Investments - 98.0% | | | | | | | | |
| (Cost $8,267,064) | | | | | | $ | 9,581,994 | |
| Other Assets & Liabilities, net - 2.0% | | | | | | | 198,341 | |
| Total Net Assets - 100.0% | | | | | | $ | 9,780,335 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 U.S. Treasury 10 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $801,188) | | | 6 | | | $ | 4,032 | |
| December 2012 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $373,945) | | | 3 | | | | 1,571 | |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $1,175,133) | | | | | | $ | 5,603 | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 Canadian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $101,540) | | | 1 | | | $ | (978 | ) |
| December 2012 Australian Dollar | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $103,050) | | | 1 | | | | (1,634 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $204,590) | | | | | | $ | (2,612 | ) |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| December 2012 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $2,078,937) | | | 29 | | | $ | 1,630 | |
| December 2012 S&P/TSX 60 IX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $142,405) | | | 1 | | | | 1,212 | |
| December 2012 Nikkei 225 (CME) Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $88,750) | | | 2 | | | | 1,043 | |
| December 2012 SPI 200 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $113,350) | | | 1 | | | | (671 | ) |
| December 2012 MSCI EAFE Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,123,275) | | | 15 | | | | (47,528 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $3,546,717) | | | | | | $ | (44,314 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
| SCHEDULE OF INVESTMENTS (Unaudited) (concluded) | September 30, 2012 |
| all-asset AGGRESSIVE STRATEGY fund | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 DAX Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $232,539) | | | 1 | | | $ | 7,058 | |
| October 2012 CAC40 10 Euro Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $86,294) | | | 2 | | | | 3,995 | |
| December 2012 FTSE 100 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $92,324) | | | 1 | | | | 2,140 | |
| December 2012 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $83,420) | | | 1 | | | | 813 | |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $494,577) | | | | | | $ | 14,006 | |
| CURRENCY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| December 2012 Euro FX Currency | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $160,762) | | | 1 | | | $ | 1,718 | |
| December 2012 British Pound | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $100,869) | | | 1 | | | | (471 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $261,631) | | | | | | $ | 1,247 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | A-Class shares of affiliated funds. |
| 2 | Repurchase Agreement — See Note 5. |
GF — Guggenheim Funds
| 22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| ALL-ASSET AGGRESSIVE STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
| |
| September 30, 2012 |
| Assets: | | | | |
| Investments in unaffiliated issuers, at value | | | | |
| (cost $439,498) | | $ | 450,812 | |
| Investments in affiliated issuers, at value | | | | |
| (cost $5,054,418) | | | 6,358,034 | |
| Repurchase agreement, at value | | | | |
| (cost $2,773,148) | | | 2,773,148 | |
| Total investments | | | | |
| (cost $8,267,064) | | | 9,581,994 | |
| Segregated cash with broker | | | 227,252 | |
| Cash | | | 24,346 | |
| Receivables: | | | | |
| Dividends | | | 2,009 | |
| Fund shares sold | | | 966 | |
| Interest | | | 27 | |
| Total assets | | | 9,836,594 | |
| Liabilities: | | | | |
| Foreign currency, at value | | | | |
| (cost $23,963) | | | 24,337 | |
| Payable for: | | | | |
| Variation margin | | | 29,195 | |
| Distribution and service fees | | | 2,723 | |
| Fund shares redeemed | | | 4 | |
| Total liabilities | | | 56,259 | |
| Net assets | | $ | 9,780,335 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 11,178,414 | |
| Undistributed net investment income | | | 39,073 | |
| Accumulated net realized loss on investments | | | (2,725,653 | ) |
| Net unrealized appreciation on investments | | | 1,288,501 | |
| Net assets | | $ | 9,780,335 | |
| A-Class: | | | | |
| Net assets | | $ | 3,214,657 | |
| Capital shares outstanding | | | 309,694 | |
| Net asset value per share | | $ | 10.38 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 10.90 | |
| C-Class: | | | | |
| Net assets | | $ | 4,899,318 | |
| Capital shares outstanding | | | 496,346 | |
| Net asset value per share | | $ | 9.87 | |
| H-Class: | | | | |
| Net assets | | $ | 1,666,360 | |
| Capital shares outstanding | | | 160,589 | |
| Net asset value per share | | $ | 10.38 | |
STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2012
| Investment Income: | | | | |
| Dividends from securities of affiliated issuers | | $ | 11,599 | |
| Dividends from securities of unaffiliated issuers | | | 11,388 | |
| Interest | | | 758 | |
| Total investment income | | | 23,745 | |
| | | | | |
| Expenses: | | | | |
| Distribution and service fees: | | | | |
| C-Class | | | 19,239 | |
| Miscellaneous | | | 125 | |
| Total expenses | | | 19,364 | |
| Net investment income | | | 4,381 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments in unaffiliated issuers | | | 9,157 | |
| Investments in affiliated issuers | | | 179,459 | |
| Futures contracts | | | 175,716 | |
| Foreign currency | | | (652 | ) |
| Net realized gain | | | 363,680 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments in unaffiliated issuers | | | 12,314 | |
| Investments in affiliated issuers | | | (317,693 | ) |
| Futures contracts | | | (118,169 | ) |
| Foreign currency | | | (658 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (424,206 | ) |
| Net realized and unrealized loss | | | (60,526 | ) |
| Net decrease in net assets resulting from operations | | $ | (56,145 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
| all-asset AGGRESSIVE STRATEGY fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Period Ended | | | Year | |
| | | September 30, | | | Ended | |
| | | 2012 | | | March 31, | |
| | | (Unaudited) | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 4,381 | | | $ | 24,888 | |
| Net realized gain on investments | | | 363,680 | | | | 663,872 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (424,206 | ) | | | (1,077,045 | ) |
| Net decrease in net assets resulting from operations | | | (56,145 | ) | | | (388,285 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (32,421 | ) |
| C-Class | | | — | | | | (56,510 | ) |
| H-Class | | | — | | | | (17,469 | ) |
| Total distributions to shareholders | | | — | | | | (106,400 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 102,398 | | | | 564,208 | |
| C-Class | | | 224,441 | | | | 893,522 | |
| H-Class | | | 243,167 | | | | 1,474,836 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 30,714 | |
| C-Class | | | — | | | | 50,150 | |
| H-Class | | | — | | | | 17,168 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (336,365 | ) | | | (4,012,179 | ) |
| C-Class | | | (991,971 | ) | | | (2,246,851 | ) |
| H-Class | | | (635,683 | ) | | | (2,257,775 | ) |
| Net decrease from capital share transactions | | | (1,394,013 | ) | | | (5,486,207 | ) |
| Net decrease in net assets | | | (1,450,158 | ) | | | (5,980,892 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of period | | | 11,230,493 | | | | 17,211,385 | |
| End of period | | $ | 9,780,335 | | | $ | 11,230,493 | |
| Undistributed net investment income at end of period | | $ | 39,073 | | | $ | 34,692 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 10,330 | | | | 54,903 | |
| C-Class | | | 23,276 | | | | 93,743 | |
| H-Class | | | 24,120 | | | | 147,220 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 3,331 | |
| C-Class | | | — | | | | 5,686 | |
| H-Class | | | — | | | | 1,864 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (33,482 | ) | | | (411,253 | ) |
| C-Class | | | (103,958 | ) | | | (235,389 | ) |
| H-Class | | | (63,795 | ) | | | (231,875 | ) |
| Net decrease in shares | | | (143,509 | ) | | | (571,770 | ) |
| 24 | the GUGGENHEIM FUNDS SEMI-ANNUAL report | See Notes to Financial Statements. |
| ALL-ASSET AGGRESSIVE STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.36 | | | $ | 10.40 | | | $ | 9.29 | | | $ | 6.98 | | | $ | 9.69 | | | $ | 10.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .02 | | | | .05 | | | | .07 | | | | .05 | | | | .12 | | | | .11 | |
| Net gain (loss) on investments (realized and unrealized) | | | — | | | | — | | | | 1.07 | | | | 2.37 | | | | (2.60 | ) | | | (.48 | ) |
| Total from investment operations | | | .02 | | | | .05 | | | | 1.14 | | | | 2.42 | | | | (2.48 | ) | | | (.37 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.09 | ) | | | (.01 | )f | | | (.10 | )f | | | (.22 | )f | | | (.06 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.01 | )f | | | (.16 | )f |
| Total distributions | | | — | | | | (.09 | ) | | | (.03 | ) | | | (.11 | ) | | | (.23 | ) | | | (.22 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 10.38 | | | $ | 10.36 | | | $ | 10.40 | | | $ | 9.29 | | | $ | 6.98 | | | $ | 9.69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 0.19 | % | | | 0.61 | % | | | 12.31 | % | | | 34.67 | % | | | (25.81 | %) | | | (3.77 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,215 | | | $ | 3,449 | | | $ | 7,134 | | | $ | 6,457 | | | $ | 5,389 | | | $ | 8,596 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.47 | % | | | 0.48 | % | | | 0.70 | % | | | 0.55 | % | | | 1.40 | % | | | 1.01 | % |
| Total expensese | | | — | g | | | — | | | | — | | | | — | | | | 0.02 | % | | | 0.01 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 97 | % | | | 185 | % | | | 278 | % | | | 120 | % |
| | | Period Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.89 | | | $ | 10.01 | | | $ | 9.01 | | | $ | 6.82 | | | $ | 9.56 | | | $ | 10.22 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.01 | ) | | | (.02 | ) | | | (.01 | ) | | | (.02 | ) | | | .05 | | | | .06 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.01 | ) | | | (.01 | ) | | | 1.04 | | | | 2.32 | | | | (2.56 | ) | | | (.50 | ) |
| Total from investment operations | | | (.02 | ) | | | (.03 | ) | | | 1.03 | | | | 2.30 | | | | (2.51 | ) | | | (.44 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.09 | ) | | | (.01 | )f | | | (.10 | )f | | | (.22 | )f | | | (.06 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.01 | )f | | | (.16 | )f |
| Total distributions | | | — | | | | (.09 | ) | | | (.03 | ) | | | (.11 | ) | | | (.23 | ) | | | (.22 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 9.87 | | | $ | 9.89 | | | $ | 10.01 | | | $ | 9.01 | | | $ | 6.82 | | | $ | 9.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | (0.20 | %) | | | (0.17 | %) | | | 11.47 | % | | | 33.72 | % | | | (26.48 | %) | | | (4.48 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,899 | | | $ | 5,707 | | | $ | 7,135 | | | $ | 7,063 | | | $ | 4,667 | | | $ | 6,178 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.28 | %) | | | (0.18 | %) | | | (0.09 | %) | | | (0.21 | %) | | | 0.59 | % | | | 0.60 | % |
| Total expensese | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.77 | % | | | 0.76 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 97 | % | | | 185 | % | | | 278 | % | | | 120 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | the GUGGENHEIM FUNDS SEMI-ANNUAL report | 25 |
| 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 Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | September 30, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2012a | | | 2012 | | | 2011 | | | 2010 | | | 2009 | | | 2008 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.36 | | | $ | 10.40 | | | $ | 9.29 | | | $ | 6.97 | | | $ | 9.69 | | | $ | 10.29 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment incomeb | | | .02 | | | | .05 | | | | .06 | | | | .04 | | | | .11 | | | | .08 | |
| Net gain (loss) on investments (realized and unrealized) | | | — | | | | — | | | | 1.08 | | | | 2.39 | | | | (2.60 | ) | | | (.46 | ) |
| Total from investment operations | | | .02 | | | | .05 | | | | 1.14 | | | | 2.43 | | | | (2.49 | ) | | | (.38 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.09 | ) | | | (.01 | )f | | | (.10 | )f | | | (.22 | )f | | | (.06 | )f |
| Net realized gains | | | — | | | | — | | | | (.02 | )f | | | (.01 | )f | | | (.01 | )f | | | (.16 | )f |
| Total distributions | | | — | | | | (.09 | ) | | | (.03 | ) | | | (.11 | ) | | | (.23 | ) | | | (.22 | ) |
| Redemption fees collected | | | — | | | | — | | | | — | c | | | — | c | | | — | c | | | — | c |
| Net asset value, end of period | | $ | 10.38 | | | $ | 10.36 | | | $ | 10.40 | | | $ | 9.29 | | | $ | 6.97 | | | $ | 9.69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Returnd | | | 0.19 | % | | | 0.61 | % | | | 12.31 | % | | | 34.86 | % | | | (25.92 | %) | | | (3.87 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,666 | | | $ | 2,074 | | | $ | 2,943 | | | $ | 3,630 | | | $ | 3,240 | | | $ | 4,447 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.47 | % | | | 0.53 | % | | | 0.66 | % | | | 0.53 | % | | | 1.22 | % | | | 0.80 | % |
| Total expensese | | | — | g | | | — | | | | — | | | | — | | | | 0.02 | % | | | 0.01 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 97 | % | | | 185 | % | | | 278 | % | | | 120 | % |
| a | Unaudited figures for the period ended September 30, 2012. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| c | Redemption fees collected are less than $0.01 per share. |
| d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| e | Does not include expenses of the underlying funds in which the Fund invests. |
| f | For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains. |
| 26 | the GUGGENHEIM FUNDS SEMI-ANNUAL report | See Notes to Financial Statements. |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers eight separate classes of shares, Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.
At September 30, 2012, the Trust consisted of fifty-six separate funds. This report covers the Asset Allocation Funds (the “Funds”), while the other funds are contained in separate reports. Only A-Class, C-Class and H-Class shares had been issued in the Funds.
Guggenheim Investments (“GI”) 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. GI, RFS and RDL are affiliated entities.
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 GI.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. The underlying funds are valued at their NAV as of the close of business, usually 4:00 p.m. on the valuation date and ETFs are valued at the last quoted sales price. Short-term securities with a maturity of 60 days or less and repurchase agreements, are valued at amortized cost, which approximates market value.
B. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
C. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis.
D. 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.
E. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the
| the GUGGENHEIM FUNDS SEMI-ANNUAL report | 27 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
Classes based upon the value of the outstanding shares in each Class. Certain costs, such as service and distribution 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 based upon the respective aggregate net assets of each Fund included in the Trust.
F. Upon entering into a futures contract, the 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.
G. 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. GAAP.
H. 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 their investment strategies, the underlying funds may utilize short sales and a variety of derivative instruments including options, futures, options on futures, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts reflected in the underlying funds’ NAVs.
The Funds also directly utilize futures contracts as part of their investment strategies. 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 futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
In conjunction with the use of futures, 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 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. Fees and Other Transactions with Affiliates
GI 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 GI a management fee. As part of its agreement with the Trust, GI 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 and ETFs in which the Fund invests.
RFS provides transfer agent, accounting and administrative services to the Funds. However, the related fees are paid by GI, 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
| 28 | the GUGGENHEIM FUNDS SEMI-ANNUAL report |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
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.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2012:
| | | Level 1 | | | Level 1 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Other Financial | | | Investments | | | Investments | | | | |
| | | In Securities | | | Instruments* | | | In Securities | | | In Securities | | | Total | |
| Assets | | | | | | | | | | | | | | | | | | | | |
| All-Asset Conservative Strategy Fund | | $ | 11,029,083 | | | $ | 43,893 | | | $ | 3,841,135 | | | $ | — | | | $ | 14,914,111 | |
| All-Asset Moderate Strategy Fund | | | 16,964,850 | | | | 53,132 | | | | 4,203,456 | | | | — | | | | 21,221,438 | |
| All-Asset Aggressive Strategy Fund | | | 6,808,846 | | | | 25,212 | | | | 2,773,148 | | | | — | | | | 9,607,206 | |
| Liabilities | | | | | | | | | | | | | | | | | | | | |
| All-Asset Conservative Strategy Fund | | $ | — | | | $ | 35,415 | | | $ | — | | | $ | — | | | $ | 35,415 | |
| All-Asset Moderate Strategy Fund | | | — | | | | 64,487 | | | | — | | | | — | | | | 64,487 | |
| All-Asset Aggressive Strategy Fund | | | — | | | | 51,282 | | | | — | | | | — | | | | 51,282 | |
* Other financial instruments may include futures contracts, which are reported as unrealized gain/loss at period end.
For the period ended September 30, 2012, there were no transfers between levels.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
| the GUGGENHEIM FUNDS SEMI-ANNUAL report | 29 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
At September 30, 2012, 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 | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.12% | | | | | | | | | | 1.25% | | | | | | | | |
| Due 10/01/12 | | $ | 50,220,592 | | | $ | 50,221,095 | | | 03/15/14 | | $ | 50,429,500 | | | $ | 51,225,080 | |
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.
6. Derivative Investment Holdings Categorized by Risk Exposure
U.S. GAAP requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.
During the period ended September 30, 2012, the Funds sought to gain exposure to their respective investment strategies by investing in currency and financial-linked 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.
| | | Approximate percentage of Fund’s | |
| | | net assets on a daily basis | |
| Fund | | Long | | | Short | |
| All-Asset Conservative Strategy Fund | | | 45 | % | | | 10 | % |
| All-Asset Moderate Strategy Fund | | | 40 | % | | | 10 | % |
| All-Asset Aggressive Strategy Fund | | | 50 | % | | | 10 | % |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2012:
| Derivative Investment Type | Asset Derivatives | Liability Derivatives |
| Equity/Interest Rate/Currency contracts | variation margin | variation margin |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2012:
Asset Derivative Investments Value
| | | Futures | | | Futures | | | Futures | | | Total Value at | |
| | | Equity | | | Currency | | | Interest Rate | | | September 30, | |
| Fund | | Contracts* | | | Contracts* | | | Contracts* | | | 2012 | |
| All-Asset Conservative Strategy Fund | | $ | 23,896 | | | $ | 1,718 | | | $ | 18,279 | | | $ | 43,893 | |
| All-Asset Moderate Strategy Fund | | | 32,084 | | | | 3,435 | | | | 17,613 | | | | 53,132 | |
| All-Asset Aggressive Strategy Fund | | | 17,891 | | | | 1,718 | | | | 5,603 | | | | 25,212 | |
| Liability Derivative Investments Value |
| | | Futures | | | Futures | | | Futures | | | Total Value at | |
| | | Equity | | | Currency | | | Interest Rate | | | September 30, | |
| Fund | | Contracts* | | | Contracts* | | | Contracts* | | | 2012 | |
| All-Asset Conservative Strategy Fund | | $ | 32,332 | | | $ | 3,083 | | | $ | — | | | $ | 35,415 | |
| All-Asset Moderate Strategy Fund | | | 60,284 | | | | 4,203 | | | | — | | | | 64,487 | |
| All-Asset Aggressive Strategy Fund | | | 48,199 | | | | 3,083 | | | | — | | | | 51,282 | |
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| 30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2012:
| Derivative Investment Type | Location of Gain (Loss) on Derivatives |
| Equity/Interest Rate/Currency contracts | Net realized gain (loss) on futures contracts |
| | Net change in 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 on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2012:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
| | | Futures | | | Futures | | | Futures | | | | |
| | | Equity | | | Currency | | | Interest Rate | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Total | |
| All-Asset Conservative Strategy Fund | | $ | 65,177 | | | $ | (16,884 | ) | | $ | 65,828 | | | $ | 114,121 | |
| All-Asset Moderate Strategy Fund | | | 273,933 | | | | (32,927 | ) | | | 63,970 | | | | 304,976 | |
| All-Asset Aggressive Strategy Fund | | | 174,441 | | | | (14,642 | ) | | | 15,917 | | | | 175,716 | |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
| | | Futures | | | Futures | | | Futures | | | | |
| | | Equity | | | Currency | | | Interest Rate | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Total | |
| All-Asset Conservative Strategy Fund | | $ | (56,199 | ) | | $ | 7,699 | | | $ | 27,050 | | | $ | (21,450 | ) |
| All-Asset Moderate Strategy Fund | | | (178,224 | ) | | | 16,347 | | | | 18,906 | | | | (142,971 | ) |
| All-Asset Aggressive Strategy Fund | | | (131,260 | ) | | | 7,699 | | | | 5,392 | | | | (118,169 | ) |
7. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009 – 2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.
The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
| NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) |
At September 30, 2012, 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 | | $ | 13,707,388 | | | $ | 1,210,131 | | | $ | (47,301 | ) | | $ | 1,162,830 | |
| All-Asset Moderate Strategy Fund | | | 18,892,101 | | | | 2,313,825 | | | | (37,619 | ) | | | 2,276,206 | |
| All-Asset Aggressive Strategy Fund | | | 8,486,216 | | | | 1,111,811 | | | | (16,033 | ) | | | 1,095,778 | |
8. Securities Transactions
For the period ended September 30, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:
| | | Purchases | | | Sales | |
| All-Asset Conservative Strategy Fund | | $ | 9,748,924 | | | $ | 10,226,875 | |
| All-Asset Moderate Strategy Fund | | | 4,500,552 | | | | 7,622,482 | |
| All-Asset Aggressive Strategy Fund | | | 2,300,508 | | | | 4,695,780 | |
9. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2013. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.25% for the period ended September 30, 2012. The Funds did not have any borrowings under this agreement at September 30, 2012.
The following table illustrates the average daily balance borrowed for the period ended September 30, 2012:
| Fund | | Average Daily Balance | |
| All-Asset Conservative Strategy Fund | | $ | 12,377 | |
| All-Asset Moderate Strategy Fund | | | 22 | |
| All-Asset Aggressive Strategy Fund | | | 16 | |
| 32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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 June 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.
Office Locations
The offices of Guggenheim Investments 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
| INFORMATION on board of trustees and officers (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.
All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.
TRUSTEE AND OFFICER
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Donald C. Cacciapaglia* | | Rydex Series Funds – 2012 | | 146 |
| (1951) | | Rydex Variable Trust – 2012 | | |
| | | Rydex Dynamic Funds – 2012 | | |
| | | Rydex ETF Trust – 2012 | | |
Principal Occupations During Past Five Years: Current: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments:
President and Chief Administrative Officer from February 2010 to present; Previous: Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010
Positions held within the Trust: Trustee from 2012 to present; President from 2012 to present
INDEPENDENT TRUSTEES
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Corey A. Colehour | | Rydex Series Funds – 1993 | | 146 |
| (1945) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: President and Senior Vice President of Schield Management Company (registered investment adviser) from 2003 to 2006
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
| J. Kenneth Dalton | | Rydex Series Funds – 1995 | | 146 |
| (1941) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1995 to present; Member and Chairman of the Audit Committee from 1997 to present; Member of the Governance and Nominating Committees from 1995 to present; and Member of the Risk Oversight Committee from 2010 to present
| John O. Demaret | | Rydex Series Funds – 1997 | | 146 |
| (1940) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired
Positions held within the Trust: Trustee from 1997 to present; Chairman of the Board from 2006 to present; Member of the Audit Committee from 1997 to present; and Member of the Risk Oversight Committee from 2010 to present
| 34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
| INFORMATION on board of trustees and officers (Unaudited) (continued) |
INDEPENDENT TRUSTEES – concluded
| Name and | | Length of Service as Trustee | | Number of Funds |
| Year of Birth | | (Year Began) | | Overseen |
| Werner E. Keller | | Rydex Series Funds – 2005 | | 146 |
| (1940) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: Founder and President of Keller Partners, LLC (investment research firm) from 2005 to present; Previous: Retired from 2001 to 2005
Positions held within the Trust: Vice Chairman of the Board of Trustees from 2010 to present; Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present; and Chairman and Member of the Risk Oversight Committee from 2010 to present
| Thomas F. Lydon, Jr. | | Rydex Series Funds – 2005 | | 146 |
| (1960) | | Rydex Variable Trust – 2005 | | |
| | | Rydex Dynamic Funds – 2005 | | |
| | | Rydex ETF Trust – 2005 | | |
Principal Occupations During Past Five Years: Current: President of Global Trends Investments (registered investment adviser) from 1996 to present
Positions held within the Trust: Trustee and Member of the Audit and Governance and Nominating Committees from 2005 to present
| Patrick T. McCarville | | Rydex Series Funds – 1997 | | 146 |
| (1942) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Retired; Previous: Chief Executive Officer of Par Industries, Inc., d/b/a Par Leasing from 1977 to 2010
Positions held within the Trust: Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; and Chairman of the Governance and Nominating Committees from 1997 to present
| Roger Somers | | Rydex Series Funds – 1993 | | 146 |
| (1944) | | Rydex Variable Trust – 1998 | | |
| | | Rydex Dynamic Funds – 1999 | | |
| | | Rydex ETF Trust – 2003 | | |
Principal Occupations During Past Five Years: Current: Founder and Chief Executive Officer of Arrow Limousine from 1965 to present
Positions held within the Trust: Trustee from 1993 to present; Member of the Audit and Governance and Nominating Committees from 1995 to present
EXECUTIVE OFFICERS
| Name, Position and | | | Principal Occupations |
| Year of Birth | | | During Past Five Years |
| | | | |
Michael P. Byrum* Vice President (1970) | | | Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President & Chief Investment Officer, Rydex Holdings, LLC; Director & Chairman of the Board, Advisor Research Center, Inc.; and Manager, Rydex Specialized Products, LLC |
| | | | |
| | | | previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009–2010), Secretary (2002–2010), Executive Vice President (2002–2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008–2010), Chief Investment Officer (2006–2010), President (2004–2010), Secretary (2002–2010); Rydex Capital Partners, LLC, President & Secretary (2003–2007); Rydex Capital Partners II, LLC, (2003–2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary (2005–2008), Executive Vice President (2005–2006); Advisor Research Center, Inc., Secretary (2006–2009), Executive Vice President (2006); and Rydex Specialized Products, LLC, Secretary (2005–2008) |
| THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
| INFORMATION on board of trustees and officers (Unaudited) (concluded) |
EXECUTIVE OFFICERS – concluded
| Name, Position and | | | Principal Occupations |
| Year of Birth | | | During Past Five Years |
| | | | |
Nikolaos Bonos* Vice President and Treasurer (1963) | | | Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; and Vice President, Security Benefit Asset Management Holdings, LLC
Previous: Security Global Investors, LLC, Senior Vice President (2010–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006–2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) & Senior Vice President (2003–2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005–2009) |
| | | | |
Elisabeth Miller* Chief Compliance Officer (1968) | | | Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC
Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004–2009) |
| | | | |
Amy J. Lee* Vice President and Assistant Secretary (1961) | | | Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital Previous: Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011); and Brecek & Young Advisors, Inc., Director (2004–2008) |
| | | | |
Joseph M. Arruda* Assistant Treasurer (1966) | | | Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC |
| | | | |
| | | | Previous: Security Global Investors, LLC, Vice President (2010–2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004–2011) |
| * | 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 Guggenheim Investments. |
| 36 | the GUGGENHEIM FUNDS SEMI-ANNUAL report |
| GUGGENHEIM INVESTMeNTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
| the GUGGENHEIM FUNDS SEMI-ANNUAL report | 37 |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded) |
How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
| 38 | the GUGGENHEIM FUNDS SEMI-ANNUAL report |
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805 King Farm Boulevard, Suite
600 Rockville, MD 20850
guggenheiminvestments.com
800 820 0888
RSEP-SEMI-0912x0313
Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
Item 11. Controls and Procedures.
| (a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely. |
| (b) | The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) Separate certifications 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/ Donald C. Cacciapaglia
Donald C. Cacciapaglia, President
Date December 5, 2012
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/ Donald C. Cacciapaglia
Donald C. Cacciapaglia, President
Date December 5, 2012
By (Signature and Title)* /s/ Nikolaos Bonos
Nikolaos Bonos, Vice President and Treasurer
Date December 5, 2012
* Print the name and title of each signing officer under his or her signature.
